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New Developments in Securitization

2016

ChairFrank Polverino

Copyright © 2016 by Practising Law Institute. All rights reserved. Printed in the United States of America. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form by any means, electronic, mechanical, photocopying, recording, or otherwise without the prior written permission of Practising Law Institute. 978-1-4024-2799-2

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Prepared for distribution at the NEW DEVELOPMENTS IN SECURITIZATION 2016 Program December 14, 2016 CONTENTS: PROGRAM SCHEDULE ........................................................................... 9 FACULTY BIOS ...................................................................................... 15 1. U.S. Securities and Exchange Commission: Compliance

and Disclosure Interpretations: Information for Form ABS-EE Filings (April 28, 2016) ...................................................... 41

Submitted by: Katherine W. Hsu U.S. Securities and Exchange Commission

2. Federal Register, Vol. 79, No. 185, Part II; U.S. Securities

and Exchange Commission, 17 CFR Parts 229, 230, 232, et al., Asset-Backed Securities Disclosure and Registration; Final Rule (September 24, 2014) .................................................... 49

Submitted by: Katherine W. Hsu U.S. Securities and Exchange Commission

3. Final Risk Retention Rules: Impact on RMBS

(May 28, 2015) .............................................................................. 219 Submitted by: Stephen S. Kudenholdt Dentons US LLP

4. Structured Finance Industry Group: RMBS 3.0:

A Comprehensive Set of Proposed Industry Standards to Promote Growth in the Private Label Securities Market—Third Edition (November 10, 2015) ................................ 231

Submitted by: Stephen S. Kudenholdt Dentons US LLP

5

5. Residential Mortgage Securitization Overview (July 31, 2016) (PowerPoint slides) .............................................. 521

Lawrence D. Rubenstein Wells Fargo & Company

6. Who’s on First: Credit Risk Retention and

the Identification of the Sponsor (October 6, 2016) ...................... 557 Ellen L. Marks Latham & Watkins LLP

7. The Review of Banking & Financial Services:

U.S. Risk Retention in the CLO Market, Vol. 32, No. 5 (May 2016) .................................................................................... 571

Joyce E. McCarty Macey Levington Beau Sterling Sarah Crandall Cleary Gottlieb Steen & Hamilton LLP

8. Securitization and Recent Actions of the Consumer

Financial Protection Bureau (CFPB) (December 14, 2016) (PowerPoint slides) .................................... 583

Chris DiAngelo Katten Muchin Rosenman LLP

9. Sample Comment Letter: Impact of CFPB’s Arbitration

Rule on Securitization: Docket No. CFPB-2016-0020, Arbitration Agreements, 81 Fed. Reg. 32,830 (proposed May 24, 2015) (to be codified at 12 C.F.R. pt. 1040) (August 22, 2016) ......................................................................... 629

Submitted by: Chris DiAngelo Katten Muchin Rosenman LLP

10. Credit Card Securitization ............................................................. 645

Andrew M. Faulkner Skadden, Arps, Slate, Meagher & Flom LLP

11. Securitization of Equipment and Auto Leases

(September 2013) ......................................................................... 675 Stuart M. Litwin Mayer Brown LLP

6

12. At Long Last—SEC Adopts Final Regulation AB II (September 5, 2014) ..................................................................... 781

Submitted by: Cheryl D. Barnes Cadwalader, Wickersham & Taft LLP

13. Structured Finance Industry Group Comment Letter

to the Securities and Exchange Commission, Re: Outstanding Proposed Rules under Regulation AB II—Student Loan ABS (File No. S7-08-10) (June 15, 2016) ............................................................................. 803

Richard Johns Structured Finance Industry Group Submitted by: Cheryl D. Barnes Cadwalader, Wickersham & Taft LLP

14. Structured Finance Industry Group Comment Letter

to Fitch Ratings, Re: Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria—Exposure Draft Questions dated November 18, 2015 (January 15, 2016) ....................................... 843

