Toyota Auto Receivables 2021-C Owner Trust

Presale:

Toyota Auto Receivables 2021-C Owner TrustSeptember 16, 2021

Preliminary Ratings

Class(i)Preliminaryrating Type

Interestrate

Preliminaryamount (mil. $)

Upsizedpreliminary amount

(mil. $)(ii)

Expected legalfinal maturitydate

A-1 A-1+ (sf) Senior Fixed 264.00 352.00 Oct. 17, 2022

A-2 AAA (sf) Senior Fixed 396.00 528.00 May 15, 2024

A-3 AAA (sf) Senior Fixed 396.00 528.00 Jan. 15, 2026

A-4 AAA (sf) Senior Fixed 114.00 152.00 Jan.15, 2027

B(iii) NR Subordinate Fixed 30.00 40.00 April 17, 2028

Note: This presale report is based on information as of Sept. 16, 2021. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The class B notes and at least5.00% (by initial principal amount) each of the class A-1, A-2, A-3, and A-4 notes will be retained initially by Toyota Auto Finance ReceivablesLLC. In addition, Toyota Auto Finance Receivables LLC may retain all the class A-1 notes. (ii)The anticipated size of the notes if the aggregateinitial principal balance of the notes is $1.60 billion. (iii)The class B notes will have a 0% interest rate. NR-–Not rated.

Profile

Expected closing date Sept. 27, 2021.

Collateral Prime fixed-rate auto loan receivables.

Originator, sponsor, administrator, and servicer Toyota Motor Credit Corp. (A+/Stable/A-1+).

Depositor Toyota Auto Finance Receivables LLC.

Issuer Toyota Auto Receivables 2021-C Owner Trust.

Lead underwriter Barclays Capital Inc.

Indenture trustee U.S. Bank N.A. (AA-/Stable/A-1+).

Owner trustee Wilmington Trust N.A.

Credit Enhancement Summary (%)

TAOT 2021-C TAOT 2021-B

Initial(i) Target(i) Floor(i) Initial(i) Target(i) Floor(i)

Presale:

Toyota Auto Receivables 2021-C Owner TrustSeptember 16, 2021

PRIMARY CREDIT ANALYST

Amanda A Augustine

New York

+ 1 (212) 438 1607

[email protected]

SECONDARY CONTACT

Jennie P Lam

New York

+ 1 (212) 438 2524

[email protected]

www.standardandpoors.com September 16, 2021 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Credit Enhancement Summary (%) (cont.)

Class A

Overcollateralization 0.00 0.85 0.85 0.00 0.85 0.85

Reserve account 0.25 0.25 0.25 0.25 0.25 0.25

Subordination 2.50 2.50 2.50 2.50 2.50 2.50

Total 2.75 3.60 3.60 2.75 3.60 3.60

Class B

Overcollateralization 0.00 0.85 0.85 0.00 0.85 0.85

Reserve account 0.25 0.25 0.25 0.25 0.25 0.25

Subordination 0.00 0.00 0.00 0.00 0.00 0.00

Total 0.25 1.10 1.10 0.25 1.10 1.10

Additional enhancement

YSOA (% of initial adjustedpool balance)

4.11(iii) -- -- 4.18 -- --

Estimated annual excessspread(ii)

3.50(iii) -- -- 3.84 -- --

Initial aggregate receivablespool balance ($)

1,249,331,984(iii) -- -- 1,666,956,330 -- --

Initial YSOA ($) 49,330,872(iii) -- -- 66,952,404 -- --

Initial adjusted pool balance($)

1,200,001,112(iii) -- -- 1,600,003,926 -- --

Total securities issued ($) 1,200,000,000 -- -- 1,600,000,000 -- --

(i)Percentage of the initial adjusted pool balance. (ii)Includes the 1.00% servicing fee. Annual excess spread is adjusted for yield supplementovercollateralization. For comparison purposes, the estimated annual excess spread shown here for TAOT 2021-C is pre-pricing, while TAOT2021-B's estimated annual excess spread is post-pricing. (iii)If the series 2021-C issued notes' aggregate initial principal amount is $1.60billion, the YSOA percentage of the initial adjusted pool balance will be 4.13%, the estimated annual excess spread will be 3.50%, the initialaggregate receivables pool balance will be $1,666,028,015, the initial YSOA will be $66,023,073, and the initial adjusted pool balance will be$1,600,004,941. TAOT--Toyota Auto Receivables Owner Trust. YSOA--Yield supplement overcollateralization amount.

