Information Date: 17.08.2011 Period: 07.2011 Period No.: 42 Deal Name: DRIVER FIVE Issuer: DRIVER FIVE GmbH Steinweg 3-5 60313 Frankfurt am Main Federal Republic of Germany fax +49 (0) 69/ 2992-5387 Seller of the Receivables: Volkswagen Bank GmbH Servicer Name: Volkswagen Bank GmbH Reporting Entity: Volkswagen Bank GmbH ABS Operations Dep. F-RWABO Gifhorner Straße 57 38112 Braunschweig Federal Republic of Germany Contact: phone +49 (0) 531 212 9205 fax: +49 (0) 531/ 212 77540 [email protected]Administrator: Wilmington Trust SP Services (Frankfurt) GmbH Steinweg 3-5 60313 Frankfurt am Main Federal Republic of Germany fax +49 (0) 69/ 2992-5387 IMPORTANT NOTICE to Investors: Pursuant to clause 6.3 of the LOAN RECEIVABLES PURCHASE AGREEMENT, VW Bank GMBH intends to exercise the Clean Up Call Option effective with payment date 21st of September 2011. Volkswagen Bank GmbH Gifhorner Str. 57 38112 Braunschweig Tel. +49 531 212 - 9205 Fax. +49 531 212 - 77540 [email protected]Page 1/ 26
Transcript
Information Date: 17.08.2011Period: 07.2011
Period No.: 42
Deal Name: DRIVER FIVE
Issuer: DRIVER FIVE GmbHSteinweg 3-560313 Frankfurt am MainFederal Republic of Germanyfax +49 (0) 69/ 2992-5387
Seller of the Receivables: Volkswagen Bank GmbH
Servicer Name: Volkswagen Bank GmbH
Reporting Entity: Volkswagen Bank GmbHABS OperationsDep. F-RWABOGifhorner Straße 5738112 BraunschweigFederal Republic of Germany
Set Off Risk The downgrade of VW Bank's long-term rating to below BBB- by Fitch and/or Baa3 by Moody's and/or VW Bank's short-term rating to below A-2 by S&P or, if VW Bank isnot the subject of an S&P's short-term rating, VW Bank's long-term rating from S&P is lower than BBB+, will result in a Set Off risk reserve being established if deposits by borrowers are greater than 1% of the Aggregate Discounted Principal Balance.
Downgrade of VW Bank's short-term rating to F3 by Fitch will result in an increase by 0.17% of the Cash Collateral Account of the Aggregate Discounted Principal Balance, which is exclusively reserved to cover any VAT burden in case a replacement servicer is appointed.
18 Finsbury Circus
6 Broad Street PlaceLondon EC2M 7JHUnited Kingdom
Moody's FitchRating of Volkswagen Bank GmbH
and Volkswagen AGRating
S & P
Wilmington Trust (London) Ltd.5th Floor
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 5/26
Information Date: 17.08.2011Period: 07.2011
Period No.: 42
Information regarding the Notes I.
Rating Details: Class A Class B
Rating at Isue DateFitch AAA A
Moody's Aaa A1
Standard & Poors AAA A+
Current RatingFitch AAA AA
Moody's Aaa A1
Standard & Poors AAA AA-
Information on Notes Class A Class B
Original Maturity Date: Feb 2014 Feb 2014
Original Repayment Date: Feb 2013 Feb 2013
ISIN: XS0342510616 XS0342511341
Common Code: 034251061 034251134
Nominal Amount: 50,000 50,000
Information on Interest Class A Class B
Spread/Margin: 58 bps. 140 bps.
Index Rate: 1-Month Euribor 1-Month Euribor
Fixed/ Floating: floating floating
Current Coupon: 1-M-Euribor + 58 bps. 1-M-Euribor + 140 bps.
Day Count Convention actual/ 360 actual/ 360
Clean-Up Call
VW Bank will have the right at its option to exercise a clean-up call and to repurchase the Loan Receivables from Driver Five at any time when the sum of the Discounted Principal Balance for all loan contracts is less than 9% of the sum of the Discounted Principal Balance for all Loan contracts as of the Cut Off Date, provided that all payment obligations under the Notes will be thereby fulfilled.
