Auto ABS Securitizations Class B Notes

News

• 23.04.2020
  Further details regarding the regulatory requirements according to ESMA (European Securities and Markets Authority) Guidelines 33-9-320 can be found in the document attached below.
• 27.11.2019
  Creditreform Rating (CRA) has confirmed 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 Compartments 25 (VCL 25) as follows:
  
  EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 277,639,200.00)
  
  EUR Floating Rate Asset Backed Class B notes with a current rating of AA+sf (from AAsf) / stable (current outstanding amount: EUR 15,028,793.40)
  
  The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL).
  
  Closing of VCL 25 took place in November 2017. As of November 2019 the outstanding discounted balance amounts to EUR 316m with a share of 0.87% 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 (2.75%), overcollateralization (4.75%), and a cash reserve amounting to 6.07% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 18.32%, while the credit enhancement level of the Class B Notes increased from 5.04% to 13.57%.
  
  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 2019, including a low level of the cumulative net loss ratio.
• 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 25 (VCL 25) as follows:
  
  EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 811,657,950.00)
  
  EUR Floating Rate Asset Backed Class B notes with a current rating of AAsf (from A+sf) / stable (current outstanding amount: EUR 34,500,000.00)
  
  The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL).
  
  Closing of VCL 25 took place in November 2017. As of November 2018 the outstanding discounted balance amounts to EUR 910m with a share of 0.39% of the outstanding discounted balance being delinquent two months or more. The cumulative net loss ratio is 0.04% of the initial discounted receivables balance. Currently, the Class A and B Notes represent 89.19% and 3.79% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (5.18%), overcollateralization (1.84%), and a cash reserve amounting to 2.11% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 12.92%, while the credit enhancement level of the Class B Notes increased from 5.04% to 9.13%.
  
  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 25 (VCL 25) 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 Notes, while raising the outlook of the Class B Notes to positive, as follows:
  
  
  EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 1,038,069,000)
  
  EUR Floating Rate Asset Backed Class B notes with a current rating of A+sf / positive (current outstanding amount: EUR 34,500,000)
  
  
  The transaction is a securitisation of German auto lease receivables with closing in November 2017, originated by Volkswagen Leasing GmbH (VWL). As of July 2018 the outstanding discounted balance amounts to EUR 1.1bn with a share of 0.36% of the outstanding discounted balance being delinquent over two months. The cumulative net loss ratio is 0.0025% of the initial discounted receivables balance.
  
  Currently, the Class A and B Notes represent 91.29% and 3.03% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (4.14%), overcollateralization (1.53%), and a cash reserve of currently 1.69% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 10.39%, while the credit enhancement level of the Class B Notes increased from 5.04% to 7.36%.
  
  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 25 (VCL 25), 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 A+sf (watch)
  
• 28.11.2017
  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 25 (VCL 25), as follows:
  
  
  EUR Floating Rate Asset Backed notes:
  
  Class Amount Rating
  
  Class A 1,500,000,000 AAAsf
  
  Class B 34,500,000 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, Credit-reform Rating used data provided by VWL as well as internal data bases. VCL 25 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 (7.20%) and Class B Notes (5.04%).
  
  VWL will credit to the Cash Collateral Account certain amounts which will be availa-ble 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 expo-sures with respect to the Swap counterparty and Account Bank. Risks related to the Issuer are limited, the compartment structure being ring-fenced and with limited re-course 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%. Furthermore, the CRA Portfolio and Benchmark Analysis showed a similar level of portfolio credit risk.
  
  CRA selects default multiples at x4.80 (AAAsf) and x3.55 (A+sf). Moreover, CRA set recovery haircuts at 44.25% (AAAsf) and 35.45% (A+sf), taking into account transac-tion-specific features such as observed volatility and established recovery proce-dures, as well as potential market value risks caused by the manipulation of EA189 diesel emissions. This resulted in total expected net losses of 7.00% (AAAsf) and 4.71% (A+sf). These scenario-specific assumptions were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL 25 and to assess the issuer´s ability to service its debt in a full and timely manner.
  
• 10.10.2017
  Creditreform Rating has assigned preliminary ratings to the Class A and Class B notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 25 (VCL 25), as follows:
  
  EUR 1,175,000,000 Class A Asset Backed Floating Rate Notes: AAAsf
  
  EUR 27,000,000 Class B Asset Backed Floating Rate Notes: A+sf
  
  The ratings are preliminary and may change as a result of new information. Final ratings will be assigned on the Closing Date subject to a satisfactory review of the transaction documents and legal opinions.
  
  The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL). VCL 25 is non-revolving 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 pro-vide credit enhancement to the rated Class A and Class B Notes.
  
  VWL will credit to the Cash Collateral Account certain amounts which will be availa-ble to mitigate commingling risks, trade tax and VAT tax risks, and cover the Issuer´s exposure to VWL. To mitigate commingling risk, the structure obliges the Servicer to advance the aggregate value of all lease payments due in the next monthly period if minimum ratings of VWFS are no longer satisfied. Collateral downgrade and re-placement provisions mitigate counterparty risk exposures with respect to the Swap counterparty and Account Bank. Risks related to the Issuer are limited, the compart-ment structure being ring-fenced and with limited recourse to other creditors of the Issuer.
  
  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 proprietary data. 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%. Furthermore, the CRA Portfolio and Benchmark Analysis showed a similar level of credit risk.
  
  CRA selects default multiples at x4.80 (AAAsf) and x3.55 (A+sf). Moreover, CRA set recovery haircuts at 44.25% (AAAsf) and 35.45% (A+sf), taking into account transac-tion-specific features such as observed volatility and established recovery proce-dures, as well as potential market value risks caused by the manipulation of EA189 diesel emissions. This resulted in total expected net losses of 7.00% (AAAsf) and 4.71% (A+sf). These scenario-specific assumptions were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL 25 and to assess the issuer´s ability to service its debt in a full and timely manner.