Rationale

The preliminary ratings assigned to Toyota Auto Receivables 2021-C's (TAOT 2021-C's) class A-1,A-2, A-3, and A-4 (collectively, class A) asset-backed notes reflect:

- The availability of approximately 8.1% credit support (including excess spread) for the class Anotes based on stress cash flow scenarios. This credit support level provides coverage ofapproximately 11.6x of the upper bound of our 0.60%-0.70% expected cumulative net loss(CNL) range for the class A notes and is commensurate with the assigned preliminary 'A-1+ (sf)'and 'AAA (sf)' ratings (see the S&P Global Ratings' Expected Loss and Cash Flow Modelingsections).

- The timely interest and full principal payments made under the stressed cash flow modelingscenarios appropriate for the assigned preliminary ratings (see the Cash Flow ModelingAssumptions And Results section). In our modeling approach, we used a bifurcated poolmethod, in which the subvened loans prepay and default at lower rates than the nonsubvenedloans. (For cash flow purposes, "subvened" means loans with annual percentage rates [APRs]of 4.00% or less.)



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Presale: Toyota Auto Receivables 2021-C Owner Trust

- The loss performance of Toyota Motor Credit Corp.'s (Toyota's) previous securitizations,origination static pool performance, and managed portfolio performance; its deal-levelcollateral characteristics and comparison with its prime auto finance company peers; and ourforward-looking view of the U.S. economy.

- Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), allelse being equal, our preliminary 'AAA (sf)' ratings on the class A notes are consistent with thecredit stability limits specified by section A.4 of the Appendix in "S&P Global RatingsDefinitions" published Jan. 5, 2021).

- The transaction's credit enhancement in the form of subordinated notes, a nonamortizingreserve account, overcollateralization that is initially 0.00% but is expected to build to a targetlevel, a yield supplement overcollateralization amount (YSOA), and excess spread (see theCredit Enhancement Summary table above).

- Our view of the securitized pool of prime auto loans, which has a weighted average FICO scoreof 767 and weighted average seasoning of approximately 12 months. The collateral poolincludes no loans with original maturity terms greater than 72 months or borrowers with FICOscores below 620.

- Our view of the transaction's payment and legal structures.

Environmental, Social, And Governance (ESG) Factors

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For the autoABS sector, we view the exposure to environmental credit factors as above average, social creditfactors as average, and governance credit factors as below average (see "ESG Industry ReportCard: Auto Asset-Backed Securities," published March 31, 2021).

In our view, the exposure to ESG credit factors in this transaction is in line with our sectorbenchmark. Environmental credit factors are generally viewed as above average, given that thecollateral pool primarily comprise vehicles with internal combustion engines (ICE), which createemissions of pollutants including greenhouse gases. While the adoption of electric vehicles andfuture regulation could in time lower ICE vehicle values, we believe that our current approach toevaluating recovery and residual values adequately account for vehicle values over the relativelyshort expected life of the transaction. As a result, we have not separately identified this as amaterial ESG credit factor in our analysis.

Changes From The Series 2021-B Transaction

The collateral composition and credit enhancement changes from the series 2021-B include that(figures in parentheses refer to the upsized 2021-C pool if the two pools differ):

- The required YSOA rate decreased to 4.55% from 4.60%;

- The initial YSOA amount as a percentage of the initial adjusted pool balance decreased slightlyto 4.11% (4.13% if upsized) from 4.18%; and

- The estimated excess spread decreased to approximately 3.50% before pricing from 3.84%(after pricing).

The notable collateral composition changes in the TAOT 2021-C pool from TAOT 2021-B includethat:



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- The percentage of loans with a remaining term of 61-72 months increased to 32.03% (32.07% ifupsized) from 29.58%;

- The percentage of new vehicles decreased slightly to 73.49% (73.66% if upsized) from 74.59%;and

- The weighted average seasoning decreased to 11.95 (11.93 if upsized) months from 12.84months.

Overall, the TAOT 2021-C collateral pool's credit quality is similar to that of TAOT 2021-B, in ourview (see the Pool Analysis section for the collateral pool comparison to 2021-B and prior TAOTpools).

