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Auto ABS Securitizations Class A Notes

VCL MULTI-COMPARTMENT S.A. Compartment VCL 24

Rating History

Rating Watch Outlook Erstellung Veröffentlichung Max. Gültig Bis
n.r. 24.06.2019 25.06.2019 25.06.2019
AAAsf Outlook STA 22.11.2018 23.11.2018 21.08.2022
AAAsf Outlook STA 10.08.2018 14.08.2018 21.08.2022
AAAsf Watch UNW 26.07.2018 02.08.2018 21.08.2022
AAAsf 23.11.2017 27.11.2017 21.08.2022
AAAsf 01.09.2017 15.09.2017 21.08.2022

News

  • 25.06.2019
    Creditreform Rating has withdrawn the ratings of the Class A Notes and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24). The rating action reflects the full redemption of the Class A Notes and B Notes as of 21 June 2019.

    Before the payment in full the remaining balances and ratings were as follows:

    EUR Floating Rate Asset Backed Class A notes (EUR 118,536,818.75): AAAsf / stable

    EUR Floating Rate Asset Backed Class B notes (EUR 6,416,427.43): AA+sf / stable
  • 23.11.2018
    Creditreform Rating (CRA) has confirmed the ratings of the Class A Notes and upgraded the ratings of the Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24) as follows:

    EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 271,240,522.00)

    EUR Floating Rate Asset Backed Class B notes with a current rating of AA+sf (from AAsf) / stable (current outstanding amount: EUR 14,682,460.80)

    The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL).

    Closing of VCL 24 took place in November 2016. As of November 2018 the outstanding discounted balance amounts to EUR 309m with a share of 0.55% of the outstanding discounted balance being delinquent two months or more. The cumulative net loss ratio is 0.14% of the initial discounted receivables balance. Currently, the Class A and B Notes represent 87.75% and 4.75% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (3.51%), overcollateralization (3.99%), and a cash reserve amounting to 4.04% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.40% to 16.29%, while the credit enhancement level of the Class B Notes increased from 5.10% to 11.54%.

    The rating actions have taken into account the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performance as of the end of October 2018, including a low level of the cumulative net loss ratio.
  • 14.08.2018
    Creditreform Rating (CRA) has reviewed the ratings of the Class A and B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24) due to changes in the methodologies "Rating Methodology Auto ABS Securitizations" and "Technical Documentation Portfolio Loss Distributions" and in accordance with regulatory requirements. CRA removes the (watch) status and confirms the rating of the Class A Notes and upgrades the rating of the Class B Notes of VCL 24, as follows:


    EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 394,379,989.50)

    EUR Floating Rate Asset Backed Class B notes with a current rating of AAsf (from AA-sf) / stable (current outstanding amount: EUR 21,348,119.03)


    The transaction is a securitisation of German auto lease receivables with closing in November 2016, originated by Volkswagen Leasing GmbH (VWL). As of July 2018 the outstanding discounted balance amounts to EUR 449m with a share of 0.55% of the outstanding discounted balance being delinquent over two months. The cumulative net loss ratio is 0.06% of the initial discounted receivables balance.

    Currently, the Class A and B Notes represent 87.75% and 4.75% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (4.72%), overcollateralization (2.78%), and a cash reserve of currently 2.78% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.40% to 15.03%, while the credit enhancement level of the Class B Notes increased from 5.10% to 10.28%.

    The rating actions take into account the changes in the methodologies "Rating Methodology Auto ABS Securitizations" and "Technical Documentation Portfolio Loss Distributions" as of July 30 2018, the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performance as of the end of July 2018, including a low level of the cumulative net loss ratio.
  • 02.08.2018
    Creditreform Rating has set the ratings of the Class A and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24), to (watch) and is going to review the ratings due to a methodology change and in accordance with regulatory requirements. The review is open-ended.

    EUR Floating Rate Asset Backed notes:

    Class A AAAsf (watch)
    Class B AA-sf (watch)
  • 27.11.2017
    Creditreform Rating (CRA) confirms the rating of the Class A Notes and upgraded the rating of the Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24), as follows:


    EUR Floating Rate Asset Backed notes:

    Class Outstanding Amount Rating

    Class A 682,884,284 AAAsf

    Class B 28,700,000 AA-sf (from A+sf)


    The transaction is a securitisation of German auto lease receivables with closing in November 2016, originated by Volkswagen Leasing GmbH (VWL). As of November 2017 the outstanding discounted balance amounts to EUR 760m with an share of 0.3% of the outstanding discounted balance being delinquent over two months. The cumulative net loss ratio is 0.02% of the initial discounted receivables balance.

    Currently, the Class A and B Notes represent 89.84% and 3.78% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (4.50%), overcollateralization (1.88%), and a cash reserve of currently 1.64% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.40% to 11.80%, while the credit enhancement level of the Class B Notes increased from 5.10% to 8.03%.

    The rating actions taking into account the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performance as of the end of October 2017, including a low level of the cumulative net loss ratio.
    .
  • 15.09.2017
    Creditreform Rating (CRA) has assigned ratings to the Class A and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 24 (VCL 24), as follows:

    EUR Floating Rate Asset Backed notes:

    Class Amount Rating

    Class A 1,172,500,000 AAAsf

    Class B 28,700,000 A+sf

    The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL). To size the credit risk of the portfolio and derive base case assumptions about loss rates and expected recovery performance, Creditreform Rating used data provided by VWL as well as internal data bases. VCL 24 is a static pool and securitises only the finance portion of the leases; residual values are not securitized by the Issuer. A combination of subordinated loan, overcollateralization and a cash reserve will provide credit enhancement to the rated Class A Notes (7.40%) and Class B Notes (5.10%).

    VWL will credit to the Cash Collateral Account certain amounts which will be available to mitigate commingling risks, trade tax and VAT tax risks, and cover the Issuer´s exposure to VWL.

    Downgrade collateral and replacement provisions mitigate counterparty risk exposures with respect to the Swap counterparty and Account Bank. Risks related to the Issuer are limited, the compartment structure being ringfenced and with limited recourse to other creditors of the Issuer.

    In order to assess the portfolio´s credit risk and to estimate base case assumptions regarding loss rates and expected recovery performance, Creditreform Rating used data provided by VWL as well as internal data-bases. Following the analysis of historical data, CRA set the base case gross loss rate at 2.29% and the base case recovery rate at 65%.

    The CRA Portfolio and Benchmark Analysis showed an overall low portfolio credit risk. However, Creditreform Rating decided to maintain a conservative approach in selecting the appropriate base case. Thus, the scenario-specific stress multiples were set at x4.65 and x3.68 in an AAAsf and A+sf scenario, respectively.

    Moreover, CRA set recovery haircuts at 46.0% (AAAsf) and 36.9% (A+sf), taking into account transaction-specific features such as observed volatility and established recovery procedures as well as potential market value risks caused by the manipulation of EA189 diesel emissions. This resulted in total expected net losses of 6.90% (AAAsf) and 4.96% (A+sf). These scenario-specific assumptions were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL Master and to test the transactions´ ability of paying interest and ultimate payment principal at final maturity.