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

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

– 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-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-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

– AAA (sf) on the Asset-Backed Notes, Series 2013-R1, Class A-1
– AAA (sf) on the Asset-Backed Notes, Series 2013-R1, Class A-2
– AAA (sf) on the Asset-Backed Notes, Series 2013-R1, Class A-3
– AA (sf) on the Asset-Backed Notes, Series 2013-R1, Class B
– A (sf) on the Asset-Backed Notes, Series 2013-R1, Class C
– BBB (sf) on the Asset-Backed Notes, Series 2013-R1, 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 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 5.8% of the Notes outstanding as of May 2013. In addition, the Class A-3 Note has preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 36.5% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 20.9% of the Notes and Class C to 10.4%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 42.3%, 26.6%, 16.2% and 5.8%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(b) 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 3.7% of the Notes outstanding as of May 2013. 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 23.3% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 13.3% of the Notes and Class C to 6.7%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 27.0%, 17.0%, 10.3% and 3.7%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(c) 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 3.0% of the Notes outstanding as of May 2013. 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 19.5% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 11.1% of the Notes and Class C to 5.6%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 22.5%, 14.1%, 8.6% and 3.0%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(d) 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 2.1% of the Notes outstanding as of May 2013. 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 13.3% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 7.6% 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%, 5.8% and 2.1%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(e) For Series 2012-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 1.6% of the Notes outstanding as of May 2013. 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 10.4% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 6.0% of the Notes and Class C to 3.0%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 12.1%, 7.6%, 4.6% and 1.6%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(f) For Series 2013-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 1.3% of the Notes outstanding as of May 2013. 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 8.1% of the outstanding amount of the Notes as of May 2013. Class B has preferential access to collections, equivalent to 4.7% of the Notes and Class C to 2.3%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 9.5%, 6.1%, 3.7% and 1.4%, respectively, measured as a percentage of the outstanding Notes balance as of May 2013.

(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, Series 2011-R1, Series 2011-R3 and Series 2012-R1. This amount is still positive for Series 2013-R1, representing 0.1% of the Notes outstanding as of May 2013.

(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 4.9% to 7.7% 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 69 bps for Series 2010-R1, 54 bps for Series 2010-R3, 53 bps for Series 2011-R1, 42 bps for Series 2011-R3, 21 bps for Series 2012-R1 and 4 bps for 2013-R1.

(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) On September 14, 2012, DBRS upgraded the ratings of Ford Motor Company and Ford Credit Canada Limited from BB (high) to BBB (low), reflecting a positive assessment of the North American automotive market. DBRS notes in its industry study “Retail Auto Securitization in Canada: Annual Update” (April 2013) that vehicle sales in Canada remain healthy, with sales increasing to 1.7 million in 2012, up 5.7% year-over-year.

DBRS monitors the performance of each transaction to identify any deviation from DBRS’s expectation at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of each publicly rated auto loan portfolio and the Notes are available and updated each month in the Monthly Canada ABS Report (see Related Research).

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:

All figures are in Canadian dollars unless otherwise noted.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Rating Canadian Auto Loan Securitizations (January 2012), Legal Criteria for Canadian Structured Finance (September 2012) and Canadian Structured Finance Surveillance (June 2013), which are available on our website under Methodologies.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.