auto loan securitization

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nh1977

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For anyone with experience with structured finance, what is an appropriate current market yield for auto loan securitizations? The pool has a weighted avg FICO score of about 730.

thanks!!
 
Unfortunately, we haven't found any info on the bonds being rated (no info exists on bloomberg). We had hoped to find some research or some authoritative body that linked FICO scores to bond ratings (i.e. a FICO score of x corresponds to a bond rating of AA ..) btw, these are the sr tranches.
 
It totally depends on the structure - not just the FICO. You can't just focus on the FICO. The structure is all-important. How much credit support is there to the class in question? Then look at other deals with similar FICOs, credit support and structure and guesstimate a rating.
 
You an ABS analyst cfa2grunt? I've seen you post intelligently about CMBS, too.

I focus more on RMBS - HEL, alt-A, jumbo, etc. You asked me once before, in another thread...
 
I'm not an investment banker, but I've analyzed several auto lease securitization deals after the fact within large BB banks.

I just looked at a deal with 7% overcollateralization on 36 month auto leases, four tranches, three rated. The total pool of leases consisted of $239million in collateral, funding $222 million in ABS issued by a bankruptcy remote trust.

"A" rated tranches were priced to yield 7.875 percent
 
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