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Pre-Sale Report - Structured Finance: European ABS

1

Rating Report 25 February 2014

European - Structured Finance

ABS Germany

VCL Master Residual Value S.A., acting for and on behalf of its Compartment 1

Report Date 25 February 2014

Analysts

Bruno Franco

Senior Vice President

44 20 7855 6603

[email protected]

Alexander Garrod

Senior Vice President

44 20 7855 6633

[email protected]

Mark Wilder

Vice President

European Operational Risk

44 20 7855 6638

[email protected]

Claire Mezzanotte

Group Managing Director

44 20 7855 6672

[email protected]

Table of Contents

Transaction Summary P1

Rating Rationale P2

Assessment of the

Sovereign

P3

Sector Overview P3

Transaction Parties and

Relevant Dates

P4

Origination and Servicing P4

Collateral Analysis Details P7

Historical Performance P10

Transaction Structure P11

Priority of Payments P12

Cash Flow Analysis P14

Legal Structure P17

Transaction Counterparty

Risk

P18

Methodologies Applied P18

Monitoring and

Surveillance

P19

Ratings

Notes:

The ratings address the payment of timely distribution of scheduled interest and ultimate principal by the legal final maturity date.

Credit enhancement is calculated over the discounted expectancy rights balance and, at issuance, includes a 39.0% Surbordinated

Loan, 3.0% overcollateralisation and a 3.0% Cash Collateral Account.

Transaction Summary

DBRS Ratings Limited (“DBRS”) has finalised Provisional Ratings to the Class A Series 2014-1 and Series

2014-2 of Notes issued by VCL Master Residual Value S.A., acting for and on behalf of its Compartment 1

(the “Issuer”) as listed above. The transaction uses a securitisation structure utilising the Luxembourg

based VCL Master Residual Value S.A. trust and closed on 25 February 2014. The transaction represents

the second publicly placed securitisation of expectancy rights receivables that refer to residual values

resulting from German leasing contracts under Volkswagen Leasing GmbH’s (“VWL”) VCL Master

programme.

Initial Class A credit support of 45% includes overcollateralisation (3.0% of the discounted lease balance in

the form of a purchase price haircut), a Subordinated Loan (39.0% of the discounted lease balance) and a

Cash Collateral Account (3.0% of the discounted expectancy right balance at issuance, with a 2.5% floor).

Class A Series 2014-1 initial €154,600,000 nominal amount can be increased up to € 250,000,000 while

Class A Series 2014-2 initial €61,800,000 nominal amount can be increased up to € 100,000,000 following

the transfer of additional receivables provided that the credit enhancement levels described above are

respected.

The portfolio securitised in the transaction consists of a revolving pool of solely lease vehicle residual

value receivables (no lease instalments) to retail and commercial customers secured by new, used and

demonstration vehicles. The pool has an initial weighted average original term of approximately 40.5

months, and leases representing new vehicles account for 95.35% of the receivables.

Notable Features

• The initial portfolio and any additional receivables purchased during the revolving period include

solely receivables arising from the residual value component due upon maturity of a lease vehicle

contract, thus mainly exposing the transaction to residual value risk on the underlying vehicles.

• The Issuer benefits from a repurchase agreement whereby it can sell the vehicles back to VWL at

their contractual residual value, thus eliminating the transaction’s residual value risk. However, in

Debt Initial Par

Amount (€)

Maximum

Par Amount

(€)

Credit

Enhancement Index

Note

Margin ISIN

Rating

Action Rating

Class A Series 2014-1 154,600,000 250,000,000 45.0% Euribor

1m 0.55% XS1028409925

Provisional

Rating -

Finalised

AAA

(sf)

Class A Series 2014-2 61,800,000 100,000,000 45.0% Euribor

1m 0.55% XS1028411319

Provisional

Rating -

Finalised

AAA

(sf)

Subordinated Loan 145,511,695 235,344,828 N/A Euribor

1m 1.70% N/A N/A

Not

Rated

Overcollateralisation 11,195,216 18,103,448 N/A N/A N/A N/A

Cash Collateral

Account 11,209,520 18,130,000 N/A N/A N/A N/A

2 Pre-Sale Report - Structured Finance: European ABS

VCL Master Residual Value

S.A., Compartment 1


its ‘AAA’ scenario DBRS has assumed a default of WWL and no credit has been given to such

agreement.

• The Notes feature an initial 7 month revolving period. Each series of Notes can individually extend

the length of its revolving period for a specified period, along with a re-pricing of the

corresponding notes.

• The transaction uses a sequential/pro-rata amortisation structure whereby all payments from the

receivables will pay down the Class A Notes until Class A overcollateralisation reaches its target

level of 52%. Thereafter, the Class A Notes and the Subordinated Loan will be repaid on a pro-rata

basis subject to certain performance triggers which have been taken into account by DBRS when

modelling the transaction.

Strengths

• Highly experienced, financially strong Servicer.

• Highly granular portfolio comprising 30,336 vehicles with a a €12,299 average outstanding

discounted residual value, whilst the largest lessee exposure accounts for an outstanding

discounted residual value of €183,113 or 0.05% of the total initial portfolio.

• All the expectancy rights underlying lease contracts were performing at the time of the January

31st

portfolio cut-off date.

• The title to the vehicle is transferred as security to the Issuer following termination of the

corresponding leasing contract.

Challenges and Mitigating Factors

• Since the securitised expectancy rights are not interest bearing, the Issuer purchases the assets

discounted at a 4.34% Discount Rate comprising the sum of senior costs, servicing fee, Note fixed

interest swap rates, theoretical subordinated loan swap rate and a reasonable buffer. The

receivables therefore effectively pay a fixed rate of interest while the Notes are paying a floating

rate indexed to 1m Euribor. To mitigate risk the issuer entered into an interest rate swap

agreement with an eligible swap conterparty for each series of Notes, whereby it will pay a fixed

rate of interest on the nominal amount of Notes outstanding against the applicable floating

interest applicable to each series of Notes.

