(a) General exception for qualifying
assets. Commercial loans, commercial real estate loans, and automobile
loans that are securitized through a securitization transaction shall
be subject to a 0 percent risk retention requirement under subpart
B, provided that the following conditions are met:
(1) The assets meet the underwriting standards
set forth in section 244.16 (qualifying commercial loans), 244.17
(qualifying CRE loans), or 244.18 (qualifying automobile loans) of
this part, as applicable;
(2) The
securitization transaction is collateralized solely by loans of the
same asset class and by servicing assets;
(3) The securitization transaction does
not permit reinvestment periods; and
(4) The sponsor provides, or causes to be provided, to potential
investors a reasonable period of time prior to the sale of asset-backed
securities of the issuing entity, and, upon request, to the Commission,
and to its appropriate Federal banking agency, if any, in written
form under the caption “Credit Risk Retention”, a description of the
manner in which the sponsor determined the aggregate risk retention
requirement for the securitization transaction after including qualifying
commercial loans, qualifying CRE loans, or qualifying automobile loans
with 0 percent risk retention.
(b) Risk retention requirement. For any securitization
transaction described in paragraph (a) of this section, the percentage
of risk retention required under section 244.3(a) is reduced by the
percentage evidenced by the ratio of the unpaid principal balance
of the qualifying commercial loans, qualifying CRE loans, or qualifying
automobile loans (as applicable) to the total unpaid principal balance
of commercial loans, CRE loans, or automobile loans (as applicable)
that are included in the pool of assets collateralizing the asset-backed
securities issued pursuant to the securitization transaction (the
qualifying asset ratio); provided that:
(1) The qualifying asset ratio is measured
as of the cut-off date or similar date for establishing the composition
of the securitized assets collateralizing the asset-backed securities
issued pursuant to the securitization transaction;
(2) If the qualifying asset ratio would
exceed 50 percent, the qualifying asset ratio shall be deemed to be
50 percent; and
(3) The disclosure
required by paragraph (a)(4) of this section also includes descriptions
of the qualifying commercial loans, qualifying CRE loans, and qualifying
automobile loans (qualifying assets) and descriptions of the assets
that are not qualifying assets, and the material differences between
the group of qualifying assets and the group of assets that are not
qualifying assets with respect to the composition of each group’s
loan balances, loan terms, interest rates, borrower credit information,
and characteristics of any loan collateral.
(c) Exception for securitizations of qualifying
assets only. Notwithstanding other provisions of this section,
the risk retention requirements of subpart B of this part shall not
apply to securitization transactions where the transaction is collateralized
solely by servicing assets and either qualifying commercial loans,
qualifying CRE loans, or qualifying automobile loans.
(d) Record maintenance. A sponsor must retain
the disclosures required in paragraphs (a) and (b) of this section
and the certifications required in section 244.16(a)(8), 244.17(a)(10),
and 244.18(a)(8), as applicable, in its records until three years
after all ABS interests issued in the securitization are no longer
outstanding. The sponsor must provide the disclosures and certifications
upon request to the Commission and the sponsor’s appropriate Federal
banking agency, if any.
