(a) Definitions. For purposes of this section, the following additional
definitions apply:
100 percent liquidity coverage means an amount equal to the outstanding balance of all ABCP issued
by the conduit plus any accrued and unpaid interest without regard
to the performance of the ABS interests held by the ABCP conduit and
without regard to any credit enhancement.
ABCP means asset-backed commercial paper that has a maturity at the time
of issuance not exceeding 397 days, exclusive of days of grace, or
any renewal thereof the maturity of which is likewise limited.
ABCP conduit means an issuing
entity with respect to ABCP.
Eligible ABCP
conduit means an ABCP conduit, provided that:
(1) The ABCP conduit is bankruptcy remote
or otherwise isolated for insolvency purposes from the sponsor of
the ABCP conduit and from any intermediate SPV;
(2) The ABS interests acquired by the ABCP
conduit are:
(i) ABS interests collateralized solely
by assets originated by an originator-seller and by servicing assets;
(ii) Special units
of beneficial interest (or similar ABS interests) in a trust or special
purpose vehicle that retains legal title to leased property underlying
leases originated by an originator-seller that were transferred to
an intermediate SPV in connection with a securitization collateralized
solely by such leases and by servicing assets;
(iii) ABS interests in a revolving pool
securitization collateralized solely by assets originated by an originator-seller
and by servicing assets; or
(iv) ABS interests described in paragraph
(2)(i), (ii), or (iii) of this definition that are collateralized,
in whole or in part, by assets acquired by an originator-seller in
a business combination that qualifies for business combination accounting
under GAAP, and, if collateralized in part, the remainder of such
assets are assets described in paragraph (2)(i), (ii), or (iii) of
this definition; and
(v) Acquired by the ABCP conduit in an initial issuance by or on
behalf of an intermediate SPV:
(A) Directly from the intermediate
SPV,
(B) From an underwriter
of the ABS interests issued by the intermediate SPV, or
(C) From another person who acquired
the ABS interests directly from the intermediate SPV;
(3) The ABCP
conduit is collateralized solely by ABS interests acquired from intermediate
SPVs as described in paragraph (2) of this definition and servicing
assets; and
(4) A regulated
liquidity provider has entered into a legally binding commitment to
provide 100 percent liquidity coverage (in the form of a lending facility,
an asset purchase agreement, a repurchase agreement, or other similar
arrangement) to all the ABCP issued by the ABCP conduit by lending
to, purchasing ABCP issued by, or purchasing assets from, the ABCP
conduit in the event that funds are required to repay maturing ABCP
issued by the ABCP conduit. With respect to the 100 percent liquidity
coverage, in the event that the ABCP conduit is unable for any reason
to repay maturing ABCP issued by the issuing entity, the liquidity
provider shall be obligated to pay an amount equal to any shortfall,
and the total amount that may be due pursuant to the 100 percent liquidity
coverage shall be equal to 100 percent of the amount of the ABCP outstanding
at any time plus accrued and unpaid interest (amounts due pursuant
to the required liquidity coverage may not be subject to credit performance
of the ABS interests held by the ABCP conduit or reduced by the amount
of credit support provided to the ABCP conduit and liquidity support
that only funds performing loans or receivables or performing ABS
interests does not meet the requirements of this section).
Intermediate SPV means a special purpose vehicle
that:
(1) (i) Is a direct or indirect
wholly-owned affiliate of the originator-seller; or
(ii) Has nominal equity owned by a trust
or corporate service provider that specializes in providing independent
ownership of special purpose vehicles, and such trust or corporate
service provider is not affiliated with any other transaction parties;
(2) Is bankruptcy
remote or otherwise isolated for insolvency purposes from the eligible
ABCP conduit and from each originator-seller and each majority-owned
affiliate in each case that, directly or indirectly, sells or transfers
assets to such intermediate SPV;
(3) Acquires assets from the originator-seller
that are originated by the originator-seller or acquired by the originator-seller
in the acquisition of a business that qualifies for business combination
accounting under GAAP or acquires ABS interests issued by another
intermediate SPV of the originator-seller that are collateralized
solely by such assets; and
(4) Issues ABS interests collateralized solely by such assets, as
applicable.
Originator-seller means
an entity that originates assets and sells or transfers those assets,
directly or through a majority-owned affiliate, to an intermediate
SPV, and includes (except for the purposes of identifying the sponsorship
and affiliation of an intermediate SPV pursuant to this section 244.6)
any affiliate of the originator-seller that, directly or indirectly,
majority controls, is majority controlled by or is under common majority
control with, the originator-seller. For purposes of this definition,
majority control means ownership of more than 50 percent of the equity
of an entity, or ownership of any other controlling financial interest
in the entity, as determined under GAAP.
Regulated
liquidity provider means:
(1) A depository institution (as defined
in section 3 of the Federal Deposit Insurance Act (12 U.S.C. 1813));
(2) A bank holding company
(as defined in 12 U.S.C. 1841), or a subsidiary thereof;
(3) A savings and loan holding
company (as defined in 12 U.S.C. 1467a), provided all or substantially
all of the holding company’s activities are permissible for a financial
holding company under 12 U.S.C. 1843(k), or a subsidiary thereof;
or
(4) A foreign bank
whose home country supervisor (as defined in section 211.21 of the
Federal Reserve Board’s Regulation K (12 CFR 211.21)) has adopted
capital standards consistent with the Capital Accord of the Basel
Committee on Banking Supervision, as amended, and that is subject
to such standards, or a subsidiary thereof.
