May TALF Operation

The New York Fed has announced that the next TALF subscription date will be May 5, with loan settlement dates on May 12.  As always, interested borrowers may obtain a pre-certification review by the New York Fed in advance of the next subscription date by having their primary dealer submit their name and details of the loan desired.

Revised Interest Rates

Interest rates applicable to fixed rate loans for the May operation have been amended on the basis that the loans will be 100 basis points over the 1-year Libor swap rate for securities with a weighted average life less than one year, 100 basis points over the 2-year Libor swap rate for securities with a weighted average life greater than or equal to one year and less than two years, or 100 basis points over the 3-year Libor swap rate for securities with a weighted average life of two years or greater.

The following chart summarizes the revised collateral haircuts, with red font indicating the changes since the April TALF operation.

Other Key Changes

In determining who are eligible borrowers under the TALF, the definition of U.S.-domiciled obligors has been clarified to include those who are domiciled in a U.S. political subdivision or U.S.-organized territory.

Within the array of acceptable eligible collateral, zero coupon ABS are not eligible under the program.

In order to obtain TALF funding, each issuer and sponsor must submit a certification as to the eligibility of the underlying collateral.  Assertions pertaining to collateral eligibility must be made as of the date of the final prospectus or offering document, when possible.  Should this not be feasible, assertions as of the date of the “red” prospectus or offering document are acceptable.  Similarly, the assertions made by the auditors in the auditor attestation form that must be submitted in order to obtain TALF funding should be as of the same date the issuer and sponsor make their respective assertions.  The link to both documents can be found here [http://www.newyorkfed.org/markets/talf_docs.html].

Contact:

Rory S. Clark