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 6/26
Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
Information regarding the Notes II.
Monthly Period: July 11
Payment Date: 22.08.2011
Interest Accrual Period (from/until): 21.07.2011 21.08.2011
Days Accrued: 32
Base Interest Rate (1-Month Euribor): 1,4700%
Currency: EUR
Day Count Convention: ACT/360
Interest Payments Class A Class B
Total Interests Amount of the Reporting Period 242.840,00 € 14.580,54 €
Paid interest: 242.840,00 €- 14.580,54 €-
Unpaid Interest:
Unpaid interest of the Reporting Period: - € - €
Cumulative unpaid interest: - € - €
Note Balance Class A Class B
Note Balance (Cut Off Date): 1.214.200.000,00 € 40.300.000,00 €
Note Balance (Beginning of Period): 133.228.580,68 € 5.715.934,38 €Unallocated Redemption Amount from Previous Period
144,06 €
Available Redemtion Amount Reporting Period
24.279.636,38 €
Total Available Redemtion Amount
24.279.780,44 €
Redemption Amount per Class -24.279.628,88 € 0,00 €
Unallocated Redemption Amount from current Period 0,00 € 151,56 €
Note Balance (End of Period): 108.948.951,80 € 5.715.934,38 €
Payments to Investors - Per Euro 50.000,- Denomination Class A Class B
Interest (1-M-Euribor + 0,58% Class A/ + 1,40% Class B) -10,00 € -18,09 €
Principal Repayment by Note: -999,82 € 0,00 €
Note Factor: 0,089729 0,141835
Overcollateralisation Class A Class B
Initial OC Percentage at Poolcut 6,6004% 3,5004%
Current OC Percentage 10,8648% 6,1884%
Target OC Percentage 9,1000% 5,2000%
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 7/26
Information Date: 17.08.2011Period: 07.2011
Period No.: 42
Credit Enhancement
Credit Enhancement as of Cut Off Date
% of Aggregate Discounted
Principal BalanceValue
Class B Note* 3,10% 40.300.000,00 €
Subordinated Loan 2,60% 33.800.000,00 €
Overcollateralization 0,90% 11.705.157,84 €
Cash Collateral Account 1,50% 19.500.077,37 €
* for subordination to class A note
Cash Collateral Account (CCA) in EUR
Initial Balance at Poolcut 19.500.077,37 € 1,50% Poolcut
Balance as of the Beginning of the Period 16.250.000,00 € 11,09% Period
Payment from CCA/ Payment to CCA 0,00 € - -
Balance as of the End of the Period 16.250.000,00 € 13,29% Period
Calculation of Credit Enhancement:
in % of Outstanding Discounted Balance as of
Driver Five´s Credit Enhancement consists of the items listed above calculated on the initial Discounted Principal Balance as of the Cut Off day. The result provides an absolute value which will be applied to the (amortized) Discounted Principal Balance as of the end of the monthly period. This process is continuing until a Credit enhancement of 9,10% of class A (5,20% of Class B) has been reached.
The Class B Notes benefit from the Subordinated Loan, the Overcollateralisation and the Cash Collateral Account.
