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Covid-19 coronavirus: updates to the Fed’s 2020 TALF Program and their implication for the CLO market

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Christopher Jackson

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Tracy Feng

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Maiman Luke
Luke Maiman

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18 May 2020

On May 12, 2020, the Federal Reserve Bank of New York released a revised term sheet (the “Term Sheet”) for a new iteration of the Term Asset-Backed Securities Lending Facility (“TALF”) and related responses to Frequent Asked Questions (“FAQs”).    

In the attached memo, we describe key provisions in the Term Sheet and FAQs as they relate to CLOs, as well as answers to key market questions and considerations, including:

  • What qualifies as eligible CLO collateral under TALF?
  • What qualifies as eligible underlying credit exposures?
  • Who qualifies as an eligible TALF Borrower?
  • Interest Rate, Fees and Other Key Commercial Terms

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