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New York, July 21, 2022 — Moody’s Buyers Service (“Moody’s”) has assigned definitive scores to the notes issued by Avis Price range Rental Automotive Funding (AESOP) LLC (the issuer). The collection 2022-3 notes have an anticipated closing maturity of roughly 43 months. The issuer is an oblique subsidiary of the sponsor, Avis Price range Automotive Rental, LLC (ABCR, B1 steady). ABCR, a subsidiary of Avis Price range Group, Inc., is the proprietor and operator of Avis Lease A Automotive System, LLC (Avis), Price range Lease A Automotive System, Inc. (Price range), Zipcar, Inc, Payless Automotive Rental, Inc. (Payless) and Price range Truck.
Moody’s additionally introduced right now that the issuance of the Collection 2022-3, in and of itself and at the moment, won’t lead to a discount, withdrawal, or placement beneath evaluation for doable downgrade of any of the scores at present assigned to the excellent collection of notes issued by the issuer.
The entire ranking actions are as follows:
Issuer: Avis Price range Rental Automotive Funding (AESOP) LLC, Collection 2022-3
Collection 2022-3 Rental Automotive Asset Backed Notes, Class A, Definitive Ranking Assigned Aaa (sf)
Collection 2022-3 Rental Automotive Asset Backed Notes, Class B, Definitive Ranking Assigned A2 (sf)
Collection 2022-3 Rental Automotive Asset Backed Notes, Class C, Definitive Ranking Assigned Baa3 (sf)
Collection 2022-3 Rental Automotive Asset Backed Notes, Class D, Definitive Ranking Assigned Ba2 (sf)
RATINGS RATIONALE
The definitive scores on the collection 2022-3 notes are primarily based on (1) the credit score high quality of the collateral within the type of rental fleet autos, which ABCR makes use of in its rental automobile enterprise, (2) the credit score high quality of ABCR as the first lessee and as guarantor beneath the working lease, (3) the confirmed track-record and experience of ABCR as sponsor and administrator, (4) consideration of the vastly improved rental automobile market circumstances, (5) the accessible dynamic credit score enhancement, which consists of subordination and over-collateralization, (6) minimal liquidity within the type of money and/or a letter of credit score, and (7) the transaction’s authorized construction.
The whole credit score enhancement requirement for the collection 2022-3 notes is dynamic and decided because the sum of (1) 5.65% for autos topic to a assured depreciation or repurchase program from eligible producers (program autos) rated no less than Baa3 by Moody’s, (2) 9.15% for all different program autos, (3) 13.75% minimal for non-program (threat) autos and (4) 35.65% for medium and heavy responsibility vehicles, in every case, as a share of the excellent be aware steadiness. The precise required quantity of credit score enhancement will fluctuate primarily based on the combination of autos within the securitized fleet. As in prior issuances, the transaction paperwork stipulate that the required complete enhancement shall embrace a minimal portion which is liquid (in money and/or a letter of credit score), sized as a share of the excellent be aware steadiness, moderately than fleet autos. The category A, B, C notes may even profit from subordination of 28.5%, 18.5% and 12.0% of the excellent steadiness of the collection 2022-3 notes, respectively.
Beneath are the assumptions Moody’s utilized in its evaluation of this transaction:
Danger of sponsor default: Moody’s assumed a 60% lower within the likelihood of default (from Moody’s idealized default likelihood tables) implied by the B1 ranking of the sponsor. This lower displays Moody’s view that, within the occasion of a chapter, ABCR could be extra prone to reorganize beneath a Chapter 11 chapter submitting, as it will doubtless notice extra worth as an ongoing enterprise concern than it will if it have been to liquidate its property beneath a Chapter 7 submitting. Moreover, given the sponsor’s aggressive place inside the {industry} and the dimensions of its securitized fleet relative to its total fleet, the sponsor is prone to affirm its lease cost obligations with a purpose to retain the usage of the fleet and keep in enterprise. Moody’s arrived on the 60% lower assuming an 80% likelihood that Avis would reorganize beneath a Chapter 11 chapter and a 75% likelihood (90% assumed beforehand) that Avis would affirm its lease cost obligations within the occasion of a Chapter 11 chapter.
