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TALF 1.0: Initial Funding Postmortem

Initial TALF-eligible issues labored under tight timelines and challenging investor negotiations, but ultimately four deals were priced. TALF investors comprised 57% of offered notes volume.

Nissan Auto Receivables 2009-A Owner Trust

 

Balance

Rating (M / S / F)

 

Fixed /

Expected

Principal

 

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$357

24%

P-1 / A-1+ / F1+

0.32

Fixed

11/16/2009

4/15/2010

1-8

+35

N/A

A-2

323

22%

Aaa / AAA / AAA

0.99

Fixed

7/15/2010

7/15/2011

8-16

+175

5%

A-3

493

33%

Aaa / AAA / AAA

1.98

Fixed

12/15/2011

2/15/2013

16-33

+180

9%

A-4

197

13%

Aaa / AAA / AAA

3.16

Fixed

11/15/2012

8/17/2015

33-44

+300

29% (1)

Certificate

116

8%

NR

Total

$1,485

100%

Citibank Credit Card Issuance Trust 2009-A1

   
 

Balance

Rating (M / S / F)

 

TALF

Tranche

($MM)

WAL

Fixed / Floating

Expected Final

Legal Final

 

Spread

Returns

A-1

$3,000

Aaa / AAA / AAA

2.97

Floating

3/15/2012

3/17/2014

 

+175

15%

Ford Credit Auto Owner Trust 2009-A

   
 

Balance

Rating (M / S / F)

 

Fixed /

Expected

Principal

 

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$775

22%

P-1 / A-1+ / F1+

0.30

Fixed

11/16/2009

4/15/2010

1-8

+50

N/A

A-2a

100

3%

Aaa / AAA / AAA

0.99

Fixed

7/15/2010

8/15/2011

8-16

+200

11%

A-2b

508

15%

Aaa / AAA / AAA

0.99

Floating

7/15/2010

8/15/2011

8-16

+200

19%

A-3a

170

5%

Aaa / AAA / AAA

1.99

Fixed

1/15/2012

5/15/2013

16-34

+250

21%

A-3b

910

26%

Aaa / AAA / AAA

1.99

Floating

1/15/2012

5/15/2013

16-34

+250

24%

A-4

491

14%

Aaa / AAA / AAA

3.31

Fixed

12/15/2012

5/15/2014

34-45

+425

49% (2)

Certificate

529

15%

NR

Total

$3,483

100%

Huntington Auto Trust 2009-1

   
 

Balance

Rating (M / S)

 

Fixed /

Principal

 

TALF

Tranche

($MM)

Deal %

WAL

Floating

Expected Final

Legal Final

Window

Spread

Returns

A-1

$217

23%

P-1 / A-1+

0.30

Fixed

11/16/2009

4/15/2010

1-8

+55

N/A

A-2

139

14%

Aaa / AAA

0.91

Fixed

5/17/2010

7/15/2011

8-14

+225

15%

A-3

366

38%

Aaa / AAA

1.87

Fixed

12/15/2011

6/17/2013

14-33

+250

20%

A-4

108

11%

Aaa / AAA

2.98

Fixed

7/06/2012

1/15/2014

33-40

+400

43% (3)

B

40

4%

NR

C

44

5%

NR

D

48

5%

NR

Total

$963

100%

(1) -20% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed

10 (2) 10% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed (3) 11% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed

Deal Color

Few TALF buyers (2 of 40) due to impact on IRRs from benchmark used for fixed-rate TALF loan pricing (3-year swap rate regardless of bond tenor) TALF loan pricing (3-year swap rate regardless of bond tenor)

Transaction priced well inside of initial price guidance due to large oversubscription (5-

6x)

Deal Color

Majority TALF buyers (99% by volume) who were largely traditional ABS investors

Pricing was half of secondary market spread to LIBOR and represented the lowest cost of funds for 3-year funding of the initial to LIBOR and represented the lowest cost of funds for 3-year funding of the initial TALF trades

Deal Color

Few TALF buyers (12 total with the 3-year all TALF buyers) due to impact on IRRs from benchmark used for fixed-rate TALF loan pricing (3-year swap rate regardless of bond tenor) loan pricing (3-year swap rate regardless of bond tenor)

Transaction lagged due to late announcement

fixed-rate TALF loan pricing (3-year swap rate regardless of bond tenor) Transaction lagged due to late

TALF 1.0: April Fundings Postmortem

In the second round of TALF-eligible ABS issuance, spreads appear to be holding prior levels, but investors continue to be faced with the bond / loan benchmark mismatch issue. TALF loans were taken out on approximately 51% of the auto bonds and 91% of the credit card bonds

World Omni Auto Receivables Trust 2009-A

 

Balance

Rating (M / S )

 

