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研究报告

Real Estate Developers with High Leverage to See Inventory Quality Tested Under Broader “Three Red Lines” Policy

Presale: Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities, July 29, 2021

售前评级报告:丰耀2021年第二期个人汽车抵押贷款资产支持证券,2021年7月29日

Rating Action: Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities Senior Notes Assigned AAAspc(sf) Preliminary Ratings

评级行动:评定“丰耀2021年第二期个人汽车抵押贷款资产支持证券”优先级证券的预期信用等级为AAAspc(sf)


Real Estate Developers with High Leverage to See Inventory Quality Tested Under Broader “Three Red Lines” Policy

In our view, the widening of regulations aimed at controlling real estate developers’ interest-bearing debt would further reduce the industry’s overall credit risk in the long term. However, the nearer term may see less headroom for highly leveraged developers to finance in the capital market, pushing them to sell off inventory to ease liquidity pressure.


Presale: Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities, July 29, 2021

On July 29, 2021, S&P Global (China) Ratings published its presale report on Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities. Please click the button below to read the report in PDF.



售前评级报告:丰耀2021年第二期个人汽车抵押贷款资产支持证券,2021年7月29日

2021年7月29日,标普信评发布丰耀2021年第二期个人汽车抵押贷款资产支持证券售前评级报告。

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Rating Action: Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities Senior Notes Assigned AAAspc(sf) Preliminary Ratings

BEIJING, July 29, 2021- S&P Global (China) Ratings has assigned its preliminary rating AAAspc(sf) to the Toyota Glory 2021 Phase II Retail Auto Loan Credit Asset-backed Securities (Toyota Glory 2021-2) Class A notes to be issued by China Foreign Economy and Trade Trust Co. The notes are backed by auto loans that were originated by Toyota Motor Finance (China) Company Limited (TMF).

 

We assigned the preliminary ratings based on information as of July 16, 2021. We expect to assign and publish our final ratings when the trust becomes effective.

 

The preliminary ratings reflect our analysis of five pillars under S&P Ratings China--Structured Finance Methodology.

 

Credit Quality of the Securitized Assets: We analyzed the originator's operational framework, risk management and track record, historical static and dynamic pool data, aggregated and securitized assets, and other qualitative and quantitative factors to derive our base-case assumptions which are further refined by forward-looking considerations. We have formed a base-case assumption of a default rate of 1.10% and recovery rate of 15.00%. After applying the specific stress multiple and recovery haircut, the stressed default and recovery rates are 5.50% and 7.50% respectively under our AAAspc(sf) rating stress scenario.

 

Payment Structure and Cash Flow Mechanics: We model various combinations under default timing assumptions, prepayment rate assumptions, different triggers and payment structures, tax, fees and expenses assumptions. The Class A notes are expected to be able to withstand stresses commensurate with the ratings assigned to the notes, and still meet payment obligations in a timely manner. We estimated the final S&P Global (China) Ratings CE buffer to be greater than 4%.

 

Operational and Administrative Risk: The transaction’s direct debit payment mechanism will reduce TMF’s operational risk to some extent. Although there is no back-up servicer, the liquidity reserve account can provide liquidity support to the transaction. We believe the participants in this transaction are capable of fulfilling the duties and responsibilities stipulated in the agreement given their experience and past track record.

 

Counterparty Risk: Our assessment of counterparty risk takes into account payment interruption risk, account bank risk, commingling risk and set off risk etc. The transaction documents have incorporated various credit quality triggers to mitigate the abovementioned counterparty risk.

 

Legal and Regulatory Risk: This transaction is structured in accordance with China's Trust Law and China Asset Securitization scheme. We believe the legal structure of the special purpose trust (SPT) meets the principle of true sale and bankruptcy remoteness in securitization. Through our legal analysis, the borrower notification, collateral re-registration and other legal risks have been mitigated by the arrangements stipulated in the transaction documents. 

