DBRS Morningstar Confirms Ratings on Ford Floorplan Auto Securitization Trust

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

-- Series 2017-F1 Fixed Rate Notes, Class A (the Class A Notes) at AAA (sf)
-- Series 2017-F1 Fixed Rate Notes, Class B (the Class B Notes) at AA (sf)
-- Series 2017-F1 Fixed Rate Notes, Class C (the Class C Notes) at A (sf)
-- Series 2017-F1 Fixed Rate Notes, Class D at BBB (sf)

The rating confirmations are based on the performance of the transaction as of May 2020 and the following factors:

(1) The Notes are supported by a portfolio of dealer floorplan receivables originated by Ford Credit Canada Company (rated BB (high) with a Negative trend by DBRS Morningstar) and secured by a first-priority security interest in the underlying pool of new and used vehicles. The Notes pay a fixed rate of interest semiannually and principal is expected to be repaid on July 15, 2020.

(2) The Notes are protected by high levels of credit enhancement from overcollateralization and a nonamortizing reserve account of 13.6% and 1.0% of the current principal balance, respectively. Credit support for the Class A Notes, the Class B Notes, and the Class C Notes is also provided by subordination of 13.1%, 9.1%, and 3.4%, respectively. In addition, the Notes are supported by excess spread of approximately 1.4%.

(3) The Notes are currently in the Controlled Accumulation Period. The Accumulation Period Reserve, which is available to pay interest on the Notes during the Controlled Accumulation Period, was funded prior to the commencement of the Controlled Accumulation Period in the amount of $1,437,910 (or 0.25% of the Notes issued) and remained at that level as of May 2020.

(4) The Trust has trapped the principal collections required for the full payment of principal on the upcoming maturity of the Notes.

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:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology is the 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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