Moody's Assigns Provisional Ratings to VCL Multi-Compartment S.A. Notes

Strategic Insights -

Moody's has assigned provisional ratings to the Notes to be issued by VCL Multi-Compartment S.A., Compartment VCL 45, a public securitisation of German auto leases originated by Volkswagen Leasing GmbH. The ratings are primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity. The Notes are backed by a static pool of German auto leases worth approximately EUR 750.0 million as of the 31 March 2025 pool cut-off date.

Key Takeaways:

  • The Notes are assigned provisional ratings of (P)Aaa (sf) for the EUR [ ]M Class A Asset Backed Floating Rate Notes due April 2031 and (P)Aa2 (sf) for the EUR [ ]M Class B Asset Backed Floating Rate Notes due April 2031.
  • The total credit enhancement for the Class A Notes is 5.6% and the total credit enhancement for the Class B Notes is 3.8%.
  • The ratings are primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity.
  • The portfolio has a high degree of linkage to VW Leasing and a structure that allows for periods of pro rata payments under certain scenarios.
  • The transaction benefits from various credit strengths such as a granular portfolio and a reserve fund at 1.2% of the pool balance.
  • True sale risk may materialize in the securitisation of German lease receivables in case of an originator insolvency due to non-compliance with criteria of Sec. 108 of the German insolvency code.
  • The portfolio of underlying assets was distributed to private (25.3%) and commercial lessees (74.7%) to finance the purchase of new, demonstration, and used cars.
  • As of 31 March 2025, the portfolio consists of 85,561 auto lease contracts to 70,771 lessees with a weighted average seasoning of 0.8 years.
  • Only the equal lease instalments of the lease contracts are securitized.
  • The portfolio lifetime expected losses are 0.50% and a Aaa portfolio credit enhancement ("PCE") of 5.0% related to lessee receivables.

Statistics:

  • The portfolio of underlying assets worth EUR 750.0 million as of 31 March 2025.
  • The reserve fund is funded to 1.2% of the portfolio balance.
  • The total credit enhancement for the Class A Notes is 5.6%.
  • The total credit enhancement for the Class B Notes is 3.8%.
  • The portfolio lifetime expected losses are 0.50%.
  • The Aaa portfolio credit enhancement ("PCE") related to lessee receivables is 5.0%.
  • The implied coefficient of variation ("CoV") is 71.5%.

Sources:

  • Moody's Ratings (Moody's)
  • "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024 available at https://ratings.moodys.com/rmc-documents/426427.
  • "Rating Methodologies" page on https://ratings.moodys.com.