How will a newly issued ABS security’s average life be calculated if the ABS is pledged subsequent to its issuance date?
For an ABS security that is transferred to the New York Fed’s custodian as TALF collateral on a date subsequent to the date the security was issued, the following formulas will be used: Adjusted Average Life for bullet maturities = Original Average Life – [1 X ((Upcoming TALF Loan Closing Date – Original Closing Date of Security)/360)] Adjusted Average Life for amortizing assets = Original Average Life – [1/2 X ((Upcoming TALF Loan Closing Date – Original Closing Date of Security)/360)] Except for SBA Pool Certificates, the Original Average Life is the average life reported in the final prospectus/offering document. The Original Average Life for SBA Pool Certificates is the average life reported in the undertaking.
