OVERVIEW
-- Volkswagen Auto Loan Enhanced Trust 2012-2's issuance is an ABS securitization backed by prime auto loan receivables.
-- We assigned our preliminary ratings to the class A notes.
-- The preliminary ratings reflect our view of the transaction's available credit support, our stress scenarios, timely interest and principal payments, and the collateral pool, among other factors.
Oct 1 - Standard & Poor's Ratings Services today assigned its preliminary ratings to Volkswagen Auto Loan Enhanced Trust 2012-2's $1.0 billion auto receivables asset-backed notes (see list).
The note issuance is an asset-backed securities transaction backed by prime auto loan receivables.
The preliminary ratings are based on information as of Oct. 1, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
-- The availability of approximately 6.6% credit support (based on break-even cash-flow scenarios), including excess spread, to support the class A notes. This credit support provides coverage of more than 5.0x our 0.85%-1.00% expected net loss range.
-- Our expectation that under a moderate stress scenario of 2.0x our expected net loss level, the ratings on the class A notes will not decline by more than one rating category (all else being equal) from the preliminary ratings, which is consistent with our rating stability criteria (for more information, see "Methodology: Credit Stability Criteria," published May 3, 2010).
-- The credit enhancement in the form of overcollateralization, a reserve account, the yield supplement overcollateralization amount, and excess spread.
-- The timely interest and principal payments made under stressed cash flow modeling scenarios that we believe are appropriate for the assigned preliminary ratings.
-- The characteristics of the collateral pool being securitized.
-- The transaction's payment and legal structures.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities.
The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at "
". RELATED CRITERIA AND RESEARCH
-- Presale: Volkswagen Auto Loan Enhanced Trust 2012-2, Oct. 1, 2012
-- Volkswagen Auto Loan Enhanced Trust Ratings Affirmed On 10 Classes From Four Transactions, Sept. 25, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Volkswagen Auto Loan Enhanced Trust 2008-1, 2008-2, And 2010-1 Ratings Affirmed, Feb. 11, 2011
-- General Methodology And Assumptions For Rating U.S. Auto Loan Securitizations, Jan. 11, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009
PRELIMINARY RATINGS ASSIGNED Volkswagen Auto Loan Enhanced Trust 2012-2 Class Rating Type Interest Amount rate (mil. $)(i) A-1 A-1+ (sf) Senior Fixed 224.0 A-2 AAA (sf) Senior Fixed 306.0 A-3 AAA (sf) Senior Fixed 300.0 A-4 AAA (sf) Senior Fixed 170.0
(i)The size of these tranches will be determined on the pricing date.
(New York Ratings Team)
((e-mail: pam.niimi@thomsonreuters.com; Reuters Messaging: pam.niimi.reuters.com@reuters.net; Tel:1-646-223-6330;))