Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement Nos. 333-231819 and 333-231819-07
2019 (01-14-20) Version 1.0 6:00pm Ford Credit Auto Lease Trust 2021-B Investor Roadshow September 2021
Free Writing Prospectus Registration Statement No. 333-231819 Ford Credit Auto Lease Two LLC (“the depositor”) Ford Credit Auto Lease Trust 2021-B (“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 1-866-375-6829. 2
FCALT 2021-B Roadshow Transaction Issuer Participants Ford Credit Auto Lease Trust 2021-B Depositor Ford Credit Auto Lease Two LLC Servicer and Sponsor Ford Motor Credit Company LLC ("Ford Credit") 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 RBC Capital Markets, LLC Citigroup Global Markets Inc. TD Securities (USA) LLC Passive Joint-Lead Managers BofA Securities, Inc. Credit Agricole Securities (USA) Inc. Asset Representation Reviewer Clayton Fixed Income Services LLC 3
FCALT 2021-B Roadshow Key Highlights • Ford Credit Auto Lease Trust 2021-B (“FCALT 2021-B”) will issue notes with an aggregate initial principal amount of $1,122,650,000 or $1,403,310,000.(1) If the aggregate initial principal amount issued is: - $1,122,650,000, $1.0 billion of AAA-rated Class A notes(2), $69.44 million of AA/AA+ rated Class B notes and $53.21 million of A+ rated Class C notes will be issued, or - $1,403,310,000, $1.25 billion of AAA-rated Class A notes(3), $86.79 million of AA+/AA rated Class B notes and $66.52 million of A+ rated Class C notes will be issued • Total amount of hard credit enhancement (for either issuance) is consistent with FCALT 2021-A Cash reserve (0.25%), subordination (9.45%) and overcollateralization (initial: 13.50% / target: 16.00%) Class A Notes have initial hard credit enhancement of 23.20%; (target 25.70%) • Estimated excess spread per annum of 4.31%(4) The Sponsor will determine the aggregate initial principal amount of the notes to be issued on or before the day of pricing Includes $146.0 million of A-1 Notes rated A-1+/F1+ Includes $182.0 million of A-1 Notes rated A-1+/F1+ Excess spread is estimated as the discount rate used in the calculation of securitization value of 6%, less (a) the servicing fee of 1%, (b) an administrative fee of 0.01%, and (c) a projected weighted average coupon of the notes of 0.68% (1) (2) (3) (4) 4
FCALT 2021-B Roadshow Transaction Summary • FCALT 2021-B will be the 21st public term ABS issuance from Ford Credit’s lease securitization program • FCALT 2021-B will issue notes with an aggregate initial principal amount of $1,122,650,000 or $1,403,310,000(1) • FCALT 2021-B will use a senior / subordinate, sequential pay structure pre-and post-event of default • Similar to prior Ford Credit lease securitizations, FCALT 2021-B will use an exchange note structure. The exchange note is secured by a reference pool of leases and leased vehicles • 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 • The cutoff date for the reference pool is September 1, 2021. The first payment date will be October 15, 2021 • Credit enhancement for the notes will consist of overcollateralization, subordination, a reserve account and excess spread (1) The Sponsor will determine the aggregate initial principal amount of the notes to be issued on or before the day of pricing 5