Richard Johns Structured Finance Industry Group Submitted by: Cheryl D. Barnes Cadwalader, Wickersham & Taft LLP

15. Structured Finance Industry Group Comment Letter to

Moody’s Investors Service, Inc., Re: Proposed Changes to Moody’s Approach to Rating Securities Backed by FFELP Student Loans—Request for Comment dated July 9, 2015 (October 30, 2015) ......................................... 873

Richard Johns Structured Finance Industry Group Submitted by: Cheryl D. Barnes77 Cadwalader, Wickersham & Taft LLP

7

16. Recent Developments in Esoteric Assets (September 28, 2016) ................................................................... 893

Jamie Kocis Kramer Levin Naftalis & Frankel LLP Ryan D. McNaughton Paul, Weiss, Rifkind, Wharton & Garrison LLP Michael L. Urschel King & Spalding LLP

INDEX ................................................................................................... 957 Program Attorney: Lauren E. Nochta

8

Program Schedule

9

10

New Developments in Securitization 2016 New York City, December 14, 2016

Program Schedule

Morning Session: 9:00 a.m. – 12:30 p.m.

9:00 Opening Remarks Frank Polverino

9:15 Q&A With the SEC Office of Structured Finance Overview of the Office of Structured Finance Recap of the last year Staff observationsOutlook for 2017

Speaker: Richard Johns, Katherine W. Hsu

10:15 Market Update: RMBS Status of the RMBS market Outlook: challenges and opportunities in the RMBS market Regulatory environment in the RMBS market

Stephen S. Kudenholdt, Lawrence D. Rubenstein

11:15 Networking Break

11:30 Credit Risk Retention Credit Risk Retention overviewCredit Risk Retention implementation issues

Ellen L. Marks, Joyce E. McCarty, Bianca A. Russo, Cynthia J. Williams

12:30 Lunch

11

Afternoon Session: 1:45 p.m. – 5:00 p.m.

1:45 CFPB Roundup - Recent CFPB Actions of Importance to the Securitization Market

TRID update Mandatory Arbitration Structure and Constitutionality of CFPB

Chris DiAngelo

2:45 Overview of Consumer and Other Securitization Markets Auto securitizationCredit card securitizationEquipment securitization (including non-esoteric equipment)Student loansOther unsecured consumer loans

Andrew M. Faulkner, Stuart M. Litwin, Cheryl D. Barnes

3:45 Networking Break

4:00 Esoteric Asset Securitization Whole business securitization Cell towers, billboards, and related ground leases Tax liens, PACE loans Solar Securitization, related PPAs and leases Timeshare securitizations

Ryan D. McNaughton, Michael L. Urschel, Jamie Kocis

5:00 Adjourn

12

Faculty

Frank Polverino Cadwalader, Wickersham & Taft LLP New York City Chair

Cheryl D. Barnes Cadwalader, Wickersham & Taft LLP Washington, D.C.

Chris DiAngelo Katten Muchin Rosenman LLP New York City

Andrew M. Faulkner Skadden, Arps, Slate, Meagher & Flom LLP New York City

Katherine W. Hsu ChiefOffice of Structured Finance U.S. Securities and Exchange Commission Washington, D.C.

Richard Johns Executive Director Structured Finance Industry Group Washington, D.C.

Jamie Kocis Kramer Levin Naftalis & Frankel LLP New York City

Stephen S. Kudenholdt Dentons US LLP New York City

13

Stuart M. Litwin Mayer Brown LLP Chicago

Ellen L. Marks Latham & Watkins LLP Chicago

Joyce E. McCarty Cleary Gottlieb Steen & Hamilton LLP Washington, D.C.

