Fitch Rates Volkswagen Auto Lease Trust 2015-A

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings and Rating Outlooks to the notes issued by Volkswagen Auto Lease Trust 2015-A (2015-A):

--Class A-1 asset-backed notes 'F1+sf';

--Class A-2a asset-backed notes 'AAAsf'; Outlook Stable;

--Class A-2b asset-backed notes 'AAAsf'; Outlook Stable;

--Class A-3 asset-backed notes 'AAAsf'; Outlook Stable;

--Class A-4 asset-backed notes 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Stable Collateral Quality: The pool is consistent with that of 2014-A, with a strong weighted average (WA) FICO score of 760, 11 months of seasoning and undiscounted residual value representing 67.10% of the securitization value.

Adequate Credit Enhancement (CE) Structure: Initial CE is consistent with 2014-A and will be 15.75% growing to a target of 17.25% of the initial securitization value (until class A-2 has been paid in full, at which point the target overcollateralization drops by 1%). Initial excess spread will be 5.26%, down from 5.35% in 2014-A. Loss coverage is adequate to support Fitch's 'AAAsf'-stressed assumptions.

Strong Loss Performance: Credit and residual performance on Volkswagen Credit, INC's (VCI) portfolio has been strong in recent years. This is a result of robust obligor credit quality and a strong wholesale used vehicle market, leading to elevated recovery rates and residual realizations.

Evolving Wholesale Market: The U.S. wholesale vehicle market is expected to normalize following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates leading to moderately higher loss rates. Fitch's analysis accounts for this risk by including periods of weak wholesale vehicle market performance in the derivation of residual and credit loss expectations.

Stable Origination/Underwriting/Servicing: Fitch believes VCI to be a capable originator, underwriter, and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance. Fitch believes VCI is capable of adequately servicing 2015-A.

Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of VCI would not impair the timeliness of payments on the securities.

RATING SENSITIVITIES

Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn would likely result in declines of credit enhancement and loss coverage levels available to the notes. Hence, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses, respectively. They are also intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.

The presale report is available at 'www.fitchratings.com' or by clicking on the link.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);

--'Criteria for Rating U.S. Auto Lease ABS' (April 24, 2014);

--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 14, 2014);

--'Structured Finance Tranche Thickness Metrics' (July 29, 2011);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Dec. 19, 2014);

--'Volkswagen Auto Lease Trust 2015-A' (Feb. 23, 2015);

--'Volkswagen Auto Lease Trust 2015-A-Appendix' (Feb. 23, 2015).

Applicable Criteria and Related Research:

Volkswagen Auto Lease Trust 2015-A (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862107

Volkswagen Auto Lease Trust 2015-A -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862551

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Criteria for Rating U.S. Auto Lease ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746763

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Structured Finance Tranche Thickness Metrics

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646951

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980825

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Analyst
Margaret Rowe
Director
+1-312-368-3167
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Eugene Kushnir
Analyst
+1 212- 908-0803
or
Committee Chairperson
Du Trieu
+1-312-368-2091
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: [email protected]

Source: Fitch Ratings

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