PDF《CFTC Letter No. 12-45》

s operating or trading activities are more active than contemplated by the 12-14 Letter, the issuer does not limit its investments to financial assets that are used to pay the issuer'

s securities, or the issuer uses swaps to create synthetic investment exposure, the issuer would not be entitled to claim the exclusion provided in the 12-14 Letter. In providing the interpretations in the 12-14 Letter, the Division believed that a commodity pool could not satisfy the criteria outlined therein and, thus, those criteria could be used to define securitization vehicles that would not be commodity pools. However, the Division did not conclude that the interpretations in the 12-14 Letter were the exclusive way that securitization vehicles could be excluded from the definition of commodity pool (or to put it conversely, the Division did not conclude that all securitization vehicles not meeting the criteria would be deemed commodity pools). In fact, in the 12-14 Letter, the Division invited securitization sponsors to discuss the facts and circumstances of their non-conforming securitization structures with the Division with a view to determining whether or not such structures might be considered commodity pools, and if so, whether other relief might be appropriate under the

6 The term financial asset as used in the 12-14 Letter does not include transactions whereby an entity obtains exposure to an asset that is not transferred or otherwise part of the asset pool. This is consistent with guidance provided by the SEC in its adopting release for Regulation AB. See

70 FR 1506,

1514 (Jan. 7, 2005).

7 If the issuer is a master trust, as that term is defined in Regulation AB,

17 CFR 229.1101(c)(3), then the issuer must comply with the terms of Regulation AB and may be permitted to add additional assets to the pool that backs securities in connection with future issuances of asset-backed securities, which may be done in connection with maintaining a minimum pool balance in accordance with transaction agreements for master trusts with revolving periods or receivables or other financial assets that involve revolving accounts.

8 Such would include the residual value realized on the disposition of leased assets to the extent consistent with the terms of Regulation AB.

9 Nothing in this requirement should be construed to permit the use of derivatives beyond those circumstances set forth in the third bullet point above.

3 circumstances, such as where a fund might be treated as an exempt pool. In the Division'

s conversations with securitization sponsors following the issuance of the 12-14 Letter, the Division has discussed a number of transactions involving securitization vehicles that do not satisfy the operating or trading limitations contained in Regulation AB and Rule 3a-7, even though the issuers continue to satisfy the criteria relating to the ownership of financial assets and swap usage, specifically the types of assets described in criterion two and the usage of swaps described in criterion three above. Based on those transactions, the Division is of the view, in principal, that certain securitization vehicles that do not satisfy the operating or trading limitations contained in Regulation AB or Rule 3a-7 may be properly excluded from the definition of commodity pool, provided that the criterion with respect to the ownership of financial assets continues to be satisfied and the use of swaps is no greater than that contemplated by Regulation AB and Rule 3a-7, and such swaps are not used in any way to create an investment exposure. An example of one such securitization vehicle is a standard asset-backed commercial paper conduit ( ABCP ) which is a special purpose entity that issues asset-backed senior promissory notes and uses the proceeds of such notes to acquire interests in one or more financial assets. The notes issued by ABCP conduits may not be asset-backed securities as defined in Regulation AB because they are repaid in the ordinary course from proceeds of newly issued promissory notes or, if new notes cannot be issued, from liquidity and credit facilities provided by a financial institution. Also, many ABCP conduits do not employ independent trustees as generally required by Rule 3a-7. For these reasons, ABCP conduits may not meet one or more of the ........