TY - JOUR T1 - How Valuable are the TALF Puts? JF - The Journal of Fixed Income SP - 71 LP - 75 DO - 10.3905/jfi.2009.19.2.071 VL - 19 IS - 2 AU - Vineer Bhansali AU - Mark B Wise Y1 - 2009/09/30 UR - https://pm-research.com/content/19/2/71.abstract N2 - Under the TALF program, an investor has the ability to borrow via term loans against eligible TALF as-sets as collateral. Due to the non-recourse feature of these loans, the borrower in effect possesses a put option for each individual asset in the portfolio, with the maximum amount at risk to the borrower equal to the haircut. We estimate the value of the put under rough but reasonable assumptions, and also show that the portfolio of puts may be significantly more valuable than a hypothetical put on the whole portfo-lio.TOPICS: Exchanges/markets/clearinghouses, tail risks, options, portfolio theory ER -