OREANDA-NEWS. March 30, 2015. Fitch Ratings has assigned Private Driver 2015-1 UG (haftungsbeschraenkt)'s EUR965m class A and B notes the following ratings:

EUR927m fixed-rate, asset-backed class A notes (ISIN: XS119617316), due December 2021: 'AAAsf'; Outlook Stable
EUR38m fixed-rate, asset-backed class B notes (ISIN: XS1196173329), due December 2021: 'A+sf'; Outlook Stable
EUR28m subordinated loan, due December 2021: not rated

The transaction is a securitisation of auto loan receivables originated by Volkswagen Bank GmbH (VWB) within Germany, predominantly to retail clients. The transaction has two distinct features compared with the latest securitisations under the Driver brand: a nine-month revolving period, after which the notes will start amortising and fixed-interest payments on the notes.

The ratings are based on Fitch's assessment of VWB's origination and servicing procedures, Fitch's expectations of asset performance, available credit enhancement (CE), and the transaction's legal structure.

KEY RATING DRIVERS

Initial CE for the class A notes is 8.3% and for the class B notes 4.5%. For the class A notes, CE is provided by: (i) overcollateralisation (OC) of 0.7% of the portfolio balance; (ii) OC from receivables financed by the proceeds of the subordinated loan (2.8%); (iii) the floor amount of the amortising cash reserve fund (1%); and (iv) OC from receivables financed by the proceeds of the class B notes (3.8%). Components (i) to (iii) make up CE for the class B notes.

Limited Revolving Risk
During the revolving period, the transfer of new assets is subject to early amortisation events and limits on important portfolio characteristics. Also, new receivables are purchased at the initial discount. It consists of the discount rate plus a purchase price discount, which now provides exclusively further overcollateralisation. Hence, additional credit enhancement can be built up depending on the replenished amounts and losses experienced.

Low Default Expectation
Fitch has determined a default base case expectation of 1.7% for the transaction portfolio. The assigned base case reflects the strong performance of prior Driver transactions, and our expectation of a benign economic environment over the transaction's lifetime.

Above-Average Balloon Exposure
Fifty-four per cent of the securitised portfolio comprises balloon principal paid at the receivables' maturity dates. Fitch considers this share to be high compared with peer transactions. The agency accounted for the risk arising from obligors' potential inability to cover balloon payments at contract maturity by increasing the default stress multiples.

Seller-Related Risks Present
VWB undertakes to reimburse the issuer for seller-related risk factors as regards the sold receivables, ie potential set-off and prepayment losses. In case VWB is unable to indemnify the issuer, the transaction will be exposed to losses from such risks. Fitch considers the related risks as either remote and with limited rating sensitivity or addressed the risks in its analysis as additional losses.

No Back-Up Servicer
No back-up servicer was in place at closing. The transaction documents are vague regarding the appointment of a replacement servicer upon a potential default of VWB. A liquidity reserve was funded at the closing date through a purchase price discount to mitigate risks from potential servicing disruption.

RATING SENSITIVITIES

If the base case default or recovery rate for the portfolio is increased or decreased by a relative amount, the ratings of the notes may be affected as shown below.

Expected impact upon the note rating of increased defaults (class A/B):
Current ratings: 'AAAsf'/'A+sf'
Increase base case defaults by 10%: 'AA+sf'/'Asf'
Increase base case defaults by 25%: 'AAsf'/'A-sf'
Increase base case defaults by 50%: 'AA-sf'/'BBB+sf'

Expected impact upon the note rating of reduced recoveries (class A/B):
Current ratings: 'AAAsf'/'A+sf'
Reduce base case recovery by 10%: 'AA+sf'/'Asf'
Reduce base case recovery by 25%: 'AA+sf'/'A-sf'
Reduce base case recovery by 50%: 'AAsf'/'BBB+sf'

Expected impact upon the note rating of increased defaults and reduced recoveries (class A/B):
Current ratings: 'AAAsf'/'A+sf'
Increase base case defaults by 10%; reduce base case recovery by 10%: 'AA+sf'/'A-sf'
Increase base case defaults by 25%; reduce base case recovery by 25%: 'AA-sf'/'BBB+sf'
Increase base case defaults by 50%; reduce base case recovery by 50%: 'A-sf'/'BB+sf'

TRANSACTION CHARACTERISTICS

The EUR1,000m transaction portfolio consists of 66,879 loan contracts granted to 66,702 borrowers. It is highly granular with the top 20 obligors accounting for 0.15% of the overall pool balance. Repayment of note principal switches between sequential and a quasi-pro-rata allocation, based on transaction performance.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying New Issue report available at www.fitchratings.com.