 

List of Preliminary Ratings:

Class A: AAAspc(sf)

 

Methodology Applied:

S&P Ratings China--Structured Finance Methodology

 

Related Research:

Commentary: Understanding Our Approach to China Consumer Asset-Backed Securities

The Road to Recovery: China Corporate Mid-Year Outlook 2021

The Journey Ahead: A Look At China’s Auto ABS Sector 2021 Edition

 

Models Applied:

 

SPG China Ratings Structured Finance Cash Flow Engine

 

Media Contacts:

Sharon Tang, Beijing, (86)10-6569-2988; sharon.tang@spgchinaratings.cn

 

Analyst Contacts:

Beibei Shi, Beijing;     beibei.shi@spgchinaratings.cn

Jiarong Li, Beijing;     jiarong.li@spgchinaratings.cn

Siyue Zhu, Beijing; april.zhu@spgchinaratings.cn



评级行动:评定“丰耀2021年第二期个人汽车抵押贷款资产支持证券”优先级证券的预期信用等级为AAAspc(sf)

北京,2021年7月29日—标普信评今日宣布,已评定“丰耀2021年第二期个人汽车抵押贷款证券化信托”项下优先级资产支持证券(以下简称“优先级证券”)的预期信用等级为AAAspc(sf)。该交易由丰田汽车金融(中国)有限公司(以下简称“丰田金融”)发起,将由中国对外经济贸易信托有限公司(以下简称“外贸信托”)受托发行。

 

上述预期信用等级是根据截至2021年7月16日的资料及分析评定的,标普信评预期将于信托设立日确认并公布最终信用等级。

 

根据标普信评结构融资方法论五大方面的分析,上述预期信用等级主要反映了以下观点:

 

基础资产信用质量:标普信评综合考虑发起机构的运营模式、风险管理能力和历史经验,静态池和动态池的历史数据表现,以及资产池信用特征等因素,同时应用前瞻性分析方法对预期基准假设加以优化调整。我们预计本期交易的基准违约率为1.10%,基准回收率为15.00%;资产池在AAAspc(sf)级别压力情景下的违约率为5.50%,回收率为7.50%。

 

现金流和交易结构:通过现金流分析和压力测试,标普信评预计本期交易在当前证券级别、交易结构及相关假设下,优先级证券仍能够按时足额偿付本息。我们对本期交易分析和加压的参数包括违约率、违约时间分布、损失率、回收率、回收时间、早偿率及各项支出等。标普信评增信缓冲最终测算结果大于4%。

 

运营和管理风险:本期交易的贷款服务机构丰田金融通常采取直接借记卡扣款的方式进行还款回收,一定程度上能够减轻运营风险。虽然本期交易中并未指定后备贷款服务机构,但信托(流动性)储备账户的设置能够在一定程度上为交易提供流动性支持。我们认为本期交易参与方经验丰富,具备履行其相应职责的能力。

 

交易对手风险:标普信评在评估交易对手风险时考虑了资金保管机构风险、偿付中断风险和混同风险等因素。我们认为目前的交易安排能够缓释相关交易对手风险。

 

法律和监管风险:我们认为本期信托的法律结构符合资产证券化对真实出售与破产隔离的要求。本期交易存在未通知借款人、因未办理抵押权变更登记而无法对抗善意第三人的风险及其他法律风险,但现有的交易安排可有效缓释上述风险。

 

预期信用等级列表

优先级证券:AAAspc(sf)

 

相关方法:

标普信用评级(中国)— 结构融资评级方法论

 

相关研究:

评论:解读标普信用评级(中国)个人消费贷款资产支持证券分析方法

复苏进行时 非金融企业信用2021年年中展望

中国个人汽车抵押贷款资产支持证券行业研究2021版

 

相关模型:

标普信用评级(中国)结构融资现金流模型

 

传媒联络人:  

汤劭颖,北京;(86)10-6569-2988;sharon.tang@spgchinaratings.cn

 

分析师

施蓓蓓,北京;beibei.shi@spgchinaratings.cn

李佳蓉,北京;jiarong.li@spgchinaratings.cn

朱偲玥,北京;april.zhu@spgchinaratings.cn



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