The Term Asset-Backed Securities Loan Facility - FEDERAL RESERVE BANK of NEW YORK

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Economic Policy Review

The Term Asset-Backed Securities Loan Facility

Volume 28, Number 1
June 2022

JEL classification: G01, G18, G23

Authors: Elizabeth Caviness, Asani Sarkar, Ankur Goyal, and Woojung Park

The COVID-19 pandemic disrupted the asset-backed securities (ABS) market, resulting in higher spreads on ABS and briefly halting the issuance of some ABS. On March 23, 2020, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support the flow of credit to consumers and businesses by re-enabling the issuance of ABS. In this article, the authors describe how TALF works, how much it was used, and its effect on the issuance and spreads of TALF-eligible securities relative to those of TALF-ineligible securities. They find that both the introduction of TALF and its subsequent expansion were associated with statistically significant declines in the spreads of TALF-eligible relative to TALF-ineligible ABS. However, the facility did not have a statistically significant effect on issuance. Finally, they compare TALF with an earlier version of the facility that was implemented during the global financial crisis and discuss lessons learned from implementing the program.

Available only in PDF

Author Disclosure Statement(s)

Elizabeth Caviness
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper.

Asani Sarkar
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper.

Ankur Goyal
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper.

Woojung Park
The author declares that (s)he has no relevant or material financial interests that relate to the research described in this paper.

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