world omni auto receivables trust 2021-a

Presale:

World Omni Auto Receivables Trust 2021-AJanuary 28, 2021

Preliminary Ratings

ClassPreliminaryrating Type

Interestrate(i)

Base PoolAmount (mil. $)

Upsize PoolAmount (mil. $)

Expected legal finalmaturity date

A-1 A-1+ (sf) Senior Fixed 152.20 195.00 Feb. 15, 2022

A-2 AAA (sf) Senior Fixed 283.30 363.00 Feb. 15, 2024

A-3 AAA (sf) Senior Fixed 304.90 390.60 Jan. 15, 2026

A-4 AAA (sf) Senior Fixed 78.07 100.02 Sept. 15, 2026

B AA+ (sf) Subordinate Fixed 25.78 33.03 Dec. 15, 2026

C AA- (sf) Subordinate Fixed 12.89 16.52 Aug. 16, 2027

Note: This presale report is based on information as of Jan. 28, 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 coupons on the tranches willbe determined on the pricing date.

Profile

Expected closing date Feb. 10, 2021.

Collateral Prime auto loan receivables.

Originator, sponsor, and servicer World Omni Financial Corp. (BBB/Negative/A-2), a wholly owned subsidiary of JM FamilyEnterprises Inc.

Depositor World Omni Auto Receivables LLC.

Indenture trustee MUFG Union Bank N.A. (A/Stable/A-1).

Owner trustee U.S. Bank Trust N.A.

Underwriter Mizuho Securities USA LLC

Credit Enhancement Summary

WOART 2021-A WOART 2020-C WOART 2020-B WOART 2020-A

Subordination (% of the initial adjusted receivables balance)

Class A 4.50 4.50 4.50 4.50

Class B 1.50 1.50 1.50 1.50

Presale:

World Omni Auto Receivables Trust 2021-AJanuary 28, 2021

PRIMARY CREDIT ANALYST

Cara Mcgonigle

New York

+1 (212) 438-1792

[email protected]

SECONDARY CONTACT

Jennie P Lam

New York

+ 1 (212) 438 2524

[email protected]

www.standardandpoors.com January 28, 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.

2586560

mailto: [email protected]




Credit Enhancement Summary (cont.)

WOART 2021-A WOART 2020-C WOART 2020-B WOART 2020-A

Class C 0.00 0.00 0.00 0.00

Reserve account (% of the initial adjusted receivables balance)

Initial 0.50 1.00 1.00 0.25

Target 0.50 1.00 1.00 0.25

Floor 0.50 1.00 1.00 0.25

Overcollateralization

Initial (% of the initial adjusted receivablesbalance)

0.25 0.25 0.25 0.25

Target (% of the current adjustedreceivables balance)

1.15 1.15 1.15 1.15

Floor (% of the initial adjusted receivablesbalance)

0.50 0.50 0.50 0.50

Total initial hard credit enhancement (% of the initial adjusted receivables balance)

Class A 5.25 5.75 5.75 5.00

Class B 2.25 2.75 2.75 2.00

Class C 0.75 1.25 1.25 0.50

Total hard floor credit enhancement (% of the initial adjusted receivables balance)

Class A 5.50 6.00 6.00 5.25

Class B 2.50 3.00 3.00 2.25

Class C 1.00 1.50 1.50 0.75

YSOC discount rate initial(%)(i) 5.35 5.50 5.75 5.65

YSOC discount rate (after step-down, ifapplicable) (%)(i)

N/A 5.25 5.50 5.40

Estimated excess spread per year, including theYSOC amount (% of initial adjusted receivablesbalance)(ii)

4.2 4.1 3.8 3.2

Initial gross receivables balance ($) 903,418,721 944,914,079 895,761,839 874,456,598

YSOC amount ($) 44,123,367 42,407,580 45,951,980 37,577,616

Initial adjusted receivables balance ($) 859,295,354 902,506,499 849,809, 859 836,878,982

Initial overcollateralization ($) 2,155,354 2,256,501 2,129,859 2,098,982

Total securities issued ($) 857,140,000 900,250,000 847,680,000 834,780,000

(i)For series 2020-C, the initial YSOC discount rate of 5.50% stepped down to 5.25% on the first payment date. A similar YSOC discount ratestep down feature where the YSOC discount rate steps down after the class A-2 notes are fully repaid applied to series 2020-B and 2020-A,which priced with fixed/floating structures. (ii)Includes the 1.00% annual servicing fee. The estimated excess spread for series 2021-A, 2020-C,2020-B and 2020-A is pre-pricing. (iii)If the series 2021-A issued notes' aggregate initial principal amount is $ 1.10 billion, the initial grossreceivable balance, YSOC amount, initial adjusted receivables balance and initial overcollateralization will be $1,157,521,165, $56,594,732,$1,100,926,433 and $2,756,433, respectively. WOART--World Omni Auto Receivables Trust. YSOC--Yield supplement overcollateralization.



