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Item 1101 -- Definitions
The following definitions apply to the terms used in Regulation AB (Items 229.1100
through 229.1123), unless specified otherwise:
- ABS informational and computational material means a written communication consisting solely of one or some combination
of the following:
- Factual information regarding the asset-backed securities
being offered and the structure and basic parameters of the securities, such
as the number of classes, seniority,
payment priorities, terms of payment, the tax, Employment Retirement Income Security
Act of 1974,
as amended, (29 U.S.C. 1001 et seq.) (“ERISA”) or other legal conclusions of counsel,
and descriptive information relating to each class (e.g., principal amount, coupon,
minimum denomination, anticipated price, yield, weighted average life, credit enhancements,
anticipated ratings, and other similar information relating to the proposed structure of the
- Factual information regarding the pool assets underlying
the asset-backed securities, including origination, acquisition and pool selection
criteria, information regarding any prefunding or revolving period applicable
to the offering, information regarding significant obligors, data regarding
the contractual and related characteristics of the underlying pool assets
(e.g., weighted average coupon, weighted average maturity, delinquency and
loss information and geographic distribution) and other factual information
concerning the parameters of the asset pool appropriate to the nature of the
underlying assets, such as the type of assets comprising the pool and the
programs under which the loans were originated;
- Identification of key parties to the transaction, such
as servicers, trustees, depositors, sponsors, originators and providers of
credit enhancement or other support, including a brief description of each
such party’s roles, responsibilities, background and experience;
- Static pool data, as referenced in Item 1105 of this Regulation
AB, such as for the sponsor’s and/or servicer’s portfolio, prior
transactions or the asset pool itself;
- Statistical information displaying for a particular class
of asset-backed securities the yield, average life, expected maturity, interest
rate sensitivity, cash flow characteristics, total rate of return, option adjusted
spread or other financial or statistical information relating to the class
or classes under specified prepayment, interest rate, loss or other hypothetical
scenarios. Examples of such information under the definition include:
- Statistical results of interest rate sensitivity
analyses regarding the impact on yield or other financial characteristics of
a class of securities from changes in interest rates at one or more assumed
- Statistical information showing the cash flows
that would be associated with a particular class of asset-backed securities
at a specified prepayment speed; and
- Statistical information reflecting the financial
impact of losses based on a variety of loss or default experience, prepayment,
interest rate and
- The names of underwriters participating in the offering
of the securities, and their additional roles, if any, within the underwriting
- The anticipated schedule for the offering (including
the approximate date upon which the proposed sale to the public will begin)
and a description of marketing events (including the dates, times, locations,
and procedures for attending or otherwise accessing them); and
- A description of the procedures by which the underwriters
will conduct the offering and the procedures for transactions in connection
with the offering with an underwriter or participating dealer (including procedures
regarding account-opening and submitting indications of interest and conditional
offers to buy).
- Asset-backed issuer means an issuer whose reporting
obligation results from either the registration of an offering of asset-backed
under the Securities Act, or the registration of a class of asset-backed securities
under section 12 of the Exchange Act.
- Asset-backed security means a security that is primarily
serviced by the cash flows of a discrete pool of receivables or other financial
assets, either fixed or revolving, that by their terms convert into cash within
a finite time period, plus any rights or other assets designed to assure the
servicing or timely distributions of proceeds to the security holders; provided
that in the case of financial assets that are leases, those assets may convert
to cash partially by the cash proceeds from the disposition of the physical
property underlying such leases.
- The following additional conditions apply in order
to be considered an asset-backed security:
- Neither the depositor nor the issuing entity is an investment
company under the Investment Company Act of 1940
nor will become an investment company as a result of the asset-backed securities
- The activities of the issuing entity for the asset-backed
securities are limited to passively owning or holding the pool of assets, issuing
the asset-backed securities supported or serviced by those assets, and other
activities reasonably incidental thereto.
- No non-performing assets are part of the asset pool
as of the measurement date.