● The transaction starts with sequential amortisation and therefore initially only the Class A Notes will receive principal payments
● The transaction switches into pro rata amortisation once an overcollateralisation percentage (i.e. credit enhancement excluding cash collateral) of 9,10% for the Class A Notes and 5,20% for the Class B Notes has been reached
● The amortisation will revert to sequential in case the total amount of notes outstanding falls below 10% of the initial notes outstanding
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 8/26
Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
Swap/ Waterfall
Amortising Interest Rate Swap Class A Class BInitial Principal 1.214.200.000,00 € 40.300.000,00 €
133.228.580,68 € 5.715.934,38 €
Paying LegReceiving Leg
Net Swap payments/ Receipts - 230.633,48 € - 9.596,42 €
Waterfall
Payment Remaining Amount
Remaining Balance from Previous Period 144,06 €
Available Distribution Amount plus 24.899.425,10 € 24.899.569,16 €
Fees less 122.138,28 €- 24.777.430,88 €
Net Swap Payments Class A less 230.633,48 €- 24.546.797,40 €
Net Swap Payments Class B less 9.596,42 €- 24.537.200,98 €
Interest Class A less 242.840,00 €- 24.294.360,98 €
Interest Class B less 14.580,54 €- 24.279.780,44 €
Payment to Cash Collateral Account less - € 24.279.780,44 €
Redemption Class A less 24.279.628,88 €- 151,56 €
Redemption Class B less - € 151,56 €
Remaining Amount Due to Rounding less 151,56 €- - €
Other Payments to Swap Counterparties less - € - €
Interest Subordinated Loan less - € - €
Payment to Subordinated Lender or VW Bank less - € - €
Payment from Cash Collateral Account - € - €
Payment to Subordinated Lender or VW Bank less - € - €
Underlying Principal for Reporting Period
Fix Interest RateFloating Interest Rate
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 9/26
Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
Run Out Schedule
At the End of Previous Reporting Period 30.06.2011 At the end of Reporting Period 31.07.2011
Total 146.565.940,59 € 2.664.222,59 € 149.230.163,17 € Total 122.228.923,21 € 2.024.567,80 € 124.253.490,99 €
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 10/26
Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
0
100.000.000
200.000.000
300.000.000
400.000.000
500.000.000
600.000.000
700.000.000
800.000.000
900.000.000
1.000.000.000
1.100.000.000
1.200.000.000
1.300.000.000
Outstanding Balancein EUR
ReportingPeriod
Amortisation Profile Class A-Notes A-Notes
Exp. Amo. A-Notes
0
10.000.000
20.000.000
30.000.000
40.000.000
50.000.000
60.000.000
70.000.000
80.000.000
90.000.000
100.000.000
Outstanding Balancein EUR
ReportingPeriod
Amortisation Profile Class B-Notes B-Notes
Exp. Amo. B-Notes
Assuming a Clean-up Call at 9% of the initial outstanding balance, annual prepayments of 10% and 0 % defaults.
Assuming a Clean-up Call at 9% of the initial outstanding balance, annual prepayments of 10% and 0 % defaults.
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 11/26
Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
Write-Offs/ Performance Trigger
Cumulative Write OffsNumber of Contracts Write Offs
974 6.776.513,01 €
11 36.935,00 €
985 6.813.448,01 €
Cumulative Net Loss Ratio
0,5241%
Performance Triggers
OC-Percentage OC-PercentageClass A Notes Class B Notes
9,10% 5,20%
11,00% 7,00%
100,00% 100,00%
Performance Trigger
LevelsCredit Enhancement increase condition in
place?Level I a.
no
Level I b.no
Level II. no
Performance Pool vis-a-vis Triggers
Cumulative Net Loss Ratio exeeds 1.15% for any Payment Date after May 2009 but prior to or during February 2010
Cumulative Net Loss Ratio exceeds 1,60% for any Payment Date
Until a Credit Enhancement Increase condition is in place
Level I Credit Enhancement Increase condition is in place
Level II Credit Enhancement Increase condition is in place
Credit Enhancement increase condition
Begin of Period
Write Offs
End of Period
Cumulative Net Loss Ratio exceeds 0.50% for any Payment Date before or during May 2009
Cumulative Write Offs as percentage of Discounted Principal Balance as of Cut Off Date (1,300,005,157.84 €)
A Targeted Note Balance was implemented to assure on a monthly basis that no cash is paid to lower steps in the waterfall unless there is sufficient overcollateralization to support the notes.
The performance trigger in form of a credit enhancement increase condition will be activated when the cumulative Net Loss Ratio exceeds the defined limits. In this case the overcollateralization will be increased accordingly.