2586560

Presale: World Omni Auto Receivables Trust 2021-A

Rationale

The preliminary ratings assigned to World Omni Auto Receivables Trust 2021-A's (WOART 2021-A)asset-backed notes series 2021-A reflect:

- The availability of approximately 11.7%, 9.4% and 8.2%% credit support (including excessspread) for the class A, B, and C notes, respectively, based on stressed break-even cash flowscenarios. These credit support levels provide approximately 6.1x, 5.0x, and 4.3x our1.80%-2.00% expected cumulative net loss (CNL) range for the class A, B, and C notes,respectively, and are commensurate with the assigned preliminary ratings (see the S&P GlobalRatings' Expected Loss and Cash Flow Modeling Assumptions And Results sections, below).

- The timely interest and full principal payments made under the stressed cash flow modelingscenarios appropriate for the assigned preliminary ratings. In our modeling approach, we useda bifurcated pool method in which the subvened loans prepay and default at much lower ratesthan the nonsubvened loans. (For cash flow purposes, "subvened" means loans with annualpercentage rates [APRs] of 4.00% or lower.)

- Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), allelse being equal, our preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings on the class A, B, andC notes, respectively, are consistent with the credit stability limits specified by section A.4 ofthe Appendix contained in S&P Global Rating Definitions (see "S&P Global Ratings Definitions,"published Jan. 5, 2021.

- The transaction's credit enhancement in the form of subordination, a nonamortizing reserveaccount, overcollateralization that builds to a target level and is subject to a minimum floorlevel, yield supplement overcollateralization (YSOC), and excess spread (see the CreditEnhancement Summary table above).

- Our review of World Omni Financial Corp.'s (World Omni; BBB/Negative/A-2) origination staticpool data, managed portfolio data, 29-year auto loan securitization track record, and deal-levelcollateral characteristics, as well as our forward-looking view of the economy.

- The collateral characteristics of the securitized pool, which has a weighted average FICO scoreof 750.

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

As vaccine rollouts in several countries continue, S&P Global Ratings believes there remains ahigh degree of uncertainty about the evolution of the coronavirus pandemic and its economiceffects. Widespread immunization, which certain countries might achieve by midyear, will helppave the way for a return to more normal levels of social and economic activity. We use thisassumption about vaccine timing in assessing the economic and credit implications associatedwith the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves,we will update our assumptions and estimates accordingly.

Changes From WOART 2020-C

The structural changes from the series 2020-C transaction are as follows:

- The reserve account as a percentage of the initial adjusted pool balance decreased to 0.50%from 1.00%

- The initial YSOC amount increased to 5.13% (5.14% if upsized) of initial adjusted pool from



2586560


https://thehub.spglobal.com/external-link.jspa?url=http%3A%2F%2Fwww.spglobal.com%2Fratings

4.73%;

- The YSOC discount rate changed to 5.35% from an initial and step down rate of 5.50% and5.25%, respectively.

The collateral composition changes from the series 2020-C transaction include the following:

- The weighted average FICO score decreased to 750 from 756;

- The weighted average APR decreased to 3.67% from 4.08%;

- The weighted average seasoning increased to 7.9 months (7.9 months if upsized) from 4.3months; and

- The percentage of loans with original term greater than 60 months decreased slightly to 76%from 77%.

Overall, the series 2021-A collateral pool's credit quality is similar to that of series 2020-C, in ourview. We also reviewed extension data for the managed portfolio and outstanding securitizations.The amount of new extensions granted for the December collection period have decreased sinceApril. In light of the COVID-19 pandemic, our expected net loss range for the WOART 2021-A pool is1.80%-2.00%, unchanged from the WOART 2020-C pool. We believe the pool composition remainsgenerally consistent with World Omni's recent transactions. However, we expect unemploymentlevels to increase, and based on the correlation between credit performance and unemployment,historically, losses will likely increase as well (see "The Potential Effects Of COVID-19 On U.S. AutoLoan ABS," published March 26, 2020).

