Asset classes
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Auto loans and leases
Student loans
Credit card receivables (both consumer and corporate)
Equipment loans and leases
Floorplan loans
Insurance premium finance loans
Certain small business loans that are guaranteed by the Small Business Administration
Leveraged loans (static CLOs only, no commercial real estate CLOs)
Commercial mortgages (only if issued before March 23, 2020, no single asset CMBS, and credit exposures must be located in the US)
“Feasibility of adding other asset classes … will be considered in the future”
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Auto loans and leases
Student loans
Credit card receivables (both consumer and corporate)
Equipment loans and leases
Floorplan loans
Insurance premium finance loans
Certain small business loans that were guaranteed by the Small Business Administration
Eligible servicing advance receivables
Commercial mortgages
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Haircuts on market value of ABS collateral
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Schedule of specific haircuts that vary by asset class and expected life of the ABS:
Auto, prime retail lease: 10% to 14%
Auto, prime retail loan: 6% to 10%
Auto, subprime retail loan: 9% to 13%
Auto, motorcycle and other RVs: 7% to 11%
Auto, commercial and government fleet: 9% to 13%
Auto, rental fleet: 12% to 16%
Credit card, prime: 5% to 8%
Credit card, subprime: 6% to 10%
Equipment, loan and lease: 5% to 9%
Floorplan, auto: 12% to 16%
Floorplan, non-auto: 11% to 15%
Premium finance, property and casualty: 5% to 8%
SBA loans: 5% to 6%
Student loans, private: 8% to 14%
Student loans, government guaranteed: 5% to 6%
Leverage loans, static CLOS: 20% to 22%
Commercial mortgages, legacy CMBS: 15%
Auto, credit card, equipment, floorplan, and premium finance cannot exceed 5-year average life
For all other ABS with average lives of more than 5 years, haircuts increase 1% for each additional year (or portion thereof), but average life cannot exceed 5 years
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Schedule of specific haircuts that varied by asset class and expected life of the ABS:
Auto, prime retail lease: 10% to 14%
Auto, prime retail loan: 6% to 10%
Auto, subprime retail loan: 9-13%
Auto, motorcycle and RVs: 7-11%
Auto, commercial and government fleet: 9% to 13%
Auto, rental fleet: 12% to 16%
Credit card, prime: 5% to 8%
Credit card, subprime: 6% to 10%
Equipment, loan and lease: 5% to 9%
Floorplan, auto: 12% to 16%
Floorplan, non-auto: 11% to 15%
Premium finance, property and casualty: 5% to 8%
Servicing advances, residential mortgages: 12% to 16%
SBA loans: 5% to 6%
Student loans, private: 8% to 14%
Student loans, government guaranteed: 5% to 6%
Commercial mortgages, new-issue CMBS: 15%
Commercial mortgages, legacy CMBS: 15% (based on lesser of dollar purchaser price on trade date or market price on subscription date)
For ABS benefitting from a substantial government guarantee, with average lives of more than 5 years, haircuts increased 1% for every two additional years (or portion thereof)
For all other ABS with average lives of more than 5 years, haircuts increased by 1% for each additional year (or portion thereof)
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Pricing
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Floating or floating specified for specific asset classes
Fixed rate, generally, for ABS without government guarantee: 125 basis points over two-year OIS rate for average life less than two years, 125 basis points over three-year OIS rate for average life two years or more
Floating rate, SBA Pool Certificates: 75 basis points over top of federal funds target range
Fixed rate, SBA Development Company Participation Certificates: 75 basis points over three-year OIS rate
Floating rate, CLOs: 150 basis points over 30-day average SOFR
Other pricing terms to be announced
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Choice of fixed or floating
Floating rate, generally, for ABS without government guarantee: 100 basis points over one-month LIBOR
Floating rate, federally guaranteed student loans: 50 basis points over one-month LIBOR
Floating rate, private student loans with prime-based coupon: higher of 1% and prime rate minus 175 basis points
Floating Rate, SBA Pool Certificates: 75 basis points over federal funds target rate
Fixed rate three-year loans, generally: 100 basis points over one-year LIBOR swap rate for average life less than one year, 100 basis points over two-year LIBOR swap rate for average life more than one but less than two years, 100 basis points over three-year LIBOR swap rate for average life two years or more
Fixed Rate, SBA Development Company Participation Certificates: 50 basis points over three-year LIBOR swap rate for three-year loans, 50 basis points over five-year LIBOR swap rate for five year loans
Fixed rate, CMBS: 100 basis points over three-year LIBOR swap rate for three-year loans, 100 basis points over five-year LIBOR swap rate for five-year loans
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Additional corporate restrictions:
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Section 4019 of the CARES Act, which restricts lending to any business that is directly or indirectly owned by the president, senior executive branch officials, or members of Congress (or certain of their immediate family members)
Fed has stated that TALF will not impose any requirements on borrowers with respect to employee compensation, distribution of dividends, or any other corporate decision[3]
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As announced, would have imposed executive compensation limits, but these were removed before implementation
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