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Europäische Ratingagentur. Objektiv, transparent und unabhängig.

Auto Asset Backed Floating Rate Class B Notes

VCL Master Residual Value S.A., Compartment 2

Rating History

Rating Watch Outlook Erstellung Veröffentlichung Max. Gültig Bis
A+sf Outlook STA 20.05.2020 26.05.2020 25.09.2026
A+sf Outlook STA 19.03.2020 25.03.2020 25.09.2026
A+sf Outlook STA 23.09.2019 25.09.2019 25.03.2026
A+sf Outlook STA 20.12.2018 27.12.2018 25.09.2025
A+sf Outlook STA 21.09.2018 25.09.2018 25.09.2025
A+sf Outlook STA 10.08.2018 14.08.2018 25.09.2024
A+sf Watch UNW 26.07.2018 02.08.2018 25.09.2024
A+sf 21.09.2017 26.09.2017 25.09.2024

News

  • 26.05.2020
    Nach einer Aufstockung am 26. Mai 2020 bestätigt Creditreform Rating (CRA) die bestehenden Ratings aller Class A und B Notes Series und vergibt ein Rating von A+sf/stabil für die neu emittierte Notes Series B 2020-1, emittiert von der VCL Master Residual Value S.A., handelnd für und im Namen ihres Compartment 2. CRA hat auf Wunsch des Auftraggebers kein Rating für die neu emittierte Notes Series B 2020-2 vergeben. Weitere Details zu den regulatorischen Anforderungen gemäß den ESMA (Europäische Wertpapier- und Marktaufsichtsbehörde) -Guidelines 33-9-320 sind in dem unten angefügten Dokument zu finden.
  • 25.03.2020
    After the renewal of the transaction, Creditreform Rating has confirmed the ratings of the Class A and Class B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCLM RV C2), as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount): A 2015-1 (EUR 414.1m), A 2015-2 (EUR 448.7m), A 2015-3 (EUR 550.0m), A 2015-4 (EUR 496.8m), A 2015-5 (EUR 400.0m), A 2015-6 (EUR 222.6m), A 2016-1 (EUR 441.5m), A 2016-2 (EUR 50.0m), A 2016-4 (EUR 373.6m), A 2018-1 (EUR 218.1m), A 2018-2 (EUR 309.2m), A 2018-4 (EUR 100.0m), A 2018-5 (EUR 27.9m), A 2019-1 (EUR 253.4m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount): B 2015-1 (EUR 110.9m), B 2015-3 (EUR 166.4m), B 2016-3 (EUR 307.1m), B 2018-1 (EUR 52.8m), B 2018-2 (EUR 33.3m). EUR Floating Rate Asset Backed Class B notes series currently not rated (current outstanding amount): B 2016-1 (EUR 68.8m), B 2017-1 (EUR 74.4m), B 2019-1 (EUR 39.4m). VCLM RV C2 is a platform for VW Leasing GmbH (VWL) to securitise the residual value portion of German auto lease receivables. VCLM RV C2, has currently issued 14 series of Class A Notes und 8 series of Class B Notes. The legal final maturity is 25 September 2026. The transaction features a revolving period of 6 month during which the Issuer will purchase new expectancy rights for revolving series. CRA has not rated the note series B 2016-1, B 2017-1 and B 2019-1 upon request of the mandator. The compartment may from time to time issue further series of Class A and Class B Notes. VCLM RV C2 securitises only the residual value portion of the leases; finance portions of the lease contracts are not securitised by the Issuer. The securitised asset pool consists of the residual value claims of 530,144 auto lease financing contracts originated by VWL and extended to retail and corporate customers. The portfolio has a weighted average remaining term of approximately 15 months and a total volume of currently EUR 8,280,582,379.50. A combination of subordinated loan and overcollateralization will provide credit enhancement to the rated Class A notes series (current total CE 48.00%) and Class B notes (current total CE 37.70%). In addition, a cash reserve, currently amounting to 2.69% of the expectancy rights balance, is available to provide credit enhancement to the Class A and B Notes. To hedge the interest rate risk arising from a mismatch between fixed residual value and floating-rate interest payments on Class A and