FCALT 2021-B Roadshow Transaction Summary (Continued) 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 principal amount of the notes will be based on the securitization value of the leases. The securitization value of The discount rate applied to each lease is the greater of (1) 6.00% and (2) its 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 78.82%(2) of the leased vehicles in the reference pool by securitization value equals the ALG base residual value of the leased vehicle Securitization value does not reflect the most recent ALG mark-to-market value, which is $53.1 million(3) higher than the base residual value of the reference pool • FCALT 2021-B 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 (1) For a description of ALG base residual value, please refer to the endnote on slide 23 (2) Assumes the aggregate principal amount of notes issued is $1,122,650,000. If the aggregate principal amount of notes issued is $1,403,310,000, the base residual value of 78.84% of the leased vehicles in the reference pool by securitization value equal the ALG base residual value of the leased vehicle (3) Assumes the aggregate principal amount of notes issued is $1,122,650,000. If the aggregate principal amount of notes issued is $1,403,310,000, the most recent ALG mark-to-market is $66.1 million higher than the base residual value of the reference pool 6
FCALT 2021-B Roadshow Structure – $1.1 Billion Notes Issued(1) Transaction Class Class Class Class Class Class A-1 Notes A-2 Notes A-3 Notes A-4 Notes B Notes C Notes Total 146,000,000 412,000,000 365,000,000 77,000,000 69,440,000 53,210,000 Principal Amount $1,122,650,000 Class Split(2) 11.25% 31.74% 28.12% 5.93% 5.35% 4.10% 86.50% Rating (S&P / Fitch) A-1+/ F1+ AAA AAA AAA AA/AA+ A+ Offering Type -------------------------------------------------Public ---------------------------------------------------WAL to Maturity (years)(3) 0.25 1.06 1.82 2.14 2.27 2.41 Benchmark Int. LIBOR EDSF EDSF Int. Swaps Int. Swaps Int. Swaps Fixed/Floating --------------------------------------------------Fixed ----------------------------------------------------Interest Accrual Method Act / 360 -------------------------------------30 / 360 ------------------------------------------Payment Frequency -------------------------------------------------Monthly ---------------------------------------------------Principal Window (months)(3) 1 - 6 6 - 18 18 - 25 25 - 27 27 - 28 28 – 30 Expected Final(3)(4) Mar-2022 Mar-2023 Oct-2023 Dec-2023 Jan-2024 Mar-2024 Legal Final(4) Oct-2022 Apr-2024 Oct-2024 Dec-2024 Jan-2025 May-2026 ERISA Eligible ------------------------------------------------------Yes --------------------------------------------------------(1) Information about each class of notes, if the aggregate initial principal balance of the notes to be issued is $1,122,650,000, is summarized below (2) As a percent of initial total securitization value. Total may not sum due to rounding (3) At pricing speed of 100% prepayment assumption to maturity (4) 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) 7
FCALT 2021-B Roadshow Structure – $1.4 Billion Notes Issued(1) Transaction Class Class Class Class Class Class A-1 Notes A-2 Notes A-3 Notes A-4 Notes B Notes C Notes Total 182,000,000 514,980,000 456,230,000 96,790,000 86,790,000 66,520,000 Principal Amount $1,403,310,000 Class Split(2) 11.22% 31.74% 28.12% 5.97% 5.35% 4.10% 86.50% Rating (S&P / Fitch) A-1+/ F1+ AAA AAA AAA AA/AA+ A+ Offering Type -------------------------------------------------Public ---------------------------------------------------WAL to Maturity (years)(3) 0.25 1.06 1.82 2.14 2.27 2.42 Benchmark Int. LIBOR EDSF EDSF Int. Swaps Int. Swaps Int. Swaps Fixed/Floating --------------------------------------------------Fixed ----------------------------------------------------Interest Accrual Method Act / 360 -------------------------------------30 / 360 ------------------------------------------Payment Frequency -------------------------------------------------Monthly ---------------------------------------------------Principal Window (months)(3) 1 - 6 6 - 18 18 - 25 25 - 27 27 - 28 28 – 30 Expected Final(3)(4) Mar-2022 Mar-2023 Oct-2023 Dec-2023 Jan-2024 Mar-2024 Legal Final(4) Oct-2022 Apr-2024 Oct-2024 Dec-2024 Jan-2025 May-2026 ERISA Eligible ------------------------------------------------------Yes --------------------------------------------------------(1) Information about each class of notes, if the aggregate initial principal balance of the notes to be issued is $1,403,310,000, is summarized below (2) As a percent of initial total securitization value. Total may not sum due to rounding (3) At pricing speed of 100% prepayment assumption to maturity (4) 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) 8
FCALT 2021-B Roadshow Composition of the Reference Pool If the Aggregate Principal Balance of the Notes Issued Is: $1,122,650,000 $1,403,310,000 Number of leases Initial total securitization value Residual portion of initial total securitization value Residual portion as a % of initial total securitization value Base monthly payments plus base residual value Base residual value Weighted average original term(3) Weighted average remaining term(3) Seasoning(3) Weighted average FICO® score at origination(4) Minimum discount rate 42,554 $1,297,861,360.38 $834,033,803.31 64.26% $1,440,565,057.90 $944,985,381.28 (1) 36.2 months 24.5 months 11.7 months 759 6.00% 53,191 $1,622,326,753.46 $1,042,509,982.05 64.26% $1,800,753,586.06 $1,181,241,025.58 36.2 months 24.5 months 11.7 months 759 6.00% (2) (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 78.82% of the leased vehicles in the reference pool by securitization value equals the ALG base residual value of the leased vehicle. For a description of ALG base residual value, please refer to the endnote on slide 23 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 78.84% of the leased vehicles in the reference pool by securitization value equals the ALG base residual value of the leased vehicle. For a description of ALG base residual value, please refer to the endnote on slide 23 Weighted by the securitization value of each lease on the cutoff date of September 1, 2021 This weighted average excludes leases representing 5.95% if the aggregate principal balance of the notes issued is $1,122,650,000, and 6.00% if the aggregate principal balance of the notes issued is $1,403,310,000, of the initial securitization value that have lessees who did 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. (2) (3) (4) 9
FCALT 2021-B Roadshow Collateral Highlights • Residual maturities have broad distribution • Seasoned assets included in FCALT transactions • Diverse model mix across CUV, Truck, SUV and Car platforms (detail on slide 11) • Weighted average FICO® scores are consistently strong, increasing in recent transactions • Residual portion of securitization value in line across recent transactions • FCALT 2021-B securitization value does not reflect the most recent ALG mark-to-market value, which is $53.1 million(1) or $61.1 million(2) higher than the base residual value of the reference pool (1) (2) (3) Assumes the aggregate initial principal balance of the notes to be issued is $1,122,650,000 Assumes the aggregate initial principal balance of the notes to be issued is $1,403,310.000 The base residual value for a leased vehicle is the lesser of the contract residual value and the ALG base residual value. For a description of ALG base residual value, please refer to the endnote on slide 23 For transactions prior to FCALT 2017-B, vehicle type reflects classification of 2011 and newer model year Explorers and 2013 and newer model year Escapes, as CUVs rather than SUVs (4) 10 Max 6-month Residual