Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement Nos. 333-208514 and 333-208514-08
Ford Credit Auto Lease Trust 2019-A Investor Roadshow February 2019
Free Writing Prospectus Registration Statement No. 333-208514 Ford Credit Auto Lease Two LLC (“the depositor”) Ford Credit Auto Lease Trust 2019-A (“the issuer”) This document constitutes a free writing prospectus for purposes of the Securities Act of 1933. The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you may request that a copy of the prospectus be sent to you by calling toll-free 1-800-831-9146 or by emailing prospectus@citi.com.
Transaction Participants FCALT 2019-A Roadshow Issuer Ford Credit Auto Lease Trust 2019-A Depositor Ford Credit Auto Lease Two LLC Servicer and Sponsor Ford Motor Credit Company LLC Indenture Trustee U.S. Bank National Association Owner Trustee The Bank of New York Mellon Delaware Trustee BNY Mellon Trust of Delaware Accountants PricewaterhouseCoopers LLP Active Joint-Lead Managers Citigroup Global Markets Inc. Mizuho Securities USA LLC Wells Fargo Securities, LLC Passive Joint-Lead Managers HSBC Securities (USA) Inc. J.P. Morgan Securities LLC Asset Representation Reviewer Clayton Fixed Income Services LLC
Executive Summary Ford Credit Auto Lease Trust 2019-A (“FCALT 2019-A”) plans to offer $1.0 billion of AAA-rated Class A Notes and $56.2 million of AA-rated Class B Notes Offering will include fixed-rate A-2a and floating-rate A-2b Notes which will be sized to demand; class A-2b notes will not exceed $188.0 million Consistent collateral eligibility and credit enhancement compared with prior transactions; Initial hard credit enhancement on Class A Notes of 20.15% (target of 22.65%) including subordination (8.70%), overcollateralization (11.20%) and reserve account (0.25%) Estimated excess spread per annum of 4.21% FCALT 2019-A Roadshow
Transaction Summary FCALT 2019-A will be the 16th public term ABS issuance from Ford Credit’s lease securitization program. Ford Credit previously sponsored three Rule 144A term lease ABS transactions in 2009 and 2010 FCALT 2019-A plans to offer $1,000,000,000 of AAA-rated Class A notes and $56,180,000 of AA-rated Class B notes. The depositor initially will retain $52,430,000 of unrated Class C notes FCALT 2019-A will use a senior / subordinate, sequential pay structure pre- and post-event of default Similar to previous Ford Credit lease securitizations, FCALT 2019-A will use an exchange note structure. The exchange note is secured by a reference pool of leases and leased vehicles The principal amount of the notes will be based on the securitization value of the leases. The securitization value of a lease is the sum of the present values of (1) the remaining scheduled base monthly payments plus (2) the base residual value of the related leased vehicle The discount rate applied to each lease is the greater of (1) 8.55% and (2) the lease factor The base residual value for a leased vehicle is the lesser of the contract residual value and the ALG base residual value(1). As a result, the base residual value of 96.59% of the leased vehicles in the reference pool by securitization value equals the ALG base residual value of the leased vehicle (1) ALG base residual value represents either ALG residual value at inception or the oldest ALG mark-to-market available for a vehicle. FCALT 2019-A Roadshow
Transaction Summary (Continued) The cutoff date is February 1, 2019. The first payment date will be March 15, 2019 Credit enhancement for the notes will consist of overcollateralization, subordination, a reserve account and excess spread FCALT 2019-A provides robust disclosure of collateral performance Original pool characteristics, updated balances, credit loss and residual performance for prior FCALT transactions is shown in the Prospectus (Annex B) Ongoing quarterly supplemental and statistical reporting will be published on Ford Credit’s website and will include an updated payment schedule of the remaining leases, credit loss and residual performance Asset-level data about the reference pool for this securitization will be filed with the SEC on Form ABS-EE on a monthly basis The fair value of the residual interest retained by the depositor, a wholly-owned affiliate of Ford Credit, will represent at least 5% of the sum of the fair values of the notes and the residual interest on the closing date FCALT 2019-A Roadshow