Class B notes, the Issuer will enter into two swap agreements to receive floating (1m Euribor + 0.57% for Class A notes and 1m Euribor + 1.20% for Class B notes floored at zero) while paying the fixed leg of each swap. The transaction is subject to the risks of obligors´ defaults and used car market values´ deterioration. CRA used data of residual value forecasts and historical data of sale proceeds to determine an expected RV loss of 37.30% and 32.07% in an AAAsf and A+sf rating scenario, respectively, taking into account a stable recovery procedure, a moderate RV setting strategy of VWL and increased market value risks. 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 databases. Following the analysis of historical data, CRA set the base case gross loss rate at 0.87% and the base case recovery rate at 65%. CRA decided to maintain a conservative approach in selecting the appropriate scenario-specific stress multiples at x7.71 and x5.29 in an AAAsf and A+sf scenario, respectively. Moreover, CRA set the recovery haircuts at 48.45% (AAAsf) and 38.81% (A+sf), taking into account transaction-specific features such as observed volatility and established recovery procedures as well as potential market value risks. This resulted in total expected net losses of 4.44% (AAAsf) and 2.76% (A+sf). These scenario-specific assumptions about residual value risk and credit risk were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCLM RV C2 and to test the transactions´ ability of paying interest and ultimate payment principal at final maturity. In order to gauge the effect of variations in default and recovery rates as well as sale proceeds on rating indications, Creditreform Rating conducted a sensitivity analysis including independent and combined stresses of the base case assumptions. The best-case scenarios of AAAsf for the Class A notes series and A+sf for the Class B notes series represent a scenario with unchanged base case assumptions. The worst-case ratings of Asf and Bsf for the Class A and B notes series, respectively, represent a scenario, where a severe 20% stress on sale proceeds is applied.
  • 25.09.2019
    After the renewal of the transaction, Creditreform Rating has assigned ratings to the Class A and Class B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCLM RV C2), as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount): A 2015-1 (EUR 414.1m), A 2015-2 (EUR 448.7m), A 2015-3 (EUR 550.0m), A 2015-4 (EUR 496.8m), A 2015-5 (EUR 400.0m), A 2015-6 (EUR 222.6m), A 2016-1 (EUR 441.5m), A 2016-2 (EUR 50.0m), A 2016-4 (EUR 373.6m), A 2018-1 (EUR 218.1m), A 2018-2 (EUR 309.2m), A 2018-4 (EUR 100.0m), A 2018-5 (EUR 27.9m), A 2019-1 (EUR 253.4m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount): B 2015-1 (EUR 110.9m), B 2015-3 (EUR 166.4m), B 2016-3 (EUR 307.1m), B 2018-1 (EUR 52.8m), B 2018-2 (EUR 33.3m). EUR Floating Rate Asset Backed Class B notes series currently not rated (current outstanding amount): B 2016-1 (EUR 68.8m), B 2017-1 (EUR 74.4m), B 2019-1 (EUR 39.4m). VCLM RV C2 is a platform for VW Leasing GmbH (VWL) to securitise the residual value portion of German auto lease receivables. VCLM RV C2, has currently issued 14 series of asset backed floating rate Class A Notes und eight series of asset backed floating rate Class B Notes. The transaction features a revolving period of 6 month within the Issuer will purchase new expectancy rights for revolving series. Note that Series A 2019-1 and B 2019-1 were newly issued on 25 September 2019. At the same time Creditreform Rating has discontinued the ratings on note series A 2017-1, A 2018-3, B 2015-2 and B 2018-3 due to the full redemption of the notes. Furthermore, CRA has discontinued the ratings on note series B 2016-1 