DBRS Confirms Ratings Assigned to DFM Master S.A.

DBRS Ratings Limited (DBRS) has today confirmed the ratings assigned to DFM Master S.A., acting with respect to its Compartment 1 (the issuer) on 24 May 2011, 28 May 2012 and 28 July 2015 (and, as the case may be, subsequently confirmed on 25 August 2011, 24 January 2012, 23 April 2012, 23 May 2012, 28 May 2013, 27 May 2014, 25 June 2015 and 28 July 2015) as follows:

-- Series 2011-1 floating rate notes: AAA (sf)
-- Series 2011-2 floating rate notes: AAA (sf)
-- Series 2011-5 floating rate notes: AAA (sf)
-- Series 2013-1 floating rate notes: AAA (sf)
-- Series 2015-1 floating rate notes: AAA (sf)

The confirmation follows the execution of an Amendment Agreement on 23 May 2016 that, among other lesser changes, envisages the extension of the notes’ revolving period from 25 May 2016 to the 25 June 2017 payment date.

The securitised receivables consist of loans granted by Dealers Financierings Maatschaapij N.V. (DFM N.V. or the originator) to corporate lessors for the purpose of financing their leasing business. The loans are secured by a security interest in the underlying vehicles and leases. DFM N.V is a subsidiary of Volkswagen Pon Financial Services, B.V (VWPFS) which is 60% owned by Volkswagen Financial Services Group.

The ratings are based upon review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of a cash collateral account and overcollateralisation. Credit enhancement levels are sufficient to support DBRS’s projected expected cumulative net loss (CNL) assumptions (including residual value loss) under various stress scenarios at a AAA (sf) standard.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
-- The amendment agreement dated 23 May 2016.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is:
“Rating Consumer and Commercial Asset-Backed Securitisations”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed and consequently cash flow analysis was not conducted.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The information used for this rating were sourced by DFM N.V. and included detailed portfolio information and monthly performance reports related to the securitised portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS has not been supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 28 July 2015.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the portfolio based on a review of historical data. Additionally, given the revolving nature of the portfolio DBRS assumed a more conservative distribution given the portfolio concentration limits under the transaction documentations. Adverse changes to asset performance may cause stresses to the Base Case assumptions and therefore have a negative effect on credit rating

-- Probability of Default Rates Used: Base Case PD of 2.90%, a 25% and 50% increase on the base case PD.
-- Recovery Rates Used: Base case Recovery Rate of 50%.
-- Loss Given Default Rate Used: Base Case LGD of 50% and a 25% and 50% increase in the base case LGD.
-- Residual Value Haircut: Base Case 40% and a 50% increase on the base case.

DBRS concludes that, following a 50% increase in the Residual Value Haircut:
-- A hypothetical increase of the base case PD by 25%, or a hypothetical increase in the Base case LGD by 25%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).
-- A hypothetical increase of the base case PD by 50%, or a hypothetical increase in the base case LGD by 50%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the base case LGD by 25%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the base case
LGD by 25%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the base case LGD by 50%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the base case LGD by 50%, ceteris paribus, would lead to the notes maintaining their rating of AAA (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Mike Babick, Senior Vice President
Initial Rating Date: 24 May 2011
Initial Rating Committee Chair: Claire Mezzanotte, Managing Director

Lead Surveillance Analyst: Paolo Conti, Senior Vice President
Rating Committee Chair: Mary Jane Potthoff, Managing Director

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction are listed below:

--Rating European Consumer and Commercial Asset-Backed Securitisations (30 September 2015)
--Legal Criteria for European Structured Finance Transactions (19 February 2016)
--Derivative Criteria for European Structured Finance Transactions (19 February 2016)
--Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
--Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375