• The transaction uses a revolving period during which the Issuer can substitute repaid assets with

additional receivables. The risk of portfolio deterioration is mitigated by suitable early

amortisation triggers. Additionally, a 7% purchase price haircut will be applied to receivables

purchased during the revolving period in order to build-up additional overcollateralisation up to

a target level of 49%.

• Each receivable produces a single cash flow at maturity and, since almost 72.5% of the

discounted receivables mature between April 2015 and November 2016, the amortisation profile

of the portfolio is quite concentrated and back-loaded. However the Issuer benefits from a Cash

Collateral Account sized to cover around 20 months of senior fees and Note interest swap

payments.

Rating Rationale

The Provisional Ratings are based upon a review by DBRS of the following analytical considerations:

� Transaction capital structure, proposed ratings and form and sufficiency of available credit

enhancement.

Credit enhancement is in the form of overcollateralisation, a Subordinated Loan and a Cash Collateral

Account. Credit enhancement levels are sufficient to support DBRS projected expected cumulative

net loss (CNL) assumption under various stress scenarios.

� The ability of the transaction to withstand stressed cash flow assumptions and repay investors

according to the terms in which they have invested. For this transaction, the rating addresses the

payment of timely interest on a monthly basis and principal by the legal final maturity date.

� The transaction parties’ capabilities with regards to originations, underwriting and servicing and the

financial strength of Volkswagen Leasing GmbH (“VWL”).



S.A., Compartment 1


- DBRS conducted an operational risk review of VWL at their headquarters in Braunschweig,

Germany and deems VWL as an acceptable Servicer.

- VWL is part of Volkswagen AG (“VW”), a leading worldwide manufacturer of high quality

automotive vehicles and provider of diversified financial services.

� The credit quality and industry diversification of the collateral and historical and projected

performance of VWL’s expectancy rights portfolio.

� VWL’s underwriting techniques that include the use of proprietary scorecards that have enabled

delinquencies and losses to remain at manageable levels despite the recent economic downturn.

� WWL’s experience and ability to accurately forecast forward residual values for underlying leased

vehicles.

� The transaction’s consistency of the legal structure with the DBRS Legal Criteria for European

Structured Finance Transaction’s methodology and the presence of legal opinions that address the

true sale of the assets to the issuer and non-consolidation of the special purpose vehicle with the

Seller.

Assessment of the Sovereign

On 11 October 2013, DBRS Ratings Limited confirmed its long-term foreign and local currency issuer

ratings on the Federal Republic of Germany at AAA, and its short-term foreign and local currency issuer

ratings at R-1 (high). The trend on all ratings is Stable.

The confirmation reflects DBRS’s assessment that Germany’s competitive economy and its stable fiscal

and macroeconomic policies are likely to support a downward trajectory of the public debt ratio.

Germany’s broad export base, its current account surplus, and prospects for increased domestic demand

provide further support to the rating. However, public debt levels remain elevated due to deficit financing

and financial sector support during the financial crisis. Moreover, Germany’s public finances could come

under pressure from an escalation of the euro area crisis or from mismanagement of the country’s long-

term demographic challenges.

The Stable trend reflects DBRS’s belief that Germany has the political and economic capacity to manage

its challenges. The result of the September 2013 election requires the formation of a new government.

DBRS expects policy continuity vis-à-vis fiscal prudence from the Angela Merkel led coalition that

emerges. The rating could, however come under pressure if debt-to-GDP is put on an upward path over

the medium term in the unlikely event of a prolonged period of economic underperformance and

sustained fiscal deterioration.

For more information, please refer to the most recent published press release by DBRS Ratings Limited

regarding the Federal Republic of Germany.

Sector Overview

According to the Verband der Automobilindustrie (“VDA”), an estimated 3.26 million passenger cars and

commercial vehicles were registered in Germany in 2013, a 4.2% fall compared to 2012. The first quarter

of 2013 saw an important drop versus 2012 (-13%) but progressively, new car registration went up during

the year and particularly in the last quarter.

Despite the fact that the commercial vehicles sector exhibited more volatility, the decline in registrations

observed in 2013 has been driven both by commercial vehicles and passenger cars.

Regarding German production and export figures, both were driven by commercial vehicles with a 7%

jump in production and a 9% rise in exports, while passenger cars production and exports were almost flat

on the year (respectively +2% and +1%).



S.A., Compartment 1


According to the German Federal Motor Transport Authority (KBA), the VW Group’s market share

(excluding Porsche) of new passenger vehicle registrations was 38.5% in 2013.

Transaction Parties and Relevant Dates

Transaction Parties

Type Name Rating

Issuer VCL Master Residual Value S.A. acting for

and on behalf of its Compartment 1

N/A

Co-Arrangers HSBC Bank Plc and Volkswagen Financial

Services AG

N/A

Seller and Servicer Volkswagen Leasing GmbH DBRS Private Rating

Subordinated Lender Volkswagen Bank GmbH DBRS Private Rating

Security Trustee Wilmington Trust SP Services (Frankfurt)

GmbH

N/A

Swap counterparties Skandinaviska Enskilda Banken AB

Royal Bank of Canada

AA (low) / R-1H / Negative

AA / R-1 H / Stable

Expectancy Rights Trustee Wilmington Trust (London) Limited N/A

Data Protection Trustee Volkswagen Bank GmbH N/A

Listing Agent Bank of New York Mellon, Luxembourg

S.A.

AA (low) / R-1 M - Stable

Account Bank and Cash Administrator Bank of New York Mellon, Frankfurt

Branch DBRS Private Rating

Paying Agent, Calculation Agent and Interest

Determination Agent Bank of New York Mellon, London branch AA / R-1 H / Stable

Corporate Services Provider Wilmington Trust SP Services

(Luxembourg) S.A.

N/A

Relevant Dates

Type Date

Issue Date 25 February 2014

First Interest Payment Date 25 March 2014

Payment Frequency Monthly

Legal Final Maturity Date 25 September 2020

Origination and Servicing

DBRS conducted an operational risk review of Volkswagen Leasing GmbH (VWL) auto finance operations in

November 2012 in Braunschweig, Germany. VWL is a wholly-owned subsidiary of Volkswagen Financial

Services AG (VWFS), which itself is wholly owned by the Volkswagen Group (VWG). DBRS considers VWFS’

German origination and servicing practices to be consistent with those observed among other captive

auto finance companies.

