DBRS Morningstar Confirms Ratings on Ford Auto Securitization Trust 2019-B

DBRS Limited (DBRS Morningstar) confirmed the ratings on the following notes issued by Ford Auto Securitization Trust 2019-B as part of DBRS Morningstar’s continued effort to provide market participants with updates on an annual basis:

-- Asset-Backed Notes, Series 2019-B, Class A-1 (the Class A-1 Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2019-B, Class A-2 (the Class A-2 Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2019-B, Class A-3 (together with the Class A-1 Notes and the Class A-2 Notes, the Class A Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2019-B, Class B at AA (sf)
-- Asset-Backed Notes, Series 2019-B, Class C at A (sf) (together with the Class A Notes and the Class B Notes, the Notes)

The rating confirmations are based on the factors listed below, including additional analysis and, where appropriate, additional stresses to expected performance as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). On April 16, 2020, the DBRS Morningstar Sovereigns group published its outlook on the coronavirus’ impact on key economic indicators for the 2020–22 time frame. For details, see “Global Macroeconomic Scenarios: Implications for Credit Ratings” at https://www.dbrsmorningstar.com/research/359679. For the confirmed ratings, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis.

(1) High levels of credit enhancement are available to protect all of the Notes. Credit protection to the Notes is through a nonamortizing cash reserve account, subordination, and overcollateralization. At inception, the cash reserve account had 0.25% of the initial adjusted pool balance. As of March 2020, it represents 0.3% of the Notes outstanding. In addition, the Class A Notes have preferential access to collections arising from the subordination of the Class B and C Notes, equivalent to 6.0% of the outstanding amount of the Notes, and the Class B Notes have preferential access to collections arising from the subordination of the Class C Notes, equivalent to 2.4% of the outstanding amount of the Notes. The overcollateralization amount, excluding the yield supplement overcollateralization amount, currently represents 3.0% of the outstanding amount of the Notes. Total credit enhancement levels available to the Class A, B, and C Notes have increased to 9.2%, 5.6%, and 3.3%, respectively, measured as a percentage of the outstanding Notes’ balance as of March 2020.

(2) Excess spread, net of losses, has risen to approximately 5.6%.

(3) To date, cumulative losses amounted to 5 basis points of the initial pool balance and are below DBRS Morningstar’s expectations at the time of the initial rating.

(4) Ford Credit Canada Limited (FCCL) has extensive experience in originating and servicing retail auto loan securitization transactions backed by those assets.

(5) There is a performance guarantee from FCCL’s parent, Ford Motor Credit Company LLC (remains rated above investment grade at BBB—albeit Under Review with Negative Implications—by DBRS Morningstar).

DBRS Morningstar monitors the performance of each transaction to identify any deviation from DBRS Morningstar’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 Canadian ABS Report,” which is available at www.dbrsmorningstar.com.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 28, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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 under Related Documents or by contacting us at [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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