Download Citi - Auto ABS Primer PDF

TitleCiti - Auto ABS Primer
File Size1.4 MB
Total Pages44
Table of Contents
                            Roadmap to Retail Auto Loan ABSs
	Introduction
		Benefits of Auto Loans
	Auto Loans — Collateralized Consumer Assets
	Market Segmentation and Loan Characteristics
	Loss Curves
		Prime Loss Curves
		Subprime/Nonprime Loss Curves
		Why We Look at Loss Curves
Structures
	Typical Auto Loan Structures
	Cash Flow
		
			Sequential Payments
		Pro Rata Payments
		Cash Reserve Accounts
		Structure Standardization
	Alternative Structures
		Prefunding Structures
		Soft Bullet Structures
Credit Enhancement
	
		Credit Enhancement Varieties
	Rating Agency Credit Enhancement Requirements
Other Risk Factors
	Servicing Risk
		Seller/Servicer Financial Stability and Access to Liquidity
		Servicing Intensity of Collateral
		Third-Party Servicing, If Necessary
	Underwriting and Collections Risks
		Delinquency and Loss History
		New Versus Used Mix
		Minimum, Maximum, Average Loan Balance
		Seasoning, Weighted Average Maturity, and Mix of Contracts
		Geographic Diversity
		Other Information
Payment Speeds
	Prime Auto Speeds
	Subprime and Nonprime Auto Speeds
To Call or Not To Call — Auto ABSs’ Early Call Op
Other Auto ABS Products
	Dealer Floor-Plan Loans
		Definition
		Structures
		Credit Enhancement
		Dealer Floor-Plan Credit Losses
		Contingent Recourse in Dealer Floor-Plan Structures
		Manufacturers Buyback Obligations — A Residual Va
		Manufacturer Debt — Staggered Maturities
	Fleet Financing for Auto Rental Companies
		Credit Enhancement
		Manufacturer Contingencies
	Auto Leases
		Risks and Structure
		Auto Leasing Residual Value
			Lease Vehicle Turn-Ins
			Auto Lease Credit Losses
			Leasing Losses Frequency and Severity
			Auto Leasing Structure
		Pension Benefit Guaranty Corporation Risks to Lease Transactions
	General Motors Novel Structure Eliminates PBGC Risk
	Vicarious Tort — No Longer a Risk
Appendix
	List of Prime, Nonprime, and Subprime Lenders
                        

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