VWL was founded in 1966 and is headquartered in Braunschweig, Germany. VWL is part of Volkswagen

Financial Services, AG which is responsible for coordinating the worldwide financial services activities of

the Volkswagen Group. VW Financial Services provides banking, leasing, insurance, and other services to

its retail, wholesale and fleet customers.

As an operating subsidiary of Volkswagen Financial Services AG, VWL looks to provide their customers

with everything they need to achieve financial and mobile flexibility. The product offerings range from the

financing of new and pre-owned cars of the Volkswagen Group and non-Group brands, to wholesale

financing and direct banking. Within this business model, VWL also supports the sale of the products of

the Volkswagen Group and its brands. VWL co-operates closely with approximately 2,900 dealerships of

the Volkswagen Group. A dealer can thus offer the customer complete service from a single source,



S.A., Compartment 1


including the financing. In addition, dealers receive valuable support from VWL in the form of diverse

training measures and extensive marketing support.

VWFS is a 100% owned subsidiary of Volkswagen AG and is responsible for coordinating the worldwide

financial services activities of the Volkswagen Group. As at the end of June 2013, VW Financial Services

had total assets of €87.6 billion, equity of €8.5 billion, and its 9,147 employees helped manage a

receivables portfolio of €66.2 billion portfolio of loans, leases and wholesale receivables. Pretax profit for

the first half of 2013 was €551 million and for 2012 was €993 million.

An overview of the Volkswagen Group is shown below:

Origination and sourcing

VWL also acts under the Audi Leasing, Seat Leasing, Skoda Leasing and AutoEuropa Leasing brands. The

objectives of VWL are to lease motor vehicles, especially the following brands: Volkswagen, Audi, SEAT,

Skoda, and Volkswagen Nutzfahrzeuge. VWL seeks to provide a modern and cost effective alternative to

the purchase of vehicles in Germany and for the financing of investments, the latter in particular for the

business partners of the Volkswagen Group.

In addition to providing leasing for the brands noted above, VWL also offers service-leasing to commercial

and non-commercial customers and leasing options for used vehicles of all makes. VWL co-operates closely

with the approximately 2,900 dealerships of the Volkswagen Group. A dealer can thus offer the customer

complete, personal service, at one stop and from a single source, including the financing.

The co-operation between the manufacturer or importer and the dealer-partner respectively is established

by a dealer agreement. Under this agreement the dealer-partner is given the responsibility for marketing

the products and services of the Volkswagen Group and to service the trade-marked-products of the

Volkswagen Group.

Origination and Underwriting



S.A., Compartment 1


The dealer-partners procure leasing business for VWL against commissions. VWL buys the vehicles from

the dealer, finances and administers the vehicles and assumes the credit risk. Each dealer-partner is

trained in leasing business. The dealer-partner is the local contact person and available to the lessee during

the whole life of the leasing contract.

Residual Value Management

VWL follows an analytical approach to residual value (RV) forecasting using a proprietary model that

incorporates information from a variety of data sources including auction performance, long-term

historical value tracking, model comparison and benchmarking against used car prices plus specifications

and technology considerations including internal knowledge of car’s life cycle. The RV model is accessed via

the dealership network and also includes real car sale prices. All assets are re-valued monthly and asset risk

reporting is provided to the management board monthly.

The RV forecast is available for each model type that VWG produces, and depends on the contract and

mileage terms. The calculated value is proposed to the dealers and used in the residual value setting in the

leasing contract. Contractual residual values are set no higher than 3% over the vehicle residual value

forecast, and 1% for contracts originated by dealers of a weaker credit quality.

As the RV risk is transferred to the dealer via a dealer guarantee, where the dealer is obliged to pay the

book value that is adjusted by the excess or under mileage payment at the end of the contract, the final

repayment of the RV depends on the dealer’s creditworthiness.

On contract maturity, the lessee will return the vehicle to the dealer that originally arranged the contract.

The dealer will check the car for damage, excess mileage and general condition on behalf of VWL. VWL will

be notified by the dealer of the cars return, and VWL will settle the excess or under mileage payment with

the lessee. VWL will make use of the dealer guarantee and sell the car to the dealer at the book value,

adjusted by the mileage. Following payment, the legal title is transferred to the dealer.

Underwriting process

All underwriting activities at VWFS are segregated from marketing and sales. VWFS adheres to standard

identity and income verification practices including collection of income statements while identity cards,

proof of address and utility bills are reviewed. External credit data is retrieved from two nationally-

recognised bureaux (SCHUFA, Credit reform) and incorporated into the automated credit scoring models.

Prior to acceptance of an application, VWL checks the credit standing of the customer. For private and

commercial retail customer contracts, applications are automatically approved by a scoring system if the

information on the application demonstrates that the applicant meets VWL's criteria for an automatic

approval.

Applications are analysed through VWFS’s internal credit scoring system which assigns a ‘band’ to the lease

denoting the risk associated with the borrower and lease contract. Bands ‘A’ and ‘B’ are considered the

lowest risk while high risk loans are classified as ‘D’ or ‘Z’ band. Dual bureau data is primarily used for high

risk bands. Automatic decision making only exists for the low risk bands and as expected the approval rate

is considerably lower for ‘D’ bands. Approximately 28% of all applications are referred and 2% are declined

immediately.

Applications that are not automatically accepted by the scoring system are assessed by an employee of the

credit department. The employees of VW Bank's credit department typically have several years' industry

experience and degrees in business administration. Each employee is personally assigned a credit ceiling up

to which they may underwrite a given loan.

Summary strengths

• Global brands with good reputation and strong position within German market.



S.A., Compartment 1


• Rising penetration rate over last few years.

• Use of multiple rules-based credit scoring models incorporating dual credit bureau data and

monthly analysis of rules and performance metrics.

• Centralised and independent credit and risk management functions with underwriting teams split

between retail (individuals and business) and corporates.

