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

DBRS Limited (DBRS Morningstar) upgraded its ratings on the following notes issued by Ford Auto Securitization Trust (FAST) 2021-A (the Trust):

-- Asset-Backed Notes, Series 2021-A, Class B (the Class B Notes) to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2021-A, Class C (the Class C Notes; collectively with the Class B Notes, the Upgraded Notes) to A (high) (sf) from A (sf)

In addition, DBRS Morningstar confirmed its ratings on the following notes:

-- 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; together with the Class A-2 Notes, the Class A Notes; collectively with the Upgraded Notes, the Notes) at AAA (sf)

The rating actions are based on the following factors as of February 2023:

(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 14.7% from 5.3% since initial issuance; to the Class B Notes, 9.2% from 2.3%; and to the Class C Notes, 5.4% 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 5.6%.

(3) To date, cumulative losses remain low and have amounted to 11 basis points of the Initial Pool Balance, compared with the original base-case estimate of 1.03% for the comparable time period.

(4) Ford Credit Canada Company (rated BB (high) with a Positive 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 Positive 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.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is Master Canadian Structured Finance Surveillance Methodology (December 13, 2022; https://www.dbrsmorningstar.com/research/407359).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

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