Ryan D. McNaughton Paul, Weiss, Rifkind, Wharton & Garrison LLP New York City

Lawrence D. Rubenstein Capital Markets Managing Counsel Wells Fargo & Company New York City

Bianca A. Russo Managing Director & Associate General Counsel - LegalSecuritized Products J.P. Morgan New York City

Michael L. Urschel King & Spalding LLP Atlanta and New York City

Cynthia J. Williams Dechert LLP Boston

Senior Program Attorney: Lauren E. Nochta

14

Faculty Bios

15

16

Frank Polverino Frank Polverino is a corporate and securities lawyer who focuses primarily on representing investment banks, banks, government-sponsored enterprises (GSEs), insurance and reinsurance companies and other financial institutions in the securitization, purchase, sale, and financing of financial assets and insurance related liabilities. Frank has diverse experience in securitization matters. He represents issuers, underwriters, and loan sellers in significant public and private securitization transactions involving commercial and residential mortgage loans utilizing various structures, including pass-through, debt, and offshore. He also represents GSEs in their credit risk transfer transactions, as well as issuers and underwriters in connection with offerings of risk-linked securities. In addition, Frank represents clients in the purchase and sale of mortgage loans, mezzanine debt, and subordinate debt. Frank received his B.S. from New York University and his J.D., cum laude, from Brooklyn Law School. He is admitted to practice in the States of New York and New Jersey.

17

Cheryl Barnes

Cheryl Barnes is a partner in Cadwalader Wickersham & Taft’s Capital Markets Department with over 20 years of experience in student loan finance and securitizations, including FFELP and private education loan program development. Cheryl represents a number of investment banks, commercial banks, government-sponsored enterprises, and other financial institutions in connection with public and private offerings of student loan asset-backed securities. Cheryl also has extensive experience with issuance of GSE-sponsored mortgage pass-through securities and REMICs.

Cheryl is a co-chair of the Structured Finance Industry Group’s Student Loan Committee and a member of SFIG’s Women in Securitization program and was recently a featured speaker at SFIG’s ABS Vegas 2016 student loan panel discussion on “Disclosure Standards and the Student Loan Market.” Cheryl was also recently recognized among the Most Influential Black Lawyers in 2015 by Savoy magazine. The Savoy list comprises the "best of the best" of black lawyers who are partners at leading national law firms, and who are recognized for their professionalism, protection of rights and community service. Cheryl received her J.D. from the University of Maryland School of Law and her B.A. from Bennett College and is admitted to practice in the District of Columbia and in the State of Maryland.

18

Chris DiAngelo

Chris DiAngelo is the managing partner of Katten Muchin Rosenman’s New York office and a member of the firm's Board of Directors and Executive Committee. He has also served as a member of the Board of Directors and Executive Committee of the securitization trade association, the Structured Finance Industry Group (SFIG). He focuses his practice on structured finance and securitization matters. Chris represents a variety of clients, including issuers, lenders, underwriters and investors, in a wide range of programs and projects involving asset-backed debt, municipal debt, straight corporate debt and equity, warehouse lines, regulatory matters and acquisitions.

Chris's clients describe him as a "significant market player" and say "He has the ability to zero in on the legal and business issues, explain them and then find an appropriate solution," according to Chambers USA. Additionally, clients admire Chris's regulatory knowledge, and say "He's up on current regulations and even what's bouncing around the regulators' heads" (Chambers USA). Throughout the last decade, he has developed a strong knowledge of housing and mortgage policy reform—including Fannie Mae and Freddie Mac reform—a topic on which he is a frequent speaker. Chris has also spoken on the impact of the Dodd-Frank Act on structured finance. He is a lead counsel to the SFIG and outside counsel to a Washington, DC lobbying firm concentrating in financial services matters. Chris has testified before the US House Committee on Financial Services on the issues confronting the commercial real estate market, and frequently appears and provides commentary at industry forums on financial and regulatory matters. He has been recognized in the media as a leader in the field of capital markets and securitization.

Prior to entering private practice, he was on the staff of the New York State Housing Finance Agency, a prominent municipal issuer.

