Term Asset-Backed Securities Loan Facility: non-CMBS

The Federal Reserve created the Term Asset-Backed Securities Loan Facility (TALF), to help market participants meet the credit needs of households and small businesses by supporting the issuance of asset-backed securities (ABS) collateralized by auto loans, student loans, credit card loans, equipment loans, floorplan loans, insurance premium finance loans, loans guaranteed by the Small Business Administration, residential mortgage servicing advances, or commercial mortgage loans. Eligible borrowers must use a TALF Agent, which will act as agent for the borrower, to access the TALF and must deliver eligible collateral to the New York Fed's custodian bank.

The following operations announcement pertains to non-mortgage-backed ABS:
Operation Announcement
Subscription Date: December 3, 2009
Closing Date: December 10, 2009
3-Year Maturity Date: December 10, 2012
5-Year Maturity Date: December 10, 2014
Facility Open: December 3, 2009 8:00 a.m. ET
Facility Close: December 3, 2009 3:00 p.m. ET
Administrative Fee: 10.00 basis points
Eligible Collateral: ABS1
Loan Term: 3 or 5 years
Rates will be set at 12:00 p.m. ET on December 2, 2009
Haircuts:

ABS Average Life (years)

Sector

Subsector

0-<1

1-<2

2-<3

3-<4

4-<5

5-<6

6-<7

Auto

Prime retail lease

10%

11%

12%

13%

14%

Auto

Prime retail loan

6%

7%

8%

9%

10%

Auto

Subprime retail loan

9%

10%

11%

12%

13%

Auto

Motorcycle/
other recreational vehicles

7%

8%

9%

10%

11%

Auto

Commercial and government fleets

9%

10%

11%

12%

13%

Auto

Rental fleets

12%

13%

14%

15%

16%

Credit Card

Prime

5%

5%

6%

7%

8%

Credit Card

Subprime

6%

7%

8%

9%

10%

Equipment

Loans and Leases

5%

6%

7%

8%

9%

Floorplan

Auto

12%

13%

14%

15%

16%

Floorplan

Non-Auto

11%

12%

13%

14%

15%

Premium Finance

Property and casualty

5%

6%

7%

8%

9%

Servicing Advances

Residential mortgages

12%

13%

14%

15%

16%

Small Business

SBA Loans

5%

5%

5%

5%

5%

6%

6%

Student Loan

Private

8%

9%

10%

11%

12%

13%

14%

Student Loan

Gov’t guaranteed

5%

5%

5%

5%

5%

6%

6%
For ABS benefitting from a substantial government guarantee with average lives of five years and beyond, haircuts will increase by one percentage point for every two additional years (or portion thereof) of average life at or beyond five years. For all other ABS with average lives of five years and beyond, haircuts will increase by one percentage point for each additional year (or portion thereof) of average life at or beyond five years.

Rates:

Sector

Subsector

Fixed 3 year loan
(Average Life, in years)

Fixed 5 year loan

Floating

<1

1-<2

>=2

Auto

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Credit Card

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Equipment

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Floorplan

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Premium Finance

Property and casualty

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Servicing Advances

Residential mortgages

1-year LIBOR swap rate
+ 100 bps

2-year LIBOR swap rate
+ 100 bps

3-year LIBOR swap rate
+ 100 bps

N/A

1-month LIBOR + 100 bps

Small Business

SBA loans 7(a)
N/A
N/A
N/A

N/A

Fed Funds Target + 75 bps

Small Business

SBA loans 504
3-year LIBOR swap rate
+ 50 bps

5-year LIBOR swap rate
+ 50 bps

N/A

Student Loan

Private with coupon tied to Prime
N/A
N/A
N/A
N/A

Higher of (Prime rate-175 bps) and 1%

Student Loan

Other Private
N/A
N/A
N/A
N/A

1-month LIBOR + 100 bps

Student Loan

Gov’t guaranteed
N/A
N/A
N/A
N/A

1-month LIBOR + 50 bps
1As defined in the terms & conditions
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