Research: Rating Action: Moody’s Upgrades 13 Classes of Notes Issued by Seven Securitizations of Prime Auto Loan ABS

About $269 million in asset-backed securities affected

New York, October 12, 2022 — Moody’s Investors Service (“Moody’s”) has upgraded 13 classes of bonds issued by seven leading auto securitizations. The notes are backed by pools of retail auto loan agreements issued and managed by multiple parties. Chase Auto Credit Linked Notes, Series 2021-3 (CACLN 2021-3) transfers credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of auto loans.

The full rating actions are as follows:

Issuer: Ally Auto Receivables Trust 2019-4

Class D tickets, upgraded to Aaa (sf); Previously Sep 14, 2021 Upgraded to Aa1 (sf)

Issuer: Canadian Pacer Auto Receivables Trust 2020-1

Class C tickets, upgraded to Aa1 (sf); previously May 6, 2022 upgraded to Aa2 (sf)

Issuer: Capital One Prime Auto Receivables Trust 2021-1

Class B tickets, upgraded to Aaa (sf); previously on May 16, 2022 Upgraded to Aa1 (sf)

Class C tickets, upgraded to Aa2 (sf); previously May 16, 2022 upgraded to Aa3 (sf)

Class D tickets, upgraded to A2 (sf); previously on May 16, 2022 Upgrade to A3 (sf)

Issuer: CarMax Auto Owner Trust 2021-3

Class C asset-backed notes, upgraded to Aa2 (sf); previously on April 11, 2022 Upgraded to Aa3 (sf)

Issuer: CarMax Auto Owner Trust 2021-4

Class B asset-backed notes, upgraded to Aaa (sf); previously on April 11, 2022 Upgraded to Aa1 (sf)

Issuer: CarMax Auto Owner Trust 2022-1

Class B asset-backed notes, upgraded to Aa1 (sf); previously on January 26, 2022 Final rating assigned Aa2 (sf)

Grade C asset-backed notes, upgraded to A1 (sf); previously on January 26, 2022 Final rating assigned A2 (sf)

Issuer: Chase Auto Credit Linked Notes Series 2021-3

Class C tickets, upgraded to A1 (sf); previously on Sep 20, 2021 Final rating assigned A2 (sf)

Class D tickets, upgraded to A3 (sf); previously on Sep 20, 2021 Final rating given Baa2 (sf)

Class E tickets, upgraded to Baa3 (sf); previously on Sep 20, 2021 Final rating given Ba2 (sf)

Class F tickets, upgraded to Ba3 (sf); previously on Sep 20, 2021 Final rating awarded B2 (sf)

RATINGS RATIONALE

Rating actions are primarily driven by the accumulation of credit enhancement due to structural features including a sequential payout structure, non-declining reserve account and overcollateralisation. For CACLN 2021-3, rating actions are primarily driven by increasing subordination.

Our cumulative lifetime net loss forecasts are shown below for trade pools. Loss forecasts reflect updated performance trends on the underlying pools.

Ally Auto Receivables Trust 2019-4: 0.70%

Canadian Pacer Auto Receivables Trust 2020-1: 0.40%

Capital One Prime Auto Receivables Trust 2021-1: 0.35%

CarMax Auto Owner Trust 2021-3: 2.25%

CarMax Auto Owner Trust 2021-4: 2.25%

CarMax Auto Owner Trust 2022-1: 2.25%

Chase Auto Credit Linked Notes, Series 2021-3: 0.30%

MAIN METHODOLOGY

The main methodology used in these ratings was “Moody’s Global Approach to Rating Auto Loan- and Lease-Backed ABS” published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390478. Otherwise, please see the Scoring Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of ratings:

At the top

Levels of credit protection in excess of what is necessary to protect investors against current loss expectations could lead to rating upgrades. Losses could decline from Moody’s original expectations due to fewer debtor defaults or higher recoveries of the value of vehicles securing debtors’ promise to pay. The US labor market and the used vehicle market are also key drivers of the deal’s performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize loan recoveries or refinancing opportunities that result in prepayment of the loan.

Down

Insufficient levels of credit protection to protect investors against current expectations of loss could lead to rating downgrades. Losses could increase relative to Moody’s original expectations due to a higher number of debtor defaults or deterioration in the value of vehicles securing debtors’ promise to pay. The US labor market and the used vehicle market are also key drivers of the deal’s performance. Other reasons for performance below expectations include poor service, error on the part of the parties to the transaction, lack of transactional governance, and fraud.

REGULATORY INFORMATION

For details on key rating assumptions and Moody’s sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections in the Disclosure Form. Moody’s rating symbols and definitions can be found at https://ratings.moodys.com/rating-definitions.

The analysis includes an evaluation of collateral characteristics and performance to determine expected collateral loss or a range of collateral losses or expected cash flows for rated instruments. Second, Moody’s estimates collateral losses or expected cash flows using a quantitative tool that takes into account credit enhancement, loss distribution and other structural characteristics, to derive the loss expected for each scored instrument.

Moody’s quantitative analysis involves an evaluation of scenarios that focus on factors contributing to rating sensitivity and consider the likelihood of material collateral losses or impaired cash flows. Moody’s weights the impact on rated instruments based on its assumptions of the likelihood of events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security, this announcement provides certain regulatory information regarding each rating of a subsequently issued bond or note of the same series, category/class of debt, security or under a program for which ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a media provider, this announcement provides certain regulatory information relating to the credit rating action on the media provider and each particular credit rating action for securities whose credit ratings are derived from the support provider’s credit rating. For the provisional ratings, this press release provides certain regulatory information relating to the provisional rating assigned, and to a final rating that may be assigned after the final issuance of the debt, in each case where the structure and conditions of the transaction n have not changed prior to the final rating being assigned in a way that would have affected the rating. For more information, please see the issuer/transaction page of the respective issuer at https://ratings.moodys.com.

For all relevant securities or rated entities receiving direct credit support from the lead entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action , the associated regulatory information will be that of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to the jurisdiction: Ancillary services, Disclosures to the rated entity, Disclosures to be provided by the rated entity.

The ratings have been communicated to the rated entity or its designated agent(s) and issued without modification resulting from such communication.

These notes are solicited. Please refer to Moody’s Policy for the Designation and Assignment of Unsolicited Credit Ratings available on its website. https://ratings.moodys.com.

The regulatory information contained in this press release applies to the credit rating and, if applicable, the outlook or rating revision relating thereto.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis are available at https://ratings.moodys.com/documents/PBC_1288235.

The worldwide credit rating on this credit rating announcement was issued by one of Moody’s affiliates outside the EU and is approved by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main. -le-Main 60322, Germany, in accordance with Article 4(3) of Regulation (EC) No 1060/2009 on credit rating agencies. Further information on the EU approval status and the Moody’s office that issued the credit rating can be found at https://ratings.moodys.com.

The worldwide credit rating on this credit rating announcement has been issued by one of Moody’s affiliates outside the UK and is approved by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the United Kingdom. . Further information on the UK endorsement status and the Moody’s office that issued the credit rating can be found at https://ratings.moodys.com.

Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and Moody’s legal entity that issued the rating.

Please see the issuer/transaction page at https://ratings.moodys.com for additional regulatory information for each credit rating.

Nicholas Monzillo
Assistant Vice President – Analyst
Structured Finance Group
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Jinwen Chen
VP – Senior Loan Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Release Office:
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

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