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How will the par-based haircuts be applied to the current prices of the CMBS?

April 26, 2017applied cmbs HairCuts par-based prices

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How will the par-based haircuts be applied to the current prices of the CMBS?

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The maximum size of a TALF loan secured by a CMBS would be the current market price of the CMBS minus the base dollar haircut. This is the equivalent of a collateral haircut equal to the base dollar haircut divided by the current market price.