DBRS Confirms and Upgrades Notes issued by Ford Auto Securitization Trust

DBRS has today, as part of its continued effort to provide market participants with updates on an annual basis, confirmed the ratings on the following notes issued by Ford Auto Securitization Trust (the Trust):

– AAA (sf) on the Asset-Backed Notes, Series 2009-R1, Class A-3

– AAA (sf) on the Asset-Backed Notes, Series 2009-R2

– AAA (sf) on the Asset-Backed Notes, Series 2009-R3, Class A-3

– AAA (sf) on the Asset-Backed Notes, Series 2010-R1, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2010-R1, Class A-3
– AA (sf) on the Asset-Backed Notes, Series 2010-R1, Class B
– A (sf) on the Asset-Backed Notes, Series 2010-R1, Class C

– AAA (sf) on the Asset-Backed Notes, Series 2010-R2, Class A
– AA (sf) on the Asset-Backed Notes, Series 2010-R2, Class B
– A (sf) on the Asset-Backed Notes, Series 2010-R2, Class C

– AAA (sf) on the Asset-Backed Notes, Series 2010-R3, Class A-1
– AAA (sf) on the Asset-Backed Notes, Series 2010-R3, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2010-R3, Class A-3
– AA (high) (sf) on the Asset-Backed Notes, Series 2010-R3, Class B
– A (high) (sf) on the Asset-Backed Notes, Series 2010-R3, Class C
– BBB (high) (sf) on the Asset-Backed Notes, Series 2010-R3, Class D

– AAA (sf) on the Asset-Backed Notes, Series 2011-R1, Class A-1
– AAA (sf) on the Asset-Backed Notes, Series 2011-R1, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2011-R1, Class A-3
– AA (high) (sf) on the Asset-Backed Notes, Series 2011-R1, Class B
– A (high) (sf) on the Asset-Backed Notes, Series 2011-R1, Class C
– BBB (high) (sf) on the Asset-Backed Notes, Series 2011-R1, Class D

– AAA (sf) on the Asset-Backed Notes, Series 2011-R3, Class A-1
– AAA (sf) on the Asset-Backed Notes, Series 2011-R3, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2011-R3, Class A-3
– AA (high) (sf) on the Asset-Backed Notes, Series 2011-R3, Class B
– A (high) (sf) on the Asset-Backed Notes, Series 2011-R3, Class C
– BBB (high) (sf) on the Asset-Backed Notes, Series 2011-R3, Class D

– AAA (sf) on the Asset-Backed Notes, Series 2012-R1, Class A-1
– AAA (sf) on the Asset-Backed Notes, Series 2012-R1, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2012-R1, Class A-3
– AA (sf) on the Asset-Backed Notes, Series 2012-R1, Class B
– A (sf) on the Asset-Backed Notes, Series 2012-R1, Class C
– BBB (sf) on the Asset-Backed Notes, Series 2012-R1, Class D

DBRS has also upgraded the ratings from BB (high) (sf) to BBB (sf) on the following Notes:

– BBB (sf) on the Asset-Backed Notes, Series 2010-R1, Class D
– BBB (sf) on the Asset-Backed Notes, Series 2010-R2, Class D

The ratings are based on the following factors:

(1) High levels of credit enhancement are available to protect all the Notes. For public transactions DBRS notes:

(a) For Series 2009-R1, credit protection to the Notes is provided by a non-amortizing cash reserve account that was seeded with 1.0% of the Initial Pool Balance and that represents 10.6% of the current Notes outstanding amount as of May 2012. Additional credit protection to the Notes is provided by overcollateralization. The initial overcollateralization for the Notes was equal to 5.0% of the Initial Adjusted Pool Balance (Initial Pool Balance discounted by the yield supplement overcollateralization amount) and was required to increase to 7% of the Initial Adjusted Pool Balance, which is equivalent to 64.3% of the outstanding balance of the Notes as of May 2012. Total current credit enhancement available to the Notes stands at 75.0%.

(b) For Series 2010-R1, credit protection to the Notes is provided by a non-amortizing cash reserve account that was seeded with 1.0% of the Initial Pool Balance and that represents 2.8% of the current Notes outstanding amount as of May 2012. In addition, the Class A-2 and Class A-3 Notes (the Class A Notes) have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 17.9% of the outstanding amount of the Notes as of May 2012. Class B has preferential access to collections, equivalent to 10.3% of the Notes and Class C to 5.1%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 20.8%, 13.1%, 8.0% and 2.8%, respectively, measured as a percentage of the outstanding Notes balance as of May 2012.

