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Term Asset‐Backed Securities Loan Facility
Effective May 12, 20201
Facility: The TALF is a credit facility authorized under section 13(3) of the Federal Reserve Act intended to
help meet the credit needs of consumers and businesses by facilitating the issuance of asset‐backed
securities (“ABS”) and improving the market conditions for ABS more generally. The TALF will serve as a
funding backstop to facilitate the issuance of eligible ABS on or after March 23, 2020.
Under the TALF, the Federal Reserve Bank of New York (“Reserve Bank”) will commit to lend to a special
purpose vehicle (“SPV”) on a recourse basis. The Department of the Treasury, using funds appropriated to
the Exchange Stabilization Fund under section 4027 of the Coronavirus Aid, Relief, and Economic Security Act
(“CARES Act”), will make an equity investment of $10 billion in the SPV.
The TALF SPV initially will make up to $100 billion of loans available. The loans will have a term of three
years; will be nonrecourse to the borrower; and will be fully secured by eligible ABS.
Eligible Borrowers: Eligible borrowers include businesses that (a) are created or organized in the United
States or under the laws of the United States, (b) have significant operations in and a majority of their
employees based in the United States, and (c) maintain an account relationship with a primary dealer.
Eligible Collateral: Eligible collateral includes U.S. dollar denominated cash (that is, not synthetic) ABS that
have a credit rating in the highest long‐term or, if no long‐term rating is available, the highest short‐term
investment‐grade rating category from at least two eligible nationally recognized statistical rating
organizations (“NRSROs”) and do not have a credit rating below the highest investment‐grade rating category
from an eligible NRSRO. With the exception of commercial mortgage‐backed securities (“CMBS”), SBA Pool
Certificates, and Development Company Participation Certificates, eligible ABS must be issued on or after
March 23, 2020. CMBS issued on or after March 23, 2020, will not be eligible. SBA Pool Certificates or
Development Company Participation Certificates must be issued on or after January 1, 2019.
To be eligible collateral, all or substantially all of the underlying credit exposures must be newly issued,
except for CMBS.
All or substantially all of the credit exposures underlying the eligible ABS must (1) for newly issued ABS,
except for collateralized loan obligations (CLOs), be originated by U.S.‐organized entities (including U.S.
branches or agencies of foreign banks), (2) for CLOs, have a lead or a co‐lead arranger that is a U.S.‐organized
entity (including a U.S. branch or agency of a foreign bank), and (3) for all ABS (including CLOs and CMBS), be
to U.S.‐domiciled obligors or with respect to real property located in the United States or one of its
territories.
Eligible collateral must be ABS where the underlying credit exposures are one of the following:
1)
2)
3)
4)
5)
6)
7)
8)
1

Auto loans and leases;
Student loans;
Credit card receivables (both consumer and corporate);
Equipment loans and leases;
Floorplan loans;
Premium finance loans for property and casualty insurance;
Certain small business loans that are guaranteed by the Small Business Administration;
Leveraged loans; or

The Board of Governors of the Federal Reserve System (“Board”) and Secretary of the Treasury may make
adjustments to the terms and conditions described in this term sheet. Any changes will be announced on the
Board’s website.

9) Commercial mortgages.
Eligible collateral will not include ABS that bear interest payments that step up or step down to
predetermined levels on specific dates. In addition, the underlying credit exposures of eligible collateral must
not include exposures that are themselves cash ABS or synthetic ABS.
The feasibility of adding other asset classes to the facility or expanding the scope of existing asset classes will
be considered in the future.
Conflicts of interest: Eligible borrowers will be subject to the conflicts of interest requirements of section
4019 of the CARES Act.
Restriction on single‐asset single‐borrower CMBS (“SASB CMBS”) and commercial real estate CLOs (“CRE
CLOs”): SASB CMBS and CRE CLOs will not be eligible collateral.
Restrictions on CLO loan substitution: Only static CLOs will be eligible collateral.
Collateral Valuation: Haircut schedule is below. The haircut schedule is consistent with the haircut
scheduled used for the TALF established in 2008.
Pricing: For CLOs, the interest rate will be 150 basis points over the 30‐day average secured overnight
financing rate (“SOFR”). For SBA Pool Certificates (7(a) loans), the interest rate will be the top of the federal
funds target range plus 75 basis points. For SBA Development Company Participation Certificates (504 loans),
the interest rate will be 75 basis points over the 3‐year fed funds overnight index swap (“OIS”) rate.
For all other eligible ABS, the interest rate will be 125 basis points over the 2‐year OIS rate for securities with
a weighted average life less than two years, or 125 basis points over the 3‐year OIS rate for securities with a
weighted average life of two years or greater.
Fees: The SPV will assess an administrative fee equal to 10 basis points of the loan amount on the settlement
date for collateral.
Maturity: Each loan provided under this facility will have a maturity of three years.
Non‐Recourse: Loans made under the TALF are made without recourse to the borrower, provided the
requirements of the TALF are met.
Prepayment: Loans made under the TALF will be pre‐payable in whole or in part at the option of the
borrower, but substitution of collateral during the term of the loan generally will not be allowed.
Program Termination: No new credit extensions will be made after September 30, 2020, unless the TALF is
extended by the Board of Governors of the Federal Reserve System and the Department of the Treasury.

Haircut Schedule:
ABS Average Life (years)*
Sector

Subsector

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

0‐<1 1‐<2 2‐<3 3‐<4 4‐<5 5‐<6 6‐<7

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%

Small Business

SBA Loans

5% 5% 5% 5% 5% 6% 6%

Student Loan

Private

8% 9% 10% 11% 12% 13% 14%

Leveraged Loans

Static

20% 20% 20% 20% 20% 21% 22%

Commercial Mortgages

Legacy, Conduit

15% 15% 15% 15% 15% 16% 17%

* For auto, credit card, equipment, floorplan, and premium finance ABS, the weighted average life must be
five years or less. For other new‐issue eligible collateral, haircuts will increase by one percentage point for
each additional year (or portion thereof) of average life beyond five years. For legacy CMBS with average
lives beyond five years, base dollar haircuts will increase by one percentage point of par for each additional
year (or portion thereof) of average life beyond five years. No securitization may have an average life beyond
ten years.