DBRS Ratings Limited has assigned Ratings to Koromo S.A., acting in respect of its Compartment 2

DBRS Ratings Limited (‘DBRS’) has assigned ratings to the following notes issued by Koromo S.A., acting in respect of its Compartment 2:

--AAA (sf) to € 900,000,000 to Class A notes

Koromo S.A., acting in respect of its Compartment 2 (the ‘Issuer’) is a securitisation of a portfolio of auto loan receivables granted to private and commercial borrowers resident or registered in Germany and originated by Toyota Kreditbank GmbH (‘TKG’, also the ‘Seller’ or the ‘Originator’). At closing, the transaction issued the Class A (rated) and Class B (unrated) notes to purchase € 973.0 million portfolio of auto loan receivables. The Portfolio will be serviced by TKG (also the ‘Servicer’). The Seller also granted to the Issuer a subordinated loan to fund the reserve fund.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement. The € 900 million Class A notes benefit from 7.50% credit enhancement in the form of € 73 million (7.50%) Class B notes. The reserve fund is available to meet payments on the senior fees and interest on Class A notes. The transaction has a 5 year revolving period until the payment date as of October 2019. Throughout the revolving period the Seller may sell new receivables to the Issuer according to specific purchase criteria detailed within the transaction documents. Following the end of the revolving period (or upon an early amortisation event), principal will be paid to amortise the notes. Principal will be used to amortise Class A notes first and, after payment in full for Class A notes, Class B notes will start to amortise.
• The portfolio consists of auto loan receivables that pay monthly instalments and are tied to fixed interest rates. The notes pay monthly and are linked to a fixed interest rate.
• The main characteristics of the initial portfolio as of 30 September 2014 (as a percentage of the receivables) include: (i) 85.08% relate to private customers and 14.92% relates to commercial entities, (ii) 62.08% represent new cars and 37.92% used cars, (iii) 73.40% represent balloon loans and 26.60% amortising loans, (iv) the main concentrations by federal states are Nordrhein-Westfalen (20.06%), Bayern (16.85%) and Baden-Württemberg (11.15%), and (v) 92.44% of vehicles are Toyota branded with the top 3 models representing Auris (19.81%), Yaris (19.27%) and Avensis (19.17%). Furthermore the portfolio includes 116,969 auto loan accounts, has an average balance of € 8,318, loan receivables are 22.31 months seasoned with a weighted average remaining term of 30.24 months.
• The transaction has a 5 year revolving period. Through the revolving period the Seller may sell new receivables according to the initial eligibility criteria and in accordance to the following concentration limits: (i) the total used vehicles must not account for more than 50% of the outstanding principal balance, (ii) the total receivables representing commercial clients must not account for more than 35% of the outstanding principal balance, (iii) total commercial used contracts must not account for more than 10% of the outstanding principal balance, (iv) total balloon loans must not exceed 75% of the outstanding principal balance and (v) the weighted-average interest rate of all underlying agreements must not be less than 3.5%.
• Relevant credit enhancement in the form of a cash reserve account and subordination. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at ‘AAA’ (sf).
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of TKG to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include TKG and Citigroup Global Markets Limited. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information upon which DBRS ratings and reports are based, and any other content displayed on the Site, is obtained by DBRS from sources DBRS believes to be accurate and reliable. DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Base Case Probability of Default (PD) of 3.25%, a 25% and 50% increase on the base case PD.
• Base case Recovery Rate of 53.38% (or a Loss Given Default (LGD) of 46.62%), a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade the rating of the Class A notes to AA (high)(sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to downgrade the rating of the Class A notes to AA (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade the rating of the Class A notes to AA (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to downgrade the rating of the Class A notes to AA (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would to downgrade the rating of the Class A notes to AA (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to downgrade the rating the Class A notes to A (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: David Sanchez Rodriguez
Initial Final Rating Date: October 24, 2014
Initial Final Rating Committee Chair: Chuck Weilamann
Lead Surveillance Analyst: Vito Natale

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies

• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.