Servicing begins during the final stages of initial financing with the customer services department reviewing

all borrower documents and credit terms including interest rate, loan maturity, insurance and prepayment

terms. The majority of payments are made via direct debit (over 95%) and have monthly payment

frequencies and virtually no balloon payments for standard purchase loans. In the rare circumstance where

customers do not agree to this requirement, payment comes from standing orders for payment transfers

from their bank account, regular bank transfers, or cheque.

Servicing is centralised in Braunschweig and the company places considerable focus on customer service

evidenced through proactive assessment of customer satisfaction following contract execution and

quarterly surveys. VWFS employs a customer contact council as well as a professional planning forum to

ensure adherence to corporate strategies involving customer service. Given VWFS’s low staff attrition rate,

average company tenure among the servicing group is estimated at over five years.

The arrears management process is heavily automated and is driven by an SAP workflow system providing

collection teams daily workload reports and performance monitoring statistics. VWFS complies with all

regulatory guidelines. The company’s behavioural scoring model which assigns a probability of default (PD)

and loss given default (LGD) to each loan is used to segregated arrears cases based on the risk profile.

Initial collections activity starts in the Debt Management unit where letters are sent out immediately

following a missed payment. If the lessee does not pay then, a second reminder letter is generally sent

after another two weeks, in which interest on arrears and other costs are also mentioned. The third

reminder after 45 days includes charges for the reminder, the threat of a summary court order to pay and

the threat of termination of the contract. In addition, the dealer who originated the contract is brought

into the proceeding and requested to investigate the situation and to help with the collection of the debts.

In addition, the debts management department of VWL may write an individual letter to the customer or

be in touch with the customer or with the dealer by telephone or telefax. The employees of the debts

management department of VWL are authorised to grant justifiable payment extensions though the

number of such agreements has been negligible.

Summary strengths

• Majority of lease instalments made via direct debit.

• Low default rate and stabilised recovery rates.

• Active early arrears management practices which benefit from automated workflows and

behavioural scoring that segregates arrears cases based on risk and loan size.

Back-Up Servicer: There is no back-up Servicer on the VCL Programmes. DBRS believes that VWG’s

current financial condition mitigates the risk of a possible disruption in servicing following a potential

Servicer event of default including insolvency.

Collateral Analysis Details

DBRS reviewed the historical credit performance of VWL’s originations by monthly vintage on a

cumulative net loss basis (CNL) going back to January 2002. VWL also provided data relating to

Data Quality

Servicing



S.A., Compartment 1


delinquencies back to July 2010, monthly weighted average vehicle disposal results dating back to July

2010, and portfolio stratification tables as of the January 31st

cut-off date that allowed DBRS to further

assess the portfolio.

No dedicated credit recoveries information was made available; however DBRS reviewed previous

transactions of auto lease receivables originated by VWL in order to support its analysis.

No prepayment information was made available; however in this transaction prepayment covers only the

case whereby VWL accepts that a lessee terminates the lease before its contractual term. This would

occur when VWL has obtained from the relevant car dealer that it purchases the returned vehicle and

settles its outstanding instalments including the contractual residual value payment earlier than expected.

The data received from VW Financial Services was considered to be satisfactory.

The Collateral Portfolio

At closing the issuer purchased a portfolio of expectancy rights receivables that refer to the contractual

residual value component due at maturity of lease contracts originated by Volkswagen, Audi, SEAT, Skoda

and Volkswagen Nutzfahrzeuge (commercial vehicles) dealers as agents. Under the lease contracts, the

lessees amortise the difference between the purchase price and the vehicle value at contract expiration.

The transaction consists of residual values linked predominantly to closed-end leases.

Closed-end lease contracts are based on fixed residual values based upon the contractual mileage and

term of the contract, both being guaranteed by the vehicle dealer in respect of a return of the car in

compliance with the terms of the contract, while open end lease contracts have no fixed residual values

guaranteed by the dealer and the ultimate residual value will depend upon the state of the market when

the vehicle is returned to VWL. In open end contracts the lessee is still liable for any vehicle residual value

decline, while for close end contracts (99% of the pool) it is the dealer who assumes the residual value

risk. However VWL’s put option to the dealer has not been transferred to the issuer, and nor have

payments due by the lessee for excessive mileage. As a result DBRS has focused its analysis solely on the

vehicle market value at contract expiration.

Upon termination of the lease contract, either due to its expiry or to a termination for good cause, the

legal title to the underlying vehicle is transferred to the Issuer pursuant to the purchase and servicing

agreements. However in the event of a default by the lessee, the recovery proceeds from the sale of the

underlying vehicles will be split pro-rata between the Issuer and the owner of the lease instalments.

The initial pool characteristics as of the cut-off date are shown below:

Pool Characteristic VCL Master RV Compartment 1

Outstanding Discounted Receivables Balance (€) 373,106,912

Number of Lessees

23,249

Number of Contracts 30,336

Average Discounted Balance per Contract (€)

12,299

Discount Rate

4.34%

WA Original Term (Months)

40.49

WA Remaining Term (Months) 31.42

Collateral Analysis



S.A., Compartment 1


Pool Characteristics (% Outstanding Discounted Receivables Balance):

Manufacturer

Audi 41.28%

SEAT 2.13%

Skoda 7.89%

Volkswagen 34.69%

VW Nutzfahrzeuge

Other Makes

13.84%

0.16%

New / Used / Demonstration 95.35% / 1.58% /3.07%

Closed End / Open End 98.98% / 1.02%

Top 20% 0.75%

Geographic Mix (Top 3 Regions)

North Rhine-Westphalia 21.75%

Bavaria 18.38%

Baden-Wuerttemberg 16.15%

Top 5 Industries

Manufacturing Industry 20.17%

Retail/ Wholesale 18.52%

Other services 17.04%

Public sector services 13.84%

Construction 10.71%

Eligibility Criteria

The following eligibility criteria are relevant for the transaction; VWL warrants that as of the January 31st

cut-off date (summarised):

a. The lease contracts are legally valid and binding agreements and the leased vehicles exist.

