A collateral pool of retail auto lease contracts originated by VW Credit, Inc., is set to secure a $1.1 billion asset-backed securities coming to market through the Volkswagen Auto Lease Trust 2022-A.
RBC Capital Markets is the lead underwriter of the transaction, for which VW Credit, Inc., is serving as sponsor and the deal’s servicer. Some 40,751 contracts on new vehicles will secure the deal, according to a report from Moody’s Investors Service.
Sport- and cross-over utility vehicles comprise a vast majority of the vehicle types in the collateral pool, 81%, according to Moody’s. Cars comprise the rest of the collateral pool.
On average, the loans in the collateral pool have a balance of $28,534, with remaining terms of 26 months, and 14 months of seasoning. On a weighted average (WA) basis, borrowers had a FICO score of 770, according to Moody’s.
The pool is geographically diverse, according to the breakdown that Moody’s had provided. California accounts for some 16.1% of the borrowers’ geographic distribution, followed by Florida, New York, New Jersey and Texas, with representations of 15.4%, 13.3%, 8.5% and 7.0%, respectively, the rating agency said.
The notes in Volkswagen Auto Lease, 2022-A, benefit from a reserve account, over-collateralization and excess spread, according to Moody’s. A cash reserve gives the transaction liquidity.
Among the deal’s credit strengths, Moody’s noted that Volkswagen Auto Lease, 2022-A, has a low exposure to residual value risk. Residual value risk is heightened when a lessee chooses to turn in the vehicle, and subsequently the market value of the vehicle will be less than the securitization’s value of the unamortized portion of the contract. The current deal has a discounted residual value of securitization of 54.8%, lower than the 56.8% present in the 2015-A pool.
Moody’s intends to assign ratings of P-1 to the $151 million, A-1 notes, and ‘Aaa’ to the three other classes of notes—the A-2A, A-3 and A-4 notes. The notes have legal final maturities ranging from June 20, 2023 to January 20, 2027, according to Moody’s.