Transaction Summary

WOART 2021-A is World Omni's first auto loan securitization in 2021 and its 15th auto loansecuritization to be issued under its Regulation AB II compliant retail shelf. The WOART 2021-Anotes will be backed by a pool of fixed-rate retail installment sale contracts used to finance newand used automobiles and light-duty trucks. Interest and principal on the notes are scheduled tobe paid on the 15th of each month (or the next business day), beginning March 15, 2021.

WOART 2021-A incorporates the following structural features:

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

- Notes that pay a fixed interest rate.

- Overcollateralization that begins at 0.25% of the initial adjusted pool balance and builds to atarget of 1.15% of the outstanding adjusted pool balance. The overcollateralization builds byusing excess spread to pay principal on the senior notes until it reaches the target. Theovercollateralization then amortizes down to 0.50% of the initial adjusted pool balance andremains at that amount until the rated notes are paid in full.

- A fully funded nonamortizing reserve account that will equal 0.50% of the initial adjusted poolbalance.

- A YSOC that initially will be approximately 5.1% of the adjusted pool balance. YSOC will becalculated each month as the pool amortizes, based on the difference between the aggregatereceivables balance outstanding and the present value of the receivables balance, discountedat the greater of 5.35% per year or the receivables' actual APR. The YSOC is sized so that theyield on the contracts with APRs below the YSOC required rate is raised to the required rate.



2586560


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

Transaction Structure

On or prior to the closing date, World Omni will sell and assign to the depositor, without recourse(except for repurchases as a result of a breach of certain representations and warranties), itsentire interest in the receivables to be included in the issuing entity, together with its securityinterests in the financed vehicles. When the series 2021-A notes are issued, the depositor willtransfer the receivables to the issuing trust according to a sale and servicing agreement. Pursuantto the indenture, the issuing trust will pledge its interest in the receivables to the indenturetrustee on the noteholders' behalf (see chart 1).

In rating this transaction, S&P Global Ratings reviewed the relevant legal matters and opinionsoutlined in its criteria.



2586560


Payment Structure

Distributions will be made from available funds according to a specified priority (see table 1). Theavailable funds for each payment date will be reduced by the servicing fee for the payment dateand any previously unpaid servicing fees, late fees, prepayment fees, and administrative charges.The reserve account can be drawn on to cover any shortfalls to items 1-7 in the payment waterfallbelow and is available to cover principal on the legal final maturity date.

Table 1

Payment Waterfall

Priority Payment

1 Asset representations reviewer fees, up to a maximum amount of $150,000 per year.

2 Class A note interest.

3 First-priority principal distributable amount (if the class A notes' outstanding amount exceeds the adjusted poolbalance).

4 Class B note interest.

5 Second-priority principal distributable amount (if the class A and B notes' outstanding amount exceeds theadjusted pool balance) minus any amount allocated to pay item 2 above.

6 Class C note interest.

7 Third-priority principal distributable amount (if the class A, B, and C notes' outstanding amount exceeds theadjusted pool balance) minus any amount allocated to pay item 2 above.

8 To the required reserve account until it reaches the required amount of 0.50% of the initial adjusted poolbalance.

9 The noteholders' principal distributable amount minus the amounts allocated to items 3 and 5 above. This willbuild overcollateralization to the 1.15% target of the current adjusted pool balance.

10 Unpaid fees, expenses, and indemnities due to the asset representations reviewer.

11 Any remainder to the certificateholders.

On each payment date, principal distributions will be made in the following priority:

- To the class A-1 notes until they are paid in full; then



- To the class A-4 notes until they are paid in full, then

- To the class B notes until they are paid in full; and then

- To the class C notes until they are paid in full.

The above payment priorities can change if certain events of default occur and continue, including:

- A failure to pay interest on the controlling class;

- A failure to pay principal at final maturity;

- A material breach of a representation, warranty, or covenant; and

- The trust's involuntary and voluntary bankruptcy.



2586560


If an event of default occurs and continues, the indenture trustee or the holders of a majority ofthe controlling class' outstanding amount may accelerate the notes. The trust estate may beliquidated as a result, but only in the following certain circumstances: first, if the event of defaultis the first or second item in the list above, the trust estate may be liquidated without furthercaveat; and second, if the event of default is the third or fourth item in the list above, the trustestate may be liquidated if all of the noteholders consent, the sale or liquidation proceeds aresufficient to ensure all noteholders are paid in full, or the indenture trustee determines that thetrust estate cannot provide sufficient funds to pay principal and interest on the notes and obtainsnoteholder consent of two-thirds of the controlling class' principal amount.

If the notes are accelerated following an event of default, then distributions will be made from theavailable funds according to the priority shown in table 2.