Transaction Structure Class Class Class Class Class Class Class A-1 Notes A-2a Notes A-2b Notes A-3 Notes A-4 Notes B Notes C Notes Total Principal Amount 198,000,000 376,000,000 348,000,000 78,000,000 56,180,000 52,430,000 $1,108,610,000 Class Split(1) 15.86% 30.12% 27.87% 6.25% 4.50% 4.20% 88.80% Rating (S&P / Fitch) A-1+ / F1+ AAA / AAA AAA / AAA AAA / AAA AA / AA NR Offering Type Public Public Public Public Public Retained WAL to Maturity (years)(2) 0.34 1.09 1.86 2.29 2.41 2.51 Benchmark Int. LIBOR EDSF 1 mo. LIBOR EDSF Int. Swaps Int. Swaps Int. Swaps Fixed/Floating Fixed Fixed Floating Fixed Fixed Fixed Fixed Interest Accrual Method Act / 360 30 / 360 Act / 360 30 / 360 30 / 360 30 / 360 30 / 360 Payment Frequency Monthly Monthly Monthly Monthly Monthly Monthly Monthly Principal Window (months)(2) 1 - 8 8 – 18 8 - 18 18 - 27 27 - 29 29 - 30 30 – 31 Expected Final(2)(3) Oct-2019 Aug-2020 Aug-2020 May-2021 Jul-2021 Aug-2021 Sep-2021 Legal Final(3) Mar-2020 Sep-2021 Sep-2021 May-2022 Jun-2022 Jul-2022 Oct-2023 ERISA Eligible Yes Yes Yes Yes Yes Yes No (1) As a percent of initial total securitization value (2) At pricing speed of 100% prepayment assumption to maturity (3) The trust will pay interest and principal on the notes on the 15th day of each month (or, if not a business day, the next business day) FCALT 2019-A Roadshow
Class A Credit Enhancement Triple A credit enhancement for FCALT 2019-A (20.15% / 22.65%) is consistent with prior transactions Includes overcollateralization, subordination, and reserve account Estimated excess spread per annum of 4.21% The distribution of hard credit enhancement is: Subordination is 8.70% of the initial securitization value Initial overcollateralization is 11.20% of the initial securitization value Target overcollateralization is 13.70% of the initial securitization value The reserve account is 0.25% of the initial securitization value The amortizing nature of the collateral, the sequential payment structure, the non-declining cash reserve account and overcollateralization are expected to result in credit enhancement increasing over time as a percent of the outstanding securitization value FCALT 2019-A Roadshow
Class A-2a and A-2b Floating Rate Notes FCALT 2019-A will issue a fixed rate Class A-2a note and an unhedged floating rate Class A-2b note The Class A-2a and Class A-2b notes are collectively referred to as the "Class A-2 notes" and constitute a single class and have equal rights to payments of principal and interest, which will be made on a pro rata basis The allocation of the principal amount of the Class A-2 notes between the Class A-2a notes and the Class A-2b notes will be determined on or before the day of pricing Class A-2a and Class A-2b notes will each be sized to demand with the Class A-2b notes not to exceed $188 million FCALT 2019-A Roadshow
Composition of the Reference Pool Number of leases 52,601 Initial total securitization value $1,248,442,991 Residual portion of initial total securitization value $798,887,957 Residual portion as a % of initial total securitization value 63.99% Base monthly payments plus base residual value $1,440,923,564 Base residual value $947,183,209 (1) Base residual value as a % of base monthly payments plus base residual value 65.73% Base residual value as a % of initial total securitization value 75.87% Weighted average original term 35.5 months (2) Weighted average remaining term 23.8 months (2) Seasoning 11.7 months (2) Weighted average FICO® score at origination 754 (3) Minimum discount rate 8.55% (1) The ALG base residual values for the leased vehicles in the reference pool are generally lower than the contract residual values of those vehicles. As a result, the base residual value of 96.59% of the leased vehicles in the reference pool by securitization value equals the ALG base residual value of the leased vehicle, with 96.59% equal