Disposal worth of the fleet: Moody’s assumed the next haircuts to the online e book worth (NBV) of the automobile fleet:
Non-Program Haircut upon Sponsor Default (Automotive): Imply: 19%
Non-Program Haircut upon Sponsor Default (Automotive): Customary Deviation: 6%
Non-Program Haircut upon Sponsor Default (Truck): Imply: 35%
Non-Program Haircut upon Sponsor Default (Truck): Customary Deviation: 8%
Non-Program Haircut upon Sponsor Default (Tesla electrical autos (EV)): Imply: 29%
Non-Program Haircut upon Sponsor Default (Tesla EV): Customary Deviation: 10%
Fastened Program Haircut upon Sponsor Default: 10%
Extra Fastened Non-Program Haircut upon Producer Default (Automotive): 20%
Extra Fastened Non-Program Haircut upon Producer Default (Truck): 10%
Extra Fastened Non-Program Haircut upon Producer Default (Tesla EV): 50%
Fleet composition — Moody’s assumed the next fleet composition (primarily based on NBV of auto fleet):
Non-program Automobiles (Automotive and Tesla EV): 90.25%
Non-program Automobiles (Vans): 5%
Program Automobiles (Automotive and Tesla): 4.75%
Non-program Producer Focus (share, variety of producers, assumed ranking):
Aa/A Profile: 25%, 2, A3
Baa Profile: 47%, 2, Baa3
Ba/B Profile: 25%, 1, Ba3; 3%, 1, Ba1
Program Producer Focus (share, variety of producers, assumed ranking):
Aa/A Profile: 0%, 0, A3
Baa Profile: 50%, 1, Baa3
Ba/B Profile: 50%, 1, Ba3
Producer Receivables: 0%; receivables distributed in the identical proportion as this system fleet (Program Producer Focus and Producer Receivables collectively ought to add as much as 100%)
Correlation: Moody’s utilized the next correlation assumptions:
Correlation among the many sponsor and the automobile producers: 10%
Correlation amongst all automobile producers: 25%
Default threat horizon — Moody’s assumed the next default threat horizon:
Sponsor: 5 years
Producers: 1 yr
Moody’s makes use of a hard and fast set of time horizon assumptions, whatever the remaining time period of the transaction, when contemplating sponsor and producer default chances and the anticipated lack of the associated liabilities, which simplifies Moody’s modeling strategy utilizing an ordinary set of benchmark horizons.
Detailed utility of the assumptions are offered within the methodology.
PRINCIPAL METHODOLOGY
The principal methodology utilized in these scores was “Rental Automobile Securitizations Methodology” revealed in October 2021 and accessible at https://scores.moodys.com/api/rmc-documents/75000. Alternatively, please see the Ranking Methodologies web page on https://scores.moodys.com for a replica of this technique.
Elements that will result in an improve or downgrade of the scores:
Up
Moody’s may improve the scores of the collection 2022-3 notes, as relevant if, amongst different issues, (1) the credit score high quality of the lessee improves, (2) the chance of the transaction’s sponsor defaulting on its lease funds have been to lower, and (3) assumptions of the credit score high quality of the pool of autos collateralizing the transaction have been to strengthen, as mirrored by a stronger mixture of program and non-program autos and stronger credit score high quality of auto producers.
Down
Moody’s may downgrade the scores of the collection 2022-3 notes if, amongst different issues, (1) the credit score high quality of the lessee weakens, (2) the chance of the transaction’s sponsor defaulting on its lease funds have been to extend, (3) the chance of the sponsor accepting its lease cost obligation in its entirety within the occasion of a Chapter 11 have been to lower and (4) assumptions of the credit score high quality of the pool of autos collateralizing the transaction have been to weaken, as mirrored by a weaker mixture of program and non-program autos and weaker credit score high quality of auto producers.
REGULATORY DISCLOSURES
For additional specification of Moody’s key ranking assumptions and sensitivity evaluation, see the sections Methodology Assumptions and Sensitivity to Assumptions within the disclosure type. Moody’s Ranking Symbols and Definitions might be discovered on https://scores.moodys.com/rating-definitions.
