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

April 26, 2017applied cmbs HairCuts legacy par-based prices

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

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The maximum size of a TALF loan secured by a legacy CMBS would be the lesser of the dollar purchase price on trade date or the market price as of subscription date of the CMBS less, in either case, the base dollar haircut. This is the equivalent of a collateral haircut equal to the base dollar haircut divided by the applicable price.