to the ALG residual value and 0.00% equal to the oldest ALG mark-to-market value that the servicer has for the leased vehicles (2) Weighted by the securitization value of each lease on the cutoff date of February 1, 2019 (3) This weighted average excludes leases representing 5.26% of the initial securitization value that have lessees who do not have FICO® scores because they (a) are not individuals, or (b) are individuals with minimal or no recent credit history. For a description of FICO® scores, you should read "Sponsor and Servicer - Origination, Underwriting and Purchasing" in the prospectus. There can be no assurance that FICO® scores will be an accurate predictor of the likelihood of repayment of the related lease or that any lessee's credit score would not be lower if obtained on the cutoff date FCALT 2019-A Roadshow
Broad distribution of residual maturities Seasoned assets continue to be included in the FCALT transactions (results in enhancement build during the early part of transaction) FCALT transactions include shorter tenor leases on average, consistent with prior transactions (not shown) The weighted average original term of FCALT 2019-A is 35.5 months (not shown) Broad model diversification in FCALT 2019-A. Top model (F-150) is 23.01% of the pool and top 3 models comprise 56.11% of the pool FCALT 2019-A includes a diverse product mix of 54.89% CUVs, 23.16% Trucks, 16.84% Cars and 5.11% SUVs (not shown) Transactions include consistently high weighted average FICO® scores FCALT 2019-A residual portion of securitization value in line with recent FCALT transactions The maximum 6-month base residual maturity is 35.49% for the period beginning in June 2021 and ending in November 2021. AAA hard credit enhancement is expected to be 100.00% of the outstanding securitization value by June 2021(2) Collateral Highlights FCALT 2019-A Roadshow Vehicle type reflects classification of 2011 and newer model year Explorers and 2013 and newer model year Escapes as CUVs rather than SUVs (2) Assumes zero losses, zero prepays FCALT 2019-A FCALT 2018-B FCALT 2018-A FCALT 2017-B FCALT 2017-A FCALT 2016-A FCALT 2015-B FCALT 2015-A FCALT 2014-B FCALT 2014-A FCALT 2013-B Max 6-month Residual Maturities as a % Base Residual value 35.49% 38.27% 31.39% 33.37% 31.61% 27.91% 35.70% 36.83% 34.41% 28.98% 34.83% Seasoning (months) 11.7 11.1 11.9 11.9 11.7 11.5 10.3 10.0 9.6 9.4 9.3 Model Diversification(1) Top Model 23.01% 21.74% 18.92% 19.76% 18.71% 18.66% 17.86% 19.16% 16.55% 18.14% 16.80% Top 3 Models 56.11% 58.42% 53.66% 55.54% 50.79% 50.01% 51.50% 51.23% 47.69% 48.36% 47.31% SUVs and Trucks as % of Total Securitization Value 28.27% 26.22% 19.17% 19.47% 17.73% 15.96% 19.31% 18.57% 14.86% 14.85% 17.42% Weighted Average FICO 754 751 754 751 747 742 741 742 746 745 746 Weighted Average LTV at Origination 90.40% 91.67% 90.82% 92.44% 93.43% 94.83% 93.73% 94.45% 96.11% 95.49% 96.96% Weighted Average PTI at Origination 7.23% 7.31% 7.19% 7.32% 7.31% 7.39% 7.19% 7.20% 7.14% 7.25% 7.29% Residual Portion of Securitization Value 63.99% 62.45% 64.26% 64.59% 64.69% 64.28% 64.74% 64.95% 63.30% 64.96% 64.69%
Geographic Distribution Top 5 States 57.5% FCALT 2018-B FCALT 2017-B FCALT 2018-A States representing greater than 3.00% of initial total securitization value based on the billing address of the lessee on the cutoff date FCALT 2019-A Roadshow Top 5 States 58.4% FCALT 2019-A Top 5 States 56.5% Top 5 States 62.1% MI 20.7% NY 13.6% NJ 8.0% OH 7.6% CA 6.6% Other 43.5% MI 21.1% NY 13.8% CA 11.3% NJ 8.2% OH 7.7% Other 37.9% MI 19.8% NY 13.2% CA 10.7% NJ 7.6% OH 7.1% Other , 41.6% MI 22.6% NY 13.3% NJ 7.6% OH 7.1% CA 6.8% Other 42.6% State (1) Adjusted MSRP Acquisition Cost Residual Portion of Securitization Value ALG Mark-to-Market Michigan 12,812 24.36 % 502,542,981.22 $ 399,330,479.78 $ 282,076,182.76 $ 22.59 % 226,639,822.78 $ 23.93 % 193,539,527.86 $ 220,398,584.00 $ New York 6,905 13.13 278,490,630.18 236,701,198.38 166,411,287.04 13.33 124,829,281.96 13.18 104,893,077.59 121,762,170.00 New Jersey 3,977 7.56 159,842,429.81 136,375,832.49 95,108,138.35 7.62 70,508,636.50 7.44 59,284,088.19 69,009,716.00 Ohio 3,871 