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1 Skadden, Arps, Slate, Meagher & Flom LLP

Andrew M. FaulknerPartner, New YorkStructured Finance

T: 212.735.2853F: 917.777.2853andrew.faulkner@skadden.com

EducationJ.D., Columbia University School of Law, 1985 (Harlan Fiske Stone Scholar)

B.A., Cornell University, 1981 (magna cum laude)

Bar AdmissionsNew York

Andrew M. Faulkner has represented participants in asset-backed securities transactions since 1985.

Mr. Faulkner has acted as counsel in public offerings and private transactions involving the issuance of securities backed by credit cards, auto loans, marketplace loans, commercial real estate loans and trade receivables. He has represented commercial paper issuers and arrang-ers, as well as sellers of assets to asset-backed commercial paper programs. He has advised on cross-border issuances into and out of the United States. In addition, he has advised issuers of commodity index linked structured products, including exchange traded funds.

Mr. Faulkner has a broad credit card securitization practice. He helped establish credit card master trusts for many major issuers and has represented issuers and the underwriters of securities backed by VISA and MasterCard receivables and retailer private label credit card receivables. Mr. Faulkner has worked on structural innovations for the public issuance of subordinated classes of credit card receivables-backed securities. He also has represented buyers and seller of portfolios of credit card accounts. Mr. Faulkner has acted as counsel to the issuers or to the underwriters in securitized transactions by Chase, 1st Financial Bank USA, Target Corporation, Bluestem Brands and many other issuers.

Recent transactions have included acquisitions, financings and securitizations of market-place loans, restructurings of securitization programs, sales of consumer loan portfolios, and advice to purchasers of interests in distressed asset-backed securities transactions. Mr. Faulkner has advised clients on regulatory developments, including the implementation of new Regulation AB and Risk Retention rules and the Volcker Rule.

Mr. Faulkner is a former member of the board of directors of the American Securitization Forum. He represented the American Securitization Forum in efforts to modify and preserve the FDIC’s legal isolation safe harbor for securitization transactions. He also represented SIFMA in connection with the preparation of comment letters on rules proposed to imple-ment the conflicts of interest limitations for securitization participants under the Dodd-Frank Act.

Mr. Faulkner repeatedly has been selected for inclusion in Chambers Global: The World’s Leading Lawyers for Business, Chambers USA: America’s Leading Lawyers for Business and The Best Lawyers in America. He was named Best Lawyers’ “2016 New York Securitization and Structured Finance Lawyer of the Year.”

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2 Skadden, Arps, Slate, Meagher & Flom LLP

Andrew M. FaulknerContinued

Publications

“Regulators Adopt Final Risk Retention Rules for Asset-Backed Securities,” Skadden’s 2015 Insights - Financial Regulation, January 2015

“Regulation AB: New Rules for Publicly Issued Asset-Backed Secu-rities,” Skadden’s 2015 Insights - Financial Regulation, January 2015

“Structured Finance Alert: Final Rule to Implement Dodd-Frank Risk Retention Requirement,” Skadden, Arps, Slate, Meagher & Flom LLP, December 2014

“Structured Finance Alert: SEC Adopts Final Regulation AB II Rules,” Skadden, Arps, Slate, Meagher & Flom LLP, August 29, 2014

“Entering a New Regulatory Era Under the Final Volcker Rule,” Skadden’s 2014 Insights - Financial Regulation, January 16, 2014

“Structured Finance Alert —The Final Volcker Rule: Impact on Securitizations,” Skadden, Arps, Slate, Meagher & Flom LLP, Janu-ary 8, 2014

“The Volcker Rule: A First Look at Key Changes,” The Harvard Law School Forum on Corporate Governance and Financial Regulation, December 18, 2013

“US Financial Regulators Issue Final Volcker Rule,” Skadden, Arps, Slate, Meagher & Flom LLP, December 10, 2013

Structured Finance Alert: “Proposed Rule to Implement Dodd-Frank Risk Retention Requirement,” Skadden, Arps, Slate, Meagher & Flom LLP, October 2013