and B 2017-1 and has not assigned ratings to the note series B 2019-1 upon request of the mandator. The compartment may from time to time issue further series of Class A and Class B Notes. VCLM RV C2 securitises only the residual value portion of the leases; finance portions of the lease contracts are not securitized by the Issuer. A combination of subordinated loan and overcollateralization will provide credit enhancement to the rated Class A notes series (current total CE 47.14%) and Class B notes (current total CE 36.67%). In addition, a cash reserve, currently amounting to 2.74% of the expectancy rights balance, is available to provide credit enhancement to the Class A and B Notes. The transaction is subject to the risks of obligors´ defaults and used car market values´ deterioration. CRA used data of residual value forecasts and historical data of sale proceeds to determine an expected RV loss of 37.30% and 32.07% in an AAAsf and A+sf rating scenario, respectively, taking into account a stable recovery procedure, a moderate RV setting strategy of VWL and increased market value risks. 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. Following the analysis of historical data, CRA set the base case gross loss rate at 0.87% and the base case recovery rate at 65%. CRA decided to maintain a conservative approach in selecting the appropriate scenario-specific stress multiples at x7.71 and x5.29 in an AAAsf and A+sf scenario, respectively. Moreover, CRA set the recovery haircuts at 48.45% (AAAsf) and 38.81% (A+sf), taking into account transaction-specific features such as observed volatility and established recovery procedures as well as potential market value risks. This resulted in total expected net losses of 4.44% (AAAsf) and 2.76% (A+sf). These scenario-specific assumptions about residual value risk and credit risk were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCLM RV C2 and to test the transactions´ ability of paying interest and ultimate payment principal at final maturity.
  • 27.12.2018
    Creditreform Rating assigns ratings to the newly issued notes series A 2018-3, A 2018-4, A 2018-5, B 2018-2 and B 2018-3 of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCL RV2), as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount after the tap issuance): A 2018-3 (EUR 253.4m), A 2018-4 (EUR 100.0m), A 2018-5 (EUR 27.9m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount after the tap issuance): B 2018-2 (EUR 25.5m), B 2018-3 (EUR 35.4m). The volume of series A 2015-1, A 2015-4, A 2015-5, A 2016-1, A 2018-1, B 2015-1, B 2015-2, B 2016-1, B 2016-3 and B 2018-1 has increased following the tap issuance. The total outstanding note volume has increased by EUR 1bn. The credit enhancements of Class A and B notes series remain above the minimum credit enhancements which Creditreform Rating assumed in its initial rating analyses (current total CE after the tap issuance 48.60% and 37.86% for Class A and B notes series, respectively). Therefore, the ratings of the existing Class A and B notes series are not affected by the tap issuance and the issuance of new notes series. The ratings remain as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount after the tap issuance): A 2015-1 (EUR 414.1m), A 2015-2 (EUR 448.7m), A 2015-3 (EUR 250.0m), A 2015-4 (EUR 496.8m), A 2015-5 (EUR 400.0m), A 2015-6 (EUR 222.6m), A 2016-1 (EUR 441.5m), A 2016-2 (EUR 50.0m), A 2016-4 (EUR 373.6m), A 2017-1 (EUR 300.0m), A 2018-1 (EUR 218.1m), A 2018-2 (EUR 309.2m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount after the tap issuance): B 2015-1 (EUR 83.2m), B 2015-2 (EUR 132.4m), B 2015-3 (EUR 166.4m), B 2016-1 (EUR 68.8m), B 2016-3 (EUR 214.2m), B 2017-1 (EUR 74.4m), B 2018-1 (EUR 52.8m).