7.36 148,071,821.52 126,543,673.27 89,201,325.55 7.15 66,011,166.18 6.97 55,457,745.48 64,263,779.00 California 3,785 7.20 147,128,608.82 120,553,475.11 84,894,362.17 6.80 62,611,206.12 6.61 52,855,682.89 61,441,042.00 Pennsylvania 3,244 6.17 127,304,708.51 104,119,794.24 74,685,442.70 5.98 57,613,831.76 6.08 48,252,921.44 56,290,451.00 Florida 2,787 5.30 113,829,849.12 98,475,722.47 67,051,724.11 5.37 49,812,285.85 5.26 42,154,355.19 48,960,317.00 Texas 1,741 3.31 75,365,889.71 68,291,402.15 47,189,935.04 3.78 32,721,023.41 3.45 27,482,413.34 31,975,331.00 Other 13,479 25.62 567,238,060.38 479,230,310.76 341,824,593.58 27.38 256,435,954.30 27.07 214,968,145.50 250,228,319.00 Total 52,601 100.00 % 2,119,814,979.27 $ 1,769,621,888.65 $ 1,248,442,991.30 $ 100.00 % 947,183,208.86 $ 100.00 % 798,887,957.48 $ 924,329,709.00 $ Number of Leases Securitization Value Base Residual Value
Vehicle Type FCALT 2019-A FCALT 2018-A FCALT 2017-B FCALT 2018-B FCALT 2019-A continues to have broad diversification by vehicle type Truck and SUV concentrations reflect recent origination trends, representing 28.27% of initial total securitization value in FCALT 2019-A, 26.22% in FCALT 2018-B, 19.17% in FCALT 2018-A, and 19.47% in FCALT 2017-B FCALT 2019-A Roadshow CUV 56.5% Car 24.3% Truck 16.2% SUV 2.9% CUV 56.0% Car 17.8% Truck 21.9% SUV 4.3% CUV 56.5% Car 24.3% Truck 16.2% SUV 2.9% CUV 54.9% Truck 23.2% Car 16.8% SUV 5.1% CUV 56.0% Truck 21.9% Car 17.8% SUV 4.3% CUV 56.5% Truck 16.2% Car 24.3% SUV 2.9% CUV 56.3% Truck 17.5% Car 24.3% SUV 2.0%
Vehicle Model FCALT 2019-A Pool Features Broad Model Diversification (1) Models representing greater than 1.00% of initial total securitization value (2) Models include vehicles with battery electric or plug-in hybrid electric power source, which represent 3.80% of initial securitization value FCALT 2019-A Roadshow Vehicle Model(1) Number of Leases Adjusted MSRP Acquisition Cost Securitization Value Base Residual Value Residual Portion of Securitization Value ALG Mark-to-Market F-150 8,634 16.41 % $ 453,177,559.12 $ 373,918,923.52 $ 287,220,343.32 23.01 % $ 235,847,089.04 24.90 % $ 194,868,471.93 $ 227,801,340.00 Explorer 8,111 15.42 369,580,443.64 314,953,720.36 223,182,167.36 17.88 166,179,138.50 17.54 139,422,339.73 164,285,161.00 Escape 10,813 20.56 325,218,139.17 263,489,951.92 190,028,442.12 15.22 139,869,406.36 14.77 118,349,179.87 134,942,545.00 Edge 4,766 9.06 194,214,957.58 159,717,486.72 108,474,724.64 8.69 81,630,463.80 8.62 69,885,576.86 76,809,198.00 Fusion(2) 6,102 11.60 184,579,170.44 142,201,975.13 94,924,644.06 7.60 70,574,581.63 7.45 61,286,010.16 68,843,961.00 MKC 2,635 5.01 109,122,558.71 97,468,497.19 61,043,657.60 4.89 45,991,305.00 4.86 39,292,338.88 46,318,270.00 MKX 1,958 3.72 98,238,554.97 85,878,369.42 57,617,757.13 4.62 44,803,132.05 4.73 38,537,133.22 42,978,075.00 MKZ(2) 2,100 3.99 92,052,575.86 79,447,049.79 51,085,515.63 4.09 39,622,619.75 4.18 34,265,625.06 40,091,925.00 Expedition 706 1.34 50,610,489.48 45,728,942.96 33,691,699.00 2.70 24,231,583.75 2.56 19,770,131.85 23,488,540.00 Navigator 521 0.99 45,026,229.70 42,535,998.00 30,095,200.31 2.41 19,619,089.40 2.07 16,284,217.66 19,595,092.00 Focus 1,429 2.72 36,990,736.43 31,448,033.29 24,305,345.07 1.95 16,848,249.96 1.78 13,579,592.27 17,092,933.00 EcoSport 1,653 3.14 36,717,526.55 29,119,116.15 19,663,055.68 1.58 13,644,619.52 1.44 11,812,192.27 13,494,595.00 Continental 481 0.91 28,626,727.01 26,028,246.96 15,785,964.11 1.26 11,480,020.00 1.21 9,917,462.80 11,703,088.00 Flex 651 1.24 26,191,422.71 22,034,669.52 14,493,923.41 1.16 10,705,674.20 1.13 9,161,960.57 10,407,722.00 Other 2041 3.88 69,467,887.90 55,650,907.72 36,830,551.86 2.95 26,136,235.90 2.76 22,455,724.35 26,477,264.00 Total 52,601 100.00 % $ 2,119,814,979.27 $1,769,621,888.65 $1,248,442,991.30 100.00 % $ 947,183,208.86 100.00 % $ 798,887,957.48 $ 924,329,709.00
