DBRS Confirms Notes Issued by Ford Auto Securitization Trust
AutoDBRS Limited (DBRS) has today confirmed its ratings on the following notes (collectively, the Notes) issued by Ford Auto Securitization Trust 2013-R4 (Series 2013-R4) and Ford Auto Securitization Trust 2014-R2 (Series 2014-R2) (together, the Trust) as part of DBRS’s continued effort to provide market participants with updates on an annual basis:
-- 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-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)
The ratings are based on the following factors:
(1) High levels of credit enhancement are available to protect all the Notes.
(a) 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 8.9% of the Notes outstanding as of March 2017. In addition, the Class A-3 Notes have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes equivalent to 56.4% of the outstanding amount of the Notes as of March 2017. The Class B Notes have preferential access to collections equivalent to 32.2% of the Notes, and the Class C Notes have the equivalent to 16.1%. Total credit enhancement levels available to the Class A-3, Class B, Class C and Class D Notes have increased to 65.3%, 41.1%, 25.0% and 8.9%, respectively, measured as a percentage of the outstanding Notes balance as of March 2017.
(b) 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 5.7% of the Notes outstanding as of March 2017. In addition, the Class A-3 Notes have preferential access to collections arising from the subordination of the Class B, Class C and Class D Notes, equivalent to 36.3% of the outstanding amount of the Notes as of March 2017. The Class B Notes have preferential access to collections equivalent to 20.8% of the Notes, and the Class C Notes have the equivalent to 10.4%. Total credit enhancement levels available to the Class A-3, Class B, Class C and Class D Notes have increased to 42.1%, 26.5%, 16.1% and 5.7%, respectively, measured as a percentage of the outstanding Notes balance as of March 2017.
(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. This amount has amortized down to zero for 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 8.0% to 8.5% 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 68 basis points (bps) for Series 2013-R4 and 65 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.
(6) 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 principal methodologies are Master Canadian Structured Finance Surveillance Methodology (May 2017), Rating Canadian Auto Retail Loan and Lease Securitizations (October 2016) and Legal Criteria for Canadian Structured Finance (July 2016), which are available on dbrs.com under Methodologies.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
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