Since the onset of the COVID-19 pandemic, we have generally implemented higher base-case CNLassumptions and adjusted certain cash flow assumptions in our analysis of U.S. auto loantransactions (see "The Potential Effects Of COVID-19 On U.S. Auto Loan ABS," published March 26,2020). These adjustments reflected our view at that time of the negative impact that the COVID-19pandemic could have on wages, unemployment, and, ultimately, borrowers' abilities to continuemaking their auto loan payments. We have now observed the pandemic's impact through morethan a year of performance data on outstanding U.S. auto loan ABS securitizations showingbetter-than-expected performance (see "U.S. Auto Loan ABS Is Navigating Through COVID-19 WithBetter-Than-Expected Performance," published Feb. 10, 2021).

While we continue to believe uncertainty remains due to the pandemic, our analyses incorporateour view of the latest developments, including the better-than-expected performance results,Toyota Motor Credit Corp.'s steps to mitigate higher losses, and our most recent macroeconomicoutlook, which incorporates a higher baseline forecast for U.S. GDP growth and lowerunemployment rates. As a result, we decreased our expected CNL for TAOT 2021-C to the0.60%-0.70% range. We will continue to monitor early performance indicators and reflect them inour analyses on a forward-looking basis (see "Auto Loan ABS COVID-19 Loss AdjustmentReassessed After Better-Than-Expected Performance," published July 8, 2021).

Transaction Overview

TAOT 2021-C is Toyota's 23rd auto loan securitization to be issued under its Regulation ABII-compliant retail shelf.

Toyota will issue $1.20 billion ($1.60 billion if upsized) of class A and B sequential-pay notes. Theclass B notes will be retained by Toyota Auto Finance Receivables and will have a 0% interest rate.The transaction's first scheduled payment date will be Oct. 15, 2021. The notes' applicableprincipal and interest are scheduled to be paid on the 15th day of each following month. The classA notes will all be fixed-rate issuances.

The TAOT 2021-C transaction is structured as a true sale of the receivables from Toyota (theoriginator and sponsor) to Toyota Auto Finance Receivables LLC (the depositor and abankruptcy-remote special-purpose entity), which, in turn, will sell the receivables as a true saleto TAOT 2021-C, the issuer. TAOT 2021-C will then pledge the rights to the receivables to theindenture trustee for the noteholders' benefit. TAOT 2021-C will issue approximately $1.17 billionof class A notes and $30.00 million of class B notes; if the initial notes' aggregate balance isupsized to $1.60 billion, TAOT 2021-C will issue approximately $1.56 billion of class A notes and$40.00 million of class B notes.



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Chart 1

In rating this transaction, S&P Global Ratings will review the relevant legal matters outlined in itscriteria.

Transaction Structure

The TAOT 2021-C transaction incorporates the following structural features:

- A sequential-pay mechanism that results in increased credit enhancement for the senior notesas the pool amortizes.

- Class B notes that will be retained by Toyota Auto Finance Receivables and have a 0.00%interest rate.

- Overcollateralization (net of the YSOA) that will initially equal zero and is expected to grow to atarget of 0.85% of the initial adjusted pool balance and stay at that level.

- A fully funded nonamortizing reserve fund that will equal 0.25% of the initial adjusted poolbalance.

- A YSOA that initially will be 4.11% (4.13% if upsized) of the adjusted pool balance (3.95% of the



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aggregate pool balance; 3.96% if upsized) and will be calculated each month as the poolamortizes, based on the difference between the aggregate receivables balance outstandingand the present value of the receivables balance, discounted at the greater of 4.55% per year orthe receivable's actual APR. The YSOA is sized so that the yield on the contracts with APRsbelow the YSOA-required rate, 4.55%, is raised to the required rate.

- Excess spread, to the extent available after covering net losses, which will pay principal on theoutstanding notes to build credit enhancement to the target level.

Payment Structure

Available funds will be distributed according to the priority shown in table 1.

Table 1

Payment Waterfall

Priority Payment

1 Servicing fee of 1.00% of the current pool balance.

2 Transaction fees and expenses to the indenture trustee, the owner trustee, and the asset representationsreviewer in an aggregate amount that doesn't exceed $300,000 in any calendar year.