Payment Schedule FCALT 2019-A Roadshow Month Securitization Value Initial Balance 1,248,442,991.30 $ 2019 February 1,236,088,431.22 21,250,644.74 $ 4.30 % - $ - % March 1,223,645,831.90 21,250,644.74 4.30 - - April 1,211,114,565.22 21,250,644.74 4.30 - - May 1,198,494,002.90 21,250,644.74 4.30 - - June 1,185,783,503.85 21,250,644.74 4.30 - - July 1,167,537,427.65 21,086,680.80 4.27 5,608,966.70 0.59 August 1,145,199,036.89 20,828,422.60 4.22 9,829,503.96 1.04 September 1,119,180,292.06 20,490,661.17 4.15 13,688,430.00 1.45 October 1,094,452,676.61 20,187,429.39 4.09 12,515,125.65 1.32 November 1,067,435,298.93 19,835,962.86 4.02 14,980,158.65 1.58 December 1,038,329,979.76 19,444,954.51 3.94 17,266,590.30 1.82 2020 January 1,012,080,827.40 19,113,733.30 3.87 14,534,256.40 1.53 February 979,840,632.99 18,654,289.98 3.78 20,797,704.70 2.20 March 947,599,906.93 18,216,719.23 3.69 21,006,084.72 2.22 April 914,708,087.43 17,757,332.71 3.60 21,886,834.46 2.31 May 871,636,437.58 17,064,972.32 3.46 32,524,659.16 3.43 June 830,858,323.07 16,413,232.02 3.32 30,575,965.60 3.23 July 790,761,771.25 15,755,860.36 3.19 30,261,211.81 3.19 August 752,291,506.45 15,121,425.44 3.06 28,983,630.35 3.06 September 712,719,731.09 14,426,356.12 2.92 30,506,074.60 3.22 October 675,110,934.30 13,767,151.92 2.79 28,920,340.50 3.05 November 627,319,661.68 12,902,691.14 2.61 39,699,303.05 4.19 December 588,976,869.21 12,210,540.23 2.47 30,602,417.96 3.23 2021 January 558,154,694.60 11,681,561.14 2.37 23,337,575.70 2.46 February 515,674,352.07 10,929,701.62 2.21 35,527,985.65 3.75 March 471,836,450.73 10,136,734.92 2.05 37,375,808.35 3.95 April 424,246,468.96 9,254,865.85 1.87 41,697,357.75 4.40 May 367,181,703.69 8,138,781.58 1.65 51,949,129.99 5.48 Scheduled Base Monthly Payments Base Residual Value
Payment Schedule (Continued) This payment schedule will be updated quarterly and posted on the Ford Credit website: www.ford.com/finance/investor-center/asset-backed-securitization FCALT 2019-A Roadshow Initial Securitization Value $1,248,442,991.30 Total Scheduled Base Monthly Payments plus Base Residual Value $1,440,923,564.22 Total Base Residual Value as % of Total Scheduled Base Monthly Payments plus Base Residual Value 65.73 % Month Securitization Value June 307,607,775.46 6,938,056.82 1.41 55,252,399.42 5.83 July 252,396,675.88 5,775,274.24 1.17 51,627,860.27 5.45 August 196,373,944.84 4,549,970.52 0.92 53,271,374.05 5.62 September 142,620,556.45 3,351,579.87 0.68 51,801,163.40 5.47 October 93,032,680.55 2,239,233.22 0.45 48,364,997.41 5.11 November 17,371,406.29 481,891.91 0.10 75,842,418.02 8.01 December 14,445,411.78 403,457.39 0.08 2,646,403.95 0.28 2022 January 9,649,646.66 273,321.35 0.06 4,625,436.55 0.49 February 449,791.07 13,349.10 0.00 9,255,323.58 0.98 March 281,987.08 8,883.21 0.00 162,156.00 0.02 April 227,487.64 7,495.08 0.00 49,043.00 0.01 May 162,424.09 5,823.65 0.00 60,889.20 0.01 June 142,138.87 5,209.92 0.00 16,260.00 0.00 July 108,688.73 3,771.30 0.00 30,718.00 0.00 August 99,226.35 3,415.79 0.00 6,821.00 0.00 September 96,517.53 3,415.79 0.00 - - October 60,328.17 2,417.06 0.00 34,460.00 0.00 November 16,171.78 504.23 0.00 44,082.00 0.00 December - - - 16,287.00 0.00 Total 493,740,355.36 $ 100.00 % 947,183,208.86 $ 100.00 % Scheduled Base Monthly Payments Base Residual Value
Residual Maturity Vs. Enhancement Build FCALT 2019-A Roadshow (1) Hard credit enhancement consists of overcollateralization, subordination and the reserve account; Assumes zero loss, zero prepays Residual Maturity by Vehicle Type vs. Hard Credit Enhancement for Class A Notes(1) % of Residuals Maturing Each Period Class A-3 Paid Down Class A-2 Paid Down Class A-1 Paid Down Hard Credit Enhancement as a % of O/S Securitization Value Class A-4 Paid Down 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 Hard 'AAA' CE CUV Car SUV Truck 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 0% 5% 10% 15% 20% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 Total Hard CE CUV Car SUV Truck
Residual Maturity Vs. Enhancement Build (Continued) Enhancement as a percentage of the FCALT 2019-A initial total securitization value builds during the transaction, dramatically increasing the amount of residual stress that each class can support over time The inclusion of seasoned leases in the pool is expected to increase the enhancement early in the life of the transaction The residual maturities are well distributed and a diverse mix of vehicle types mature in each period; maximum percentage of residual maturities in any 3 month period is 18.58%, similar to previous FCALT transactions After the A-3 notes are expected to pay-off in month 27, the A-4 notes should have approximately 67% hard enhancement FCALT 2019-A Roadshow
