DBRS Assigns Provisional Ratings to VCL Multi-Compartment S.A., acting for and on behalf of its Compartment VCL 24

DBRS Ratings Limited (DBRS) has today assigned provisional ratings to the Notes issued by VCL Multi-Compartment S.A., acting for and on behalf of its Compartment VCL 24 (VCL 24) as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at A (high) (sf)

The transaction represents the issuance of Notes backed by approximately EUR 750 million of receivables relating to auto leases originated in the Federal Republic of Germany by Volkswagen Leasing GmbH (VWL) to retail and commercial customers. The receivables are serviced by VWL.

The ratings are based on DBRS’s review of the following analytical considerations:
-- The transaction capital structure and the form and sufficiency of of available credit enhancement.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption under various stress scenarios at a AAA (sf) standard for the Class A Notes and an A (high) (sf) standard for the Class B Notes.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under 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 legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction was modelled in Intex Dealmaker.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is Rating European 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.

Other methodologies referenced in this transaction are listed at the end of this press release.

These 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 sources of information used for this rating include performance and portfolio data relating to the lease receivables sourced by VWL through their agent, Credit Agricole Corporate and Investment Bank.

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

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

DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality.

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.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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):

-- Probability of Default Rates Used: Base Case PD of 1.67%, a 25% and 50% increase on the base case PD.
-- Recovery Rates Used: Recovery Rate of 42% for the Class A Notes, and 51.3% for the Class B Notes. Both with a 25% and 50% decrease in the base case Recovery Rate.

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the base case PD or LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf)
-- A hypothetical increase of the base case PD or LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf)

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the base case PD or LGD by 25%, ceteris paribus, would not lead to a downgrade of the A (high) (sf) rating on the Class B Notes
-- A hypothetical increase of the base case PD or LGD by 50%, ceteris paribus, would not lead to a downgrade of the A (high) (sf) rating on the Class B Notes
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would not lead to a downgrade of the A (high) (sf) rating on the Class B Notes
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a downgrade of the A (high) (sf) rating on the Class B Notes
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would not lead to a downgrade of the A (high) (sf) rating on the Class B Notes
-- A hypothetical increase of the base case PD and LGD of 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (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: Matthew Nyong
Initial Rating Date: 6 October 2016
Initial Rating Committee Chair: Chuck Weilamann

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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Crtieria for European Structured Finance Transactions
-- Derivative Crtieria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.