Maturities as a % Base Residual value(3) FCALT FCALT FCALT FCALT FCALT FCALT FCALT FCALT FCALT FCALT FCALT FCALT 2021-B 2021-B 2021-A 2020-B 2020-A 2019-B 2019-A 2018-B 2018-A 2017-B 2017-A 2016-A ($1.1B1) ($1.4B2) 34.04% 34.05% 35.24% 31.66% 35.20% 32.72% 35.49% 38.27% 31.39% 33.37% 31.61% 27.91% Seasoning (months) 11.7 11.7 11.9 12.4 12.4 11.9 11.7 11.1 11.9 11.9 11.7 11.5 Model Diversification Top Model 23.04% 22.95% 20.39% 19.87% 22.61% 27.27% 23.01% 21.74% 18.92% 19.76% 18.71% 18.66% Top 3 Models 52.79% 52.71% 52.15% 52.07% 55.19% 58.53% 56.11% 58.42% 53.66% 55.54% 50.79% 50.01% SUVs and Trucks as % of Total Securitization 32.62% 32.71% 31.73% 33.60% 29.92% 34.50% 28.27% 26.22% 19.17% 19.47% 17.73% 15.96% Value(4) Weighted Average FICO 759 759 758 755 754 754 754 751 754 751 747 742 Weighted Average LTV at Origination 92.79% 92.77% 91.54% 91.38% 90.51% 90.89% 90.40% 91.67% 90.82% 92.44% 93.43% 94.83% Weighted Average PTI at Origination 7.79% 7.76% 7.72% 7.48% 7.41% 7.26% 7.23% 7.31% 7.19% 7.32% 7.31% 7.39% Residual Portion of 64.26% 64.26% 64.46% 64.24% 64.33% 64.36% 63.99% 62.45% 64.26% 64.59% 64.69% 64.28% Securitization Value
FCALT 2021-B Roadshow Collateral Highlights Vehicle Type Diversification(1) Geographic Diversification --States(1) Truck SUV CUV Car MI NY NJ OH PA CA FL Other 6% 7% 6% 6% 6% 8% 5% 7% 5% 5% 4% 3% 2018-A 2018-B 2019-A 2019-B 2020-A 2020-B 2021-A Vehicle Models Diversification(1) Commentary F-150 Explorer Escape Edge Fusion MKC MKZ Expedition Nautilus Other • Vehicle type and model trends reflect discontinuation of most car models and continued strength in Trucks, SUVs and CUVs Top 5 state concentration consistent over period shown 4% 5% 4% 5% 8% 6% 12% 5% 5% 7% 5% 5% • 2018-A 2018-B 2019-A 2019-B 2020-A 2020-B 2021-A (1) (2) (3) As a % of securitization value. Totals may not sum to 100% due to rounding Assumes the aggregate initial principal balance of the notes to be issued is $1,122,650,000 Assumes the aggregate initial principal balance of the notes to be issued is $1,403,310,000 11 2021--B ($b1a.1sBe)2 2021-B $(i1n.4cBr)3 21% 21% 23% 24% 8% 6% 6% 8% 9% 8% 9% 9% 9% 9% 8% 8% 17% 14% 15% 15% 19% 13% 12% 10% 10% 19% 18% 17% 20% 17% 23% 23% 20% 19% 27% 22% 23% 23% 20% 20% 20% 20% 16% 29% 29% 28% 28% 23% 2021--B $(b1a.1sBe2) 22002211--BB $(1in.4cBr)3 6% 6% 6% 6% 6% 10% 10% 7% 7% 8% 7% 7% 7% 8% 9% 8% 8% 9% 9% 8% 8% 8% 7% 16% 14% 13% 14% 15% 15% 13% 14% 13% 23% 21% 23% 20% 22% 21% 20% 21% 21% 2018-A 2018-B 2019-A 2019-B 2020-A 2020-B 2021-A 22002211--BB $(1b.a1sBe2) 22002211--BB $1(i.n4cBr3) 32% 32% 33% 34% 10% 33% 10% 34% 11% 37% 7% 36% 11% 37% 10% 8% 7% 18% 13% 13% 12% 24% 60% 60% 58% 52% 57% 55% 56% 57% 7% 9% 9% 11% 8% 28% 25% 22% 23% 23% 23% 23% 23% 16% 17% 55%
FCALT 2021-B Roadshow Residual Maturity Vs. Enhancement Build – $1.1 Billion Issued(1) Notes Residual Maturity by Vehicle Type vs. Hard Credit Enhancement for Class A Notes(2) 20% 100% 18% 90% 16% 80% 14% 70% 12% 60% 10% 50% 8% 40% 6% 30% 4% 20% 2% 10% 0% 0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 Period (Months) Hard 'AAA' CE Car CUV SUV Truck (1) Information about each class of notes, if the aggregate initial principal balance of the notes to be issued is $1,122,650,000 is summarized below (2) Hard credit enhancement consists of overcollateralization, subordination and the reserve account; Assumes zero loss, zero prepays 12 Hard Credit Enhancement as a % of O/S Securitization Value % of Residuals Maturing Each Period Class A-1 Paid Down Class A-2 Paid Down Class A-3 Paid Down Class A-4 Paid Down