Table 2

Event Of Default Payment Waterfall

Priority Payment

1 Any fees, expenses, and indemnities due to the owner trustee, the indenture trustee, and the assetrepresentations reviewer, not previously paid by the servicer.

2 Any accrued and unpaid interest on the class A notes.

3 To the class A-1 noteholders, principal owed until the class A-1 note balance is reduced to zero. Then tothe class A-2, A-3, and A-4 noteholders, principal owed, pro rata, until the class A-2, A-3, and A-4 notebalances are reduced to zero.

4 Any accrued and unpaid interest on the class B notes.

5 To the class B noteholders, principal owed until the class B note balance is reduced to zero.

6 Any accrued and unpaid interest on the class C notes.

7 To the class C noteholders, principal owed until the class C note balance is reduced to zero.

8 Any remaining funds to the certificateholders.

Managed Portfolio Performance

As of Dec. 31, 2020, World Omni's serviced retail installment sale contracts portfolio totaledapproximately $11.96 billion, up about 4.84% from Dec. 31, 2019. Total delinquencies as apercentage of the ending net receivables balance were 1.90% as of Dec. 31, 2020, compared with2.29% a year earlier. For the year ending Dec. 31, 2020, net losses as a percentage of the averageoutstanding principal amount decreased to 0.85%, from 0.97% for the same period in 2019.Repossessions as a percentage of the average number of contracts outstanding decreased to1.42% from 1.89% as of the year ending Dec. 31, 2019. The portfolio performance data shown intable 3 include World Omni's total auto loan serviced portfolio and loans on non-Toyota vehicles. Incomparison, the series 2021-A securitized pool consists primarily of loans with higher FICO scores(minimum FICO score is 650), and excludes non-Toyota vehicles and loans with original termsgreater than 75 months.



2586560


Table 3

Managed Portfolio Performance Of Retail Installment Contracts

As of Dec. 31

2020 2019 2018 2017 2016 2015 2014

Ending net receivables(thousand $)

11,961,792 11,409,089 10,693,151 10,066,657 9,173,258 8,471,476 7,915,347

Ending no. of contracts 604,898 596,514 572,018 550,985 515,465 492,849 473,592

Delinquency (%)(i)

31-60 days 1.43 1.68 1.64 1.71 1.61 1.41 1.32

61-90 days 0.41 0.50 0.49 0.42 0.41 0.37 0.31

91-120 days 0.06 0.08 0.08 0.07 0.07 0.07 0.06

Over 120 days 0.00 0.02 0.01 0.01 0.01 0.00 0.01

Total 31-plus-daydelinquencies

1.90 2.29 2.22 2.20 2.10 1.84 1.70

Avg. portfolio outstanding($000s)

11,585,335 10,919,473 10,362,913 9,547,143 8,777,713 8,182,359 7,516,551

Avg. no. of contractsoutstanding

598,081 580,291 560,197 531,287 501,661 482,524 457,002

No. of repossessions 8,463 10,985 10,794 9,836 8,131 6,593 5,942

Repossessions (% of the avg.no. of contracts outstanding)

1.42 1.89 1.93 1.85 1.62 1.37 1.30

Net losses ($000s) 98,140 106,223 110,958 98,901 78,953 60,332 46,274

Net losses (% of the avg.portfolio outstanding,annualized)

0.85 0.97 1.07 1.04 0.90 0.74 0.62

(i)Dollar amount of delinquent contracts as a percentage of ending net receivables.

Pool Analysis

As of the Dec. 28, 2020, cut-off date, the WOART 2021-A collateral pool consists of $903.42 million($1.16 billion if upsized) in World Omni-originated auto loans. The series 2021-A weighted averageFICO score of 750 is slightly lower than historical vintages' weighted average FICO. Since 2018,World Omni added a minimum FICO score of 650 in the securitized loan pool selection criteria that,in effect, excludes any loans with a FICO score of 1-649. Also, beginning with series 2018-A, WorldOmni excluded non-Toyota vehicles from its securitized pools. In addition, beginning with the2019-C transaction, World Omni added an eligibility criteria that all loans must have made its firstpayment. Based on historical performance, loans on non-Toyota vehicles generally performedslightly worse than Toyota vehicle loans.

As of the cutoff date, any receivable that has received an extension, whether for reasons related orunrelated to COVID-19, and has not made at least one payment subsequent to such extension, hasbeen excluded from the WOART 2021-A collateral pool. Between the cutoff date and Jan. 22, 2021,0.18% of the total number of receivables received an extension.