Assumptions: 0% prepayments 40% / 40% / 20% (year 1 / 2 / 3) distribution for losses 50% recovery of charge-offs (with a 4 month lag on credit loss recoveries) 2 month lag on receipt of auction proceeds for residual Base net credit loss of 1% of initial total securitization value Estimated 4.21% excess spread per annum Includes 11.20% initial overcollateralization growing to a target of 13.70%, 8.70% of subordination for the Class A Notes, 4.20% of subordination for Class B Notes, and 0.25% cash reserve account Class A-3 Notes Cumulative Net Credit Loss Net Loss % 1.00% 3.00% 5.00% Turn in Rate(1) 1.00x 3.00x 5.00x 70% 63.74% 62.51% 60.78% 80% 55.68% 54.61% 53.09% 90% 49.42% 48.46% 47.11% 100% 44.40% 43.54% 42.32% Residual Breakeven Analysis Presented below are the percentage of base residual losses, after defaults, that can be sustained before the notes incur a loss at various turn-in rates and multiples of the base case credit loss (1) After stress defaults Class A-1 Notes Cumulative Net Credit Loss Net Loss % 1.00% 3.00% 5.00% Turn in Rate(1) 1.00x 3.00x 5.00x 70% 100.00% 100.00% 100.00% 80% 100.00% 100.00% 100.00% 90% 100.00% 100.00% 100.00% 100% 100.00% 100.00% 100.00% Class A-2 Notes Cumulative Net Credit Loss Net Loss % 1.00% 3.00% 5.00% Turn in Rate(1) 1.00x 3.00x 5.00x 70% 100.00% 100.00% 100.00% 80% 100.00% 100.00% 100.00% 90% 90.39% 91.27% 92.11% 100% 81.20% 82.00% 82.76% Class A-4 Notes Cumulative Net Credit Loss Net Loss % 1.00% 3.00% 5.00% Turn in Rate(1) 1.00x 3.00x 5.00x 70% 51.79% 50.10% 47.72% 80% 45.23% 43.75% 41.66% 90% 40.12% 38.80% 36.95% 100% 36.04% 34.85% 33.18% Class B Notes Cumulative Net Credit Loss Net Loss % 1.00% 2.50% 4.00% Turn in Rate(1) 1.00x 2.50x 4.00x 70% 42.93% 41.64% 39.59% 80% 37.47% 36.35% 34.55% 90% 33.23% 32.23% 30.63% 100% 29.83% 28.93% 27.50% Class C Notes Cumulative Net Credit Loss Net Loss % 1.00% 2.00% 3.00% Turn in Rate(1) 1.00x 2.00x 3.00x 70% 34.63% 33.85% 32.57% 80% 30.21% 29.53% 28.41% 90% 26.77% 26.17% 25.17% 100% 24.03% 23.48% 22.58% FCALT 2019-A Roadshow The tables below show the percentage of base residual loss, after defaults, that can be sustained before the notes incur a loss at various turn-in rates and multiples of base case credit losses
Break-Even Analysis* FCALT 2019-A Roadshow Break-Even for FCALT 2019-A Compared to Historical Pool Performance Return Rate Cumulative Residual Loss / (Gain) * Assumes cumulative net credit losses stress of 5%; break-evens are specific to FCALT 2019-A A-2 Break-Even = 82.8% A-3 Break-Even = 42.3% A-4 Break-Even = 33.2% Memo: Worst Recent 12-Month Portfolio Experience = 18.3% (CY 2008) Memo: Worst Recent 12-Month Portfolio Experience = 82% (CY 2008) Break-Even = 100% Return Rate Assumed Period (Months) Period (Months) -20% 0% 20% 40% 60% 80% 100% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 2014-A 2014-B 2015-A 2015-B 2016-A 2017-A 2017-B 2018-A 2018-B 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 2014-A 2014-B 2015-A 2015-B 2016-A 2017-A 2017-B 2018-A 2018-B
FCALT 2019-A Roadshow U.S. Managed Lease Portfolio Ford Credit leasing, as a share of retail sales, remains below the industry Ford Credit works with Ford and Lincoln to set guidelines around leasing share, term, model mix and other factors to support brand value and sales Auction values stronger than expected and higher YoY Number of Leases Originated (000) Avg. # of Leases Outstanding (000) Source: 2018Q2 Lease Quarterly Statistical Information Manheim Used Vehicle Value Index Source: Manheim Consulting, December 2018 (January 1996 = 104.3) 704 841 975 1,006 1,018 363 414 401 377 394 2014 2015 2016 2017 2018 95 105 115 125 135 145 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18