- Delinquent assets do not constitute 50% or more,
as measured by dollar volume, of the asset pool as of the measurement date.
- With respect to securities that are backed by leases,
the portion of the securitized pool balance attributable to the residual value
of the physical property underlying the leases, as determined in accordance
with the transaction agreements for the securities, does not constitute:
- For motor vehicle leases, 65% or more, as measured
by dollar volume, of the securitized pool balance as of the measurement date.
- For all other leases, 50% or more, as measured by dollar
volume, of the securitized pool balance as of the measurement date.
- Notwithstanding the requirement in paragraph (c)(1) of
this section that the asset pool be a discrete pool of assets, the following
are considered to be a discrete pool of assets for purposes of being considered
an asset-backed security:
- Master trusts. The offering related to the securities contemplates
adding additional assets to the pool that backs such securities in connection with future
issuances of asset-backed securities backed by such pool. The offering related to the
securities also may contemplate additions to the asset pool, to the extent consistent
with paragraphs (c)(3)(ii) and (c)(3)(iii) of this section, in connection with
maintaining minimum pool balances in accordance with the transaction agreements
for master trusts with revolving periods or receivables or other financial assets
that arise under revolving accounts.
- Prefunding periods. The offering related to the securities
contemplates a prefunding account where a portion of the proceeds of that offering is
to be used for the future acquisition of additional pool assets, if the duration of
the prefunding period does not extend for more than one year from the date of
issuance of the securities and the portion of the proceeds for such prefunding
account does not involve in excess of:
- For master trusts, 50% of the aggregate principal balance
of the total asset pool whose cash flows support the securities; an
- For other offerings, 50% of the proceeds of the offering.
- Revolving periods. The offering related to the securities
contemplates a revolving period where cash flows from the pool assets may be used to
acquire additional pool assets, provided, that, for securities backed by receivables or
other financial assets that do not arise under revolving accounts, the revolving period
does not extend for more than three years from the date of issuance of the securities
and the additional pool assets are of the same general character as the original pool assets.
Instructions to Item 1101(c)
- For purposes of determining non-performing, delinquency and residual value
thresholds, the “measurement date” means either:
- The designated cut-off date for the transaction (i.e., the date on and
after which collections on the pool assets accrue for the benefit of asset-backed
security holders), if applicable; or
- In the case of master trusts, the date as of which
delinquency and loss information or securitized pool balance information,
as applicable, is presented
in the prospectus for the asset-backed securities to be filed pursuant
to Rule 230.424(b) of this chapter.
- Non-performing and delinquent assets that are not
funded or purchased by proceeds from the securities and that are not considered
in cash flow calculations
for the securities need not be considered as part of the asset pool for
purposes of determining non-performing and delinquency thresholds.
- For purposes of determining non-performing, delinquency
and residual value thresholds for master trusts, calculations are to be measured
total asset pool whose cash flows support the securities.
- For purposes of determining residual value thresholds,
residual values need not be included in measuring against the thresholds to
the extent a separate
party is obligated for such amounts (e.g., through a residual value guarantee,
residual value insurance or where the lessee is obligated to cover any
- Delinquent, for purposes of determining if a pool asset
is delinquent, means if a pool asset is more than 30 or 31 days or a single
payment cycle, as applicable, past due from the contractual due date, as determined
in accordance with any of the following:
- The transaction agreements for the asset-backed securities;
- The delinquency recognition policies of the sponsor, any
affiliate of the sponsor that originated the pool asset or the servicer of
the pool asset; or
- The delinquency recognition policies applicable to such
pool asset established by the primary safety and soundness regulator of any
entity listed in paragraph (d)(2) of this section or the program or regulatory
entity that oversees the program under which the pool asset was originated.
- Depositor means the depositor who receives or purchases and
transfers or sells the pool assets to the issuing entity. For asset-backed
securities transactions where there is not an intermediate transfer of the
assets from the sponsor to the issuing entity, the term depositor refers to
the sponsor. For asset-backed securities transactions where the person transferring
or selling the pool assets is itself a trust, the depositor of the issuing
entity is the depositor of that trust.