  • 25.09.2018
    Creditreform Rating has assigned ratings to the Class A and Class B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCL RV2), as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount): A 2015-1 (EUR 352.3m), A 2015-2 (EUR 448.7m), A 2015-3 (EUR 250.0m), A 2015-4 (EUR 493.7m), A 2015-5 (EUR 267.3m), A 2015-6 (EUR 222.6m), A 2016-1 (EUR 272.6m), A 2016-2 (EUR 50.0m), A 2016-4 (EUR 373.6m), A 2017-1 (EUR 300.0m), A 2018-1 (EUR 121.0m), A 2018-2 (EUR 309.2m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount): B 2015-1 (EUR 74.5m), B 2015-2 (EUR 127.9m), B 2015-3 (EUR 166.4m), B 2016-1 (EUR 45.0m), B 2016-3 (EUR 196.5m), B 2017-1 (EUR 74.4m), B 2018-1 (EUR 13.3m). VCL RV2 is a platform for VW Leasing GmbH (VWL) to securitise the residual value portion of German auto lease receivables. VCL Master Residual Value, Compartment 2, has currently issued twelve series of asset backed floating rate Class A Notes und seven series of asset backed floating rate Class B Notes. The transaction features a revolving period of 12 month within the Issuer will purchase new expectancy rights for revolving series. Note that Series A 2018-1, A 2018-2 and B 2018-1 were newly issued on 25 September 2018. The compartment may from time to time issue further series of Class A and Class B Notes. VCL RV2 securitises only the residual value portion of the leases; finance portions of the lease contracts 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 series (current total CE 48.81%) and Class B notes (current total CE 37.92%). The transaction is subject to the risks of obligors´ defaults and used car market values´ deterioration. CRA used data of residual value forecasts and historical data of sale proceeds to determine an expected RV loss of 37.42% and 32.27% in an AAAsf and A+sf rating scenario, respectively, taking into account a stable recovery proce-dure, a moderate RV setting strategy of VWL and increased market value risks related to the manipulation of EA189 diesel emissions. 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 databases. Following the analysis of historical data, CRA set the base case gross loss rate at 0.86% and the base case recovery rate at 65%. The CRA Portfolio and Benchmark Analysis showed a lower portfolio credit risk compared to historical benchmarks. However, CRA decided to maintain a conservative approach in selecting the appropriate scenario-specific stress multiples at x8.10 and x5.28 in an AAAsf and A+sf scenario, respectively. Moreover, CRA set the recovery haircuts at 43.03% (AAAsf) and 34.47% (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 ma-nipulation of EA189 diesel emissions. This resulted in total expected net losses of 6.96% (AAAsf) and 4.54% (A+sf). These scenario-specific assumptions about residual value risk and credit risk were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL RV2 and to test the transactions´ ability of paying interest and ultimate payment principal at final maturity.
  • 14.08.2018
    Creditreform Rating (CRA) has reviewed the ratings of the Class A and B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCL RV2) 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 ratings of the Class A and B notes series of VCL RV2, as follows: EUR Floating Rate Asset Backed Class A notes series with a current rating of AAAsf / stable (current outstanding amount): A 2015-1 (EUR 170.0m), A 2015-2 (EUR 255.0m), A 2015-3 (EUR 250.0m), A 2015-4 (EUR 300.0m), A 2015-5 (EUR 250.0m), A 2015-6 (EUR 150.0m), A 2016-1 (EUR 200.0m), A 2016-2 (EUR 50.0m), A 2016-4 (EUR 325.0m), A 2017-1 (EUR 300.0m). EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf / stable (current outstanding amount): B 2015-1 (EUR 30.0m), B 2015-2 (EUR 39.1m), B 2015-3 (EUR 166.4m), B 2016-1 (EUR 45.0m), B 2016-3 (EUR 151.9m), B 2017-1 (EUR 43.3m). The outstanding note volume is EUR 2.73bn. The credit enhancements of Class A and B notes series remain above the minimum credit enhancements which Creditreform Rating assumed in its rating analyses (current total CE 49.91% and 38.73% for Class A and B notes series, respectively). 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.
