DBRS Morningstar Comments on the Tap Issuance of VCL Master Residual Value S.A., acting with respect to its Compartment 2

DBRS Ratings GmbH (DBRS Morningstar) acknowledged the tap issuance under the following notes issued by VCL Master Residual Value S.A., acting with respect to its Compartment 2 (the Issuer or VCL):

-- Series 2018-4, Class A Notes
-- Series 2021-2, Class A Notes
-- Series 2023-1, Class A Notes
-- Series 2023-2, Class A Notes
-- Series 2020-1, Class B Notes
-- Series 2023-1, Class B Notes

DBRS Morningstar deems that the tap issuance on 27 November 2023 has no impact on the current AAA (sf) credit ratings on the outstanding rated Class A Notes or the current AA (low) (sf) credit ratings on the outstanding rated Class B Notes (together, the Notes).

The remaining outstanding series of notes issued by VCL were not included as part of the tap issuance.

The programme’s features and the Notes’ terms and conditions remain substantially unchanged. Currently, the Notes issued by VCL are backed by approximately EUR 13.9 billion of receivables related to residual values from motor vehicle lease contracts originated by Volkswagen Leasing GmbH (VWL) in Germany.

The Issuer is a master trust programme established in November 2015, backed by a revolving pool of receivables related to residual values deriving from motor vehicle lease contracts originated by VWL to retail and corporate customers in Germany. All series of Notes are currently in their revolving period. The programme allows for tap-up issuance as well as the issuance of additional series of notes, subject to collateralisation levels and performance requirements being met as specified in the transaction documents, up to the programme maximum of EUR 10.0 billion.

Portfolio stratifications were provided in the form of the latest investor report and the portfolio composition remains within programme standards. DBRS Morningstar has not updated its assumptions of gross default and recovery since the last annual review in September 2023.

Since no trigger events outlined in the transaction documents have been breached and overcollateralisation for the Notes is at the required levels, DBRS Morningstar did not perform any cash flow analysis.

Please refer to https://www.dbrsmorningstar.com/issuers/22107/ for more information on this Issuer.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
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 https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (4 July 2023).

Notes:
All figures are in euros unless otherwise noted.

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: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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