2586560


Table 4

Collateral Comparison(i)

WOART

2021-A2021-A (if

upsized) 2020-C 2020-B 2020-A 2019-C 2019-B 2019-A 2018-D 2018-C

Receivablesbalance (mil.$)

903.42 1,157.52 1,318.41 895.76 874.46 1,125.53 879.48 1,110.74 1,115.47 1,103.45

No. ofreceivables

36,207 46,418 46,124 38,913 31,561 48,208 36,170 47,003 38,980 40,092

Avg. loanbalance ($)

24,951 24,937 28,584 23,020 27,707 23,347 24,315 23,631 28,616 27,522

Weightedavg. APR (%)

3.67 3.67 4.08 3.77 4.34 4.58 4.10 3.97 4.26 3.57

Weightedavg. originalterm (mos.)

69.68 69.69 69.63 69.36 69.50 69.90 68.08 69.21 69.43 69.43

Weightedavg.remainingterm (mos.)

61.82 61.82 65.29 59.87 63.84 61.50 62.56 64.16 67.77 66.49

Weightedavg.seasoning(mos.)

7.86 7.87 4.34 9.49 5.66 8.40 5.52 5.05 1.66 2.94

Weightedavg. FICOscore

750 750 756 758 753 753 756 754 753 753

FICO score distribution (%)

No FICOscore

1.38 1.36 2.44 1.59 1.75 2.16 1.66 1.49 1.46 1.64

650-679 14.33 14.23 12.28 12.61 14.00 10.38 11.40 11.91 12.86 12.63

680-699 10.44 10.48 9.43 9.35 8.69 10.81 9.19 9.73 9.84 10.14

700-719 11.31 11.29 10.59 9.59 11.74 12.22 10.81 10.89 11.32 11.42

720-plus 62.54 62.65 65.27 66.85 63.82 64.44 66.95 65.98 64.52 64.17

% of poolbalance withan originalterm of61-72months

42.87 42.95 37.62 40.95 41.18 40.63 47.80 45.38 43.33 54.11


33.25 33.27 39.43 35.51 37.63 41.74 29.48 31.38 35.12 26.85



2586560


Table 4

Collateral Comparison(i) (cont.)

WOART

2021-A2021-A (if

upsized) 2020-C 2020-B 2020-A 2019-C 2019-B 2019-A 2018-D 2018-C


76.12 76.22 77.05 76.46 78.81 82.36 77.28 76.77 78.45 80.96

Newvehicles (%)

93.97 93.92 93.81 93.23 92.81 92.63 94.35 94.09 93.78 94.42

Usedvehicles (%)

6.03 6.08 6.19 6.77 7.19 7.37 5.65 5.91 6.22 5.58

Toyotavehicles (%)

100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

Non-Toyotavehicles (%)

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Clean-upcollateral(%)

5.59 5.57 0.00 5.82 0.00 7.27 5.81 6.65 0.00 0.00

Top five state concentrations by state of residence (%)

Fla.=47.20 Fla.=47.81 Fla.=44.85 Fla.=42.97 Fla.=47.24 Fla.=48.53 Fla.=48.46 Fla.=48.48 Fla.=48.32 Fla.=49.55

Ga.=18.54 Ga.=19.10 Ga.=18.09 Ga.=19.20 Ga.=18.13 Ga.=17.83 Ga.=17.60 Ga.=18.39 Ga.=18.08 Ga.=17.63

N.C.=15.81 N.C.=16.70 N.C.=17.75 N.C.=18.29 N.C.=15.99 N.C.=15.22 N.C.=16.45 N.C.=15.68 N.C.=15.93 N.C.=15.41

Ala.=8.72 Ala.=8.86 Ala.=9.54 Ala.=9.70 Ala.=9.53 Ala.=9.24 Ala.= 8.67 Ala.= 9.04 Ala.=9.28 Ala.= 9.06

S.C.=7.39 S.C.=7.53 S.C.=7.96 S.C.=7.82 S.C.=7.25 S.C.=6.97 S.C.= 6.96 S.C.= 6.77 S.C.=6.78 S.C.= 6.45

(i)All percentages are of the initial receivables balance as of the cut-off date. APR--Annual percentage rate. WOART--World Omni Auto Receivables Trust.

Securitization Performance

We currently maintain ratings on 12 WOART transactions issued between 2017 and 2020. WorldOmni's paid-off transactions from 2011 to through 2016-B experienced CNLs of 0.96%-2.54% (seechart 2).



2586560


Chart 2

On Dec. 29, 2020, we increased our lifetime loss expectations for series 2018-A, 2018-B, and2019-B. We raised our ratings on class B of series 2018-A and 2018-B and affirmed nine ratings(see "Two Ratings Raised And Nine Affirmed On Three World Omni Auto Receivables TrustTransactions").