FCALT 2021-B Roadshow Residual Maturity Vs. Enhancement Build – $1.4 Billion Issued(1) Notes Residual Maturity by Vehicle Type vs. Hard Credit Enhancement for Class A Notes(2) 20% 100% 18% 90% 16% 80% 14% 70% 12% 60% 10% 50% 8% 40% 6% 30% 4% 20% 2% 10% 0% 0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 Period (Months) Hard 'AAA' CE Car CUV SUV Truck (1) Information about each class of notes, if the aggregate initial principal balance of the notes to be issued is $1,403,310,000 is summarized below (2) Hard credit enhancement consists of overcollateralization, subordination and the reserve account; Assumes zero loss, zero prepays 13 Hard Credit Enhancement as a % of O/S Securitization Value % of Residuals Maturing Each Period Class A-1 Paid Down Class A-2 Paid Down Class A-3 Paid Down Class A-4 Paid Down
FCALT 2021-B Roadshow Residual Maturity Vs. Enhancement Build (Continued) • 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 - As enhancement builds during the transaction, the amount of residual stress that each class can support increases • 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 17.27% for the $1.1 billion(1) issuance and 17.22% for the $1.4 billion(2) issuance, similar to previous FCALT transactions • According to the modeled assumptions, the A-3 notes are expected to pay-off in month 25, after which the A-4 notes would have approximately 70% hard enhancement (1) Assumes the aggregate initial principal balance of the notes to be issued is $1,122,650,000 (2) Assumes the aggregate initial principal balance of the notes to be issued is $1,403,310,000 14
FCALT 2021-B Roadshow Residual Breakeven Analysis – $1.1 Billion Notes Issued(1) 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 1.00x 3.00x 5.00x 80% 42.68% 41.11% 38.61% 1.00x 3.00x 5.00x 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 4.31% excess spread per annum Includes 13.50% initial overcollateralization growing to a target of 16.00%, 9.45% of subordination for the Class A Notes, 4.10% of subordination for Class B Notes, and 0.25% cash reserve account (1) Information about each class of notes if the aggregate initial principal balance of the notes to be issued is $1,122,650,000 is summarized below (2) After stress defaults 15 Class A-2 Notes Cumulative Net Credit Loss Class A-4 Notes Cumulative Net Credit Loss Class C Notes Cumulative Net Credit Loss Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 70%59.41%58.13%55.75% 80%52.05%50.86%48.77% 90%46.31%45.19%43.34% 100%41.73%40.67%39.00% 70%40.60%38.57%35.36% 80%35.58%33.74%30.93% 90%31.67%29.98%27.48% 100%28.55%26.97%24.72% 70%100.00%100.00%100.00% 80%100.00%100.00%100.00% 90%98.97%99.96%100.00% 100%89.09%89.93%90.35% Class A-1 Notes Cumulative Net Credit Loss Class A-3 Notes Cumulative Net Credit Loss Class B Notes Cumulative Net Credit Loss Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 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% 70%71.28%70.46%68.60% 80%62.43%61.65%60.02% 90%55.54%54.79%53.35% 100%50.03%49.31%48.01% 70%48.71%47.00%44.14% 90%37.99%36.54%34.32% 100%34.23%32.87%30.88%
FCALT 2021-B Roadshow Residual Breakeven Analysis – $1.4 Billion Notes Issued(1) 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 1.00x 3.00x 5.00x 80% 42.69% 41.12% 38.62% 1.00x 3.00x 5.00x 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 4.32% excess spread per annum Includes 13.50% initial overcollateralization growing to a target of 16.00%, 9.45% of subordination for the Class A Notes, 4.10% of subordination for Class B Notes, and 0.25% cash reserve account (1) Information about each class of notes if the aggregate initial principal balance of the notes to be issued is $1,403,310,000 is summarized below (2) After stress defaults 16 Class A-2 Notes Cumulative Net Credit Loss Class A-4 Notes