Important Notice: Our web hosting provider recently started charging us for additional visits, which was unexpected. In response, we're seeking donations. Depending on the situation, we may explore different monetization options for our Community and Expert Contributors. It's crucial to provide more returns for their expertise and offer more Expert Validated Answers or AI Validated Answers. Learn more about our hosting issue here.

How is weighted average life determined for purposes of haircuts on legacy CMBS?

April 26, 2017average cmbs HairCuts legacy life purposes weighted

0

10 Posted

How is weighted average life determined for purposes of haircuts on legacy CMBS?

1 Answer

0

10 Posted

The weighted average life of a legacy CMBS will be calculated on the basis of (1) the current composition of the mortgage pool, as reflected in recent servicer and trustee reports, (2) the entitlement of the legacy CMBS to distributions (including, if applicable, its position in a time-tranched sequence of classes), (3) the assumption that “anticipated repayment dates” are maturity dates, and (4) a 0% CPR and the absence of future defaults. For this purpose, loans in default or special servicing will be considered as if they had not defaulted, and previously-modified loans will be considered according to their terms as modified.