Simple, Transparent and Comparable Short-Term Securitizations: Criteria for Regulatory Capital Purposes
| No: 44047144 | Date(g): 27/12/2022 | Date(h): 4/6/1444 | Status: In-Force |
Effective from Jan 01 2023 - Dec 31 2022
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| 18.96 | The following definitions apply when the terms are used in 18.97 to 18.165: | ||
| (1) | ABCP conduit/conduit – ABCP conduit, being the special purpose vehicle which can issue commercial paper; | ||
| (2) | ABCP programme – the programme of commercial paper issued by an ABCP conduit; | ||
| (3) | Assets/asset pool – the credit claims and/or receivables underlying a transaction in which the ABCP conduit holds a beneficial interest; | ||
| (4) | Investor – the holder of commercial paper issued under an ABCP programme, or any type of exposure to the conduit representing a financing liability of the conduit, such as loans; | ||
| (5) | Obligor – borrower underlying a credit claim or a receivable that is part of an asset pool; | ||
| (6) | Seller – a party that: | ||
| (a) | Concluded (in its capacity as original lender) the original agreement that created the obligations or potential obligations (under a credit claim or a receivable) of an obligor or purchased the obligations or potential obligations from the original lender(s); and | ||
| (b) | Transferred those assets through a transaction or passed on the interest92 to the ABCP conduit. | ||
| (7) | Sponsor – sponsor of an ABCP conduit. It may also be noted that other relevant parties with a fiduciary responsibility in the management and administration of the ABCP conduit could also undertake control of some of the responsibilities of the sponsor; and | ||
| (8) | Transaction – An individual transaction in which the ABCP conduit holds a beneficial interest. A transaction may qualify as a securitization, but may also be a direct asset purchase, the acquisition of undivided interest in a replenishing pool of asset, a secured loan etc. | ||
| 18.97 | For exposures at the conduit level (e.g. exposure arising from investing in the commercial papers issued by the ABCP programme or sponsoring arrangements at the conduit/programme level), compliance with the short-term STC capital criteria is only achieved if the criteria are satisfied at both the conduit and transaction levels. | ||
| 18.98 | In the case of exposures at the transaction level, compliance with the short-term STC capital criteria is considered to be achieved if the transaction level criteria are satisfied for the transactions to which support is provided. | ||
92 For instance, transactions in which assets are sold to a special purpose entity sponsored by a bank’s customer and then either a security interest in the assets is granted to the ABCP conduit to secure a loan made by the ABCP conduit to the sponsored special purpose entity, or an undivided interest is sold to the ABCP conduit.