3 Accrued and unpaid interest, pro rata, to the class A noteholders.

4 Principal payments sequentially in the amount of the first-priority principal distribution, which is the excess ofthe class A notes' outstanding principal over the receivables principal balance minus the YSOA (the adjusted poolbalance) to the class A noteholders.

5 Accrued and unpaid interest to the class B noteholders(i).

6 Principal payments sequentially in the amount of the second-priority principal distribution, which is the excessof the class A and B notes' outstanding principal over the receivables principal balance minus the YSOA (theadjusted pool balance), minus the first-priority principal distribution amount to the class A and B noteholders.

7 Reserve account payments until the specified reserve account balance is reached.

8 Principal payments sequentially in the amount of the regular principal distribution, which is the excess of theoutstanding principal note balances over the adjusted receivables principal balance minus the targetovercollateralization amount minus the sum of the first- and second-priority principal distribution amounts tothe class A and B noteholders.

9 Any unpaid fees, expenses, and indemnification amounts due to the indenture trustee, the owner trustee, andthe asset representations reviewer.

10 Any remaining amounts to the certificateholder.

(i)Similarly to prior Toyota Auto Receivables Owner Trust transactions, the class B notes interest rate is 0%. YSOA--Yield supplementovercollateralization amount.

Managed Portfolio

For the three months ended June 30, 2021, Toyota's retail managed portfolio increased toapproximately $64.00 billion from $57.51 billion a year earlier. In our view, Toyota's managedportfolio demonstrates relatively stable performance. Toyota's total delinquencies as of June 30,2021, were 1.46%, a decrease from 1.57% a year earlier. Repossessions as a percentage of theaverage number of contracts outstanding increased to 0.75% from 0.32% for the three monthsending June 30, 2021. Net losses as a percentage of the average principal loan balanceoutstanding for the three months ended June 30, 2021, dropped to 0.09% from 0.42% for the



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same prior period. We attribute this, in part, to enhanced unemployment benefits and governmentstimulus payments, as well as to strong recovery rates as a result of supply constraints in the automarket. Toyota's securitizations since 2010, including TAOT 2021-C, generally consist ofhigher-quality loans than those of the overall managed portfolio. Toyota's transactions arecharacterized by a minimum FICO score of 620 and exclude any loans with an original term greaterthan 72 months.

Table 2

Managed Portfolio

Three Months EndedJune 30 Fiscal year ended March 31

2021 2020 2021 2020 2019 2018 2017 2016 2015 2014

Principalamountoutstanding(bil. $)

64.000 57.514 62.833 56.266 53.236 52.760 50.759 49.717 49.645 48.761

No. ofcontractsoutstanding

3,245,102 3,140,945 3,237,181 3,142,143 3,097,464 3,158,375 3,181,143 3,163,189 3,209,872 3,220,641

Avg. principalamountoutstanding(bil. $)

63.416 56.890 59.549 54.751 52.998 51.760 50.238 49.681 49.203 47.847

Avg. no. ofcontractsoutstanding

3,241,142 3,141,544 3,189,662 3,119,804 3,127,920 3,169,759 3,172,166 3,186,531 3,215,257 3,188,444

Delinquencies (%)(i)

30-59days

0.94 0.84 0.85 1.28 1.24 1.17 1.14 1.13 0.97 1.02

60-89days

0.28 0.26 0.22 0.37 0.31 0.30 0.25 0.25 0.20 0.21

More than89 days

0.24 0.47 0.26 0.39 0.27 0.26 0.24 0.21 0.17 0.18

Total30-plusdays

1.46 1.57 1.33 2.04 1.82 1.73 1.63 1.59 1.35 1.41

No. ofrepossessionsas a % of theavg. no. ofcontractsoutstanding(ii)

0.75 0.32 0.89 1.12 1.14 1.22 1.45 1.18 1.08 1.10

Recoveries($000s)

16,708 9,315 47,917 49,191 48,871 49,567 49,474 47,966 59,931 62,714

Net losses asa % of avg.principalamountoutstanding(ii)

0.09 0.42 0.39 0.55 0.52 0.58 0.69 0.55 0.42 0.41

(i)As a percentage of contracts outstanding. (ii)Annualized.



