In our view, VCL 12 has shown stable asset performance, with low levels of net losses and delinquencies since closing. Cumulative net losses to date are 0.20%, meaning that the transaction is performing better than our assumptions at closing. Delinquencies of more than 90 days are 1.02%, which is lower than those observed in comparable transactions from the same originator, and prepayments are at an annualized rate of 6.19%. Furthermore, partial sequential prepayment of the notes has led to increased credit enhancement.
The reserve fund has fully amortized and is at 4.05%, the required level under the transaction documents (1.0% of the initial pool balance).
At closing, we set a net loss base case scenario of 1.40%, which is comparable with past VCL transactions. With 23 months elapsed, we have observed lower cumulative net losses of 0.20%, and have resized our base case net loss amount for the remaining life of the transaction. When resizing, we have taken into account the deteriorating economic outlook for Germany and consistent prepayments of principal on the notes.
After taking all of the above factors into account, the results of our cash flow analysis indicate that the class B notes can make timely payment of interest and ultimate repayment of principal in 'AA- (sf)' stress scenarios, whereas the class A notes can make the payments in 'AAA (sf)' stress scenarios.
Consequently, we have today raised to 'AA- (sf)' from 'A+ (sf)' our rating on the class B notes and affirmed our 'AAA (sf)' rating on the class A notes. This is because we consider that the transaction's stable performance and the build-up of available credit enhancement support the affirmation of our 'AAA (sf) rating on the class A notes and a one notch upgrade for the class B notes.
The portfolio comprises auto lease receivables that pay monthly installments. At closing, VCL 12 entered into a fixed-floating interest rate swap with Commerzbank AG (A/Negative/A-1) to hedge the mismatch between fixed-rate payment assets and floating-rate liabilities.
The originator, Volkswagen Leasing GmbH, has originated a number of German securitizations. The portfolio includes loans issued through Volkswagen AG's dealer network to purchase Audi, VW, VW Nutzfahrzeuge, Seat, and Skoda cars.
RELATED CRITERIA AND RESEARCH
-- The Eurozone's New Recession--Confirmed, Sept. 25, 2012
-- European Auto ABS Index Report Q2 2012: Performance Deteriorates Slightly As Severe Delinquencies Increase, Sept. 20, 2012
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008
-- European Consumer Finance Criteria, March 10, 2000
VCL Multi-Compartment S.A., Compartment VCL 12
EUR519.1 Million Asset-Backed Floating-Rate Notes
B AA- (sf) A+ (sf)
A AAA (sf)