0,00
000,
0000
0,00
000,
0009
0,00
150,
0035
0,00
540,
0090
0,01
600,
0221
0,03
530,
040,
050,
060,
070,
090,
100,
120,
140,
160,
180,
200,
230,
240,
260,
280,
300,
310,
320,
340,
360,
380,
390,
41 0,43
0,45
0,46
0,47
0,48
0,49
0,51
0,52
0,52
0,0000
0,5000
1,0000
1,5000
2,0000
Net LossRatio in %
Period
Cumulated Net Losses
Cumulative Net Loss Ratio Level I Level II
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 12/26
Current Set Off Risk Trigger*Borrower Deposits in % of
Aggregate Discounted Principal Balance EoP
0,6008% 1,0000%
* Breach of this trigger in conjunction with the loss of VW Bank's investment grade rating, obliges VW Bank to post additional collateral equal to the potential set-off risk which will be adjusted on a monthly basis (the "Set-Off Risk Reserve"). The Set-Off Risk Reserve shall be deposited in the Cash Collateral Account and is exclusively reserved to cover set-off risks.
0
1.000.000
2.000.000
3.000.000
4.000.000
5.000.000
6.000.000
7.000.000
8.000.000
9.000.000
10.000.000
11.000.000
12.000.000
13.000.000
14.000.000
15.000.000
in EUR
Period
Deposits vs. Outstanding Nominal Balance
Deposits Outstanding Nominal Balance
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 13/26
Information Date: 17.08.2011Period: 07.2011
Period No.: 42
Overview Outstanding Contracts
Development of Pool within Reporting PeriodNumber of contracts
AdjustmentsOutstanding Nominal Balance
Begin of Period 21.736 149.230.163,17 €
Periodically reduction of Nominal 24.976.672,18 €
Discount 54.231,33 €-
Fees for Restructuring/Prolongation 6.439,31 €
Interest in arrears 7.479,94 €
Write Off 11 36.935,00 €-
Available Collection 24.899.425,10 €
Repurchased Loan Contracts 0 - €
End of Period 18.770 124.253.490,99 €
Status of Contracts
Number of Contracts
Outstanding Discounted Principal Balance
105.358 1.300.005.157,84 €
0 - €
0 - €
0 - €
0 - €
0 - €
105.358 1.300.005.157,84 €
Number of Contracts
Outstanding Discounted Principal Balance(Begin of Period)
Number of Contracts(End of Period)
Outstanding Discounted Principal
Balance(End of Period)
20.768 139.710.898,64 € 17.796 115.462.722,69 €
441 3.720.073,83 € 440 3.582.306,58 €
527 3.134.968,12 € 534 3.183.893,94 €
48.568 - € 51.037 - €
34.080 - € 34.566 - €
974 - € 985 - €
105.358 146.565.940,59 € 105.358 122.228.923,21 €
Pool Balance at Poolcut
End of Term
Early Settlement
Write Off
Total
Status
Current
Delinquent
Defaulted
Write Off
Total
Pool Balance at the End of PeriodPool Balance at the Beginning of Period
Status
Current
Delinquent
Defaulted
End of Term
Early Settlement
Volkswagen Bank GmbHGifhorner Str. 5738112 BraunschweigTel. +49 531 212 - 9205Fax. +49 531 212 - [email protected] Page 14/26
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Information Date: 17.08.2011
Period: 07.2011
Period No.: 42
Glossary
Original Maturity Date: Original Maturity Date of each note as of the inception of the transaction (as of cut off date). Assuming a CPR of 10% and no clean up call.
Scheduled Maturity Date: Maturity Date as of the end of each reporting period. Assuming a CPR of 10% and no clean up call.
Collections: Available Distribution Amount on each payment day as described in the OC
Delinquent contract: The outstanding value of a contract which were past due more than 30 days
Defaulted contract: The outstanding value of a terminated contract
Write Off: the value of contracts which were written off as irrevocable
Discount: Reimbursement of interest which was calculated on the initial term and which was not used eg. due to a termination of a contract.
Recoveries: All money received after a termination of a contract
Net Swap Payment: Driver Five is in a paying position (negative value).
Net Swap Receipt: Driver Five is in a receiving position (positive value).
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