NEW YORK—Fitch Ratings upgrades three classes and affirms three classes of Ford Auto Securitization Trust 2015-R4:
--Class A-1 affirmed at 'AAAsf'; Outlook Stable;
--Class A-2 affirmed at 'AAAsf'; Outlook Stable;
--Class A-3 affirmed at 'AAAsf'; Outlook Stable;
--Class B upgraded to 'AAAsf' from AA+sf; Outlook Stable;
--Class C upgraded to 'AAsf' from A+sf; Outlook revised to Positive from Stable;
--Class D upgraded to 'Asf' from BBB+sf ; Outlook revised to Positive from Stable.
KEY RATING DRIVERS
The rating actions are based on available credit enhancement and loss performance. The collateral pool continues to perform within Fitch's expectations. Under the credit enhancement structure, the securities are able to withstand stress scenarios consistent with the current rating and make full payments to investors in accordance with the terms of the documents.
The ratings reflect the quality of Ford Credit Canada Limited's retail auto loan originations, the strength of its servicing capabilities, and the sound financial and legal structure of the transaction.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxy and impact available loss coverage and multiples levels for the transaction. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage.
In Fitch's initial review of the transaction, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectation. To date, the transaction has exhibited strong performance with losses well below Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130
Rating Criteria for U.S. Auto Loan ABS (pub. 21 Mar 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878723
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010563
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010563
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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Contacts
Fitch Ratings
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Puloma Mukherjee
Associate Director
+1-212-908-9131
Fitch Ratings, Inc.
33 Whitehall Street
New York NY 10004
or
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Tracy Wan
Senior Director
+1-212-908-9171
or
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sandro.scenga@fitchratings.com