DBRS Morningstar Discontinues and Withdraws Rating on Class A6 Notes of VCL Master Sweden S.A., acting for and on behalf of its Compartment 1

DBRS Ratings GmbH (DBRS Morningstar) withdrew the AAA (sf) rating on the Class A6 Notes issued by VCL Master Sweden S.A., acting for and on behalf of its Compartment 1 (the Issuer), at the Issuer’s request.

DBRS Morningstar continues to rate the remaining Class A and Class B Notes in the transaction.

Please refer to https://www.dbrsmorningstar.com/issuers/29322 for more information on this Issuer.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework
can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors
in Credit Ratings at https:\www.dbrsmorningstar.com\research\396929\dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in Swedish kronor unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (7 February 2023), https:\www.dbrsmorningstar.com\research\409485\master-european-structured-finance-surveillance-methodology.

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

In DBRS Morningstar’s opinion, the changes under consideration do not warrant the application of the entire principal methodology. Given the master trust structure, no asset or cash flow analysis was conducted, as the asset portfolio complies with the composition limits set forth in the transaction legal documents and current transaction performance is within expectations.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https:\www.dbrsmorningstar.com\research\401817\global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https:\www.dbrsmorningstar.com\research\384482\baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for this rating include monthly investor reports as well as written communication provided by Volkswagen Finans Sverige AB (the originator and seller).

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

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

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

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

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer are 2.9% and 70.0%, respectively. The residual value loss (RV Loss) is 38.6% for the AAA (sf) scenario and 29.3% for the AA (low) (sf) scenario.
-- The risk sensitivity overview below illustrates the ratings expected if the PD, LGD, and RV Loss rate increase by a certain percentage over the base case assumption. For example, if the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to decrease to AA (low) (sf), ceteris paribus. If the RV Loss rate increases by 50%, the rating on the Class A Notes would be expected to decrease to AA (sf), ceteris paribus. Furthermore, if the PD and LGD both increase by 50%, and the RV Loss rate increases by 50%, the rating on the Class A Notes would be expected to decrease to A (sf), ceteris paribus.

Class A Notes Risk Sensitivity:
-- 25% increase in PD and LGD, expected rating of AA (sf)
-- 50% increase in PD and LGD, expected rating of AA (low) (sf)
-- 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 50% increase in RV Loss, expected rating of AA (sf)
-- 25% increase in PD and LGD and 25% increase in RV Loss, expected rating of AA (low) (sf)
-- 25% increase in PD and LGD and 50% increase in RV Loss, expected rating of A (high) (sf)
-- 50% increase in PD and LGD and 25% increase in RV Loss, expected rating of A (high) (sf)
-- 50% increase in PD and LGD and 50% increase in RV Loss, expected rating of A (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in PD and LGD, expected rating of A (sf)
-- 50% increase in PD and LGD, expected rating of A (low) (sf)
-- 25% increase in RV Loss, expected rating of A (high) (sf)
-- 50% increase in RV Loss, expected rating of A (low) (sf)
-- 25% increase in PD and LGD and 25% increase in RV Loss, expected rating of A (low) (sf)
-- 25% increase in PD and LGD and 50% increase in RV Loss, expected rating of BBB (high) (sf)
-- 50% increase in PD and LGD and 25% increase in RV Loss, expected rating of BBB (high) (sf)
-- 50% increase in PD and LGD and 50% increase in RV Loss, expected rating of BBB (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https:\cerep.esma.europa.eu\cerep-web\statistics\defaults.xhtml. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https:\data.fca.org.uk#\ceres\craStats.

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 March 2023

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at: https:\www.dbrsmorningstar.com\about\methodologies.

-- Legal Criteria for European Structured Finance Transactions (22 July 2022), https:\www.dbrsmorningstar.com\research\400166\legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (7 February 2023), https:\www.dbrsmorningstar.com\research\409485\master-european-structured-finance-surveillance-methodology.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022), https:\www.dbrsmorningstar.com\research\396929\dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022), https://www.dbrsmorningstar.com/research/402773/operational-risk-assessment-for-european-structured-finance-originators.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022), https:\www.dbrsmorningstar.com\research\402774\operational-risk-assessment-for-european-structured-finance-servicers.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022), https:\www.dbrsmorningstar.com\research\404212\rating-european-consumer-and-commercial-asset-backed-securitisations.
-- Rating European Structured Finance Transactions Methodology (15 July 2022), https:\www.dbrsmorningstar.com\research\399899\rating-european-structured-finance-transactions-methodology.
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022), https:\www.dbrsmorningstar.com\research\402943\interest-rate-stresses-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https:\www.dbrsmorningstar.com\research\278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].