“Agencies Propose Revised Risk Retention Rule,” Skadden, Arps, Slate, Meagher & Flom LLP, August 29, 2013

21

Katherine W. Hsu Katherine W. Hsu is the Chief of the Office of Structured Finance in the Division of Corporation Finance of the Securities and Exchange Commission. Among other things, the office reviews asset-backed securities disclosure documents, drafts rules, answers questions, and provides interpretive advice related to the rules governing asset-backed securities. Ms. Hsu previously served as Senior Special Counsel in the Office of Rulemaking in the Division of Corporation Finance, and in that capacity, assisted in the development of several Commission releases.

22

Richard Johns

Richard Johns is the Executive Director for the Structured Finance Industry Group, a member-based trade industry advocacy group focused on improving and strengthening the broader structured finance and securitization market.

A longtime leader in the securitization industry, Mr. Johns, 45, has more than 16 years of experience, having previously served as Head of Global Funding and Liquidity at Ally Financial Inc. Earlier in his career Mr. Johns also had roles as Head of Global Capital Markets at Capital One Financial Corp and as a transaction lead at MBNA (now Bank of America). Throughout his career, Mr. Johns has issued securitized products across a variety of platforms, including; credit cards, auto (retail, lease and floorplan), RMBS, Agency, small business, and unsecured installment loan products. He has experience across both domestic and international issuance, including Canada, Latin America, Europe and China.

Mr. Johns is also a qualified Chartered Accountant within the U.K., having completed his training with Deloitte.

He is a graduate of the University of Manchester, UK with a bachelor's degree in Economics.

23

Jamie KocisPartner

jkocis@kramerlevin.com

Phone: 212.715.9103

Fax: 212.715.8000

New York

Overview

Jamie Kocis represents issuers, underwriters, borrowers, lenders and

service providers in structured finance transactions involving a variety of

asset classes, including time-share loans, solar assets, structured

settlements, lottery receivables, equipment leases, auto loans,

collateralized debt obligations, commercial mortgage loans, marketplace

lending, distressed assets, government contract receivables, student

loans, and trademark and licensing rights. Ms. Kocis’ practice also

involves counselling investment funds in their participation in tender option

bond programs.

Ms. Kocis works with both lenders and underwriters in the emerging solar

asset space, as well as other esoteric asset classes, as deal counsel for

both warehouse securitization facilities and term securitizations. Among

her most recent notable work, she served as deal counsel in the first-ever

term securitization of solar loan assets, as well as the first-ever

warehouse securitization of solar loan assets.

Ms. Kocis is a member of the firm’s Women’s Initiatives Committee.

Experience

Represented lenders and underwriters in numerous securitization

transactions relating to power purchase agreements, leases and loans for

solar assets.

Represented an investor in a transaction secured by a music artist’s

copyrights.

Advised investment funds and one of the largest mortgage loan servicers

in the country in connection with the negotiation of agency security

forward trading facilities (Master Securities Forward Transaction

Agreements).

Related Practices

Banking and Finance

Corporate

Derivatives and Structured

Products

Securitization

Leveraged Finance

Education

Bar Admissions

Professional Affiliations

- J.D., magna cum laude,

University of Miami School of Law,

2000

Senior Articles Editor, Universityof Miami Law Review

Order of the Coif

- B.S., Binghamton University, State

University of New York, 1996

- New Jersey, 2000

- New York, 2001

New York City Bar Association,

Structured Finance Committee

-

24

Represented underwriters and issuers in numerous securitization

transactions relating to time-share loans originated by major lodging and

time-share companies.

Represented underwriters and originators in connection with subprime

auto-loan securitization transactions.

Represented investors in transactions securitizing government receivables

from federal energy savings performance contracts.

Represented investors in transactions securitizing lottery winnings.

Represented investors in transactions securitizing structured settlements.

Represented an investor in the securitization of equipment for a national

commercial equipment finance and leasing company focused on the

construction, fleet transportation and waste industries.

