Morningstar DBRS Upgrades Two Rating and Confirms Two Ratings on Ford Auto Securitization Trust II 2023-A

DBRS Limited (Morningstar DBRS) upgraded its credit ratings on the following notes issued by Ford Auto Securitization Trust II (FAST II) 2023-A (the Trust):

-- Asset-Backed Notes, Series 2023-A, Class B (the Class B Notes) to AAA (sf) from AA (high) (sf)
-- Asset-Backed Notes, Series 2023-A, Class C (the Class C Notes; collectively with the Class B Notes, the Upgraded Notes) to AA (high) (sf) from A (high) (sf)

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

-- Asset-Backed Notes, Series 2023-A, Class A-2 (the Class A-2 Notes) at AAA (sf)
-- Asset-Backed Notes, Series 2023-A, Class A-3 (together with the Class A-2 Notes, the Class A Notes; collectively with the Upgraded Notes, the Notes) at AAA (sf)

The credit rating actions are based on the following factors as of February 2025:

(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 16.5% from 5.3% since initial issuance; to the Class B Notes, 10.2% from 2.3%; and to the Class C Notes, 6.0% 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 6.6%.

(3) To date, cumulative losses remain low and have amounted to 18 basis points of the Initial Pool Balance, compared with the original base case estimate of 0.79% for the comparable time period.

(4) Ford Credit Canada Company (rated BBB (low) with a Stable trend by Morningstar DBRS) 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 BBB (low) with a Stable trend by Morningstar DBRS), 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.

Morningstar DBRS monitors the performance of each transaction to identify any deviation from Morningstar DBRS' expectation at issuance and to ensure the credit 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 https://dbrs.morningstar.com.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (August 06, 2024) https://dbrs.morningstar.com/research/437538.

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 info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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

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

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

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Rating Canadian Auto Retail Loan and Lease Securitizations (September 25, 2024)
https://dbrs.morningstar.com/research/439988

Operational Risk Assessments for Canadian Structured Finance (March 28, 2025)
https://dbrs.morningstar.com/research/450831

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.