On Feb. 28, 2020, we revised our lifetime CNL expectations, raised ratings on three classes ofnotes, and affirmed 21 ratings on series 2016-A, 2017-A, 2017-B, 2018-C, 2018-D, and 2019-A(see "Three Ratings Raised, Twenty-One Affirmed On Six World Omni Auto Receivables TrustTransactions").

Table 5

Securitization Performance On Outstanding WOART Transactions As of the January2021 Distribution Date

Series MonthPool factor

(%)Current CNL

(%)60-plus day

delinquencies (%)Initial lifetime

CNL exp. (%)Revised lifetime

CNL exp. (%)

2017-A 45 13.53 2.24 0.80 1.90-2.10 2.40-2.50(ii)

2017-B 41 19.79 1.39 0.47 1.20-1.40 1.50-1.70(ii)

2018-A 35 24.37 0.96 0.27 1.15-1.35 1.25-1.45(i)

2018-B 33 27.67 1.02 0.39 1.15-1.35 1.35-1.55(i)

2018-C 29 32.62 1.02 0.51 1.20-1.40 1.30-1.50(ii)

2018-D 27 37.81 1.08 0.40 1.20-1.40 1.30-1.50(ii)

2019-A 24 40.25 0.89 0.34 1.20-1.40 1.20-1.40(ii)

2019-B 20 46.16 0.78 0.36 1.20-1.40 1.50-1.70 (i)

2019-C 14 58.15 0.60 0.39 1.20-1.40 N/A

2020-A 10 70.85 0.44 0.28 1.30-1.50 N/A



2586560


Table 5

Securitization Performance On Outstanding WOART Transactions As of the January2021 Distribution Date (cont.)

Series MonthPool factor

(%)Current CNL

(%)60-plus day

delinquencies (%)Initial lifetime

CNL exp. (%)Revised lifetime

CNL exp. (%)

2020-B 7 78.85 0.10 0.13 1.80-2.00 N/A

2020-C 5 86.62 0.10 0.16 1.80-2.00 N/A

(i)Revised December 2020. (ii)Revised February 2020. WOART--World Omni Auto Receivables Trust. CNL exp.--Cumulative net lossexpectations. N/A--Not applicable.

Chart 3



2586560


Chart 4

As noted in the Pool Analysis section above and in table 4 above, the series 2017-B through2020-C collateral pools exhibit significantly better credit and collateral characteristics than prioroutstanding securitized pools and, in our view, are expected to perform better than earliersecuritizations.

We will continue to monitor performance of the outstanding transactions, especially in light of thecurrent recessionary environment resulting from the COVID-19 pandemic, to ensure that thecurrent enhancement remains sufficient, in our view, to cover our revised CNL expectations underour stress scenarios for each of the rated classes.

S&P Global Ratings' Expected Loss: 1.80%-2.00%

To derive our expected loss level for WOART 2021-A, we considered World Omni's paid-offsecuritization performance from the transactions we have rated since 2000, origination static pooldata since 2006, managed portfolio delinquencies and losses, and deal-level collateralcharacteristics. We also compared the WOART 2021-A collateral pool with the collateral pools ofits prime peer group.

We analyzed World Omni's monthly origination static pool net loss data stratified by original terms(less than 48, 49-63, 64-66, and 67-75 months), credit tiers, and new and used Toyota vehiclecomposition. We developed expected net loss projections for each cohort and then weighted theseprojections by their respective concentrations in the series 2021-A pool to derive an expected CNLrange.

Based on our analysis of WOART 2021-A pool's credit quality, our origination static pool analysis,our comparison of similar pools from peer issuers, securitization performance on outstandingWOART pools, our CNL projections on outstanding WOART pools, and our forward-looking view ofthe economy given the measures taken to contain the COVID-19 pandemic, we expect the WOART2021-A pool to experience CNLs in the 1.80%-2.00% range.



2586560


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 notes under stressscenarios we believe are consistent with the assigned preliminary ratings. Excess spread, which isan important component of a transaction's overall credit enhancement, can be affected by manyfactors, such as the absolute level and timing of defaults, prepayment speeds, payment timinglags, and the collateral's APR and term.

We modeled WOART 2021-A to simulate stress scenarios we believe are appropriate for theassigned ratings (see table 6). In our modeling approach, we used a bifurcated-pool method inwhich the subvened loans prepay at slower rates than the nonsubvened loans, and the subvenedloans' loss contribution to the pool's total aggregate losses is less than their proportionalrepresentation in the pool. Historical performance data indicate that lower-APR loans tend toprepay less than higher-APR loans. We allocated losses disproportionately between the subvenedand nonsubvened loans.

