CHICAGO--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings and Outlooks to the notes issued by Ford Credit Auto Owner Trust 2015-B:
--$440,000,000 class A-1 'F1+sf';
--$590,000,000 classes A-2A and A-2B 'AAAsf'; Outlook Stable;
--$587,800,000 class A-3 'AAAsf'; Outlook Stable;
--$132,590,000 class A-4 'AAAsf'; Outlook Stable;
--$55,270,000 class B 'AAsf'; Outlook Stable;
--$36,850,000 class C 'Asf'; Outlook Stable;
--$36,850,000 class D 'NRsf'.
KEY RATING DRIVERS
Stable Credit Quality: The 2015-B pool is consistent with prior deals with a weighted average (WA) FICO score of 731, and 89.3% new vehicle loans. The pool is geographically diverse, has WA seasoning of 8 months and loans with terms of 61 months or more total 46.4%.
Adequate Credit Enhancement Structure: The cash flow distribution is a sequential-pay structure. Initial hard credit enhancement (CE) for the class A notes totals 5.50%, consisting of 7.00% subordination and a 0.50% non-declining reserve, offset by undercollateralization of 2.00% on an adjusted pool basis.
Stable Portfolio/Securitization Performance: Delinquencies and losses on Ford Credit's portfolio and 2009-2014 securitizations are currently at low levels, supported by the improving U.S. economy and stable used vehicle values, although they are expected to soften over the next year. Fitch's initial base case cumulative net loss (CNL) is 1.65%. Pool-factor projections of recent securitizations suggest 2015-B could have a CNL within 0.80% assuming stable macroeconomic conditions.
Stable Corporate Performance: Fitch's current long-term Issuer Default Rating (IDR) for Ford Motor Company (Ford), parent of Ford Credit, and Ford Credit is 'BBB-' with a Positive Rating Outlook.
Consistent Origination/Underwriting/Servicing: Ford Credit demonstrates adequate abilities as an originator, underwriter and servicer, as evidenced by historical portfolio and securitizations' delinquency and loss performance. Fitch deems Ford Credit an adequate servicer to service 2015-B.
Integrity of Legal Structure: The legal structure of the transaction should provide that a bankruptcy of Ford Credit would not impair the timeliness of payments on the securities.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of Ford Credit Auto Owner Trust 2015-B to increased losses over the life of the transaction. Fitch's analysis found that the class B and C notes display some sensitivity to increased defaults and losses, showing potential downgrades of up to one category under Fitch's moderate (1.5x base case loss) scenario. All classes of notes could experience downgrades of up to two rating categories under Fitch's severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further detailed in the accompanying presale report, available at 'www.fitchratings.com' or by clicking on the above link.
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (March 2015);
--'Rating Criteria for U.S. Auto Loan ABS' (April 2015);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and
Covered Bonds' (December 2014);
--'Ford Credit Auto Owner Trust 2015-B (US ABS)' (May 2015);
--'Ford Credit Auto Owner Trust 2015-B - Appendix' (May 2015).
Applicable Criteria and Related Research: Ford Credit Auto Owner Trust 2015-B (US ABS)
Global Structured Finance Rating Criteria
Rating Criteria for US Auto Loan ABS
Counterparty Criteria for Structured Finance and Covered Bonds
Criteria for Interest Rate Stresses in Structured Finance Transactions