Criterion B14: Cap on Maturity Transformation (Conduit Level Only)
| No: 44047144 | Date(g): 27/12/2022 | Date(h): 4/6/1444 |
Effective from Jan 01 2023 - Dec 31 2022
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| 18.150 | Maturity transformation undertaken through ABCP conduits should be limited. The sponsor should verify and disclose to investors that the weighted average maturity of all the transactions financed under the ABCP conduit is three years or less. This number should be calculated as the higher of: | ||
| (1) | The exposure-weighted average residual maturity of the conduit’s beneficial interests held or the assets purchased by the conduit in order to finance the transactions of the conduit103; and | ||
| (2) | The exposure-weighted average maturity of the underlying assets financed by the conduit calculated by: | ||
| (a) | Taking an exposure-weighted average of residual maturities of the underlying assets in each pool; and | ||
| (b) | Taking an exposure-weighted average across the conduit of the pool-level averages as calculated in Step 2a.104 | ||
103 Including purchased securitization notes, loans, asset-backed deposits and purchased credit claims and/or receivables held directly on the conduit’s balance sheet.
104 Where it is impractical for the sponsor to calculate the pool-level weighted average maturity in Step 2a (because the pool is very granular or dynamic), sponsors may instead use the maximum maturity of the assets in the pool as defined in the legal agreements governing the pool (e.g. investment guidelines).