Table 6

Cash Flow Assumptions And Results

Class A Class B Class C

Preliminary rating AAA (sf) AA+ (sf) AA- (sf)

Subvened loans(%)(i) 66 66 66

CNL timing (mos.)(12/24/36/48)

CNL timing (%)

Aggregate 30/67/87/100 30/67/87/100 30/67/87/100

Subvened 25/62/81/100 25/62/81/100 25/62/81/100

Nonsubvened 38/74/95/100 38/74/95/100 38/74/95/100

ABS voluntary prepayments (%)

Subvened 0.25 0.25 0.25

Nonsubvened 1.80 1.70 1.70

Loss allocations (%)

Subvened 50 50 50

Nonsubvened 50 50 50

Recovery rate (%) 50 50 50

Recovery lag (mos.) 4 4 4

Approximate break-even levels (%)(ii) 11.7 9.4 8.2

(i)Subvened loans are loans with APRs that are less than or equal to 4.00%, and nonsubvened loans are loans with APRs greater than 4.00%.(ii)The maximum CNLs on the pool, with 100% credit given to excess spread, that the transaction can withstand without triggering a paymentdefault on the relevant classes of notes. CNL--Cumulative net loss. ABS--Absolute prepayment speed. APR--Annual percentage rate.

Using our expected net loss range of 1.80%-2.00%, the break-even results show that the class A,B, and C notes have sufficient credit enhancement to withstand stressed net loss levels that areconsistent with the assigned preliminary ratings (see charts 4 and 5).



2586560


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 (see "S&P Global Ratings Definitions," published Jan.5, 2021).

Moderate loss scenario: 3.80%

Under the 3.80% moderate stress loss scenario (2.0x our expected loss level), we again used abifurcated-pool method, in which the nonsubvened collateral defaults and prepays at higher ratesthan the subvened collateral. In addition, the nonsubvened collateral is allocated a higherproportion of the total losses than its representative proportion of the total loan pool balance (seetable 7).

Table 7

Scenario Analysis Summary: Moderate Stress Loss Scenario

Cumulative net loss level (% of the initial pool balance) 3.80

Cumulative net loss timing (% of losses per year)

Subvened loans(i) 25/62/81/100

Nonsubvened loans(i) 38/75/95/100

Total loans 30/67/87/100

Loss allocations (%)

Subvened loans(i) 57

Nonsubvened loans(i) 43

ABS voluntary prepayments (%)

Subvened loans(i) 0.25

Nonsubvened loans(i) 1.5

Recovery rate (%) 50.0

Recovery lag (mos.) 4

Servicing fee (%) 1.0

(i)Subvened loans are loans with APRs that are 4.0% or lower, and nonsubvened loans are loans with APRs greater than 4.0%. ABS--Absoluteprepayment speed. APR--Annual percentage rate.



2586560


Chart 5

Under the 3.80% stressed loss scenario (approximately 2.0x our expected loss level), excessspread is used to build to the targeted overcollateralization level of 1.15% of the current adjustedpool balance by month three. Overcollateralization remains at this percentage until month 27,when, after reaching the 0.50% floor, it begins to grow as a percentage of the current poolbalance. The all-fixed-rate scenario shows similar results.

In our view, the assigned preliminary 'AAA (sf)', 'AA+ (sf)' and 'AA- (sf)' ratings on the class A, B, andC notes, respectively, are consistent with the credit stability limits specified by section A.4 of theAppendix contained in "S&P Global Ratings Definitions", published Jan. 5, 2021.

Amid the COVID-19 pandemic, we ran additional liquidity sensitivity analyses for each of the ratingcategories. These liquidity cash flow analyses tested potential reduced cash flows early in thetransaction's life to take into account potentially higher extensions, forbearance, anddelinquencies; reduced collection activity due to the collection disruptions; and delays indisposition of collateral recoveries. In this analysis, we confirmed that the bonds were paid timelyinterest and principal by the final maturity date at the commensurate rating category.

Money Market Tranche Sizing

The proposed legal final maturity date for the money market tranche (class A-1) is Feb. 15, 2022.To test whether the money market tranche can be repaid by the proposed legal final date, we rancash flow analyses using assumptions to delay the principal collections during that time. Due toour current economic outlook and expectation for increased extensions that may result in atemporary decrease of collections over the near term, we are assuming that there will be no



2586560


voluntary prepayments in our money market stress. In previous WOART transactions, we assumeda voluntary absolute prepayment speed of 0.50% for nonsubvened and 0.00% for subvened loans.Based on our current modeling assumptions, scheduled principal collections are sufficient to payoff the money market tranche before the legal final maturity date.

