OREANDA-NEWS. September 28, 2015. Fitch Ratings has affirmed VCL Master S.A., Compartment 1's notes ratings as follows:

Series A 2010-1: affirmed at 'AAAsf'; Outlook Stable
Series A 2010-2: affirmed at 'AAAsf'; Outlook Stable
Series A 2010-4: affirmed at 'AAAsf'; Outlook Stable
Series A 2011-2: affirmed at 'AAAsf'; Outlook Stable
Series A 2012-1: affirmed at 'AAAsf'; Outlook Stable
Series A 2012-2: affirmed at 'AAAsf'; Outlook Stable
Series A 2012-3: affirmed at 'AAAsf'; Outlook Stable
Series A 2012-4: affirmed at 'AAAsf'; Outlook Stable
Series A 2013-1: affirmed at 'AAAsf'; Outlook Stable
Series A 2013-2: affirmed at 'AAAsf'; Outlook Stable
Series B 2014-1: affirmed at 'AAsf'; Outlook Stable
Series B 2014-2: affirmed at 'AAsf'; Outlook Stable
Series B 2014-3: affirmed at 'AAsf'; Outlook Stable
Series B 2014-4: affirmed at 'AAsf'; Outlook Stable

All class A series of notes rank pari passu and have the same rating. All class B series of notes rank pari passu and have the same rating. Further, all series have the same legal final maturity date (September 2022).

VCL Master S.A. is a securitisation vehicle incorporated in Luxembourg. The transaction is a platform for Volkswagen Leasing GmbH (VWL) to securitise, on a revolving basis, German auto lease receivables originated during its ordinary course of business. Volkswagen Leasing GmbH is a wholly-owned subsidiary of Volkswagen Financial Services AG, which in turn is 100%-owned by Volkswagen AG (A/F1/RWN).

The ratings are based on Fitch's assessment of VWL's origination and servicing procedures, Fitch's expectations of asset performance, the available credit enhancement (CE), and the transaction's legal structure. Fitch regularly monitors the activity of the platform during the revolving period and performs a full rating analysis if and when the latter is extended.

KEY RATING DRIVERS
Compared with our last analysis in September 2014, we have lowered our 'AAA' recovery haircut to 45% from 50%, in line with the recent VCL Multi-Compartment S.A. - Compartment 21 transaction. This is to reflect the collateral's stable characteristics and the strong recovery process.

Further, we are maintaining our loss base case assumption of 0.6%. The historical loss data of VWL's total book shows that performance has consistently improved since 2002. A high default multiple of 6.5x reflects the low absolute level of the loss base case, Fitch's through-the-cycle rating approach and the revolving feature.

CE covers not only credit risk of the lessees but also commingling risk. The class A notes benefit from a minimum CE of 13.6%, unchanged from the last review, while class B notes feature a minimum CE of 10.1%.

As in other master transactions, the portfolio balance may fluctuate substantially during the revolving period as regular tap-ups and take-outs occur. Asset and portfolio eligibility criteria and a note redemption mechanism based on portfolio quality reduce adverse consequences.

VWL acts as servicer, while Volkswagen Bank GmbH acts as data trustee. This creates a risk of cash flow and servicing interruptions in a scenario involving bankruptcy of Volkswagen AG or its financial service subsidiaries within Volkswagen Financial Services AG. The risk is reduced by a cash reserve, providing liquidity of approximately 9x monthly payments of senior cost and swap payments (thereby note interest), as well as the solid credit standing of the wider group to which the servicer belongs (Volkswagen AG).

Fitch based its ratings on the series on the following maximum issuance amounts for each series:

Series A 2010-1: EUR200m
Series A 2010-2: EUR300m
Series A 2010-4: EUR600m
Series A 2011-2: EUR125m
Series A 2012-1: EUR75m
Series A 2012-2: EUR150m
Series A 2012-3: EUR150m
Series A 2012-4: EUR300m
Series A 2013-1: EUR150m
Series A 2013-2: EUR120m
Series B 2014-1: EUR50m
Series B 2014-2: EUR40m
Series B 2014-3: EUR50m
Series B 2014-4: EUR50m

RATING SENSITIVITIES
Fitch tested the rating sensitivity of the notes to various scenarios, including an increase in the base case default rate and/or a decrease in the base case recovery rate for the portfolio. The model-implied sensitivities indicate that an increase in the base case default rate by 50%, together with a decrease in the base case recovery rate by 50%, may result in a downgrade of the class A notes, to 'A+sf' and the class B notes to 'BBB+sf'.

TRANSACTION CHARACTERISTICS
The transaction documents allow for a transfer of the acquired assets from VCL Master to feed term take-outs that may be initiated by VWL. The portfolio may change materially when a term take-out occurs. Therefore, the documents foresee that Fitch will receive a confirmation request prior to the execution of the onward transfer. The agency will, at such date, analyse the pool composition after assets are taken out. The transaction documents foresee that a take-out can only occur in case the rating of the class A notes and the class B notes is not lower than 'AAAsf' and 'A+sf' respectively.

Under certain conditions, the issuer may increase the amounts of the existing series of notes to purchase further assets. Receivables purchased with such funds are transferred applying the initial purchase price discount (PPD) for overcollateralisation (OC) of 1.1%. This discount is lower than the discount applied to purchase receivables during the replenishment period (2.23%).

As a result, CE of the note series after a tap issuance decreases, whereby the minimum CE of 13.6% for class A and 10.1% for class B has to be preserved. Fitch regards adding further receivables to the securitised pool as positive, since only performing assets are added and the pool's granularity increases.

DUE DILIGENCE USAGE
Fitch was provided with a third party asset portfolio assessment in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of the third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis. Fitch believes the sample size and relevance of the tested fields suggest that the data provided by the originator for assigning the ratings was of acceptable quality.

Fitch also conducted a review of a small targeted sample of VWL's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis:
-Pool stratification data provided by VWL as at 31 August 2015
-Monthly investor reports since January 2010 (closing) including performance data
-Static loss data (number and amount) since January 2002 until June 2015
-Dynamic delinquency data until June 2015;
-Historical origination volumes since January 2002;

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the new issue report, dated 25 September 2015 at www.fitchratings.com. In addition, please refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.