b. The Seller may sell of the expectancy rights free from rights of third parties and encumbrances.

c. The purchased expectancy rights relate to leased vehicles registered in Germany.

d. None of the lessees is an affiliate of Volkswagen AG.

e. According to VWL’s records, no terminations of the lease contracts have occurred or are pending;

f. The lease contracts are governed by the laws of Germany;

g. The Lease contracts have been entered into exclusively with corporate lessees who have their

registered office in Germany, or individuals who are resident in Germany.

h. On the initial cut-off date and on the respective additional cut-off dates at least two lease

instalments have been paid in respect of each of the transferred lease contracts.

i. The lease Contracts require equal monthly payments to be made within 12-60 months of the date

of origination of the contract.

j. No more than 5 per cent of the leased vehicles are non-Volkswagen, Audi, SEAT, Skoda or

Volkswagen Nutzfahrzeuge (commercial) vehicles.

k. For the lease contracts which are subject to the provisions of the German Civil Code on consumer

financing, none of the lessees has used its right of revocation within the term of revocation.

l. According to VWL’s records, no insolvency proceedings have been initiated against any of the

lessees during the term of the lease contracts.

m. None of the Additional Lease Contracts will mature later than one year prior to the latest occurring

legal maturity date under any of the Notes.



S.A., Compartment 1


n. The discounted expectancy right balance of a leased vehicle does not account for more than 65%

of the discounted total value of the relevant lease contract.

o. The residual value of a single leased vehicle is not more than EUR 80,000.

p. With regard to the initial portfolio and during the revolving period, the assets cannot exceed the

following concentration limits: (i) no more than 6% of the discount balance is related to used

vehicles, (ii) no more than 22% of the discounted balance is related to Volkswagen Nutzfahrzeuge

(commercial) vehicles.

Historical Performance

Credit losses

The charts below show delinquency and loss data for VWL’s total portfolio from January 2010, further

data was received from VWL that provided an insight into individual and fleet customer delinquency

levels where delinquencies greater than 30 days were marginally higher for the fleet segment:

VWL Portfolio 30+ Delinquencies by Customer Type VWL Delinquencies by Delinquency Bucket

DBRS observed that individual lessees exhibited lower and more stable delinquency levels over the

reported period, whilst overall delinquencies have fallen with slight increases noticed in 2013. As at

October 2013, receivables of fleet customers represented 51% of the portfolio. The mix of the two

subsets from February 2011 has remained stable and is shown below.

Lease agreements may be terminated after 53 days of non-payment. This is the earliest point in time

where VWL has the right to terminate a contract. However, VWL may delay termination based upon

payment arrangements agreed with the client if there are opportunities for the contract to be brought up-

to-date. The graph below outlines VWL’s annualised dynamic default rate, where overall a stable trend is

shown with recent improvements noted in 2013. VWL has confirmed that the July 2011 peak related to an

operational event that artificially inflated defaults for that particular month only.

Lessee Mix Annualised Dynamic Default Rate

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

De

c-0

8

Ap

r-0

9

Au

g-0

9

De

c-0

9

Ap

r-1

0

Au

g-1

0

De

c-1

0

Ap

r-1

1

Au

g-1

1

De

c-1

1

Ap

r-1

2

Au

g-1

2

De

c-1

2

Ap

r-1

3

Au

g-1

3

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

Jan

-10

Ap

r-1

0

Jul-

10

Oct-

10

Jan

-11

Ap

r-1

1

Jul-

11

Oct-

11

Jan

-12

Ap

r-1

2

Jul-

12

Oct-

12

Jan

-13

Ap

r-1

3

Jul-

13

Oct-

13

>30 Del. Retail >30 Del. Fleet >30 Del. Total

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

Jan

-10

Ap

r-1

0

Jul-

10

Oct

-10

Jan

-11

Ap

r-1

1

Jul-

11

Oct

-11

Jan

-12

Ap

r-1

2

Jul-

12

Oct

-12

Jan

-13

Ap

r-1

3

Jul-

13

Oct

-13

31-60 Del. 61-90 Del. 91+ Del.

€1.0bn

€1.5bn

€2.0bn

€2.5bn

€3.0bn

€3.5bn

Fe

b-1

1

Ap

r-11

Jun

-11

Au

g-1

1

Oct-1

1

De

c-11

Fe

b-1

2

Ap

r-12

Jun

-12

Au

g-1

2

Oct-1

2

De

c-12

Fe

b-1

3

Ap

r-13

Jun

-13

Au

g-1

3

Oct-1

3

Total Fleet Balances Total Individual Balances



S.A., Compartment 1


Residual Value Losses

DBRS was not provided with a loan by loan comparison of contractual residual values to the actual resale

price of the corresponding vehicles, or a line by line description of the securitised RVs in order to obtain a

third party valuation of the collateral. VWL provided DBRS with data showing average gross monthly

vehicle disposal results from September 2010 to June 2013 in percentage of contractual RV. The chart

shows a consistent improvement in disposal results from an 8.7% of contractual RV loss in January 2012

to a 14% profit in September 2013. However, DBRS has been advised that this trend is unlikely to continue

since VWL’s strategy with regard to contractual residual values is to calibrate them in order to set the

lowest possible monthly instalments without incurring a loss on the vehicle at contract maturity.

Transaction Structure

The transaction structure is outlined below.

Noteholder

VCL Master Notes

VW Leasing

Originator/Servicer

Security Trustee

Swap Counterparties

VCL Master Notes

Expectancy Rights

Trustee

Swap Counterparties

VCL Master RV Notes

Noteholders VCL

Master RV C1 Notes

Lessees

VC

L Ma

ster N

ote

s V

CL M

aste

r RV

No

tes

Purchase Price VCL

Master Notes Notes Interest and principal

VCL Master Notes

Conditional Retransfer of title to Lease Vehicles creating Expectancy Rights

Lease Receivables + Security

Title to Leased Vehicles &

Other Lease Collateral Lease Receivables

Purchase price

Expectancy Rights

Purchase price

Final Payment

VCL Master S.A.

