DBRS Finalizes Provisional Ratings of Ford Auto Securitization Trust Series 2010-R1 Asset-Backed Notes

DBRS has today finalized the following provisional ratings of Ford Auto Securitization Trust 2010-R1 (the Trust or FAST):

– AAA to the Asset-Backed Notes, Series 2010-R1, Class A-1 (the Class A-1 Notes)
– AAA to the Asset -Backed Notes, Series 2010-R1, Class A-2 (the Class A-2 Notes)
– AAA to the Asset -Backed Notes, Series 2010-R1, Class A-3 (the Class A-3 Notes; collectively, with the Class A-1 Notes and Class A-2 Notes, the Class A Notes or the Senior Notes)
–AA to the Asset -Backed Notes, Series 2010-R1, Class B (the Class B Notes)
– “A” to the Asset -Backed Notes, Series 2010-R1, Class C (the Class C Notes)
– BB(high) to the Asset -Backed Notes, Series 2010-R1, Class D (the Class D Notes)

On closing, the Trust acquired a portfolio of retail car and light truck auto loans (the Portfolio of Loans) from Ford Credit Canada Limited (FCCL). The Class A Notes, Class B Notes, Class C Notes and Class D Notes (collectively, the Notes) are pass-through securities, with monthly payment of interest and principal based on actual cash flows from the Portfolio of Loans. Principal on the Notes will be repaid sequentially, with the Class A-1 Notes being paid prior to repayment of any principal on the Class A-2 Notes and the Class A-2 Notes being paid prior to repayment of any principal on the Class A-3 Notes. Principal on the Class B Notes will not be repaid until all of the Class A Notes have been repaid in full, while no principal on the Class C Notes will be repaid until all of the principal on the Class B Notes has been repaid in full. Similarly, no repayments of principal will be made to the Series D Notes until all other series of the Notes have been repaid in full. Each of the Class A Notes is rated AAA, the Class B Notes are rated AA, the Class C Notes are rated “A” and the Class D Notes are rated BB (high) based on full repayment of the Notes by their respective Scheduled Final Payment Dates.

The final ratings incorporate the following considerations:

(1) The high level of credit enhancement provided by the subordination (7.0% of the Initial Adjusted Pool Balance at the Closing Date and building as principal on the Senior Notes is repaid), a Reserve Account (1.0% of the Initial Pool Balance) and annual interest spread of 5.2% of the Initial Adjusted Pool Balance, assuming no requirements to pay Replacement Servicer Fees estimated at 1.0%. The Targeted Overcollateralization Amount will also include the excess of 1.5% of the Current Pool Balance over 1.0% of the Initial Pool Balance, which provides additional protection to the Notes in the first year.

(2) Non-amortizing nature of the subordinated notes results in increasing levels of support for Senior Notes as the Notes are repaid.

(3) Low and consistent historical credit loss levels.

(4) Demonstrated experience of FCCL in the origination and servicing of retail auto loan securitization transactions backed by those assets.

(5) Performance guarantee provided by its parent, Ford Motor Credit Company LLC.

Stress tests using assumptions, including replacement servicer fees and large increases in delinquency and credit losses, indicate that credit enhancement provides sufficient protection to the Notes to warrant the ratings assigned.

Notes:
The applicable methodology is Rating Canadian Auto Loan Securitization, which can be found on our website under Methodologies.

This is a Structured Finance rating.