Press Release

DBRS Morningstar Finalises Provisional Ratings on VCL Multi-Compartment S.A., acting for and on behalf of its Compartment VCL 37

November 25, 2022

DBRS Ratings GmbH (DBRS Morningstar) finalised its provisional ratings on the following classes of Notes issued by VCL Multi-Compartment S.A., acting for and on behalf of its Compartment VCL 37 (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)

The ratings on both the Class A Notes and Class B Notes (together, the Notes) address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date.

The transaction represents the issuance of Notes backed by a portfolio selected from a pool of approximately EUR 1 billion of receivables related to auto leases granted by Volkswagen Leasing GmbH (VWL; the Originator or the Seller), a wholly owned, indirect subsidiary of Volkswagen AG, to lessees resident or incorporated in the Federal Republic of Germany. The underlying motor vehicles related to the auto leases consist of both new and used passenger and light-commercial vehicles. VWL services the receivables.

DBRS Morningstar based its ratings on a review of the following analytical considerations:
-- The transaction’s capital structure, including form and sufficiency of available credit enhancement;
-- Relevant credit enhancement in the form of subordination, a reserve fund, and overcollateralisation (OC);
-- Credit enhancement levels that are sufficient to support DBRS Morningstar’s projected cumulative net loss under various stressed cash flow assumptions for the Notes;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- VWL’s capabilities with regard to originations, underwriting, and servicing, and its financial strength;
-- The transaction parties’ financial strength with regard to their respective roles;
-- The credit quality of the collateral and historical and projected performance of the Seller’s portfolio;
-- The sovereign rating on the Federal Republic of Germany, currently at AAA with a Stable trend; and
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the Issuer.

The transaction incorporates a single waterfall that outlines the allocation of the available distribution amount consisting of, inter alia, collections representing interest, principal, and recoveries. The transaction documents foresee a mixed sequential/pro rata amortisation structure. Initially, all collections from the lease receivables will pay down the Class A Notes (in accordance with the relevant priority of payments). Once the Class A OC percentage reaches 12.25%, the Class B Notes will begin to amortise. Once the Class B OC percentage reaches 7.5%, principal payments on the Notes will be allocated on a pro rata basis, unless prespecified performance triggers are breached as outlined in the transaction documents.

The transaction benefits from liquidity support provided by a cash reserve, with an initial balance of EUR 11 million (equal to 1.1% of the initial outstanding discounted receivables balance). The target balance of the reserve on subsequent payment dates is the lower of (1) EUR 11 million or (2) the aggregate outstanding principal amount of the Notes. The reserve is available to cover the payment of senior expenses, swap payments, and interest on the Notes prior to being replenished. The reserve also provides credit enhancement to the Notes. It is available to repay principal on the Notes when the portfolio’s aggregate discounted receivables balance reaches zero.

All underlying contracts are fixed rate while the Notes pay a floating rate. The Notes are indexed to one-month Euribor. Interest rate risk for the Notes is mitigated through an interest rate swap with Skandinaviska Enskilda Banken AB (publ) (SEB).

The Bank of New York Mellon, Frankfurt Branch (BNYM Frankfurt) has been appointed to act as the account bank for the transaction. Based on DBRS Morningstar’s private rating on BNYM Frankfurt and the downgrade provisions outlined in the transaction documents, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

The transaction is exposed to interest rate risk due to the mismatch between the fixed-rate assets and the floating-rate liabilities. The risk is mitigated by two interest rate swaps hedging each of the Notes. SEB has been appointed as the swap counterparty for the transaction. DBRS Morningstar has a Long-Term Issuer rating of A (high) with a Stable trend and a Long Term Critical Obligations Rating of AA with a Stable trend on SEB. The hedging documents include downgrade provisions consistent with DBRS Morningstar's criteria.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (17 May 2022).

DBRS Morningstar analysed the transaction cash flow structure in Intex DealMaker.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset-Backed Securitisations” (19 October 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at:

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The sources of data and information used for these ratings include the originator and its agent, SEB.

DBRS Morningstar received the following data and information:
-- Static cumulative net loss data going back to January 2013 and up to June 2022 on a total portfolio basis.
-- Total portfolio level delinquency data from January 2010 to June 2022.
-- Summarised stratification tables for the provisional pool as at 31 October 2022.
-- A theoretical amortisation of the selected pool.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

These ratings concern newly issued financial instruments. These are the first DBRS Morningstar ratings on these financial instruments.

This is the first rating action since the Initial Rating Date.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):

-- Expected default rate: 1.4%
-- Expected recovery rate: 60.0%
-- Loss given default (LGD): 61.6% for the AAA (sf) scenario and 56.8% for the AA (low) (sf) scenario.

Scenario 1: 25% increase in LGD
Scenario 2: 50% increase in LGD
Scenario 3: 25% increase in PD
Scenario 4: 50% increase in PD
Scenario 5: 25% increase in PD and 25% increase in LGD
Scenario 6: 25% increase in PD and 50% increase in LGD
Scenario 7: 50% increase in PD and 25% increase in LGD
Scenario 8: 50% increase in PD and 50% increase in LGD

DBRS Morningstar concludes that the expected ratings under the eight stress scenarios would be:
-- Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AA (high) (sf), AA (high) (sf), AA (sf), AA (sf), and A (high) (sf)
-- Class B Notes: AA (low) (sf), A (high) (sf), AA (low) (sf), A (high) (sf), A (high) (sf), A (sf), A (sf), and A (low) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Guglielmo Panizza, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 10 October 2022

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022),
-- Rating European Structured Finance Transactions Methodology (15 July 2022),
-- Legal Criteria for European Structured Finance Transactions (22 July 2022),
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

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