FCALT 2019-A Roadshow Residual Performance* Ford’s managed portfolio residual realizations have posted a gain of 5.30% for the year ended December 31, 2018, up as compared to a 1.37% gain for the year ended December 31, 2017 Rating agencies stress residuals in excess of 30% on Class A notes, which is significantly higher than Ford Credit’s worst year in 2008 when the portfolio experienced residual losses of 18.26% (not shown) Rating agencies apply their residual value stress to all vehicles scheduled to be returned over the life of the transaction for FCALT 2019-A, while periods of severe residual stress have historically been much shorter Rating agencies assume a 100% return rate even though Ford Credit’s highest return rate was only 82.31% in 2008 (not shown) *See Appendix for footnotes Year Ended December 31, 2018 2017 2016 2015 2014 Number of Leases Terminated 342,498 365,615 318,115 245,392 248,030 Number of Vehicles Returned and Sold 250,044 280,738 238,403 174,437 186,320 Return Rate 73.01 76.79 74.94 71.09 75.12 Vehicles Returned and Sold Average Adjusted MSRP 37,164 35,462 35,050 34,878 34,419 Average ALG Base Residual Value 17,997 17,531 17,853 18,223 17,997 Average Residual Loss/(Gain) (955) (240) 14 (733) (588) Residual Loss/(Gain) as a % of Adjusted MSRP(1) Car (0.16) 4.37 5.95 4.59 5.09 CUV (3.88) (4.60) (4.37) (5.60) (5.71) SUV(2) (3.73) (2.46) (2.36) (5.80) (6.12) Truck (3.21) (3.61) (4.38) (10.18) (10.89) Total (2.57) (0.68) 0.04 (2.10) (1.71) Residual Loss/(Gain) as a % of ALG Base Residual Value(3) (5.30) (1.37) 0.08 (4.02) (3.27) Terminated Leases Average Contract Residual Value as a % of Adjusted MSRP(4) 54.80 56.08 57.31 58.65 58.83 Average ALG Base Residual Value as a % of Adjusted MSRP(5) 48.28 49.35 50.59 51.66 51.80 Contract Residual Value Higher/(Lower) than ALG Base Residual Value 6.52 6.73 6.72 6.99 7.03
Credit Performance FCALT 2019-A Roadshow *See Appendix for footnotes Delinquency, Repossession and Credit Loss Experience* Year Ended December 31, 2018 2017 2016 2015 2014 Average number of leases outstanding (1) 1,018,020 1,005,542 974,580 841,005 704,275 Average portfolio outstanding (in millions)(2) $27,451 $26,586 $25,506 $22,066 $18,554 Average number of delinquencies(3)(4) 31 - 60 days 7,509 7,731 7,436 6,265 5,802 61-90 days 731 870 823 585 557 91 - 120 days 52 98 103 59 49 Over 120 days 9 13 16 8 5 Average number of delinquencies as a percentage of average number of leases outstanding(3)(4) 31 - 60 days 0.74% 0.77% 0.76% 0.74% 0.82% 61-90 days 0.07% 0.09% 0.08% 0.07% 0.08% 91 - 120 days 0.01% 0.01% 0.01% 0.01% 0.01% Over 120 days 0.00% 0.00% 0.00% 0.00% 0.00% Aggregate balance of delinquent leases as a percentage of average portfolio outstanding(3)(5) 31 - 60 days 0.85% 0.73% 0.81% 0.80% 0.89% 61-90 days 0.08% 0.08% 0.09% 0.08% 0.07% 91 - 120 days 0.00% 0.00% 0.01% 0.01% 0.01% Over 120 days 0.00% 0.00% 0.00% 0.00% 0.00% Repossessions as a percentage of average number of leases outstanding 0.69% 0.79% 0.72% 0.63% 0.66% Aggregate net losses (gains) (in millions)(6) $86 $102 $83 $51 $39 Net losses (gains) as a percentage of average portfolio outstanding(6) 0.31% 0.38% 0.33% 0.23% 0.21% Net losses (gains) as a percentage of gross liquidations(7) 0.72% 0.87% 0.79% 0.59% 0.50% Number of leases charged off 18,104 17,953 16,415 11,838 8,907 Number of leases charged off as a percentage of average number of leases outstanding 1.78% 1.79% 1.68% 1.41% 1.26% Average net loss (gain) on leases charged off $4,769 $5,701 $5,081 $4,308 $4,421
Securitization Pool Performance FCALT 2019-A Roadshow Cumulative Return Rate Cumulative Residual Loss / (Gain)* Commentary For the pool performance in the periods above (2014 to 2018): Lifetime cumulative return rates range between 60% and 75% Cumulative residual gains but declining; recently, residual gains on larger vehicles have been partially offset by residual losses on smaller vehicles Consistent credit loss performance. Cumulative Net Credit Losses** * As a percentage of initial base residual value; includes losses / (gains) on retained and returned vehicles ** Total credit loss as a percent of initial total securitization value -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 2014-A 2014-B 2015-A 2015-B 2016-A 2017-A 2017-B 2018-A 2018-B 0.00% 0.20% 0.40% 0.60% 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 2014-A 2014-B 2015-A 2015-B 2016-A 2017-A 2017-B 2018-A 2018-B 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 2014-A 2014-B 2015-A 2015-B 2016-A 2017-A 2017-B 2018-A 2018-B
