DBRS Morningstar Confirms Ratings on Ford Auto Securitization Trust 2021-A

DBRS Limited (DBRS Morningstar) confirmed its ratings on the following notes issued by Ford Auto Securitization Trust (FAST) 2021-A (the Trust) as part of DBRS Morningstar’s continued effort to provide market participants with annual updates:

-- Asset-Backed Notes, Series 2021-A, Class A-1 (the Class A-1 Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2021-A, Class A-2 (the Class A-2 Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2021-A, Class A-3 (the Class A-3 Notes; collectively with the Class A-1 Notes and the Class A-2 Notes, the Class A Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2021-A, Class B (the Class B Notes) at AA (sf)
-- Asset-Backed Notes, Series 2021-A, Class C (the Class C Notes; collectively with the Class A Notes and the Class B Notes, the Notes) at A (sf)

The rating actions are based on the following factors as of March 2022:

(1) The pass-through structure of the transaction has built up sufficient credit enhancement (CE) since issuance to protect the Notes. Total CE levels available to the Class A Notes, measured as a percentage of the outstanding Note, have increased to 9.3% from 5.3% since initial issuance; to the Class B Notes, 5.6% from 2.3%; and to the Class C Notes, 3.1% from 0.25%.

(2) 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. Excess spread, net of losses, has grown to approximately 3.6%.

(3) To date, cumulative losses remain low and have amounted to 3 basis points of the Initial Pool Balance, compared with the original base-case estimate of 0.69% for the comparable time period.

(4) Ford Credit Canada Company (rated BB (high) with a Stable trend by DBRS Morningstar) has significant experience in administrating, servicing, and managing securitizations, as demonstrated by its long track record of FAST transactions since 2009, all of which performed or are performing within expectations. As a subsidiary of Ford Motor Credit Company LLC (FMCC; rated BB (high) with a Stable trend by DBRS Morningstar), Ford Credit Canada Company benefits from its parent’s strong franchise and global presence, allowing it to leverage FMCC’s experience and expertise to ensure sound and consistent underwriting standards and efficient servicing operations.

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 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.

There were no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit rating.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
The principal methodology is the Master Canadian Structured Finance Surveillance Methodology (June 7, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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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