PDF《CFTC Letter No. 12-45》

Gary Barnett Director U.

S. COMMODITY FUTURES TRADING COMMISSION Three Lafayette Centre

1155 21st Street, NW, Washington, DC

20581 Telephone: (202) 418-5977 Facsimile: (202) 418-5407 [email protected] Division of Swap Dealer and Intermediary Oversight CFTC Letter No. 12-45 Interpretation and No-Action December 7,

2012 Division of Swap Dealer and Intermediary Oversight Re: Further Exclusions from Commodity Pool Regulation for Certain Securitization Vehicles;

No-Action Relief for Certain Securitization Vehicles Formed Prior to October 12,

2012 Ladies and Gentlemen: This letter is provided by the Division of Swap Dealer and Intermediary Oversight (the Division ) of the Commodity Futures Trading Commission (the Commission ) and provides interpretations regarding when exclusion from commodity pool regulation for certain securitization vehicles that do not satisfy one or more of the criteria set forth in CFTC Letter No. 12-14 (the 12-14 Letter ) issued by the Division on October 11,

2012 is appropriate, as well as no-action relief for certain securitization vehicles formed prior to October 12, 2012. A. Further Interpretation Regarding Exclusions from Commodity Pool Regulation for Securitization Vehicles In the 12-14 Letter, the Division determined that certain securitization vehicles would not be included within the definition of commodity pool under Section 1a(10)1 of the Commodity Exchange Act and under Commission Regulation 4.10(d),2 if they meet certain conditions. Those conditions are as follows: 1. The issuer of the asset-backed securities is operated consistent with the conditions set forth in Securities and Exchange Commission (the SEC ) Regulation AB3 or Rule 3a-7 under the Investment Company Act of 1940,4 whether or not the issuer'

s security offerings are in fact regulated pursuant to either regulation,5 such that the issuer, pool assets, and issued securities satisfy the requirements of either regulation;

2. The issuer'

s activities are limited to passively owning or holding a pool of receivables or

1 7 U.S.C. 1a(10).

2 Commission rules referred to herein are found at

17 CFR Ch. I (2012).

3 17 CFR 229.1100, et seq.

4 17 CFR 270.3a-7.

5 The Division is of the view that an issuer need not offer its securities pursuant to disclosure documents complying with Regulation AB in order to satisfy this condition.

2 other financial assets,6 which may be either fixed or revolving,7 that by their terms convert to cash within a finite time period8 plus any rights or other assets designed to assure the servicing or timely distributions of proceeds to security holders;

3. The issuer'

s use of derivatives is limited to the uses of derivatives permitted under the terms of Regulation AB, which include credit enhancements and the use of derivatives such as interest rate and currency swap agreements to alter the payment characteristics of the cash flows from the issuing entity;

4. The issuer makes payments to securities holders only from cash flow generated by its pool assets and other permitted rights and assets, and not from or otherwise based upon changes in the value of the entity'

s assets;

and 5. The issuer is not permitted to acquire additional assets or dispose of assets for the primary purpose9 of realizing gain or minimizing loss due to changes in market value of the vehicle'

s assets. These conditions essentially define a type of passive investment in and financing of financial assets which receive only limited types of support from swap transactions and as such qualify to use an alternative disclosure regime under Regulation AB or an exemption from regulation under the Investment Company Act of 1940. However, if an issuer'