Approximately $1.0 billion of asset-backed securities affected
New York, February 14, 2011 -- Moody's Investors Service has assigned definitive ratings to the notes
issued by Toyota Auto Receivables 2011-A Owner Trust (TAOT 2011-A).
The complete rating actions are as follows:
Issuing Entity: Toyota Auto Receivables 2011-A Owner Trust
Cl. A-1, Definitive Rating Assigned P-1 (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned A2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the collateral, credit enhancement,
the legal structure and the experience of Toyota Motor Credit Corporation
(TMCC) as servicer. Credit enhancement consists of overcollateralization,
subordination, reserve account, yield supplement overcollateralization
amount (YSOC) and available excess spread.
The principal methodology used in rating Toyota Auto Receivables 2011-A
Owner Trust was Moody's Approach to Rating U.S. Auto Loan-Backed
Securities, rating methodology published in June, 2007.
Moody's median cumulative net loss expectation for the TAOT 2011-A
pool is 1.15% and Volatility Aaa proxy is 6.50%.
Moody's net loss expectation for the TAOT 2011-A transaction is
based on an analysis of the credit quality of the underlying collateral,
historical performance trends, the ability of TMCC to perform the
servicing functions, and current expectations for future economic
conditions.
The V Score for this transaction is Low/Medium, which is in-line
with the Low/Medium V score assigned for the U.S. Prime
Retail Auto Loan ABS sector. The V Score indicates "Low/Medium"
uncertainty about critical assumptions. This is the fourth retail
auto loan transaction for Toyota Motor Credit Corporation (TMCC) since
2003. This lack of more recent historical securitization experience
led to the Medium assessment for quality of historical data for the issuer/sponsor/originator,
compared to Low/Medium assessment for the sector. The Low assessment
for Governance for the transaction is better than the sector average of
Low/Medium. This is because TMCC's financial stability is relatively
strong as evidenced by its Aa2, negative outlook and P-1
ratings.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in determining
the initial rating were changed to 2.75%, 3.50%,
or 5.00%, the initial model output for the Class A
notes might change from Aaa to Aa2, Aa3, and A3, respectively;
and the initial model output for the Class B notes might change from A2
to B2, below B3, and below B3, respectively
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are also available on moodys.com. In
addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
REGULATORY DISCLOSURE
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Yan Yan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns definitive ratings to Toyota Auto Receivables 2011-A Owner Trust