Compartment 1

VCL Master Residual

Value S.A.

Compartment 1

Notes Interest and principal

Notes Lease Contracts

Lease Receivables + Security

Title to Leased Vehicles &

Other Lease Collateral

Purchase Price Notes

Expectancy Rights to Leased Vehicles

Final Payment

Receivables



S.A., Compartment 1


The receivables are discounted at a fixed rate of 4.34% equal to the transaction senior costs, plus the

weighted average cost of the fixed interest payments under the swaps, plus a 200bp buffer to account for

possible increases in the swap rates should the revolving period be extended. During the revolving period

the Issuer may acquire further receivables discounting them at the 4.34% discount rate, increased by an

additional 7% haircut until the overcollateralisation of the Notes calculated as the excess of assets over

outstanding Notes has increased to 49%.

As the underlying assets are discounted at a fixed rate and the Notes are floating rate, the transaction

benefits from an interest rate swap whereby the Issuer pays a fixed rate to the swap counterparties and

receives a floating rate to mitigate interest rate risk. Repayment of the Notes is secured by realisation

proceeds with respect to the underlying expectancy rights receivables, which need to be transferred by

the Servicer to the Issuer’s account within one business day.

Priority of Payments

Funds available to the Issuer are mainly determined by:

a) The Expectancy Rights Realisation Amount, meaning the vehicle sale proceeds at contract

maturity or, in case of a lessee default, a pro-rata share of the proceeds from the sale of the

leased vehicle equal to the contractual residual value share of the lease agreement;

b) Servicer Advances;

c) Investment earnings from the Issuer accounts;

d) Net swap receipts from the swap agreements; and

e) Drawings from the Cash Collateral Account.

Other sources of funds include a German Trade Tax Risk Reserve to be funded by VWL to cover the risk

that German tax authorities deem the interest paid by the Issuer to be taxable in Germany, and the

amounts credited to the compartment accumulation account once the transactions enters amortisation.

The transaction benefits from a single combined waterfall, where distributions stemming from the

Available Distribution Amount will be made in the following order of priority (summarised):

1. Transaction senior costs.

2. Payments to the Swap counterparties in respect of Net Swap Payments and Swap Termination

Payments (except Swap Termination Payments if the Swap counterparties is the defaulting party).

3. Interest on the Compartment 1 Class A Notes.

4. Replenishment of the Cash Collateral Account to its required level.

5. Upon a German Trade tax Event, payments to the Cash Collateral Account in order to credit the

Trade Tax Risk Reserve to its required level.

6. Pro-rata to the total Note balance and pari-passu:

a. principal amortisation amounts of series of Notes that have entered amortisation; and

b. payments to the compartment accumulation account to be used for additional collateral

purchases in relation to revolving series of Notes.

7. Any additional payments to the swap counterparties.

8. Interest to the subordinated loan.

9. Redemption of the subordinated loan once the 52% target OC level has been reached.

10. Balance to VWL.

Source of Available Funds

Priority of Payments



S.A., Compartment 1


The transaction initial overcollateralization (OC) calculated as the assets excess over outstanding Notes is

42%, while the target OC is increased to 49% during the revolving period. Once the Notes amortisation

begins principal payments are allocated sequentially. Once a target OC level of 52% is reached, principal

will be allocated pro-rata to repay the Notes and the subordinated loan lender.

Early Amortisation Events

Upon one of the following early amortisation events, the early amortisation and sequential payment of

the Notes will be initiated:

a) The occurrence of a Foreclosure Event as defined in the Trust Agreement;

b) The amounts deposited in the Accumulation Account on three consecutive payment dates

exceed 10% of the aggregate collateral balance;

c) Termination of the swap agreement with no replacement or failure by the respective swap

counterparty to post collateral;

d) On any payment date falling six months following the Issue Date, the Class A Notes OC is lower

than 42%;

e) Failure by the Seller to pay a put option repurchase price to the Issuer on a respective vehicle

repurchase date;

f) The Cash Collateral Account balance falls below a specified amount;

g) The occurrence Servicer termination event or a VWL insolvency event;

h) The cumulative net loss ratio of the discounted lease receivables balance (instalments and RV

payment) exceeds any of the following triggers:

Weighted-average seasoning is <=12 months 0.45%,

Weighted-average seasoning is >12 and <=24 months 1.20%,


Weighted-average seasoning is >36 months 2.25%;

i) The dynamic net loss ratio of the total discounted lease receivables balance (instalments and RV

payment) exceeds any of the following triggers for three consecutive months:

Weighted-average seasoning is <=12 months 0.40%,



Weighted-average seasoning is >36 months 2.80%; or

j) The late delinquency ratio, calculated as the percentage of total discounted lease receivables

balance with six or more overdue instalments exceeds any of the following triggers:

Prior to 25 September 2014 1.75%,

After 25 September 2014 3.00%.

Enforcement Events

An Enforcement Event will be recognised if an enforcement notice is served upon the Issuer by the

Security Trustee following a request by 2/3 of the Noteholders excluding VW Bank and its affiliates.

Following an Enforcement Event, distributions from the Available Distribution Amount will be made in the

following Order of Priority (summarised):

1. Transaction senior costs;

2. Payments to the Swap counterparties in respect of Net Swap Payments and Swap Termination

Payments (except Swap Termination Payments if the Swap counterparties is the defaulting party);

3. Interest on the Compartment 1 Class A Notes;

4. Pro-rata to the total Note balance and pari-passu principal amortisation amounts of all the series

of Notes that have entered amortisation;

5. Any additional payments to the swap counterparties;

6. Upon an insolvency of VWL transfer all remaining funds to be used as Available Distrubution

amount on the following payment date until all series of Notes are redeemed in full;

7. Interest to the subordinated loan;

8. Redemption of the subordinated loan; and

9. Balance to VWL.



S.A., Compartment 1


The Cash Collateral Account holds funds for two distinct purposes. The General Cash Collateral Amount

represents all funds held within the Cash Collateral Account except those identified as part of the German

Trade Tax Risk Reserve. The German Trade Tax Risk Reserve is funded upon the occurrence of a German

Trade Tax Event that is dependent on whether the Issuer is deemed to be subject to German trade tax.