In ranking this transaction, Moody’s CDOROM is used to mannequin the anticipated loss for every tranche. Moody’s CDOROM is a Monte Carlo simulation software which takes every underlying asset default likelihood as enter. Every underlying asset default habits is then modeled individually with an ordinary multi-factor mannequin incorporating each intra- and inter-industry correlation. The correlation construction is predicated on a Gaussian copula. Every Monte Carlo state of affairs simulates defaults and if relevant, restoration charges, to derive losses on a portfolio. For an artificial transaction, the mannequin then allocates losses to the tranches in reverse order of precedence to derive the loss on the tranches. By repeating this course of and averaging over the variety of simulations, Moody’s can derive the anticipated loss on the tranches. For a money transaction, the portfolio loss, or default, distribution produced by Moody’s CDOROM could also be enter right into a separate money movement mannequin in accordance with its precedence of cost to find out every tranche’s anticipated loss.
Moody’s quantitative evaluation entails an analysis of situations that stress elements contributing to sensitivity of scores and bear in mind the chance of extreme collateral losses or impaired money flows. Moody’s weights the influence on the rated devices primarily based on its assumptions of the chance of the occasions in such situations occurring.
For scores issued on a program, collection, class/class of debt or safety this announcement gives sure regulatory disclosures in relation to every ranking of a subsequently issued bond or be aware of the identical collection, class/class of debt, safety or pursuant to a program for which the scores are derived solely from current scores in accordance with Moody’s ranking practices. For scores issued on a help supplier, this announcement gives sure regulatory disclosures in relation to the credit standing motion on the help supplier and in relation to every explicit credit standing motion for securities that derive their credit score scores from the help supplier’s credit standing. For provisional scores, this announcement gives sure regulatory disclosures in relation to the provisional ranking assigned, and in relation to a definitive ranking which may be assigned subsequent to the ultimate issuance of the debt, in every case the place the transaction construction and phrases haven’t modified previous to the project of the definitive ranking in a fashion that will have affected the ranking. For additional data please see the issuer/deal web page for the respective issuer on https://scores.moodys.com.
For any affected securities or rated entities receiving direct credit score help from the first entity(ies) of this credit standing motion, and whose scores might change on account of this credit standing motion, the related regulatory disclosures might be these of the guarantor entity. Exceptions to this strategy exist for the next disclosures, if relevant to jurisdiction: Ancillary Companies, Disclosure to rated entity, Disclosure from rated entity.
The scores have been disclosed to the rated entity or its designated agent(s) and issued with no modification ensuing from that disclosure.
These scores are solicited. Please consult with Moody’s Coverage for Designating and Assigning Unsolicited Credit score Scores accessible on its web site https://scores.moodys.com.
Regulatory disclosures contained on this press launch apply to the credit standing and, if relevant, the associated ranking outlook or ranking evaluation.
Moody’s basic rules for assessing environmental, social and governance (ESG) dangers in our credit score evaluation might be discovered at https://scores.moodys.com/paperwork/PBC_1288235.
The International Scale Credit score Ranking on this Credit score Ranking Announcement was issued by one in all Moody’s associates outdoors the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Primary 60322, Germany, in accordance with Artwork.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit score Ranking Companies. Additional data on the EU endorsement standing and on the Moody’s workplace that issued the credit standing is out there on https://scores.moodys.com.
The International Scale Credit score Ranking on this Credit score Ranking Announcement was issued by one in all Moody’s associates outdoors the UK and is endorsed by Moody’s Buyers Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA beneath the legislation relevant to credit standing businesses within the UK. Additional data on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is out there on https://scores.moodys.com.
Please see https://scores.moodys.com for any updates on modifications to the lead ranking analyst and to the Moody’s authorized entity that has issued the ranking.
Please see the issuer/deal web page on https://scores.moodys.com for extra regulatory disclosures for every credit standing.
Joao Daher, CFA
Asst Vice President – Analyst
Structured Finance Group
Moody’s Buyers Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
Karen Ramallo
Affiliate Managing Director
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
Releasing Workplace:
Moody’s Buyers Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
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