Cumulative Net Credit Loss Class C Notes Cumulative Net Credit Loss Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 70%59.43%58.13%55.75% 80%52.06%50.86%48.77% 90%46.33%45.20%43.35% 100%41.74%40.67%39.01% 70%40.62%38.58%35.37% 80%35.60%33.74%30.93% 90%31.69%29.98%27.48% 100%28.56%26.97%24.72% 70%100.00%100.00%100.00% 80%100.00%100.00%100.00% 90%99.03%100.00%100.00% 100%89.15%89.99%90.41% Class A-1 Notes Cumulative Net Credit Loss Class A-3 Notes Cumulative Net Credit Loss Class B Notes Cumulative Net Credit Loss Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) Net Loss % Turn in Rate(2) 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 1.00x3.00x5.00x 1.00%3.00%5.00% 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% 70%71.36%70.54%68.68% 80%62.50%61.71%60.09% 90%55.61%54.85%53.41% 100%50.09%49.36%48.06% 70%48.73%47.01%44.15% 90%38.00%36.54%34.32% 100%34.25%32.88%30.88%
FCALT 2021-B Roadshow Break-Even Analysis(1) Break-Even for FCALT 2021-B Compared to Historical Pool Performance Cumulative Residual Loss / (Gain)(2) Cumulative Return Rate 100% 100% 80% 80% 60% 60% 40% 40% 20% 20% 0% 0% -20% 1 3 5 7 9 2017-A 2019-B 11 13 15 17 19 21 23 2018-A 2020-B 25 27 29 31 1 3 5 7 911 2017-A 2019-B 13 15 17 19 2017-B 21 23 25 27 2018-A 2020-B 29 31 33 2018-B 2021-A 2016-A 2019-A 2016-A 2019-A 2017-B 2020-A 2018-B 2021-A 2020-A (1) Assumes cumulative net credit losses stress of 5%; break-evens are specific to FCALT 2021-B (2) Where two break-evens are shown, the first assumes $1,122,650,000 of notes are issued and the second assumes $1,403,310,000 of notes are issued 17 A-2 Break-Even =90.35% /90.41% A-3 Break-Even = 48.01% / 48.06% A-4 Break-Even = 39.00% / 39.01% B Break-Even = 30.88% C Break-Even = 24.72% Memo: Worst Recent 12-Month Portfolio Experience = 18.3% (CY 2008) Period (Months) Break-Evens assumes Return Rate of 100% Memo: Worst Recent 12-Month Portfolio Experience = 82% (CY 2008) Period (Months)
FCALT 2021-B Roadshow Securitization Pool Cumulative Return Rate Performance Cumulative Residual Loss / (Gain)(1) Period (Months) Period (Months) Commentary Cumulative Net Credit Losses(2) 1 3 2016-A 5 7 9 2017-A 11 13 15 17 19 2017-B 21 23 25 27 29 31 2018-B 2018-A (1) As a percentage of initial base residual value; includes losses / (gains) on retained and returned vehicles (2) Total credit loss as a percent of initial total securitization value 18 0.75% 0.50% 0.25% 0.00% -0.25% Period (Months) 2019-A2019-B2020-A2020-B2021-A •For the performance in the pools above (2016-A to 2021-A): - Lifetime cumulative return rates average around 55%; recent deals impacted by COVID-19, historically high auction values - Cumulative residual gains reflect recent strength in auction values - Net credit loss performance reflects lower losses on recently charged off leases 3.0% 0.0% -3.0% -6.0% -9.0% -12.0% -15.0% 13579111315171921232527293133 2016-A 2017-A 2017-B 2018-A 2018-B 2019-A 2019-B 2020-A 2020-B 2021-A 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 2016-A 2017-A 2017-B 2018-A 2018-B 2019-A 2019-B 2020-A 2020-B 2021-A
FCALT 2021-B Roadshow U.S. Lease Portfolio – Originations Number of Leases Originated (000) • Lease originations through 2Q2021 are modestly lower than those through 2Q2020, reflecting a lower Ford market share and lower Ford Credit lease financing share 394 377 • 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 • Used vehicle values have increased significantly, reflecting lower new vehicle production due to shortages of semiconductors and strong used vehicle demand Avg. # of Leases Outstanding (000) 975 1,006 1,018 1,002 935 964 848 Source: 2Q2021 Lease Quarterly Statistical Information and Ford Credit. Rounded for display purposes Lease Share of Retail Sales (%) Manheim Used Vehicle Value Index • Ford Credit leasing, as a share of retail sales, has been consistent; remains below the industry 25% 25% 16% 16% 15% 14% Source: Manheim Consulting, August 2021 (January 2000 = 115.3) 19 *Source: J.D. Power PIN 210 190 170 150 130 110 90 Jan-00 Jan-04 Jan-08 Jan-12 Jan-16 Jan-20 Industry* Ford Credit 31% 27%27%26% 22% 18% Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 401 2016 2017 2018 2019 2020 2Q2020 YTD 2Q2021 YTD 337 264 125122