- Issuing entity means the trust or other entity created at
the direction of the sponsor or depositor that owns or holds the pool assets
and in whose name the asset-backed securities supported or serviced by the
pool assets are issued.
- Non-performing, for purposes of determining if a pool asset
is non-performing, means a pool asset if any of the following is true:
- The pool asset would be treated as wholly or partially charged-off under
the requirements in the transaction agreements for the asset-backed securities;
- The pool asset would be treated as wholly or partially charged-off under the
charge-off policies of the sponsor, an affiliate of the sponsor that originates the pool asset
or a servicer that services the pool asset; or
- The pool asset would be treated as wholly or partially charged-off under
the charge-off policies applicable to such pool asset established by the primary safety and
soundness regulator of any entity listed in paragraph (g)(2) of this section or the program
or regulatory entity that oversees the program under which the pool asset was originated.
- NRSRO has the same meaning as the term “nationally recognized
rating organization” as used in Rule 240.15c3-1(c)(2)(vi)(F) of this chapter.
- Obligor means any person who is directly or indirectly committed by contract
or other arrangement to make payments on all or part of the obligations on a pool asset.
- Servicer means any person responsible for the management or collection of
the pool assets or making allocations or distributions to holders of the asset-backed securities.
The term servicer does not include a trustee for the issuing entity or the asset-backed
securities that makes allocations or distributions to holders of the asset-backed securities
if the trustee receives such allocations or distributions from a servicer and the trustee
does not otherwise perform the functions of a servicer.
- Significant obligor means any of the following:
- An obligor or a group of affiliated obligors on any pool asset or group
of pool assets if such pool asset or group of pool assets represents 10% or more of the asset pool.
- A single property or group of related properties securing a pool asset
or a group of pool assets if such pool asset or group of pool assets represents 10% or more
of the asset pool.
- A lessee or group of affiliated lessees if the related lease or group of
leases represents 10% or more of the asset pool.
Instructions to Item 1101(k).
- Regarding paragraph (k)(3) of this section, the calculation
must focus on the leases whose cash flow supports the asset-backed securities
directly or indirectly
(including the residual value of the physical property underlying the leases
if a portion of the securitized pool balance is attributable to the residual
value of such property), regardless of whether the asset pool contains the
leases themselves, mortgages on properties that are the subject of the
leases or other assets related to the leases.
- If separate pool assets, or properties underlying
pool assets, are cross-defaulted and/or cross-collateralized, such pool assets
are to be aggregated
and considered together in determining concentration levels.
- If the pool asset is a mortgage or lease relating
to real estate, the pool asset is non-recourse to the obligor, and the
obligor does not manage the property or does not own other assets and
has no other operations, then the obligor need not be considered a
separate significant obligor from the real estate. Otherwise, the
obligor is a separate significant obligor.
- The determination of significant obligors is to be
made as of the designated cut-off date for the transaction (i.e., the date
and after which collections on the pool assets accrue for the benefit of
asset-backed security holders), provided, that, in the case of master trusts,
the determination is to be made as of the cut-off date (or issuance date if
there is not a cut-off date) for each issuance of asset-backed securities
backed by the same asset pool. In addition, if disclosure is required
pursuant to either Item 6.05 of Form 8-K (17 CFR 249.308) or in a Form 10-D (17
CFR 249.312) pursuant to Item 1121(b) of this Regulation AB, the
determination of significant obligors is to be made against
the asset pool described in such report. However, if the
percentage concentration regarding an obligor falls below 10%
subsequent to the determination dates discussed in this Instruction,
the obligor no longer need be considered a significant obligor.
- Sponsor means the person who organizes and initiates an
asset-backed securities transaction by selling or transferring assets, either
directly or indirectly, including through an affiliate, to the issuing entity.
70 FR 1506, 1599, Jan. 7, 2005
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