On the Issue Date the Cash Collateral Account was funded by VWL for an amount of corresponding to

3.00% of the maximum expectancy rights balance, or maximum portfolio balance, and is available to cover

any liquidity shortfalls during the life of the transaction whilst becoming available on the final payment

date for the repayment of the outstanding Notes.

Provided that no early amortisation event has occurred, the General Cash Collateral account has to be

equal to:

(i) 5.18% of the nominal amount of the Notes then outstanding prior to September 25th

2014;

(ii) after September 25th

2014, the greater of:

(i) 4.32%; and

(ii) following the end of the revolving period, 2.5% of the maximum expectancy right

balance.

In each case plus any additional amount calculated by the Servicer and as required to cover any shortfall

in any interest payment of the Notes.

Following the occurrence of any early amortisation event, the General Cash Collateral Account needs to

be equal to the greater of:

(i) 5.18% of the nominal amount of the Notes then outstanding; and

(ii) 2.5% of the maximum discounted expectancy right balance.

In each case plus any additional amount calculated by the Servicer and as required to cover any shortfall

in any interest payment of the Notes.

The discounted receivables pay a fixed interest rate and the Rated Notes pay 1-mo Euribor plus fixed

margins; hence the Transaction envisages a hedging structure in order to protect the Issuer against

fluctuation of the floating interest rate index.

The hedging is achieved through interest rate swaps (IRS) with notional corresponding to the actual

outstanding principal of the Class A. Under the IRS contracts the Issuer pays a fixed rate of 0.85% in

exchange for 1-mo Euribor +0.55% payable under the Class A Notes which is paid by the Swap

Counterparties. The above mentioned structure provides protection against interest rate fluctuations, but

does not provide credit enhancement to the Transaction.

The interest rate swaps envisage downgrade provisions with respect to the Swap Counterparties

consistent with DBRS criteria.

Cash Flow Analysis

The DBRS cash flow model assumptions focused on the amount and timing of defaults and recoveries,

prepayment speeds, interest rates, and residual value losses on vehicles not repurchased by VWL. Based

on a combination of these assumptions, a total of 12 cash flow scenarios were applied to test the

performance of the Class A Notes based on a combination of three credit loss distribution scenarios, two

interest rate scenarios, and a residual value haircut.

Hedging Agreement

Cash Collateral Account



S.A., Compartment 1


Excess Spread and Liquidity Risk

At closing the transaction benefits from a theoretical excess spread of around 2.00% calculated as the

difference between the receivables discount rate (4.34%), and the sum of the weighted average

Compartment liabilities (1.31%) and the Compartment senior costs (1.03%). However, although the

expectancy rights are discounted at a rate of 4.34%, the portfolio is comprised solely of rights to receive

payment of the future contractual RVs and the discounted interests are only paid to the trust once the

contracts mature and the vehicles are sold. Since almost 72.5% of the discounted receivables mature

between August 2015 and July 2016, the amortisation profile of the portfolio is quite concentrated and

back-loaded. However the Cash Collateral Account has been sized to cover over twelve months of senior

costs and net swap payments in order to ensure timely Note interest payments. DBRS has also assumed

stressed senior costs (including servicing fee) of 1.30%, from their initial level of 1.03%, an increase

deemed sufficient to attract a replacement Servicer.

Credit Losses

DBRS reviewed the historical performance of VWL originations by monthly vintage on a cumulative net

loss basis (CNL) going back to January 2002. Given the volume of data, this information is portrayed on an

annual basis below.

DBRS observed that the 2002 to 2004 vintages displayed a weaker CNL performance compared to those

after 2005. However, while many lenders experienced deterioration during the recent global economic

downturn, VWL’s underwriting criteria and credit and collections polices has resulted in consistent

performance in the post 2005 vintages with improvements observed from 2009.

VWL Cumulative Net Loss by Annual Vintage



S.A., Compartment 1


For purposes of determining a credit loss estimate for the current transaction, for vintages that were not

fully seasoned, cumulative net losses were projected using historical data relating to loss timing.

Additional information relating to recoveries and prepayments for similar collateral was available through

Servicer reports for prior VCL securitisations. DBRS weighted its analysis on vintages originated after 2006

to allow for a more relevant base case comparison which resulted in an expected cumulative net credit

loss assumption of 0.93% for the proposed portfolio.

DBRS was not provided with separate recoveries information however, based on a review of actual VCL

performance from existing transaction, recoveries were assumed to be 60% with a 4 month lag, thus

resulting in a base case gross loss of 2.33%.

DBRS then analysed cash flows that replicated the cash flows of the assets relative to the established

priority of payments in the transaction. Three different loss distributions were modelled as outlined below.

Given the short remaining tenor of the lease receivables, for cash flow modelling purposes, losses were

distributed over 24 months as follows:

Months Front Belly Back

1 to 8 50% 20% 20%

9 to 16 30% 50% 30%

17 to 24 20% 30% 50%

100% 100% 100%

Prepayment Speeds

In the context of a lease portfolio, prepayments are only contemplated in cases whereby the lessor

accepts that a lessee terminates the lease before its contractual term. Since in its ‘AAA’ scenario DBRS

assumed that VWL is insolvent, a zero prepayment rate has been assumed when modelling the

transaction.

Credit Loss Multiples

Due to the transaction’s dual exposure to credit losses and residual value losses, RV losses are only

applicable to the non-defaulted portion of the underlying receivables. In order to contemplate scenarios

maximising potential RV losses vs. credit losses, DBRS has also run cash flow scenarios with a zero credit

loss multiple on top of running scenarios with a standard ‘AAA’ credit loss multiple.

Residual Value Handback Rate

Due to the fact that neither VWL’s put option to the dealer or the fund’s put option to VWL have been

taken into account by DBRS in its ‘AAA’ scenario, a 100% vehicle handback rate has been assumed.