Fixed /

Expected

Principal

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$163

22%

P-1 / A-1+

0.31

Fixed

11/16/2009

4/15/2010

1-7

+30

N/A

A-2

192

25%

Aaa / AAA

0.97

Fixed

8/16/2010

10/17/2011

7-16

+170

2%

A-3

248

33%

Aaa / AAA

1.97

Fixed

12/15/2011

5/15/2013

16-32

+185

9%

A-4

147

20%

Aaa / AAA

3.17

Fixed

2/15/2013

5/15/2014

32-46

+325

29 % (1)

Total

$750

100%

CarMax Auto Owner Trust 2009-1

 
 

Balance

Rating (M / S / F)

 

Fixed /

Expected

Principal

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$182

19%

P-1 / A-1+ / F1+

0.29

Fixed

12/15/2009

4/15/2010

1-8

+40

N/A

A-2

254

26%

Aaa / AAA / AAA

0.97

Fixed

9/15/2010

11/15/2011

8-17

+215

10%

A-3

260

26%

Aaa / AAA / AAA

1.97

Fixed

5/16/2011

3/15/2013

17-25

+265

21%

A-4

144

15%

Aaa / AAA / AAA

3.02

Fixed

9/17/2012

12/16/2013

25-41

+400

38% (2)

B

107

11%

-- / A / --

C

34

3%

-- / BBB /--

Total

$980

100%

Cabela’s Credit Card Master Note Trust 09-I

 
 

Balance

Rating (S / F / DBRS)

 

Fixed /

Expected

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Spread

Returns

A-1

$425

88%

AAA / AAA / AAA

2.92

Floating

3/15/2012

3/16/2015

+200

19%

B

40

8%

A / A+ / A

C

21

4%

BBB / BBB+ / BBB

Total

$486

100%

World Financial Network Credit Card Master Note Trust 2009-A

 
 

Balance

Rating (S / F / DBRS)

 

Fixed /

Expected

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Spread

Returns

A-1

$560

79%

AAA / AAA / AA

2.59

Fixed

11/15/2011

9/2015

+280

26%

M

27

4%

AA / AA / AA

B

34

5%

A / A+ / A

C

87

12%

BBB / BBB / BBB

Total

$709

100%

11 (1) -13% approximate return assuming investor receives no principal, and at the end of 3-years surrenders the collateral to the NY Fed (2) 2% approximate return assuming investor receives no principal, and at the end of 3-years surrenders the collateral to the NY Fed

Deal Color

Transaction features high quality Toyota collateral and 87% new receivables with a weighted average FICO of 7433-years surrenders the collateral to the N Y Fed Deal Color Levels are just wide of

Levels are just wide of the March Nissan deal, and both TALF and non-TALF investors participated

Deal Color

Levels are in line with the Ford TALF transaction

Benchmark mismatch remains primary concern for investors looking to gain leverage through TALF for 1-year and 2-year tranches primary concern for investors looking to gain leverage through TALF for 1-year and 2-year tranches

Levered investor participation defined trade levels

Last cashflow 4-5x subscribed

Deal Color

Cabela’s priced the 2.92-year prime credit card trade 25 bps back of the March Citi TALF trade

Both Cabela’s and World Financial did not use Moody’s as a rating agency since the company has downgraded prior trades did not use Moody’s as a rating agency since the company has downgraded prior trades

World Financial required subprime credit card haircut

as a rating agency since the company has downgraded prior trades World Financial required subprime credit

TALF: May Funding Postmortem

Harley Davidson Master Owner Trust 2009-1

 

Balance

Rating (M / S )

 

Fixed /

Expected

Principal

TALF

Tranche

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$111

22%

P-1 / A-1+ Aaa / AAA Aaa / AAA Aaa / AAA

0.32

Fixed

12/16/2009

5/17/2010

1-7

+ 30

N/A

A-2

153

25%

0.99

Fixed

10/15/2010

5/15/2012

7-17

+150

8%

A-3

176

33%

1.95

Fixed

11/15/2011

11/15/2013

17-30

+175

11%

A-4

60

20%

2.77

Fixed

5/15/2012

1/16/2017

30-36

+275

21%

Total

$500

100%

Volkswagen Auto Loan Trust 2009-A

 

Tranche

Balance

($MM)

 

Rating (M / S )

 

Fixed /

Expected

Principal

TALF

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$373

21%

P-1 / A-1+ Aaa / AAA Aaa / AAA Aaa / AAA

0.29

Fixed

12/15/2009

5/17/2010

1-7

+35

N/A

A-2

489

28%

0.99

Fixed

10/15/2010

7/15/2011

7-17

+185

10%

A-3

774

44%

1.90

Fixed

8/15/2011

4/16/2012

17-27

+200

11%

A-4

114

7%

2.18

Fixed

9/15/2011

3/17/2014

27-28

+300

17%

Total

$1,750

100%

Honda Auto Receivables Owner Trust 2009-2

 

Tranche

Balance

Rating (S / F )

 

