DBRS Finalizes Provisional Ratings of Ford Floorplan Auto Securitization Trust Series 2010-F1 Fixed Rate Asset-Backed Notes and Series 2010-F2 Floating Rate Asset-Backed Notes

DBRS has today finalized the provisional ratings assigned to the Fixed Rate Asset-Backed Notes, Series 2010-F1 (the Series 2010-F1 Notes) and to the Floating Rate Asset-Backed Notes, Series 2010-F2 (the Series 2010-F2 Notes; collectively, with the Series 2010-F1 Notes, the Notes) issued by Ford Floorplan Auto Securitization Trust (FFAST or the Trust). The final ratings of the Notes are as follows:

– AAA to Class A
– AA to Class B
– “A” to Class C
– BBB Class D

On closing, the Trust acquired an ownership interest in a portfolio of floorplan receivables originated by Ford Credit Canada Limited (FCCL). The floorplan receivables are backed by a security interest in an underlying pool of new and used vehicles. The Series 2010-F1 Notes will pay a fixed rate of interest semi-annually and the Series 2010-F2 Notes will pay floating rates of interest monthly based on one-month CDOR plus a fixed spread. The expected repayment dates are June 15, 2013, for the Series 2010-F1 Notes and June 15, 2012, for the Series 2010-F2 Notes. Interest and principal is expected to be paid from collections on the receivables. The final ratings incorporate the following considerations:

(1) The historic low net loss levels exhibited by the portfolio on an annual basis since 2005.

(2) The consistent level of high monthly payment rates.

(3) The high level of credit enhancement available to support the obligations: 15.6% of overcollateralization; a cash reserve initially equal to 1.0% of the Notes; subordination of 18.5% available to the Class A Notes, 15.3% available to the Class B Notes and 4.8% available to the Class C Notes; excess interest rate spread of approximately 0.90% after deducting anticipated cost of funds, including a 1.0% reserve for replacement servicer fees; and an accumulation period reserve account of 0.25% to protect the structure from negative carry on the portfolio arising from the buildup of cash during the accumulation period.

(4) Structural features to protect the Noteholders, including the following:
– A Performance Guarantee from the seller’s parent, Ford Motor Credit Company.
– Payment rate triggers that step up the required cash reserve in the event that the performance of the portfolio begins to deteriorate from current levels.
– Remittance of cash collections within two days.
– Daily interest collections held in the Collections Account by the custodian to ensure monthly interest payments are met prior to releasing excess collections to the seller.
– Appointment of a Backup Servicer on closing.
– A replacement servicer reserve funded at closing.

(5) All accounts and their associated receivables transferred to the Trust after the close of the transaction must meet the same eligibility criteria as the accounts and receivables that were sold to the Trust as part of the initial transfer. Eligibility criteria include but are not limited to the following: (a) all receivables are supported by a perfected first-priority security interest in the underlying vehicle that is being financed; (b) all accounts are created in compliance with the underlying FCCL floorplan financing requirements and no amounts have been charged off as uncollectible at any time within the last 24 months; and (c) is an account that is in favour of a dealer in which Ford Motor Company of Canada or any of its affiliates does not have an equity investment exceeding 5.0%.

Stress tests that applied assumptions, including a rapid and significant decline in dealer payment rates and in the recovery value of the underlying vehicles combined with a rapid and large increase in dealer defaults, indicate that the credit enhancement provides sufficient protection to the Notes to warrant the final ratings.

Finalization of ratings is contingent upon receipt of final documents conforming to information already received by DBRS.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is Canadian Wholesale Floorplan Methodology, which can be found on our website under Methodologies.

This is a Structured Finance rating.