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Auto ABS Securitizations Class B Notes

VCL Multi-Compartment S.A., Compartment VCL 22

Rating History

Rating Watch Outlook Decision Date Action Validity Date Maximum Validity
n.r. 18.05.2018 23.05.2018 23.05.2018
AAsf 23.11.2017 27.11.2017 21.08.2021
A+sf 25.11.2015 26.11.2015 21.08.2021

News

  • 23.05.2018
    Creditreform Rating has withdrawn the ratings of the Class A Notes and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 22 (VCL 22). The rating action reflects the full redemption of the Class A Notes and B Notes as of 22 May 2018.

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

    EUR Floating Rate Asset Backed notes:

    Class Outstanding Amount Rating
    Class A 87,429,360.00 AAAsf

    Class B 4,732,601.30 AAsf
  • 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 22 (VCL 22), as follows:


    EUR Floating Rate Asset Backed notes:

    Class Outstanding Amount Rating

    Class A 171,265,760.00 AAAsf

    Class B 9,270,749.85 AAsf (from A+sf)


    The transaction is a securitisation of German auto lease receivables with closing in November 2015, originated by Volkswagen Leasing GmbH (VWL). As of November 2017 the outstanding discounted balance amounts to EUR 195m with an share of 1.13% of the outstanding discounted balance being delinquent over 60 days. The cumulative net loss ratio is 0.12% 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 (3.11%), overcollateralization (4.39%), and a cash reserve of currently 4.39% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.87% to 16.69%, while the credit enhancement level of the Class B Notes increased from 5.48% to 11.89%.

    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.

  • 26.11.2015
    Creditreform Rating 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 22 (VCL 22), as follows:

    EUR Floating Rate Asset Backed Class A Notes : AAA(sf)

    EUR Floating Rate Asset Backed Class B Notes : 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 22 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 (CE: 7,87%) and Class B Notes (CE: 5,48%).

    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. VWL established an additional reserve on the Cash Collateral Account which will be available to cover risks related to the repurchase or reduction of lease receivables affected by irregularities in determining type approval CO2 levels. 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.

    The CRA Portfolio and Benchmark Analysis showed an overall low portfolio credit risk. Accounting for the potentially negative impacts of VW AG diesel emission manipulations on future portfolio performance, Creditreform Rating decided to maintain an additional conservative margin in its analyses.