Term Asset-Backed Securities Loan Facility: CMBS

The Federal Reserve created the Term Asset-Backed Securities Loan Facility (TALF), to help market participants meet the credit needs of households and small businesses by supporting the issuance of asset-backed securities (ABS) collateralized by auto loans, student loans, credit card loans, equipment loans, floorplan loans, insurance premium finance loans, loans guaranteed by the Small Business Administration, residential mortgage servicing advances, or commercial mortgage loans. Eligible borrowers must use a primary dealer, which will act as agent for the borrower, to access the TALF and must deliver eligible collateral to the New York Fed’s custodian bank.

The following operations announcement pertains to new issue and legacy commercial mortgage-backed securities:

Operation Announcement
Subscription Date: July 16, 2009
Closing Date: July 24, 2009
3-Year Maturity Date: July 24, 2012
5-Year Maturity Date: July 24, 2014
Facility Open: July 16, 2009 1:00 p.m. ET
Facility Close: July 16, 2009 3:00 p.m. ET
Administrative Fee: 20.00 basis points
Eligible Collateral: CMBS1
Loan Term: 3 or 5 years
Rates will be set at 12:00 p.m. ET on July 16, 2009

Haircuts for New Issue CMBS and Base Dollar Haircuts for Legacy CMBS:

CMBS Average Life (years)

Sector

0-5

Commercial Mortgage

15%

For newly issued CMBS with average lives beyond five years, collateral haircuts will increase by one percentage point for each additional year (or portion thereof) of average life beyond five years. For legacy CMBS with average lives beyond five years, base dollar haircuts will increase by one percentage point of par for each additional year (or portion thereof) of average life beyond five years. No CMBS may have an average life beyond ten years.

Rates:

Sector

Fixed 3 year loan
(Average Life, in years)

Fixed 5 year loan

<1

1-<2

>=2

Commercial Mortgage

N/A

N/A

3-year LIBOR swap rate
+ 100 bps

5-year LIBOR swap rate
+ 100 bps

1As defined in the terms & conditions
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