DBRS Confirms Driver France FCT Compartiment 2013-1

DBRS Ratings Limited (DBRS) has today reviewed the Notes issued by Driver France FCT Compartiment 2013-1 (the Issuer) and:

-- Confirmed the ratings of the Class A Notes at AAA (sf).
-- Confirmed the ratings of the Class B Notes at AA (sf).

The confirmation of the Class A and Class B Notes are based upon the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of defaults and delinquencies, as of the August 2015 payment report.
-- Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
-- Currently available credit enhancement to the Class A and Class B Notes to cover expected losses assumed in line with, respectively, a AAA (sf) and a AA (sf) rating level.

Driver France FCT Compartiment 2013-1 is a securitisation of a pool of auto loans receivables related to new and used motor vehicles originated in France by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in October 2013 and the portfolio is static.

As of the 21 August 2015 payment date, the 90+ delinquency ratio was 0.91%. The cumulative gross default ratio was at 0.71% of the original collateral balance with a recovery rate of 15.2%.

The transaction has a sequential/pro rata amortisation structure whereby initially all principal payments from the receivables paid down the Class A Notes until Class A overcollateralisation reached its target level of 11.00% in July 2014 payment date. Thereafter, Class A and Class B Notes received principal on a pro rata basis and will continue to do so unless a performance trigger is breached.

Credit enhancement to the Class B Notes stems from the overcollateralisation and an amortising Cash Reserve Fund which already reached its floor target at EUR 5 million. Additionally Class A is supported by the Class B Notes. Credit enhancement is equal to 7.00% and 11.00%, for the Class B and A Notes respectively.

BNP Paribas Securities Services SA holds the Treasury Account for the transaction. The DBRS private rating of BNP Paribas Securities Services SA complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

DZ BANK AG Deutsche Zentral-Genossenschaftsbank is the swap counterparty for the transaction. The DBRS rating of DZ BANK AG Deutsche Zentral-Genossenschaftsbank complies with the threshold for the swap counterparty given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology, which can be found on our website under Methodologies. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

For a more detailed discussion of 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 servicer reports provided by Volkswagen Bank GmbH (French Branch) (the “Servicer”). 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 was not 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 23 September 2014, when DBRS confirmed the Class A rating at AAA (sf) and upgraded the Class B rating to AA (sf) from A (high) (sf).

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 pool based on a review of the transaction performance. 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 receivables are 2.26% and 50%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to remain to AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high) (sf), all else being equal.

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

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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: Alexander Garrod
Initial Rating Date: 28 August 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

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

-- Legal Criteria for European Structured Finance Transactions.
-- Master European Structured Finance Surveillance Methodology.
-- Operational Risk Assessment for European Structured Finance Servicers.
-- Unified Interest Rate Model for European Securitisations.
-- Rating European Consumer and Commercial Asset-Backed Securitisations.
-- Derivative Criteria for European Structured Finance Transactions.