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Collateral Pool Analysis

As of the July 31, 2021, cutoff date, TAOT 2021-C's collateral pool consisted of approximately$1.25 billion ($1.67 billion if upsized) in Toyota-originated auto loans. We compared the TAOT2021-C pool with those of Toyota's previous securitizations (see table 3). Approximately 83% ofthe obligors by balance have FICO scores greater than 700. While approximately 51% of the pools'loans by principal balance have original terms of 61-72 months, only approximately 32% haveremaining terms of that duration, due to seasoning. The collateral pool includes no loans withoriginal maturity terms greater than 72 months or borrowers with FICO scores below 620. In ourview, the TAOT 2021-C pool's credit characteristics are relatively consistent with Toyota's priorseries.

The TAOT 2021-C collateral pool will exclude any receivables that have received extensions as ofthe July 31, 2021, cutoff date.

Table 3

Toyota Auto Receivables Owner Trust Collateral Comparison(i)

Series

2021-C(ii)

2021-C(if

upsized)(iii) 2021-B

2021-A(iv) 2020-D 2020-C 2020-A 2019-D 2019-C 2019-B 2019-A

Receivablesbalance(mil. $)

1,249.33 1,666.03 1,666.96 1,822.78 1,653.00 1,659.84 1,855.90 1,872.86 1,344.77 1,907.22 1,930.93

No. ofreceivables

56,660 75,689 78,636 89,958 87,460 86,264 97,464 99,197 72,045 102,324 101,380

Avg. loanbalance ($)

22,050 22,011 21,198 20,263 18,900 19,241 19,042 18,880 18,666 18,639 19,046

Weightedavg. APR(%)

3.06 3.05 3.08 3.06 3.46 3.43 3.20 2.98 2.74 2.56 2.32

Weightedavg. originalterm (mos.)

65.43 65.41 65.43 65.14 66.05 66.15 65.76 65.75 65.86 65.85 65.91

Weightedavg.remainingterm (mos.)

53.48 53.48 52.60 51.24 49.73 50.48 49.96 49.72 49.47 50.05 50.82

Weightedavg.seasoning(mos.)

11.95 11.93 12.84 13.90 16.32 15.66 15.80 16.03 16.39 15.80 15.09

Weightedavg. FICOscore

767 767 767 769 769 769 766 766 762 761 762

% with FICOscoregreaterthan 700

83.37 83.38 83.23 83.50 83.65 83.47 82.08 82.51 79.02 79.14 79.13



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Table 3

Toyota Auto Receivables Owner Trust Collateral Comparison(i) (cont.)

Series

2021-C(ii)

2021-C(if

upsized)(iii) 2021-B

2021-A(iv) 2020-D 2020-C 2020-A 2019-D 2019-C 2019-B 2019-A

Originalterm 61-72mos. (%)

50.59 50.46 50.61 49.18 56.23 57.35 54.29 54.33 55.30 55.07 55.51

% of newvehicles

73.49 73.66 74.59 73.67 76.67 78.62 80.06 79.66 81.03 81.76 82.36

% of usedvehicles

26.51 26.34 25.41 26.33 23.33 21.38 19.94 20.34 18.97 18.24 17.64

Top five state concentrations (%)(v)

CA=26.29 CA=26.41 CA=26.03 CA=23.69 CA=23.32 CA=23.83 CA=24.70 CA=24.98 CA=24.83 CA=24.68 CA=23.94

TX=12.88 TX=12.71 TX=12.96 TX=12.49 TX=13.90 TX=14.23 TX=15.02 TX=14.91 TX=14.82 TX=14.57 TX=15.33

PA=4.38 PA=4.32 IL=4.54 IL=4.70 IL=4.47 PA=5.02 IL=4.77 IL=4.92 IL=4.75 IL=4.73 IL=4.59

IL=4.26 IL=4.24 PA=3.64 PA=4.41 PA=4.11 IL=4.74 PA=4.00 PA=3.90 PA=3.96 PA=3.95 PA=4.02

NJ=3.75 NJ=3.72 NJ=3.48 VA=3.81 VA=3.90 VA=3.84 VA=3.78 VA=3.54 VA=3.55 VA=3.68 VA=3.78

(i)All percentages are of the initial receivables balance. (ii)$1.25 billion pool. (iii)$1.67 billion pool. (iv)Not rated by S&P Global Ratings. (v)As a percentage of theprincipal balance. APR--Annual percentage rate.