Residual Value Haircut Calculation

In order to establish a portfolio embedded residual value assumption, DBRS received monthly data on

VWL’s disposal results before costs from September 2010 to September 2013 (see Historical Performance

section). Residual value losses are also a function of the used vehicle market at the time of handback. To

determine potential price volatility in the German used vehicle market, DBRS examined historical used

vehicle sales data from external data providers since January 2007. This data looked at the market as a

whole for 3-year / 90,000km second-hand vehicles, which is deemed to be a good proxy of the past

volatility of the securitised residual values since (a) with their granularity, different bands and broad

coverage of segments and models, VW securitised pools are fairly representative of the German auto

market as a whole; and (b) 3 years and 90,000 Km reflect the average contract maturity and mileage of

the securitised vehicles at contract expiry. Based upon this data, DBRS has assumed a ‘AAA’ residual value

stressed haircut equal to approximately 43% of the vehicles contractual residual value.



S.A., Compartment 1


Interest Rate Stresses

The assumed interest rate stresses have been determined in accordance with the DBRS Unified Interest

Rate Model Methodology.

Summary of Cash Flow Analysis

Based upon the results of the cash flow modelling, the loss protection afforded to the Class A Notes is

consistent with the assigned rating of AAA (sf).

Sensitivity Analysis

DBRS expects a lifetime base case loss rate and residual value loss for the rated pool based on a review of

historical data. Adverse changes to asset performance may cause stresses to base case assumptions and

therefore have a negative effect on credit ratings. The table below illustrates the sensitivity of the rating

to various changes in the base case default rates and RV loss assumptions relative to the key base case

assumptions used by DBRS in assigning the rating.

Class A

Increase in Default Rate %

Incr

ea

se i

n R

V

Loss

%

0 25 50

0 AAA AAA AAA

25 AAA AAA AAA

50 A (High) A (High) A (High)

Legal Structure

The Class A and Subordinated Loan Swap Agreements are governed under English law while the other

transaction documents are subject to German law. The Issuer has expressly elected in its Articles of

Incorporation to be governed by Luxembourg Securitisation Law.

Under the Lease Receivables Purchase Agreement, the Issuer has purchased from VWL the lease

receivables and in the case of fully securitized receivables, certain expectancy rights.

The transaction counsel rendered opinions with respect to (a) corporate good standing of Originator,

Issuer and Management Company, (b) enforceability of documents against Originator and Issuer, (c) “True

Sale” of assets from Originator to Issuer and (d) tax regime of the Issuer and the Notes.

Upon an insolvency of the originator, the lessees or dealers may invoke the right to set-off the amount

they owe to the originator at any given time, by any amounts due and payable to them by VWL.

Pursuant to the Expectancy Rights Purchase Agreement, the Issuer will be the legal owner of the leased

vehicles at contract maturity and the Expectancy Rights Trustee will hold and administrate such legal title

on behalf of the Issuer, thus preventing any set-off risk over the securitised expectancy rights receivables.

Law(s) Impacting Transaction

Set-Off Risk



S.A., Compartment 1


Transaction Counterparty Risk

VWL is the Seller and will also service the receivables in accordance with its customary practices and, as

compensation, will receive a servicing fee of 1.00% of the aggregate discounted outstanding receivables

balance. The Servicer will pay all expenses incurred by it in connection with its collection activities and will

not be entitled to reimbursement of those expenses except for any auction or refurbishment expenses

with respect to the leased vehicles. The Servicer will also be entitled to retain any late fees or other

administrative fees and is entitled to investment earnings on the Cash Collateral Account and Distribution

Account.

Prior to an insolvency of VWL, the Issuer will exercise its right to sell the vehicles to VWL for the contractual

residual value at contract maturity. Since the transfer of title to the relevant leased vehicle is subject to full

and final payment of the relevant purchase price, there is no commingling risk for scheduled residual value

payments.

With regard to recovery proceeds in relation to defaulted lease contracts, the Servicer is under the

obligation to transfer the Issuer’s pro-rata share of such proceeds on the business day following receipt of

such proceeds, thus minimising any commingling risk.

The Swap counterparties are Royal Bank of Canada (AA / R-1H / Stable) for the Class A 2014-1 series of

Notes, and Skandinaviska Enskilda Banken AB (AA (low) / R-1M / Negative) for the Class A 2014-2 series of

Notes. Under the terms of the swap agreements, on a monthly basis the Issuer will remit a fixed interest

rate to the swap counterparty and will receive a floating rate that consists of 1-Month Euribor plus the

applicable spread. The DBRS rating of the swap counterparties is consistent with DBRS derivative

counterparties criteria and the swap agreements contain downgrade provisions relating to the swap

counterparties.

The Cash Collateral Account, Distribution Account, Accumulation Account, and Counterparty Downgrade

Collateral Account are held by the Bank of New York Mellon, Frankfurt Branch. The Bank of New York

Mellon, Frankfurt Branch is rated AA (low) / R-1M / Stable by DBRS and, as such, the bank meets DBRS

minimum criteria for account banks. The transaction contains downgrade provisions relating to the

account bank consistent with DBRS criteria.

Methodologies Applied

The following are the primary methodologies DBRS applied to assign a rating to the above referenced

transaction, which can be found on www.dbrs.com under the heading Methodologies.

• Legal Criteria for European Structured Finance Transactions.

• Rating European Consumer and Commercial Asset-Backed Securitisations.

• Operational Risk Assessment for European Structured Finance Servicers.

• Unified Interest Rate Model for European Securitisations.

• Derivative Criteria for European Structured Finance Transactions.

Originator/Servicer

Commingling Risk

Swap Counterparties

Bank Accounts



S.A., Compartment 1


Monitoring and Surveillance

The transaction will be monitored DBRS in accordance with its Master European Structured Finance

Surveillance Methodology available at www.DBRS.com.



S.A., Compartment 1


Note:

All figures are in Euro unless otherwise noted.

This report is based on information as of February 2014, unless otherwise noted. Subsequent information may result in

material changes to the rating assigned herein and/or the contents of this report.

Copyright © 2014, DBRS Limited, DBRS, Inc. and DBRS Ratings Limited (collectively, DBRS). All rights reserved. The

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