OREANDA-NEWS. More-->S&P Global Ratings today assigned its ratings to two classes of asset-backed securities (ABS) issued by Citic Trust Co. Ltd. as trustee of Driver China four Trust (see list). The notes are backed by a pool of consumer loan contracts secured by passenger vehicles that were originated by Volkswagen Finance (China) Co. Ltd. (VWFC).

This is the fourth auto loan securitization transaction originated by VWFC and the second Driver China transaction rated by S&P Global Ratings. S&P Global Ratings has rated similar-structure Driver series transactions from Volkswagen group globally. The ratings assigned to the notes reflect:The credit risk associated with the underlying collateral portfolio and the credit support available, which is commensurate with our view of credit risk under a 'AA' and 'BBB+' rating stress. Our assessment of credit risk takes into account originator VWFC's underwriting standards and centralized approval process, which are largely consistent with parent company Volkswagen Financial Services AG (VWFS AG)'s global practice and risk management approach, with some local adaptation. Credit support for the class A notes comprises the subordination of the class B notes and the subordinated notes, and overcollateralization via RMB15 million of additional collateral. Credit support for the class B notes includes the subordination of the subordinated notes and the RMB15 million overcollateralization. In addition, any balance remaining in the cash reserve on the maturity date of the notes or when the receivables pool balance reaches zero may be applied toward redemption of the class A and class B notes, providing additional support. The ability of the transaction's cash flows to meet timely payment of interest and ultimate payment of principal to the rated noteholders under stresses commensurate with the ratings assigned. All rating stresses are assessed on the basis that the issuer does not call the notes on or beyond the call-option threshold date, and that the notes must be fully redeemed via the mechanisms under the transaction documents. The timely payment of senior expenses and rated note coupon is supported by the use of interest and principal collections from the underlying pool of loans and a liquidity reserve equal to 1.2% of the aggregate discounted receivables balance as of the cut-off date. The liquidity reserve will be fully funded by VWFC at closing and may be used to support senior expenses and rated note interest on any trust payment date. The reserve will be maintained at 1.2% of the aggregate outstanding discounted receivables balance, subject to a floor of RMB30 million or the aggregate outstanding balances of the class A and class B notes. The legal structure of the trust established as a special-purpose trust (SPT) under China's Trust Law and the transaction structure and terms, which are consistent with the governance of China Banking Regulatory Commission (CBRC) and The People's Bank of China (PBOC)'s credit assets securitization (CAS) scheme. The legal structure of the SPT reflects our criteria for insolvency remoteness. The counterparty exposure to Bank of China Ltd. as a bank account provider. The rating of the bank account provider, coupled with the replacement trigger of the bank account provider if its rating falls below a certain level, is consistent with our "Counterparty Risk Framework Methodology And Assumptions" counterparty criteria, published on June 25, 2013.