We also compared the TAOT 2021-C collateral pool with other recent peer transactions within theprime auto loan sector that have similar expected CNL ranges (see table 4).

Table 4

Collateral Peer Comparison(i)

Issuer

TAOT 2021-CTAOT 2021-C (if

upsized) HAROT 2021-3 MBART 2020-1

Receivables balance (mil. $) 1,249.33 1,666.03 1,619.43 1,124.78

No. of receivables 56,660 75,689 86,105 35,214

Avg. principal balance ($) 22,050 22,011 18,808 31,941

Avg. APR (%) 3.06 3.05 2.43 3.82

Avg. original term (mos.) 65.43 65.41 61.72 63.55

Avg. remaining term (mos.) 53.48 53.48 49.44 52.53

Avg. seasoning (mos.) 11.95 11.93 12.28 11.02

Loans with original term greater than60 mos. (%)

50.59 50.46 29.52 66.24

Maximum original loan term (mos.) 72 72 72 72

New vehicles (%) 73.49 73.66 90.88 40.19

Used vehicles (%) 26.51 26.34 9.12 59.81

Weighted avg. FICO score 767 767 771 777



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Table 4

Collateral Peer Comparison(i) (cont.)

Issuer

TAOT 2021-CTAOT 2021-C (if

upsized) HAROT 2021-3 MBART 2020-1

Minimum FICO score 620 620 -- 651

Top three state concentrations (%)

CA=26.29 CA=26.41 CA=17.31 CA=21.76

TX=12.88 TX=12.71 TX=9.26 TX=13.61

PA=4.38 PA=4.32 FL=5.88 FL=9.72

(i)All percentages are of the initial gross receivables balance. TAOT--Toyota Auto Receivables Owner Trust. HAROT--Honda Auto ReceivablesOwner Trust. MBART—Mercedes Benz Auto Receivables Trust. APR--Annual percentage rate.

The TAOT 2021-C pool has strong collateral characteristics, in our view. Its weighted averageseasoning is comparable with its peers. TAOT 2021-C's weighted average remaining term iscomparable to that of the Mercedes-Benz Auto Receivables Trust 2020-1 pool, though it has lowerweighted average FICO score. Compared to the Honda Auto Receivables Trust 2021-3 Owner Trustpool, TAOT 2021-C has a higher percentage of loans with original terms greater than 60 months.

Securitization Performance

Toyota did not issue any securitizations between 2004 and 2009. Since re-entering thesecuritization market in 2010, Toyota has completed 39 transactions. All have experienced netlosses in line with our initial or revised expectations. In our view, all of the classes currently haveadequate credit enhancement at their current rating levels. We will continue to monitor theperformance of the outstanding transactions to ensure that the credit enhancement remainsufficient, in our view, to cover our revised CNL expectations under our stress scenarios for each ofthe rated classes.



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Chart 2

Chart 3



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Chart 4

Chart 5



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Table 5

Collateral Performance

TAOT series surveillanceupdate (as of the August2021 distribution date)

Series Month

Poolfactor

(%)CurrentCNL (%)

60-plus-daydelinquency (%)

Original lifetimeexpected CNL

(%)

Revised lifetimeexpected CNL

(%)(i)

2017-D 45 6.42 0.35 0.47 0.55-0.65 Up to 0.50

2018-A 42 9.17 0.36 0.33 0.55-0.65 0.45-0.55

2018-B 39 12.65 0.35 0.31 0.55-0.65 0.45-0.55

2018-C 36 16.35 0.35 0.27 0.55-0.65 0.50-0.60

2018-D 33 19.97 0.33 0.30 0.55-0.65 0.50-0.60

2019-A 30 23.47 0.31 0.21 0.55-0.65 0.55-0.65

2019-B 27 27.48 0.29 0.24 0.55-0.65 0.55-0.65

2019-C 24 31.95 0.27 0.23 0.55-0.65 0.55-0.65

2019-D 21 37.92 0.21 0.25 0.55-0.65 0.55-0.65

2020-A 18 43.76 0.18 0.19 0.55-0.65 0.55-0.65

2020-B 16 50.10 0.13 0.15 0.90-1.10 N/A

2020-C 13 55.21 0.08 0.11 0.90-1.10 N/A

2020-D 10 62.56 0.06 0.09 0.90-1.10 N/A

2021-A(ii) 6 76.41 0.03 0.09 N/A N/A

2021-B 2 89.64 0.01 0.08 0.70-0.80 N/A

(i)Revised lifetime net losses in April 2021. (ii)Not rated by S&P Global Ratings. CNL--Cumulative net loss. N/A--Not applicable.