(b) In general. An ABCP conduit sponsor
satisfies the risk retention requirement of section 244.3 with respect
to the issuance of ABCP by an eligible ABCP conduit in a securitization
transaction if, for each ABS interest the ABCP conduit acquires from
an intermediate SPV:
(1) An originator-seller of the intermediate
SPV retains an economic interest in the credit risk of the assets
collateralizing the ABS interest acquired by the eligible ABCP conduit
in the amount and manner required under section 244.4 or section 244.5;
and
(2) The ABCP conduit
sponsor:
(i) Approves each originator-seller
permitted to sell or transfer assets, directly or indirectly, to an
intermediate SPV from which an eligible ABCP conduit acquires ABS
interests;
(ii)
Approves each intermediate SPV from which an eligible ABCP conduit
is permitted to acquire ABS interests;
(iii) Establishes criteria governing
the ABS interests, and the securitized assets underlying the ABS interests,
acquired by the ABCP conduit;
(iv) Administers the ABCP conduit by
monitoring the ABS interests acquired by the ABCP conduit and the
assets supporting those ABS interests, arranging for debt placement, compiling
monthly reports, and ensuring compliance with the ABCP conduit documents
and with the ABCP conduit’s credit and investment policy; and
(v) Maintains and adheres
to policies and procedures for ensuring that the requirements in this
paragraph (b) of this section have been met.
(c) Originator-seller compliance
with risk retention. The use of the risk retention option provided
in this section by an ABCP conduit sponsor does not relieve the originator-seller
that sponsors ABS interests acquired by an eligible ABCP conduit from
such originator-seller’s obligation to comply with its own risk retention
obligations under this part.
(d) Disclosures.
(1) Periodic
disclosures to investors. An ABCP conduit sponsor relying upon
this section shall provide, or cause to be provided, to each purchaser
of ABCP, before or contemporaneously with the first sale of ABCP to
such purchaser and at least monthly thereafter, to each holder of
commercial paper issued by the ABCP conduit, in writing, each of the
following items of information, which shall be as of a date not more
than 60 days prior to date of first use with investors:
(i) The
name and form of organization of the regulated liquidity provider
that provides liquidity coverage to the eligible ABCP conduit, including
a description of the material terms of such liquidity coverage, and
notice of any failure to fund.
(ii) With respect to each ABS interest
held by the ABCP conduit:
(A) The asset class or brief description of
the underlying securitized assets;
(B) The standard industrial category code
(SIC Code) for the originator-seller that will retain (or has retained)
pursuant to this section an interest in the securitization transaction;
and
(C) A description
of the percentage amount of risk retention pursuant to the rule by
the originator-seller, and whether it is in the form of an eligible
horizontal residual interest, vertical interest, or revolving pool
securitization seller’s interest, as applicable.
(2) Disclosures to regulators regarding originator-sellers. An ABCP conduit sponsor relying upon this section shall provide,
or cause to be provided, upon request, to the Commission and its appropriate
Federal banking agency, if any, in writing, all of the information
required to be provided to investors in paragraph (d)(1) of this section,
and the name and form of organization of each originator-seller that
will retain (or has retained) pursuant to this section an interest
in the securitization transaction.
(e) Sale or transfer of ABS interests between eligible
ABCP conduits. At any time, an eligible ABCP conduit that acquired
an ABS interest in accordance with the requirements set forth in this
section may transfer, and another eligible ABCP conduit may acquire,
such ABS interest, if the following conditions are satisfied:
(1) The sponsors of both eligible ABCP
conduits are in compliance with this section; and
(2) The same regulated liquidity provider
has entered into one or more legally binding commitments to provide
100 percent liquidity coverage to all the ABCP issued by both eligible
ABCP conduits.
(f) Duty to comply.
(1) The ABCP conduit sponsor shall be responsible
for compliance with this section.
(2) An ABCP conduit sponsor relying on
this section:
(i) Shall maintain and adhere to policies
and procedures that are reasonably designed to monitor compliance
by each originator-seller which is satisfying a risk retention obligation
in respect of ABS interests acquired by an eligible ABCP conduit with
the requirements of paragraph (b)(1) of this section; and
(ii) In the event that
the ABCP conduit sponsor determines that an originator-seller no longer
complies with the requirements of paragraph (b)(1) of this section,
shall:
(A) Promptly notify the holders of the ABCP, and upon request, the
Commission and its appropriate Federal banking agency, if any, in
writing of:
(1) The name and form
of organization of any originator-seller that fails to retain risk
in accordance with paragraph (b)(1) of this section and the amount
of ABS interests issued by an intermediate SPV of such originator-seller
and held by the ABCP conduit;
(2) The name and form of organization
of any originator-seller that hedges, directly or indirectly through
an intermediate SPV, its risk retention in violation of paragraph
(b)(1) of this section and the amount of ABS interests issued by an
intermediate SPV of such originator-seller and held by the ABCP conduit;
and
(3) Any remedial
actions taken by the ABCP conduit sponsor or other party with respect
to such ABS interests; and
(B) Take other appropriate steps pursuant
to the requirements of paragraphs (b)(2)(iv) and (v) of this section
which may include, as appropriate, curing any breach of the requirements
in this section, or removing from the eligible ABCP conduit any ABS
interest that does not comply with the requirements in this section.
