Fitch Rates Volkswagen Auto Loan Enhanced Trust 2013-2
NEW YORK -- November 13, 2013
Fitch Ratings assigns the following ratings to the Volkswagen Auto Loan
Enhanced Trust 2013-2 (VALET 2013-2) notes:
--$304,000,000 class A-1 'F1+sf';
--$502,000,000 class A-2 'AAAsf'; Outlook Stable;
--$530,000,000 class A-3 'AAAsf'; Outlook Stable;
--$164,000,000 class A-4 'AAAsf'; Outlook Stable.
Key Rating Drivers
Strong Collateral Quality: The weighted average (WA) FICO of 762 is consistent
with recently issued VALET transactions and, combined with the strong internal
credit tier distribution, indicate a strong borrower. However, the
concentration of extended-term loans has increased from the previous
Sufficient Credit Enhancement: VALET 2013-2 incorporates a sequential-pay
structure. Initial credit enhancement (CE) is 3.10% of the initial adjusted
pool balance, growing to 3.50% of the initial securitization value. Annual
excess spread is 2.17%. CE is sufficient to cover expected lifetime cumulative
net losses (CNLs).
Strong Portfolio/Securitization Performance: Losses and delinquencies on VCI's
portfolio and securitizations have shown continued improvement from the peak
levels in 2007 and 2008 and have stabilized at lower levels.
Unstable Economic Outlook: A slower recovery and potential for volatility
could affect delinquencies and losses. Fitch's analysis accounts for this risk
by including poorer performing vintages from the recent recession in the base
case loss analysis.
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.
Stable Origination/Underwriting/Servicing: Fitch believes VCI to be a capable
originator, underwriter and servicer. These capabilities are further evidenced
by historical portfolio delinquency and loss experience and securitization
Unanticipated increases in the frequency of defaults and loss severity on
defaulted receivables could produce loss levels higher than the base case and
could result in potential rating actions on the notes. Fitch evaluated the
sensitivity of the ratings assigned to all classes of 2013-2 to increased
losses over the life of the transaction. Fitch's analysis found that the notes
display limited sensitivity to increased defaults and losses, showing limited
impact on the rating of the notes under Fitch's moderate (1.5x base case loss)
scenario. The notes could experience a downgrade of up to two rating
categories under Fitch's severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in the
presale report dated Nov. 4, 2013. Fitch's analysis of the Representations and
Warranties (R&W) of this transaction can be found in 'Volkswagen Auto Loan
Enhancement Trust 2013-2 - Appendix'. These R&Ws are compared to those of
typical R&W for the asset class as detailed in the special report
'Representations, Warranties, and Enforcement Mechanisms in Global Structured
Finance Transactions' dated April 17, 2012.
The presale report and appendix are available to investors on Fitch's website
at 'www.fitchratings.com'. For more information about Fitch's comprehensive
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Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'Rating Criteria for U.S. Auto Loan ABS' (April 10 2013);
--'Structured Finance Tranche Thickness Metrics' (July 29, 2011);
--'Volkswagen Auto Loan Enhancement Trust 2013-2' (Nov 4, 2013);
--'Volkswagen Auto Loan Enhancement Trust 2013-2 - Appendix' (Nov 4, 2013).
Applicable Criteria and Related Research:
Volkswagen Auto Loan Enhanced Trust 2013-2 (US ABS)
Volkswagen Auto Loan Enhanced Trust 2013-2 -- Appendix
Structured Finance Tranche Thickness Metrics
Rating Criteria for U.S. Auto Loan ABS
Global Structured Finance Rating Criteria
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Margaret Rowe, +1-312-368-3167
Fitch Ratings, Inc.
70 West Madison
Chicago, IL 60602
Thomas Kaiser, +1-312-368-3338
Hylton Heard, +1-212-908-0214
Elizabeth Fogerty, New York, +1-212-908-0526
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