Appendix
Footnotes to Residual Table on Slide 22 The percentage equivalent to the average residual loss (gain) for leased vehicles of each vehicle type that were returned and sold, divided by the average adjusted MSRP for those vehicles. The vehicle types do not include a small number of vehicles that are not manufactured by Ford or for which Ford Credit does not have a valid vehicle identification number All Explorers and Escapes are classified as SUV regardless of model year (3) The percentage equivalent to the average residual loss (gain) for leased vehicles that were returned and sold, divided by the average ALG base residual value for those vehicles (4) The percentage equivalent to the average contract residual value for leased vehicles that terminated during the period, divided by the average adjusted MSRP of those vehicles (5) The percentage equivalent to the average ALG base residual value for leased vehicles that terminated during the period, divided by the average adjusted MSRP of those vehicles FCALT 2019-A Roadshow With regard to the residual table on slide 22, "terminated leases" are leases for which (1) the related leased vehicle was returned during the period and sold by December 31, 2018, (2) the related leased vehicle was purchased under the lease during the period or (3) the lessee defaulted during the period
Footnotes to Credit Performance Table on Slide 23 Average of the number of leases outstanding at the beginning and end of each month in the period (2) Average of the aggregate lease balance of leases outstanding at the beginning and end of each month in the period (3) The period of delinquency is the number of days that more than $49.99 of a scheduled monthly payment is past due, excluding accounts with bankrupt lessees and accounts that have been repossessed or charged off Average of the number of leases delinquent at the beginning and end of each month in the period. The period of delinquency is the number of days that more than $49.99 of a scheduled monthly payment is past due, excluding accounts with bankrupt lessees Aggregate balance at the end of the period over the aggregate balance of all leases outstanding at the end of the period Net losses include the aggregate balance ((i) lease and other charges, plus (ii) external costs associated with repossession and disposition of vehicles incurred both before and after charge off, plus (iii) external costs associated with continued collection efforts incurred after charge off) of all leases that the servicer determined to be uncollectible in the period less any amounts received in the period on leases charged off in the period or any earlier periods. Net losses also include the excess mileage charges and the estimated cost to repair any excess wear and use that the lessee does not pay when the vehicle is returned, less any amount received in the period for excess mileage and excess wear and use. In addition, net losses include the estimated loss recorded at the time a vehicle is repossessed and this estimated loss is adjusted to reflect the actual loss after the vehicle is sold. Realized losses for a securitized pool of leases for any period include the aggregate lease balance ((i) remaining total securitization value, (ii) external costs associated with repossession and disposition of vehicles incurred both before and after charge off and (iii) external costs associated with continued collection efforts incurred after charge off) of all leases that the servicer determined to be uncollectible in the period less any amounts received in the period on leases charged off in the period. Therefore, realized losses for a securitized pool of leases may be higher or lower than net losses for those leases Gross liquidations are cash payments and charge offs that reduce the outstanding balance of a lease FCALT 2019-A Roadshow