FCALT 2021-B Roadshow Portfolio – Residual Performance* U.S. Lease • Strong residual gains for the six months ended June 30, 2021, reflect constrained new vehicle production due to shortages of semiconductors and strong used vehicle demand, leading to sharply higher auction values Six Months Ended 30-Jun Year Ended December 31, 2021 2020 2020 2019 2018 2017 2016 Number of LeasesTerminated Number of Vehicles Returned and Sold Return Rate 176,015 74,529 42.34 165,415 122,384 73.99 350,533 235,279 67.12 374,439 281,546 75.19 363,721 271,499 74.64 365,646 280,764 76.79 318,132 238,419 74.94 • Rating agencies have historically applied stress in excess of 30% on Class A notes; significantly higher than Ford Credit’s worst year in 2008 when the portfolio experienced residual losses of 18.26% (not shown) Vehicles Returned and Sold Average Adjusted MSRP Average ALG Base Residual Value Average Residual Loss/ (Gain) 41,651 19,078 (8,246) 39,832 19,023 (1,662) 40,070 18,558 (2,621) 38,348 18,181 (719) 37,196 17,973 (875) 35,463 17,531 (240) 35,050 17,853 14 (1 ) Residual Loss/ (Gain) as a %of Adjusted MSRP (1) Car CUV (16.93) (17.66) (22.19) (19.91) (19.80) (4.33) (4.06) (3.98) (4.44) (4.17) (5.83) (6.20) (6.62) (7.31) (6.54) (1.96) (2.01) (2.08) (1.16) (1.87) 0.01 (3.59) (3.53) (2.97) (2.35) 4.37 (4.60) (2.46) (3.61) (0.68) 5.95 (4.37) (2.36) (4.38) 0.04 ( 2 ) • Rating agencies have historically applied residual value stress to all vehicles scheduled to be returned over the life of the transaction; periods of severe residual stress have historically been much shorter S(2U) V Truck Average ( 3 ) Residual Loss/ (Gain) as a %of ALG Base Residual V(a3l)ue (43.22) (8.74) (14.13) (3.95) (4.87) (1.37) 0.08 Terminated Leases ( 4 ) Average Contract Residual Value as a %of Adjusted M(S4R) P 51.88 46.37 5.51 52.66 47.41 5.25 52.33 46.22 6.11 53.79 47.26 6.53 54.81 48.21 6.60 56.08 49.35 6.73 57.31 50.59 6.72 (5) ( 5 ) Average ALG Base Residual Value as a %of Adjusted MSRP • Rating agencies have historically assumed a 100% return rate, although Ford Credit’s highest return rate was only 82.31% in 2008 (not shown) Contract Residual Value Higher/ (Lower) than ALG Base Residual Value *See Appendix for endnotes 20
FCALT 2021-B Roadshow U.S. Lease Portfolio – Credit Performance* Six Months Ended June 30, Delinquency, Repossession and Credit Loss Experience Year Ended December 31, 2021 2020 2020 2019 2018 2017 2016 Average num ber of leas es outs tanding(1) ………………... Average portfolio outs tanding(1()in m illions )(2) ………………… (2) 847,790 $25,284 964,553 27,469 934,812 $26,915 1,002,301 $27,885 1,018,021 $27,451 1,005,542 $26,586 974,580 $25,506 Average number of delinque(3)n(4c) ies(3)(4) 31 - 60 days ……………. 61-90 days ……………… 91 - 120 days …………… Over 120 days ……… … 4,134 517 61 27 5,965 837 152 65 5,727 776 129 68 7,105 695 49 13 7,509 731 52 9 7,731 870 98 13 7,436 823 103 16 (3)(4) Average num ber of delinquencies as a percentage of average num ber of leas es ous tanding(3)(4) 31 - 60 days ……………. 