Fitch Rates VCL Master Residual Value S.A., Compartment 2's Series A 2016-1 and B 2016-1
OREANDA-NEWS. Fitch Ratings has assigned VCL Master Residual Value S.A.'s Series A 2016-1 and Series B 2016-1 notes issued under Compartment 2 the following ratings:
EUR100m Series A 2016-1 (ISIN: XS1420331438), due September 2022: 'AAAsf'; Outlook Stable
EUR21.6m Series B 2016-1 (ISIN: XS1420331354), due September 2022: 'A+sf'; Outlook Stable
The ratings of the existing class A and B notes' series will not be affected by the increase of their individual outstanding amounts, effective today, and the issuance of the new series. The new outstanding amounts of the existing series are as follows:
EUR146.4m Series A 2015-1 (ISIN: XS1325738166); rated 'AAAsf'; Outlook Stable
EUR172.2m Series A 2015-2 (ISIN: XS1325738240); rated 'AAAsf'; Outlook Stable
EUR215.2m Series A 2015-3 (ISIN: XS1325738323); rated 'AAAsf'; Outlook Stable
EUR258.3m Series A 2015-4 (ISIN: XS1325738596); rated 'AAAsf'; Outlook Stable
EUR86.0m Series A 2015-5 (ISIN: XS1325738679); rated 'AAAsf'; Outlook Stable
EUR110.5m Series A 2015-6 (ISIN: XS1325738752); rated 'AAAsf'; Outlook Stable
EUR30m Series B 2015-1 (ISIN: XS1325738083); rated 'A+sf'; Outlook Stable
EUR30.2m Series B 2015-2 (ISIN: XS1325739057); rated 'A+sf'; Outlook Stable
EUR153.5m Series B 2015-3 (ISIN: XS1325738836); rated 'A+sf'; Outlook Stable
VCL Master Residual Value S.A. is a securitisation vehicle incorporated in Luxembourg. The originator, Volkswagen Leasing GmbH (VWL), is a wholly-owned subsidiary of Volkswagen Financial Services AG, which is 100%-owned by Volkswagen AG (BBB+/Negative/F2).
KEY RATING DRIVERS
The transaction is a securitisation of residual values only. The issuer's ability to generate sufficient cash for note redemption is dependent on the portfolio's composition and amortisation profile. Fitch notes that these variables remain largely unchanged upon the increase of the portfolio balance to EUR1.98bn from EUR1.66bn.
The increase in portfolio balance is credit-positive as only performing assets are added to the portfolio. Furthermore, the portfolio granularity improves.
The portfolio increase is financed through issuance of two new series and an increase of the balances of the existing series. The newly issued series rank pari passu with the existing series.
Upon increase of the portfolio and note balances, credit enhancement (CE) for the class A of 47.5% and 36.7% for the class B still exceed the minimum CE of 46.65% and 34.65%, respectively. The minimum CE must be preserved for the revolving period to continue.
The transaction is primarily sensitive to used car prices. Should the used car prices materially drop, the transaction may experience higher losses in case the originator has defaulted. However, the risk of car market value decline has been reflected in our residual value analysis.
Initial Key Rating Drivers and Rating Sensitivities are further described in the New Issue Report dated 25 November 2015 at www.fitchratings.com.
DUE DILIGENCE USAGE
No third party asset portfolio assessment was provided for this analysis.
Fitch has not reviewed the results of any third party assessment of the asset portfolio information as part of its ongoing monitoring.
At the last operational review in April 2016, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Transaction reporting provided by the originator
REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see VCL Master Residual Value S.A., Compartment 2 - Appendix, dated 26 November 2015 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" dated 2 March 2016 available on the Fitch website.