The New York Federal Reserve regularly conducts a risk assessment of the proposed collateral as part of the process for reviewing requests for Term ABS Loan Facility (TALF) loans to be backed by legacy CMBS.

This assessment looks at whether the estimated value of the CMBS would fall below the loan amount if economic conditions were to turn out to be much worse than expected. The New York Fed gets these “stress value” estimates from two separate vendors.

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