DBRS Confirms and Upgrades Notes Issued by Ford Auto Securitization Trust

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

-- 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-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-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-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-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

-- AAA (sf) on the Asset-Backed Notes, Series 2013-R4, Class A-1
-- AAA (sf) on the Asset-Backed Notes, Series 2013-R4, Class A-2
-- AAA (sf) on the Asset-Backed Notes, Series 2013-R4, Class A-3
-- AA (high) (sf) on the Asset-Backed Notes, Series 2013-R4, Class B
-- AA (sf) on the Asset-Backed Notes, Series 2013-R4, Class C
-- A (sf) on the Asset-Backed Notes, Series 2013-R4, Class D

-- AAA (sf) on the Asset-Backed Notes, Series 2014-R2, Class A-1
-- AAA (sf) on the Asset-Backed Notes, Series 2014-R2, Class A-2
-- AAA (sf) on the Asset-Backed Notes, Series 2014-R2, Class A-3
-- AA (high) (sf) on the Asset-Backed Notes, Series 2014-R2, Class B
-- AA (sf) on the Asset-Backed Notes, Series 2014-R2, Class C
-- A (sf) on the Asset-Backed Notes, Series 2014-R2, Class D

DBRS has upgraded the following notes:

-- Asset-Backed Notes, Series 2010-R1, Class B to AAA (sf) from AA (sf)
-- Asset-Backed Notes, Series 2010-R1, Class C to AA (sf) from A (sf)
-- Asset-Backed Notes, Series 2010-R1, Class D to A (sf) from BBB (sf)

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 the following:

(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 represents 18.4% of the Notes outstanding as of May 2014. In addition, the Class B Note has preferential access to collections arising from the subordination of the Class C and Class D Notes, equivalent to 66.7% of the outstanding amount of the Notes as of May 2014. Class C has preferential access to collections arising from the subordination of the Class D Notes, equivalent to 33.3%. Total credit enhancement levels available to the Class B, Class C and Class D Notes have increased to 85.1%, 51.8% and 18.4%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 represents 8.4% of the Notes outstanding as of May 2014. In addition, the 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 52.9% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 30.2% of the Notes and Class C to 15.1%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 61.3%, 38.6%, 23.5% and 8.4%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 represents 6.3% of the Notes outstanding as of May 2014. In addition, the 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 40.9% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 23.4% of the Notes and Class C to 11.7%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 47.2%, 29.7%, 18.0% and 6.3%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 represents 3.8% of the Notes outstanding as of May 2014. In addition, the 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 24.5% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 14.0% of the Notes and Class C to 7.0%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 28.3%, 17.8%, 10.8% and 3.8%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 represents 2.7% of the Notes outstanding as of May 2014. 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 17.3% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 9.9% of the Notes and Class C to 4.9%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 20.0%, 12.6%, 7.6% and 2.7%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 represents 1.9% of the Notes outstanding as of May 2014. 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 12.4% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 7.1% of the Notes and Class C to 3.5%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 14.3%, 9.0%, 5.5% and 1.9%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(g) For Series 2013-R4, 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 represents 1.5% of the Notes outstanding as of May 2014. 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 9.5% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 5.4% of the Notes and Class C to 2.7%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 11.1%, 7.1%, 4.4% and 1.7%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(h) For Series 2014-R2, 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 1.2% of the Notes outstanding as of May 2014. 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 7.5% of the outstanding amount of the Notes as of May 2014. Class B has preferential access to collections, equivalent to 4.3% of the Notes and Class C to 2.1%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 8.0%, 4.8%, 2.7% and 0.5%, respectively, measured as a percentage of the outstanding Notes balance as of May 2014.

(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 2010-R1, Series 2010-R3, Series 2011-R1, Series 2011-R3, Series 2012-1 and Series 2013-1. The two most recent issuances, Series 2013-R4 and Series 2014-R2, are currently amortizing down to zero.

(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 5.0% to 9.0% 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 74 basis points (bps) for Series 2010-R1, 61 bps for Series 2010-R3, 69 bps for Series 2011-R1, 64 bps for Series 2011-R3, 50 bps for Series 2012-R1, 31 bps for 2013-R1, 21 bps for 2013-R4 and one basis point for 2014-R2.

(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.

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

(6) On September 14, 2012, DBRS upgraded the ratings of Ford Motor Company and Ford Credit Canada Limited to BBB (low) from BB (high), reflecting a positive assessment of the North American automotive market. DBRS confirmed the rating on September 23, 2013. DBRS notes in its industry study “Retail Auto Securitization in Canada: Annual Update” (May 2014) that Canadian auto securitization transactions continued to perform well in 2013, thanks to stable employment, continuing low interest rates and strong used vehicle values. The year 2013 saw the highest recorded new car sales volume in Canada since 2002, with Canadian consumers purchasing 1,743,112 new cars, up 4.0% from 1,675,675 in 2012. The year 2014 is faring well, with year-to-date sales in April showing a 1.9% increase over the same period in 2013.

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).

Notes:
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 Retail Loan and Lease Securitizations (October 2013), Legal Criteria for Canadian Structured Finance (September 2013) and Canadian Structured Finance Surveillance Methodology (May 2014), 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.