Toyota Glory 2020 Phase II Retail Auto Loan Credit Asset-backed Securities -- Moody's upgrades 13 ratings on notes issued by 9 Chinese auto ABS due to change in China's local currency country ceiling

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Rating Action: Moody's upgrades 13 ratings on notes issued by 9 Chinese auto ABS due to change in China's local currency country ceiling

Global Credit Research - 09 Dec 2020

Hong Kong, December 09, 2020 -- Moody's Investors Service has upgraded the ratings on notes issued by nine Chinese auto ABS transactions after a change to China's local currency country ceiling to Aaa from Aa3. The change follows Moody's updated methodology for local and foreign currency country ceilings titled "Country Ceilings Methodology" (https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1225594) published on 7 December 2020.

The affected ratings are as follows:

Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL437015 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer.

RATINGS RATIONALE

Today's rating actions reflect the impact from (1) the revised local currency country ceiling for China at Aaa, (2) the level of financial disruption risk in the transactions, (3) the presence of sufficient credit enhancement to the notes, and (4) the performance of the securitized auto loans and leases.

China's local currency country ceiling was changed to Aaa on 7 December 2020 from Aa3. Local currency country ceiling indicates the highest rating level that would generally be assigned to the strongest structured finance transactions whose cash flows are generated from the securitized assets in that country.

Moody's analysis of financial disruption risk involves the assessment of (1) the likelihood that the servicer will be able to continue operations during the life of the transaction, (2) the ease of transfer of responsibilities from the servicer in case it needs to be replaced, and (3) the effectiveness of the mitigants, if any, to mitigate the risk of cash flow disruption caused by the financial distress of the servicer.

All the servicers in the auto ABS transactions are unrated. However, they are partially or fully owned by one or two large rated auto manufacturers, from which support is expected. All the rated auto manufacturer parent companies hold an investment grade rating. Hence, the likelihood of servicers' continued operations is high.

All transactions do not have a backup servicer appointed at closing. However, Chinese auto loans and leases are standard assets and almost all payments are made by direct debits. Hence, Moody's views the transfer of servicing duties to be not too onerous.