61-90 days ……………… 91 - 120 days …………… 0.49% 0.06% 0.01% 0.00% 0.62% 0.09% 0.02% 0.01% 0.61% 0.08% 0.01% 0.01% 0.71% 0.07% 0.00% 0.00% 0.74% 0.07% 0.01% 0.00% 0.77% 0.09% 0.01% 0.00% 0.76% 0.08% 0.01% 0.00% Over 120 days …… …… (3)(5) Aggregate balance of delinquent leas es as a percentage of average portfolio outs tanding(3)(5) 31 - 60 days ……………. 61-90 days ……………… 91 - 120 days …………… 0.50% 0.06% 0.01% 0.00% 0.45% 0.09% 0.02% 0.02% 0.67% 0.07% 0.01% 0.00% 0.80% 0.08% 0.00% 0.00% 0.85% 0.08% 0.00% 0.00% 0.73% 0.08% 0.00% 0.00% 0.81% 0.09% 0.01% 0.00% Over 120 days … ……… (8) (6) (6)(8) Repos s es s ions as a percentage of average(6)n(7u)(m8) ber of leas es outs tanding(8) ………………. Aggregate net los s es (gains ) (in m illions )(6) ……… 0.41% ($2) (0.01)% (0.03)% 3,779 0.89% ($440) 0.43% $23 0.17% 0.41% 5,206 1.08% $4,381 0.50% $42 0.15% 0.35% 11,069 1.18% $3,759 0.62% $82 0.29% 0.66% 16,662 1.66% $4,932 0.69% $86 0.31% 0.72% 18,104 1.78% $4,769 0.79% $102 0.38% 0.87% 17,953 1.79% $5,701 0.72% $83 0.33% 0.79% 16,415 1.68% $5,081 (8) Net los s es (gains ) as a percentage of average portfolio outs tanding(6)(8) ………………. (6) Net los s es (gains ) as a percentage of gros s liquidations (6)(7)(8) …….. Num ber of leas es charged off ………………. Num ber of leas es charged off as a percentage of average num ber of leas es outs tanding(8) …….……… Average net los s (gain) on leas es charged off(6) …… *See Appendix for endnotes 21
Appendix 22
FCALT 2021-B Roadshow Endnotes – ALG Base Residual Value The ALG base residual value for a leased vehicle is (a) the ALG residual value for the leased vehicle or (b) if the servicer does not have the ALG residual value for the leased vehicle, the oldest ALG mark-to-market that the servicer has for the leased vehicle. ALG residual values and ALG mark-to-market values represent ALG's forecasts of the value of used vehicles in the future. In making these forecasts, ALG takes into account a number of factors that will affect the value of each leased vehicle in the future, including the characteristics of the lease and the leased vehicle. ALG also makes predictions about a number of factors that affect the supply and demand for used vehicles and used vehicle pricing. None of these factors can be predicted with certainty. Some of these factors are impossible to quantify and may be significantly impacted by unanticipated events. For more information about these factors, you should read "Risk Factors – Residual value losses may result in losses on your notes" and "Risk Factors – Performance of the reference pool is uncertain and depends on many factors and may worsen in an economic downturn" in the prospectus. As a result, the ALG information cannot be relied on as fact. 23
FCALT 2021-B Roadshow Endnotes to Residual Table on Slide 19 For this table, “Terminated Leases" are leases for which (1) the related leased vehicle was returned during the period and sold by June 30, 2021, (2) the related leased vehicle was purchased under the lease during the period or (3) the lessee defaulted during the period (1) 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 (2) 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 *-For a description of ALG base residual value, please refer to the endnote on slide 23 24
FCALT 2021-B Roadshow Endnotes to Credit Performance Table on Slide 20 (1) 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 (4) 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 (5) Aggregate balance at the end of the period over the aggregate balance of all leases outstanding at the end of the period (6) 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 (7) Gross liquidations are cash payments and charge offs that reduce the outstanding balance of a lease (8) For non-annual periods, the percentages are annualized 25
