I gave the agent a set of pool characteristics — $500M of subprime auto loans, 13.50% WAC, 58-month WALT — and asked it to build a deal. Within minutes, it produced a complete capital structure, validated the waterfall through the flows engine, and generated a preliminary offering supplement.
The agent sized a 6-tranche sequential-pay stack with 40% credit enhancement on the senior class, added a turbo mechanism to accelerate deleveraging through excess spread, and ran 58 periods of cashflows to validate that every tranche produced expected distributions. All validation checks passed.
It then generated the legal documentation — a 10-section preliminary prospectus covering the full offering structure from summary of terms through risk factors, with waterfall priority, credit enhancement mechanics, events of default, and tax considerations. Each section was generated from the deal model, not templated.
This post walks through both outputs: the deal structure report and the offering supplement.
Part 1: Deal Structure Report
Asset Class: Subprime Auto Loans
Deal Reference: @graamautotrust20261
1. Deal Summary
| Field | Detail |
|---|---|
| Issuer / Trust | Graam Auto Trust 2026-1 |
| Asset Type | Subprime Auto Loans |
| Closing Date | April 1, 2026 |
| First Payment Date | May 15, 2026 |
| Collateral Balance | $507,500,000 (includes $7.5M reserve) |
| Stated Pool Balance | $500,000,000 |
| Loan Count | ~35,000 |
| WAC | 13.50% |
| WALT | 58 months |
| Deal Type | Sequential Pay |
| Validation Status | Passed — 6 tranches, 58 periods |
2. Capital Stack
| Tranche | Balance | % of Deal | Coupon | Type | Credit Support |
|---|---|---|---|---|---|
| A1 | $300,000,000 | 60.00% | 5.25% | Senior | 40.00% |
| A2 | $75,000,000 | 15.00% | 5.75% | Senior | 25.00% |
| M1 | $50,000,000 | 10.00% | 7.25% | Mezzanine | 15.00% |
| B1 | $40,000,000 | 8.00% | 9.50% | Subordinate | 7.00% |
| B2 | $20,000,000 | 4.00% | 12.00% | Subordinate | 3.00% |
| Residual | $15,000,000 | 3.00% | N/A | Certificate | 0.00% |
| Reserve | $7,500,000 | — | N/A | Reserve Fund | — |
| Total | $507,500,000 | 100% |
3. Waterfall Description
The deal uses a sequential-pay structure with excess spread directed through a turbo mechanism to accelerate senior principal paydown.
| Step | Type | Description |
|---|---|---|
| 1 | Expenses | Servicing fees + trust expenses paid first |
| 2 | Interest | Sequential: A1 → A2 → M1 → B1 → B2 |
| 3 | Principal (Scheduled) | Sequential: A1 → A2 → M1 → B1 → B2 |
| 4 | Principal (Prepayments) | Sequential: A1 → A2 → M1 → B1 → B2 |
| 5 | Principal (Recoveries) | Sequential: A1 → A2 → M1 → B1 → B2 |
| 6 | Loss Allocation | Reverse sequential: Residual → B2 → B1 → M1 → A2 → A1 |
| 7 | Reserve Deposit | Funded to target (1.5% of pool = $7.5M) |
| 8 | Excess Spread Turbo | Accelerates principal: A1 → A2 → M1 → B1 → B2 |
| 9 | Excess Release | Remaining excess to Residual (CERTIFICATE) |
Key Structural Features
- Excess Spread: ~8–10% gross (WAC 13.50% minus blended coupon ~6.0%), providing a significant first-loss buffer before subordination is impaired
- Turbo Feature: Excess spread turbo-pays principal sequentially before any release to the residual, accelerating deleveraging of senior tranches
- OC Target: 40.00% of collateral balance (driven by A1 credit support level)
- Reserve Account: 1.5% of pool = $7,500,000, funded at closing as liquidity/credit enhancement
4. Validation Results
| Check | Result | Detail |
|---|---|---|
| Deal creation | Pass | 7 tranches created (5 offered + certificate + reserve) |
| Cashflow generation | Pass | 6 tranches produced cashflows over 58 periods |
| Collateral periods | Pass | 58 months — matches WALT input |
| Waterfall steps | Pass | 9-step waterfall accepted by GraamFlows |
| WAL validation | Pending | WAL outputs not returned; recommend stress scenario run |
5. Structural Notes
| Item | Note |
|---|---|
| Collateral balance | Model used $507.5M (pool + reserve) vs. stated $500M pool |
| Reserve account | Sized at 1.5% × $500M = $7.5M; modeled as CapFundsReserve tranche |
| Residual coupon | No coupon; receives excess spread after all obligations |
| Legal maturities | Estimated by GraamFlows based on WALT + sequential paydown |
| Excess spread | ~7.5–8.5% net (13.50% WAC minus ~5–6% coupon minus ~0.5% servicing) |
Part 2: Preliminary Offering Supplement
PRELIMINARY PROSPECTUS — SUBJECT TO COMPLETION. Generated from the modeled deal @graamautotrust20261.
