VW Credit is sponsoring a $1.2 billion securitization of revenue from retail loans on new and used cars and light-duty trucks on Volkswagen and Audi brands. The deal has the potential to be upsized to $1.5 billion.
The transaction, Volkswagen Auto Loan Enhanced Trust, 2023-2, will issue notes to investors through five tranches. Just one class of notes from the structure, the A2B is benchmarked to the thirty day average Secured Overnight Financing Rate (SOFR). The notes have legal final maturity dates that range from Nov. 20, 2024 on the A1 notes through April 22, 2030, according to a pre-sale report from Fitch Ratings.
Citigroup Global Markets is the lead underwriter on the transaction, Fitch said, while noting that excess spread on the current deal is higher than the 2023-1. All of the notes have the same initial hard credit enhancement level of 3.25%.
Fitch says it expects a cumulative net loss (CNL) proxy of 1.20%. Fitch says it expects to assign ratings of 'F1+' to the A1 notes and 'AAA' to all of the rest of the notes in the pool.
A slightly stronger pool supports the deal when considering the collateral mix and consumers' credit quality, according to Fitch. The underlying collateral has a weighted average (WA) FICO score of 770, up slightly from 768, Fitch said. The average principal balance is $30,864, down from $34,136.
In terms of the vehicle status split a vast majority of the pool, 73.42%, is new, another increase from a previous deal, Fitch said.
VALET 2023-2 has a collateral pool of 45,971 loans with an average balance of $30,864. They have original terms of 67 months, with a remaining term of 58 months. As for the manufacturer split, Volkswagen accounts for 47.3% of the pool, while Audi represents 52.7% of the collateral, the rating agency said. Also, sport utility vehicles (SUV) and crossover vehicles account for 76.17% of the pool, leaving cars accounting for 23.8%.