Fixed /

Expected

Principal

TALF

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$351

23%

A-1+ / F1+ AAA / AAA AAA / AAA AAA / AAA

0.34

Fixed

1/15/2010

5/17/2010

1-7

+10

N/A

A-2

400

27%

0.97

Fixed

9/15/2010

4/15/2011

7-16

+120

4%

A-3

520

35%

1.95

Fixed

1/17/2012

1/15/2013

16-32

+135

6%

A-4

229

15%

3.05

Fixed

7/16/2012

7/15/2015

32-39

+250

20%

Total

$1,500

100%

MMCA Mitsubishi Auto Trust 2009-A

 

Tranche

Balance

Rating (M / S / F )

 

Fixed /

Expected

Principal

TALF

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$48

23%

P-1 / A-1+ / F1+ Aaa / AAA / AAA Aaa / AAA / AAA Aaa / AAA / AAA

0.32

Fixed

1/15/2010

6/4/2010

1-8

+50

N/A

A-2

40

19%

0.97

Fixed

8/15/2010

9/15/2011

8-16

+225

22%

A-3

73

35%

1.97

Fixed

1/15/2012

3/15/2013

16-34

+250

24%

A-4

48

23%

3.34

Fixed

6/15/2013

11/16/2015

34-52

+425

43%

Total

$209

100%

6 12

Deal Color 30-40% cash buyers; even 3yr A-4 viable for cash at 275 bps with little/no focus 30-40% cash buyers; even 3yr A-4 viable for cash at 275 bps with little/no focus on walk away 10-12x subscribed; but Issuer chose not to upsize Higher enhancement than prior trades Demonstrates return of cash risk appetite and good technicals

Deal Color Appears that there is little focus on residual risk and walk away ~20% cash buyers; Appears that there is little focus on residual risk and walk away ~20% cash buyers; not viable without TALF Tightened by 10-25 bps; 8-15x oversubscribed before tighter guidance Upsized to $1.75BN from $1BN A-4 was whispered at Int. Swaps+425 bps and priced at Int. Swaps+300 bps and saw deepest investor demand Lease to loan concession was not very large and TALF investors continue to reach for higher yieldy collateral Did not require floating rate tranches

Deal Color Mostly cash buyers Trade was upsized No Moody’s rating 30-50 bps through USAA non-TALF 50 Mostly cash buyers Trade was upsized No Moody’s rating 30-50 bps through USAA non-TALF 50 bps through Nissan TALF trade from March

Deal ColorTrade was upsized No Moody’s rating 30-50 bps through USAA non-TALF 50 bps through Nissan TALF

None

upsized No Moody’s rating 30-50 bps through USAA non-TALF 50 bps through Nissan TALF trade from

TALF: May Funding Postmortem (cont’d)

CNH Equipment Trust 2009-B

Tranche

Balance

Rating (M / S / F )

 

Fixed /

Expected

Principal

TALF

($MM)

Deal %

WAL

Floating

Final

Legal Final

Window

Spread

Returns

A-1

$217

22%

P-1 / A-1+ / F1+ Aaa / AAA / AAA Aaa / AAA / AAA Aaa / AAA / AAA

0.29

Fixed

12/15/2009

6/4/2010

1-7

+25

N/A

A-2

130

13%

0.77

Fixed

5/17/2010

5/16/2011

7-13

+145

7%

A-3

373

37%

1.71

Fixed

11/15/2011

3/15/2013

13-32

+165

10%

A-4

281

28%

3.31

Fixed

3/15/2013

10/15/2014

32-49

+315

32%

Total

$1,001

100%

GE Capital Credit Master Note Trust 2009-1

 
 

Balance

Rating (M / S / F)

 

Fixed /

TALF

Tranche

($MM)

Deal %

WAL

Floating

Expected Final

Legal Final

Spread

Returns

A

$1,000

100%

Aaa / AAA / AAA

2.93

Floating

4/16/2012

4/15/2015

+210

16%

Total

$1,000

100%

Chase Issuance Trust 2009-2

 
 

Balance

Rating (M / S / F)

 

Fixed /

TALF

Tranche

($MM)

Deal %

WAL

Floating

Expected Final

Legal Final

Spread

Returns

A

$5,000

100%

Aaa / AAA / AAA

2.93

Floating

4/16/2012

4/15/2014

+155

11%

Total

$5,000

100%

7 13

Deal Color Upsized by ~$250MM Deal Color A-4 ~200 bps better than non- TALF trade Tightened 15-60 bps better from guidance A-4 ~200 bps better than non- TALF trade Tightened 15-60 bps better from guidance TALF investors congregated in A-4

Deal Color 2+x subscribed Tightened 15 bps Mostly TALF buyers Not viable without TALF 2+x subscribed Tightened 15 bps Mostly TALF buyers Not viable without TALF

Deal Color Largest TALF trade to date Highly concentrated buyers Mostly traditional ABS who levered Bonds were Largest TALF trade to date Highly concentrated buyers Mostly traditional ABS who levered Bonds were pre-placed

Color Largest TALF trade to date Highly concentrated buyers Mostly traditional ABS who levered Bonds were