VW Leasing’s second securitization of German auto leases the year includes roughly half the size of the receivables collateral included in the first asset-backed issuance this year.
According to presale reports, VCL Multi-Compartment S.A., Compartment VCL 27 is a €750 million securitization of vehicle-lease contracts to consumers and commercial clients of VW Leasing, an affiliate providing leasing underwriting to 3,500 Volkswagen Group dealers in Germany.
The receivables are spread across 73,773 contracts to 51,442 lessees with an average principal balance of €10,167, mostly for new VW-branded model lines including Audi (34.8% of the pool), Volkswagen (31.9%) and Volkswagen Light Commercial Vehicle (15.9%).
More than 97% of the vehicles are new or demo cars, making any diesel vehicles in the pool likely meeting newer Euro 6 emission standards. Moody’s noted that the "risk of diesel exposure is partially mitigated by the aforementioned low exposure to used cars as well as by the fact that balloon/residual value payments under the contracts are not" securitized.
The loans will back an undetermined volume of bonds to be issued at a coupon spread of one-month Euribor plus 104 basis points. The Class A notes (which will make up 94% of the pool) benefit from 7.2% credit enhancement, including a 1.2% reserve fund and 6% subordination of the Class B notes and a subordinate loan being included as pool collateral. The size of the issuance will be determined at closing.
Both Moody’s Investors Service and Fitch Ratings have issued preliminary triple-A ratings to the senior notes.
Nearly 69% of the contracts are for retail customers, with the remainder among corporate lessees.
Most of the leases are based on “closed calculation” contracts, in which the leases are combined with a service package for a set price, an arrangement in which VW Leasing receives no profit from lower service costs or if the vehicle sells for a higher-than-expected value when the contracts are terminated.
Moody’s estimates 1.25% cumulative net losses on the portfolio; Fitch set a base case loss of 0.5%.
The deal was arranged by BNP Paribas, with Credit Agricole, FBC Europe and Scotiabank Europe serving as managers.
