TCF National Bank's fifth prime auto loan receivables securitization of the year is its largest to date, at $505.1 mililion.

TCF Auto Receivables Owner Trust 2016-PT1 is collateralized by 30,019 contracts of indirect loans issued through partnering dealers and underwritten by its subsidiary, Gateway One Lending & Finance.

As with previous transactions, most of the loans were used to purchase used cars. However, the percentage of ne cars in the latest pool is up slightly at 15.1%, from 14.8% in the previous deal.

The $454.63 million Class A senior notes have a preliminary ‘AAA’ from Standard & Poor’s.  They carry the same initial 10.25% credit enhancement (with a target of 11.25% with subsequent overcollateralization) as TCF’s earlier transaction in 2016.

Total credit support for the ‘A’ notes is 16%, according to S&P, with the inclusion of excess spread derived from cash flow scenarios. That annual excess spread of 5.1% is slightly higher than 5.06% that was estimated in the prior 2016-1 deal.

In another difference with 2016-1, TCF consolidated its entire Class A notes structure in a single tranche, compared to the four-tranche stack earlier this year (which included a money-market eligible tranche).

The underlying collateral has characteristics comparable to previous TCF securitizations: average account balance of $16,828; a weighted average FICO of 685; a 57.4% share of extended term loans (61-75) in the pool; average APR of 8.29%; and a weighted average loan-to-value ratio of 111.7%. The seasoning of the loans was shorted this time to 1.8 months, compared to 2.8 months in the prior transaction.

Citigroup is the lead underwriter.

Gateway’s managed portfolio of receivables was $5.7 billion as of Sept. 30, a 23% surge over last year’s level. Delinquencies have been rising, to 1% compared to 0.77% at the same point a year ago. Net charge-offs for the third quarter also increased to 1.25% from 0.88% to the comparable 2015 period; while annualized net charge-offs grew to 0.81% from 0.67%.

The top concentrations of the Gateway loans are in California (15.33%) and Texas (9.99%). Although it was acquired in 2011 by a regional bank parent concentrated in the upper Midwest as well as Colorado and Arizona, Gateway is a nationwide indirect lender based in Anaheim, Calif.

In its presale report, S&P noted that the expected cumulative net loss of the portfolio is between 2.8-3%, which is similar to 2016-1 but below the 3-3.3% expected net losses from the two TCF transactions in 2015.

Early performance indicators from TCF’s first deals have shown higher-then-expected losses, reports S&P. TCFAT 2014-1 issued in July 14 has experienced a CNL of 2.15% in 28 months of performance, “slightly higher” than original transactions. The first transaction from 2015 is tracking higher than 2014, and “may be performing slightly worse” than the 3-3.3% loss expectation assigned to the deal last year.

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