Legal Final Maturity

To test the legal final maturity dates for classes A-2 through B, we determined when therespective notes would be fully amortized in a zero-loss, zero-prepayment scenario and thenadded three months to the result. To test the legal final maturity date for the class C notes, wedetermined the latest maturing loan's distribution date and then added at least six months toaccommodate extensions. Furthermore, in our break-even cash flow scenario for each respectiverating level, we confirmed that there was sufficient credit enhancement to both cover losses andrepay the related notes in full by the legal final maturity date. The notes were all paid off by theirlegal final maturity dates using these modeling assumptions.

World Omni

World Omni is a Florida corporation and a wholly owned subsidiary of JM Family Enterprises Inc.(JMFE), a Delaware corporation. JMFE, through its subsidiaries, provides a full range ofautomotive-related distribution and financial services to Toyota dealerships in Florida, Georgia,North Carolina, South Carolina, and Alabama (the five-state area). Financial services are alsoprovided to other dealerships throughout the U.S.

World Omni provides retail installment financing and lease contract financing to retail customersof Toyota automotive dealers within the five-state area. It also services automobile-relatedreceivables both for its own accounts and third-party accounts. In addition, it provides wholesalefloorplan financing, and capital and mortgage loans to some dealers that obtain their vehiclesfrom World Omni's affiliate, Southeast Toyota Distributors LLC (Southeast Toyota), as well as to alimited number of other automotive dealers. Established in 1981, World Omni has providedfinancial services to Toyota dealers in the five-state area and has operated under the "SoutheastToyota Finance" name since 1996.

Southeast Toyota, a wholly owned subsidiary of JMFE, is the exclusive distributor of Toyota carsand light-duty trucks, parts, and accessories in the five-state area. Its distributor agreement withToyota Motor Sales USA Inc. commenced in 1968 and has been renewed through October 2024.

Related Criteria

- Criteria | Structured Finance | General: Global Framework For Payment Structure And CashFlow Analysis Of Structured Finance Securities, Dec. 22, 2020

- 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



2586560


- 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

Related Research

- S&P Global Ratings Definitions, Jan. 5, 2021

- Two Ratings Raised And Nine Affirmed On Three World Omni Auto Receivables TrustTransactions, Dec. 29, 2020

- Economic Research: U.S. Real-Time Data: The Recovery Backtracks, Dec. 18, 2020

- Economic Research: Bang For The Buck: How U.S. Fiscal Stimulus Could Benefit The Recovery,Dec. 15, 2020

- World Omni Financial Corp., Dec. 14, 2020

- Economic Research: U.S. Biweekly Economic Roundup: Not much to be Cheerful About, Dec. 5,2020

- Credit Conditions North America: Some Relief, Some Sizeable Risks, Dec. 3, 2020

- Economic Research: Staying Home for the Holidays, Dec. 2, 2020

- World Omni Financial Corp. Downgraded to ‘BBB’ As Earnings Decline; Outlook Negative, Sept.14, 2020

- It’s Game Over For the Record U.S. Run; The Timing Of A Restart Remains Uncertain, March 27,2020

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

- COVID-19 Credit Update: The Sudden Economic Stop Will Bring Intense Credit Pressure, March17, 2020

- COVID-19 Macroeconomic Update: The Global Recession is Here and Now, March 17, 2020

- Three Ratings Raised, Twenty-One Affirmed On Six World Omni Auto Receivables TrustTransactions, Feb. 28, 2020

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016



2586560


S&P may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of securities or from obligors.S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites,www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributedthrough other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available atwww.standardandpoors.com/usratingsfees.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respectiveactivities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has establishedpolicies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed andnot statements of fact. S&P's opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase,hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation toupdate the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment andexperience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not actas a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable,S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-relatedpublications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limitedto, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certainregulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Partiesdisclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damagealleged to have been suffered on account thereof.

Copyright © 2021 Standard & Poor's Financial Services LLC. All rights reserved.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any partthereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrievalsystem, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not beused for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees oragents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are notresponsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or forthe security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESSOR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE ORUSE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THECONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct,indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, withoutlimitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advisedof the possibility of such damages.

Standard & Poor’s | Research | January 28, 2021 19

2586560


world omni auto receivables trust 2021-a

Documents