DBRS Confirms and Upgrades Notes Issued by Ford Auto Securitization Trust

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

-- Asset-Backed Notes, Series 2011-R3, Class A-3 at AAA (sf)
-- Asset-Backed Notes, Series 2011-R3, Class B at AA (high) (sf)
-- Asset-Backed Notes, Series 2011-R3, Class C at A (high) (sf)
-- Asset-Backed Notes, Series 2011-R3, Class D at BBB (high) (sf)

-- Asset-Backed Notes, Series 2012-R1, Class A-3 at AAA (sf)
-- Asset-Backed Notes, Series 2012-R1, Class B at AA (sf)
-- Asset-Backed Notes, Series 2012-R1, Class C at A (sf)
-- Asset-Backed Notes, Series 2012-R1, Class D at BBB (sf)

-- Asset-Backed Notes, Series 2013-R1, Class A-2 at AAA (sf)
-- Asset-Backed Notes, Series 2013-R1, Class A-3 at AAA (sf)
-- Asset-Backed Notes, Series 2013-R1, Class B at AA (sf)
-- Asset-Backed Notes, Series 2013-R1, Class C at A (sf)
-- Asset-Backed Notes, Series 2013-R1, Class D at BBB (sf)

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

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

DBRS has also upgraded the following notes:

-- Asset-Backed Notes, Series 2011-R1, Class B to AAA (sf) from AA (high) (sf)
-- Asset-Backed Notes, Series 2011-R1, Class C to AA (sf) from A (high) (sf)
-- Asset-Backed Notes, Series 2011-R1, Class D to A (sf) from BBB (high) (sf)

The ratings are based on the following factors:

(1) High levels of credit enhancement are available to protect all the Notes.

(a) 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 18.0% of the Notes outstanding as of April 2015. In addition, the Class B Notes (the Class B Notes) have preferential access to collections arising from the subordination of the Class C and Class D Notes, equivalent to 66.9% of the outstanding amount of the Notes as of April 2015. Class C has preferential access to collections, equivalent to 33.4% of the Notes. Total credit enhancement levels available to the Class B, Class C and Class D Notes have increased to 84.9%, 51.4%, and 18.0%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(b) 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 8.1% of the Notes outstanding as of April 2015. 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 52.6% of the outstanding amount of the Notes as of April 2015. Class B has preferential access to collections, equivalent to 30.1% of the Notes and Class C to 15.0%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 60.7%, 38.2%, 23.2% and 8.1%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(c) 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 5.2% of the Notes outstanding as of April 2015. 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 33.5% of the outstanding amount of the Notes as of April 2015. Class B has preferential access to collections, equivalent to 19.1% of the Notes and Class C to 9.6%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 38.7%, 24.3%, 14.8% and 5.2%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(d) 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 3.3% of the Notes outstanding as of April 2015. 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 21.0% of the outstanding amount of the Notes as of April 2015. Class B has preferential access to collections, equivalent to 12.0% of the Notes and Class C to 6.0%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 24.2%, 15.2%, 9.2% and 3.3%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(e) 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 2.3% of the Notes outstanding as of April 2015. 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 14.3% of the outstanding amount of the Notes as of April 2015. Class B has preferential access to collections, equivalent to 8.2% of the Notes and Class C to 4.1%. Total credit enhancement levels available to the Class A, Class B, Class C and Class D Notes have increased to 16.5%, 10.4%, 6.3% and 2.3%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(f) 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 1.7% of the Notes outstanding as of April 2015. 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 10.6% of the outstanding amount of the Notes as of April 2015. 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 12.3%, 7.7%, 4.7% and 1.7%, respectively, measured as a percentage of the outstanding Notes balance as of April 2015.

(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 all outstanding publicly rated notes (Series 2011-R1, Series 2011-R3, Series 2012-1, Series 2013-R1, Series 2013-R4 and Series 2014-R2).

(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 8.0% 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 2011-R1, 75 bps for Series 2011-R3, 65 bps for Series 2012-R1, 47 bps for Series 2013-R1, 60 bps for Series 2013-R4 and 30 bps 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.

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 Master Canadian Structured Finance Surveillance (May 2015), Rating Canadian Auto Retail Loan and Lease Securitizations (October 2014) and Legal Criteria for Canadian Structured Finance (August 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.