DBRS Confirms and Discontinues Ratings on VCL Master Netherlands B.V.

DBRS Ratings Limited (DBRS) confirmed and subsequently discontinued the ratings on the notes issued by VCL Master Netherlands B.V. (the Issuer). The rating actions are summarised as follows:

-- Series 2016-2, Class A confirmed at AAA (sf) and discontinued.
-- Series 2016-3, Class A confirmed at AAA (sf) and discontinued.
-- Series 2016-4, Class A confirmed at AAA (sf) and discontinued.
-- Series 2016-5, Class A confirmed at AAA (sf) and discontinued.
-- Series 2016-6, Class A confirmed at AAA (sf) and discontinued.
-- Series 2016-1, Class B confirmed at A (high) (sf) and discontinued.
-- Series 2016-2, Class B confirmed at A (high) (sf) and discontinued.

The discontinuations were taken by DBRS at the explicit request of the Issuer.

The notes are backed by approximately EUR 731 million of assets including auto lease receivables (comprising interest, principal and residual value) originated by Volkswagen Leasing B.V. and Dutchlease B.V.

The transaction structure was reviewed based on the analysis conducted in the context of the rating actions taken on 26 February 2018, upon the program’s last renewal, and updated with the information contained in the periodic report to verify the consistency of DBRS’s assumptions established upon last review. No updated cash flow analysis was conducted. Any changes proposed or executed to the program documents on or before the date of this report were factored into the analysis that led to the confirmation of the ratings.

The transaction was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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.

A review of the transaction legal documents was not conducted, and the current review is conducted under the assumption that documents have remained unchanged since the most recent rating action.

Given the program structure, no updated cash flow analysis was conducted as the asset portfolio and the overcollateralisation levels comply with the requirements set forth in the transaction legal documents and current transaction performance is within expectations.

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include the program Investor Reports available here: https://www.vwfsag.de/en/home/investorrelations/VolkswagenFinancialServicesAG/refinanzierung/assetbackedsecurities/VCLMasterNL.html.

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

At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 26 February 2018, when DBRS confirmed its ratings to the outstanding classes of notes of all series.

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

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 and US regulations only.

Lead Analyst: Paolo Conti, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 4 May 2016

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

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 Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Stresses for European Structured Finance

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.

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