S&P Global Ratings' Expected Loss: 0.60%-0.70%

We reviewed Toyota's origination static pool data, as well as the performance of Toyota'ssecuritized pools, to derive our base-case expected loss level for the TAOT 2021-C transaction.

We also reviewed Toyota's managed pool performance and the deal-level collateralcharacteristics. We then compared our expected loss level for the TAOT 2021-C pool with ourprojections for Toyota's peers to verify that the loss range remained appropriate, given therelevant differences across the issuers and their pools.

In deriving our expected loss for TAOT 2021-C, we considered the pool's relatively high seasoning.The weighted average seasoning of the collateral pool is 11.95 months (11.93 months if upsized).As a result, the average current loan balance has paid down about 25% to $22,050 ($22,011 ifupsized) from the average original loan balance of $29,367 ($29,347 if upsized). Also, because ofthe high seasoning, only about 32% of both the base and upsized pools' loans have remainingterms of 61-72 months, while about 51% (50% if upsized) of the pools' loans had original terms of61-72 months.

We expect the TAOT 2021-C pool to experience CNLs in the 0.60%-0.70% range. This is based onour view of Toyota's securitizations, origination static pool, and managed portfolio performance,as well as the credit quality of the receivables pool and our forward-looking view of the economy.



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Cash Flow Modeling Assumptions And Results

We used cash flow modeling to determine the availability and timing of excess spread and thetransaction's ability to pay timely interest and ultimate principal to the rated classes under stressscenarios that we believe are consistent with the assigned preliminary ratings. Excess spread,which is an important component of a transaction's overall credit enhancement, can be affectedby many factors, such as the absolute level and timing of defaults, prepayment speeds, paymenttiming lags, and the collateral's APR and term.

We modeled the TAOT 2021-C transaction to withstand a 'AAA (sf)' stress scenario for the class Anotes (see table 6). Historical performance data indicates that loans with lower APRs tend toprepay and default less frequently than loans with higher APRs. When this occurs within a pool ofloans, the lower-APR loans remain outstanding longer. We stressed the excess spread in our cashflow modeling scenarios accordingly by using a bifurcated-pool method under which thehigher-APR nonsubvened loans prepay faster and default at a disproportionately higher rate thanthe lower-APR subvened loans.

Table 6

Cash Flow Assumptions/Results

Class A

Preliminary rating AAA (sf)

Subvened loans (% of pool)(i) 72

Nonsubvened loans (% of pool) 28

Cumulative net loss timing (% of losses per year)

Total loans 43/79/92/100

Subvened loans 37/73/87/100

Nonsubvened loans 55/90/100

Loss allocation (% of total losses)

Subvened loans 65

Nonsubvened loans 35

Voluntary ABS (%)

Subvened loans 0.25

Nonsubvened loans 1.80

Recovery rate (%) 50

Recovery lag (mos.) 4

Approximate break-even net loss rate (%)(ii) 8.1

(i)Subvened loans are loans with APRs lower than 4.00%, and nonsubvened loans are loans with APRs greater than or equal to 4.00%. (ii)Themaximum cumulative net losses on the pool that the transaction can withstand without triggering a payment default on the class A notes.ABS--Absolute prepayment speed. APRs--Annual percentage rates.

In our break-even scenarios, while the nonsubvened loans constitute approximately 28% of theTAOT 2021-C pool, they were allocated 35% of the losses. Conversely, the subvened loans accountfor about 72% of the pool and were allocated only 65% of the losses. This additional stressreduced the break-even losses that the transaction's credit enhancement could absorb butremained consistent with our 'AAA' stress scenario. We used relatively front-loaded loss timing



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curves to account for the highly seasoned collateral.

