Approximately $678 million of asset-backed notes rated
Toronto, April 21, 2011 -- Moody's Investors Service has assigned long-term ratings to the
notes to be issued by Ford Auto Securitization Trust, Series 2011-R2
(FAST 2011-R2). The transaction is administered by Ford
Credit Canada Limited (rated Ba2), who is also the originator and
servicer of the auto loan collateral pool which supports the FAST 2011-R2
notes. Ford Credit Canada Limited (rated Ba2) is the Canadian subsidiary
of Ford Motor Credit Company LLC (rated Ba2).
The complete rating actions are as follows:
Issuer: Ford Auto Securitization Trust, Series 2011-R2
$631,305,000 2.719% Class A Notes,
rated Aaa (sf)
$19,935,000 3.823% Class B Notes,
rated Aa1 (sf)
$13,290,000 4.185% Class C Notes,
rated Aa3 (sf)
$13,290,000 4.585% Class D Notes,
rated A2 (sf)
Moody's median cumulative net loss expectation for the FAST 2011-R2
pool is 1.50% and the Volatility Proxy Aaa Level is 9.75%.
Moody's net loss expectation and Volatility Proxy Aaa Level for the FAST
2011-R2 transaction are derived from an analysis of the credit
quality of the underlying pool of fixed rate retail installment sales
contracts, the collateral's historical performance, the servicing
ability of Ford Credit Canada Limited, the performance guarantee
provided by Ford Motor Credit Company LLC, and expectations for
future economic conditions.
All classes of notes are enhanced by a 1.0% cash reserve
account as well as overcollateralization in the form of yield supplement
overcollateralization. The Class A Notes are further enhanced by
subordinate Class B, Class C, and Class D Notes which constitute
3.00%, 2.00% and 2.00%
respectively of the adjusted pool balance (pool balance less yield supplement
overcollateralization amount). Initially, the Class A,
Class B and Class C Notes will be fully collateralized on an adjusted
pool balance basis and together with the Class D Notes will be undercollateralized
by approximately 2% on an adjusted pool balance basis.
This transaction is Ford Credit Canada's second retail loan asset-backed
issuance of the year. The most notable difference between FAST
2011-R2 and the prior FAST 2011-R1 transaction is the higher
percentage of contracts with original terms greater than 60 months (36%
compared to 26% for FAST 2011-R1). A higher percentage
of contracts with original terms greater than 60 months typically has
a negative impact on pool performance. Nonetheless, the weighted
average FICO score of loans with original terms greater than 60 months
is materially higher for the FAST 2011-R2 (736) compared to FAST
2011-R1 (725). The higher FICO score is indicative of a
stronger prime quality obligor base. In addition, a review
of the historical performance of Ford Credit Canada's retail loan securitizations
together with a deal-by-deal comparison of collateral were
important ratings considerations.
The principal methodology used in rating the FAST 2011-R2 notes
was Moody's Approach to Rating U.S. Auto Loan-Backed
Securities, rating methodology published in June 2007.
If the net loss used in determining the initial rating were changed to
5.50%, 6.50%, or 8.50%,
the initial model-indicated output for the Class A notes might
change from Aaa to Aa2, A1, and Baa1, respectively,
the initial model-indicated output for the Class B notes might
change from Aa1 to Ba2, B2, and <B3, respectively,
the initial model-indicated output for the Class C notes might
change from Aa3 to B3, <B3, and <B3, respectively,
and the initial model-indicated output for the Class D notes might
change from A2 to <B3, <B3, and <B3, respectively.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investor
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
However, the credit rating action was based on limited historical
Additional research including a pre-sale report for this transaction
is available at www.moodys.com.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Asst Vice President - Analyst
Structured Finance Group
Moody's Canada Inc.
VP - Senior Credit Officer
Structured Finance Group
Moody's Canada Inc.
Moody's Canada Inc.
Moody's assigns long-term ratings to Ford Auto Securitization Trust, Series 2011-R2 Auto Loan Receivables-Backed Notes
70 York Street
Toronto, ON M5J 1S9