Europe continues to showcase a line of new prime ABS and this week added a new Spanish auto loan securitization to the mix.
Driver Espana One, Fondo de Titulizacion de Activos' upcoming €686 million ($937 million) issue of ABS floating-rate notes, due September 2021, marks the first securitization of auto loan receivables originated by Volkswagen Finance within Spain. VW Finance is a wholly-owned subsidiary of the Volkswagen Group.
Fitch Ratings has assigned the €622.50 million class A notes and expected rating of 'AAA' and the €63.75 million class B an 'A+'. Standard & Poor's has also assigned it preliminary ratings to the deal of 'AAA' for class A and 'A' for class B.
The note issue will be collateralized by a static pool of auto loan receivables acquired at closing from VW Finance. The receivables acquired have been granted to individuals and SMEs in Spain for the purchase of either new or used vehicles. All the loans have been originated following VW Finance guidelines in the course of its normal business. The transaction will start to amortise from closing.
The provisional portfolio consists of 147,147 loan contracts, with an outstanding aggregate discounted principal balance of €1.24 billion. It is highly granular with a top 10 debtor concentration of 0.06% and has a weighted average seasoning of 20 months. The loans have been granted by VW Finance to buyers of new (89.6%) and used cars (10.39%).
The initial credit enhancement for the class A notes, equivalent to 19.00% of the original collateral balance, is provided by the subordination of the class B (8.50%), the subordinated loan (4.5%) provided by VW Finance, overcollateralization of 4.00% and the cash collateral account (CCA, initially at 2.0%). Similarly, initial credit enhancement for the class B notes is provided by the subordinated loan, overcollateralization and the CCA.
Preliminary details on the deal are available via the link below from the ASR Scorecard database.