The break-even cash flow results show that the class A notes have more than sufficient creditenhancement to withstand a stressed net loss level consistent with the assigned preliminaryratings of 'AAA (sf)'.

Sensitivity Analysis

In addition to analyzing break-even cash flows, we conducted a sensitivity analysis to determinewhether under a moderate ('BBB') stress scenario, all else being equal, our preliminary ratingswould remain within the credit stability tolerances outlined in section A.4 of the Appendixcontained in "S&P Global Ratings Definitions" published Jan. 5, 2021. This indicates that we wouldnot assign 'AAA' ratings if, under moderate stress conditions, the ratings would be lowered bymore than one category within the first year.

Under the 1.60% moderate stress loss scenario (2.0x our minimum 'B' credit enhancement level,based on 0.80% expected CNL), we again ran a bifurcated-pool assumption, under which thenonsubvened collateral defaulted at a higher rate and prepaid at a faster rate than the subvenedcollateral. In addition, the nonsubvened collateral was allocated a higher proportion of the totallosses than its representative proportion of the total loan pool balance (see table 7). The 0.80%implied expected CNL is based on our 4.00% minimum credit enhancement level for a 'AAA' rating,as outlined in our U.S. auto loan criteria (see "General Methodology And Assumptions For RatingU.S. Auto Loan Securitizations," published Jan. 11, 2011).

Table 7

Scenario Analysis Summary: Moderate Stress Loss Scenario

Class A

Cumulative net loss level (% of initial pool balance) 1.60

Cumulative net loss timing (% of losses per year)

Total loans 43/79/92/100

Subvened loans(i) 37/73/87/100

Nonsubvened loans 55/90/100

Loss allocation (% of total losses)

Subvened loans 65

Nonsubvened loans 35

Voluntary ABS (%)

Subvened loans 0.25

Nonsubvened loans 1.50

Recovery rate (%) 50

Recovery lag (mos.) 4

(i)Subvened loans are loans with APRs that are 4.00% or lower, and nonsubvened loans are loans with APRs greater than 4.00%. ABS--Absoluteprepayment speed. APRs--Annual percentage rates.



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Chart 6

Money Market Tranche Sizing

The proposed money market tranche's (class A-1) legal final maturity date is Oct. 17, 2022. To testwhether the money market tranche can be repaid 12 months from closing, we ran cash flows usingassumptions that delay the principal collections during the 12-month period. In addition to zerodefaults, we assumed a 0.50% absolute prepayment speed on nonsubvened loans and a 0.00%absolute prepayment speed on subvened loans in our cash flow scenario. In this analysis, weconfirmed that the tranche would pay off by the final maturity date.

Legal Final Maturity

To test the legal final maturity dates proposed for the class A-1, A-2, A-3, and A-4 notes, wedetermined the dates on which the respective notes were fully amortized in a zero-loss,zero-prepayment scenario and then added three months to the result. For the longest-datedsecurity (class B), 12 months was added to the tenor of the longest receivable in the pool toaccommodate potential extensions on the receivables. Furthermore, in our break-even cash flowscenario for each respective preliminary rating level, we confirmed that there was sufficient creditenhancement to both cover losses and repay the related notes in full by the legal final maturitydate.



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Toyota

Toyota was incorporated in California in 1982 and began operating in 1983. It is owned by ToyotaFinancial Services International Corp., a California corporation that is a wholly owned subsidiary ofToyota Financial Services Corp., a Japanese corporation that is a wholly owned subsidiary ofToyota Motor Corp., another Japanese corporation. Toyota Financial Services manages ToyotaMotor Corp.'s worldwide finance operations.

Related Criteria

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- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology AndAssumptions, March 8, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk InStructured Finance Transactions, Oct. 9, 2014

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- Criteria | Structured Finance | ABS: General Methodology And Assumptions For Rating U.S. AutoLoan Securitizations, Jan. 11, 2011

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

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- Six Toyota Auto Receivables Owner Trust Ratings Raised And 34 Affirmed On 12 Transactions,April 2, 2021

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- U.S. Auto Loan ABS Is Navigating Through COVID-19 With Better-Than-Expected Performance,Feb. 10, 2021

- The Potential Effects of COVID-19 On U.S. Auto Loan ABS, March 26, 2020



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Toyota Auto Receivables 2021-C Owner Trust

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