  • 02.08.2018
    Creditreform Rating has set the ratings of the Class A and Class B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCL RV2), 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 Class A notes series with a current rating of AAAsf (watch): A 2015-1 A 2015-2 A 2015-3 A 2015-4 A 2015-5 A 2015-6 A 2016-1 A 2016-2 A 2016-4 A 2017-1 EUR Floating Rate Asset Backed Class B notes series with a current rating of A+sf (watch): B 2015-1 B 2015-2 B 2015-3 B 2016-1 B 2016-3 B 2017-1
  • 26.09.2017
    Creditreform Rating has assigned ratings to the Class A and Class B notes series of VCL Master Residual Value S.A., acting for and on behalf of its Compartment 2 (VCL RV2), as follows: EUR Floating Rate Asset Backed Class A notes series (current outstanding amount): Series Amount Rating A 2015-1 170,000,000 AAAsf A 2015-2 255,000,000 AAAsf A 2015-3 250,000,000 AAAsf A 2015-4 300,000,000 AAAsf A 2015-5 250,000,000 AAAsf A 2015-6 150,000,000 AAAsf A 2016-1 200,000,000 AAAsf A 2016-2 50,000,000 AAAsf A 2016-4 325,000,000 AAAsf A 2017-1 300,000,000 AAAsf EUR Floating Rate Asset Backed Class B notes series (current outstanding amount): Series Amount Rating B 2015-1 30,000,000 A+sf B 2015-2 39,100,000 A+sf B 2015-3 166,400,000 A+sf B 2016-1 45,000,000 A+sf B 2016-3 151,900,000 A+sf B 2017-1 43,300,000 A+sf VCL RV2 is a platform for VW Leasing GmbH (VWL) to securitise the residual value portion of German auto lease receivables. VCL Master Residual Value, Compartment 2, has currently issued ten series of asset backed floating rate Class A Notes und six series of asset backed floating rate Class B Notes. The transaction features a revolving period of 12 month within the Issuer will purchase new expectancy rights for revolving series. Note Series A 2017-1 and B 2017-1 were newly issued on 25 September 2017. The compartment may from time to time issue further series of Class A and Class B Notes. Creditreform Rating has also discontinued the ratings on note series A 2016-3 and B 2016-2 due to the fully redemption as of payment date on 25 September 2017. VCL RV2 securitises only the residual value portion of the leases; finance portions of the lease contracts 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 series (current total CE 49.21%) and Class B notes (current total CE 37.88%). The transaction is subject to the risks of obligors´ defaults and used car market val-ues´ deterioration. CRA used data of residual value forecasts and historical data of sale proceeds to determine an expected RV loss of 32.44% and 28.02% in an AAAsf and A+sf rating scenario, respectively, taking into account a stable recovery proce-dure, a moderate RV setting strategy of VWL and increased market value risks relat-ed to the manipulation of EA189 diesel emissions. 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. 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 a lower portfolio credit risk compared to historical benchmarks. However, CRA decided to maintain a conservative approach in selecting the appropriate scenario-specific stress multiples at x6.08 and x4.43 in an AAAsf and A+sf scenario, respectively. Moreover, CRA set the recovery haircuts at 43.06% (AAAsf) and 34.49% (A+sf), taking into account transaction-specific features such as observed volatility and estab-lished recovery procedures as well as potential market value risks caused by the ma-nipulation of EA189 diesel emissions. This resulted in total expected net losses of 8.75% (AAAsf) and 5.81% (A+sf). These scenario-specific assumptions about residual value risk and credit risk were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL RV2 and to test the transactions´ ability of paying interest and ultimate payment principal at final maturity.

ISIN Liste

ISIN Veröffentlichung Max. Gültig Bis
XS2166353537 26.05.2020
XS1918850154 27.12.2018
XS1918850238 27.12.2018 25.09.2019
XS1877951845 25.09.2018
XS1325739057 27.09.2017 25.09.2019
XS1420331354 27.09.2017 25.09.2019
XS1675801143 26.09.2017 25.09.2019
XS1505904695 25.10.2016
XS1325738083 27.09.2016
XS1325738836 27.09.2016