6. Summary of Terms
| Field | Detail |
|---|---|
| Issuer | Graam Auto Trust 2026-1 |
| Closing Date | April 1, 2026 |
| First Payment Date | May 15, 2026 |
| Aggregate Pool Balance | $507,500,000 |
| WAC (Collateral) | 13.50% |
| WA Remaining Term | 58 months |
| Payment Frequency | Monthly (15th of each month) |
| Day Count | 30/360 |
Notes Offered
| Class | Balance | Coupon | Type | Legal Maturity |
|---|---|---|---|---|
| A1 | $300,000,000 | 5.250% | Senior | 2029-03-31 |
| A2 | $75,000,000 | 5.750% | Senior | 2030-03-31 |
| M1 | $50,000,000 | 7.250% | Mezzanine | 2031-03-31 |
| B1 | $40,000,000 | 9.500% | Subordinate | 2032-03-30 |
| B2 | $20,000,000 | 12.000% | Subordinate | 2033-03-30 |
| Certificate | $15,000,000 | N/A | Residual | — |
| Reserve | $7,500,000 | N/A | Reserve | — |
7. Subordination & Credit Enhancement
| Class | Balance | % of Pool | Coupon | Sub Below |
|---|---|---|---|---|
| A1 | $300,000,000 | 59.11% | 5.250% | $185,000,000 (36.45%) |
| A2 | $75,000,000 | 14.78% | 5.750% | $110,000,000 (21.67%) |
| M1 | $50,000,000 | 9.85% | 7.250% | $60,000,000 (11.82%) |
| B1 | $40,000,000 | 7.88% | 9.500% | $20,000,000 (3.94%) |
| B2 | $20,000,000 | 3.94% | 12.000% | $0 (first loss note) |
| Certificate | $15,000,000 | 2.96% | N/A | Absorbs first losses |
Total Credit Support by Class
| Class | Subordination | Reserve | Total Support | % of Pool |
|---|---|---|---|---|
| A1 | $185,000,000 | $7,500,000 | $192,500,000 | 37.93% |
| A2 | $110,000,000 | $7,500,000 | $117,500,000 | 23.15% |
| M1 | $60,000,000 | $7,500,000 | $67,500,000 | 13.30% |
| B1 | $20,000,000 | $7,500,000 | $27,500,000 | 5.42% |
| B2 | $0 | $7,500,000 | $7,500,000 | 1.48% |
Excess Spread: Collateral WAC of 13.50% less blended note coupon (~6.27% on $485M) less servicing (1.00%) generates approximately 6.23% gross excess spread per annum — the primary first line of defense against losses and the mechanism for building OC to the 40% target.
8. Priority of Distributions
On each Distribution Date, Available Funds are distributed in the following order:
- Step 1 — Servicing Fee: To the Servicer, 1/12 × 1.00% × beginning pool balance
- Step 2 — Senior Interest: Class A1 monthly interest → Class A2 monthly interest
- Step 3 — Mezzanine Interest: Class M1 monthly interest
- Step 4 — Subordinate Interest: Class B1 → Class B2 monthly interest
- Step 5 — Sequential Principal: Scheduled and unscheduled principal distributed A1 → A2 → M1 → B1 → B2 (each class paid in full before the next receives principal)
- Step 6 — Reserve Replenishment: Deposit to restore Reserve Account to target (1.5% of cutoff pool balance)
- Step 7 — Excess Spread Turbo: Remaining funds applied as accelerated principal (A1 → B2) until OC target (40% of current pool) is achieved
- Step 8 — Residual Release: Any remaining funds released to the Certificateholder
Loss Allocation (Reverse Seniority): Certificate → B2 → B1 → M1 → A2 → A1
9. Events of Default
The following constitute Events of Default under the Indenture:
- Payment Default (Interest): Failure to pay interest on any Note, unremedied for 5 Business Days
- Payment Default (Principal): Failure to pay principal on any Note on its Final Scheduled Distribution Date
- Covenant Breach: Failure to observe or perform any covenant, unremedied for 60 days after written notice
- Insolvency Event: Commencement of bankruptcy, insolvency, or reorganization proceedings against the Issuer
10. Risk Factors
| Risk | Description |
|---|---|
| Credit Risk | Obligor defaults reduce available funds; subordinate classes bear first losses |
| Prepayment Risk | Faster prepayments shorten WAL of senior notes; slower prepayments extend subordinate classes |
| Interest Rate Risk | Fixed-rate notes (5.25%–12.00%) vs. fixed collateral WAC (13.50%); no floating rate mismatch |
| Excess Spread Compression | Rising delinquencies reduce excess spread available to build OC |
| Concentration Risk | Geographic or obligor concentration may amplify regional economic shocks |
| Structural Risk | No triggers; sequential pay creates extension risk for subordinate classes |
| Servicer Risk | Collections depend on Servicer performance; successor servicer transition risk |
| Liquidity Risk | No established secondary market for the Notes |
Generated from deal model @graamautotrust20261. This Preliminary Prospectus is subject to completion and amendment. This document does not constitute an offer to sell or a solicitation of an offer to buy any securities.
Pending for final prospectus: named transaction parties (Depositor, Servicer, Trustee), full loan tape stratification, FICO/LTV/geographic distribution tables, final pricing, and legal opinions.