How will an existing ABS security’s average life, excluding SBA ABS, be calculated?
Adjusted Average Life for bullet maturities = Original Average Life – [1 X ((Upcoming TALF Loan Closing Date – Original Closing Date of Security)/360)] Adjusted Average Life for amortizing assets = Original Average Life – [1/2 X ((Upcoming TALF Loan Closing Date – Original Closing Date of Security)/360)] The Original Average Life is the average life reported in the final prospectus. How are subprime versus prime defined for auto loan and credit card ABS? Auto loan and lease ABS are considered prime if the weighted average FICO score of the receivables is 680 or greater. Receivables without a FICO score are assigned the minimum FICO score of 300 for this calculation. Commercial receivables can be excluded from this calculation if historic cumulative net losses on these accounts have been the same or lower than those on receivables to individual obligors and this information is available in the prospectus. In addition, the percentage of commercial receivables in a trust must not exceed 1