(c) For Series 2010-R3, credit protection to the Notes is provided by a non-amortizing cash reserve account that was seeded with 1.0% of the Initial Pool Balance and that represents 2.1% of the current Notes outstanding amount as of May 2012. In addition, the Class A-1, Class A-2 and Class A-3 Notes (the Class A Notes) have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 13.2% of the outstanding amount of the Notes as of May 2012. Class B has preferential access to collections, equivalent to 7.5% of the Notes and Class C to 3.8%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 15.3%, 9.6%, 5.9% and 2.1%, respectively, measured as a percentage of the outstanding Notes balance as of May 2012.

(d) For Series 2011-R1, credit protection to the Notes is provided by a non-amortizing cash reserve account that was seeded with 1.0% of the Initial Pool Balance and that represents 1.8% of the current Notes outstanding amount as of May 2012. In addition, the Class A-1, Class A-2 and Class A-3 Notes (the Class A Notes) have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 11.6% of the outstanding amount of the Notes as of May 2012. Class B has preferential access to collections, equivalent to 6.6% of the Notes and Class C to 3.3%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 13.3%, 8.4%, 5.1% and 1.8%, respectively, measured as a percentage of the outstanding Notes balance as of May 2012.

(e) For Series 2011-R3, credit protection to the Notes is provided by a non-amortizing cash reserve account that was seeded with 1.0% of the Initial Pool Balance and that represents 1.4% of the current Notes outstanding amount as of May 2012. In addition, the Class A-1, Class A-2 and Class A-3 Notes (the Class A Notes) have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 8.8% of the outstanding amount of the Notes as of May 2012. Class B has preferential access to collections, equivalent to 5.0% of the Notes and Class C to 2.5%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 10.4%, 6.6%, 4.1% and 1.6%, respectively, measured as a percentage of the outstanding Notes balance as of May 2012.

(2) Front-end risk to the repayment of the Notes was addressed in all transactions, with the inclusion of a requirement to maintain an overcollateralization amount calculated as the excess, if any, of 1.5% of the current pool balance over 1.0% of the Initial Pool Balance. Currently, this amount has amortized down to zero for Series 2009-R1, Series 2010-R1, Series 2010-R3 and Series 2011-R1. This amount is still positive for Series 2011-R3, representing 0.3% of the current Notes outstanding amount as of May 2012.

(3) As the Initial Pool Balances were sold to the Trust at discounted values, the yield supplement overcollateralization amounts created contribute to the generation of excess spread that is available to support repayment of the Notes, assuming no losses or requirements to pay the 1.0% replacement servicer fee. Current excess spread available ranges from 5.6% to 14.4% across these deals.

(4) To date, cumulative losses for all transactions are below DBRS expectations set at the time of the initial rating, amounting to 76 bps of the Initial Pool Balance for Series 2009-R1, 54 bps for Series 2010-R1, 37 bps for Series 2010-R3, 31 bps for Series 2011-R1 and 9 bps for Series 2011-R3.
Annualized losses have been stable, averaging 48 bps since the onset of the transaction for the underlying pool in Series 2009-R1, 35 bps for Series 2010-R1, 30 bps for Series 2010-R3, 34 bps for Series 2011-R1 and 15 bps for Series 2011-R3.

(5) The demonstrated experience of Ford Credit Canada Limited (FCCL) in the origination and servicing of retail auto loan securitization transactions backed by those assets.

(6) The performance guarantee provided by FCCL’s parent, Ford Motor Credit Company LLC.

(7) Ford Motor Company and Ford Credit Canada Limited were placed under review with positive implications by DBRS on May 4, 2012, reflecting a positive assessment of the North American automotive market, which has thus far in 2012 generated significantly higher sales than DBRS’s previous expectations.

For detailed information on the transaction structure, please refer to the rating reports of the Trust at www.dbrs.com.

The performance and characteristics of the Portfolio of Loans and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research).

Notes:
The applicable methodologies are Rating Canadian Auto Loan Securitizations (January 2012) and Canadian Structured Finance Surveillance (March 2012), which are available on our website under Methodologies.