Represented an investor in numerous municipal tender option bond

facilities.

Represented a brand-centric company and investors in numerous

securitization transactions backed by license revenue entered into in

connection with the acquisition of brands.

Represented an investor in the securitization of license revenue for a

global fashion house.

Represented collateral managers in CRE CDOs, high-grade ABS CDOs,

CLOs, synthetic CDOs and hybrid CDOs.

Represented the largest nationwide provider of bulk CO2 equipment and

distributor of beverage-grade CO2 in a unique whole-business term and

revolving securitization transaction, the proceeds of which were used by a

private equity fund in a going private transaction to fund a substantial

portion of the acquisition price for the company.

Represented underwriters and originators in public and private offerings of

commercial mortgage-backed securities.

25

News

Events

Past Events

Publications/Press

Date Title Type

September 20, 2016 Kramer Levin Closes $375

Million Timeshare

Securitization

Firm

News/Press

Release

September 8, 2016 Kramer Levin Closes $300

Million Securitization

Warehouse Facility

Firm

News/Press

Release

September 6, 2016 Kramer Levin Elevates

Three to Partnership

Firm

News/Press

Release

July 20, 2016 Kramer Levin Closes $375

Million Securitization

Firm

News/Press

Release

June 14, 2016 Kramer Levin Closes $324

million Life

Science/Healthcare

Securitization

Firm

News/Press

Release

Date Title Type

November 28, 2012 iGlobal Forum:

Securitization

Summit 2012

Speaking

Engagement/Sponsorship

Date Title Type

September 21, 2016 Proposed Brokaw Act Would

Affect Change-of-Control

Triggers in Indentures

Client

Alert/Update

September 19, 2016 Debt Dialogue: September

2016

Newsletter

September 1, 2016 Funds Talk: September 2016 Newsletter

26

August 22, 2016 When Does an MFN Interest

Rate Increase Trigger

Cancellation of Debt

Income?

Client

Alert/Update

August 15, 2016 Debt Dialogue: August 2016 Newsletter

August 11, 2016 SDNY Rules That an

Exchange Offer Is Not a

“Financing” for Purpose of

Indenture Debt Covenant

Client

Alert/Update

August 4, 2016 The First Quarter SNC

Review Results: Debunking

Misconceptions Regarding

the Leveraged Lending

Guidance

Client

Alert/Update

July 18, 2016 Debt Dialogue: July 2016 Newsletter

June 27, 2016 Elimination of LIBOR-Based

Loans May Come Sooner

Than Many Expect

Client

Alert/Update

May 4, 2012 FundsTalk: May 2012 Newsletter

March 28, 2012 Securitization Alert:

Collateralized Loan

Obligations 2012 Update

Client

Alert/Update

March 26, 2012 Securitization Alert:

Proposed Volcker Rule:

Potential Perils to the

Municipal Bond Market

Client

Alert/Update

January 11, 2012 Securitization Update: 2011

Securitization Regulatory

Scorecard: It’s All Tied Up

and We’re in Double

Overtime

Client

Alert/Update

December 19, 2011 Securitization Alert: The

SEC Wants To Be Your

Valentine

Client

Alert/Update

What Does the New SEC

Guidance on Non-GAAP

Financial Measures Mean for

High-Yield Bond Issuers and

Client

Alert/Update

27

Initial

Purchasers/Underwriters?

New York | Silicon Valley | Paris

All Rights Reserved. Attorney Advertising. Prior Results Do Not Guarantee A Similar Outcome.

© 2016 Kramer Levin Naftalis & Frankel LLP

28

1

Stephen S. Kudenholdt Partner

Partner

Office: New York Direct Line: +1 212 768 6847 Email: steve.kudenholdt@dentons.com

"A highly respected industry leader. He is highly rated for mortgage-backed securities transactions and clients describe him as 'a securitization guru. We rely heavily on him and his team for advice in that area. He's top of the pack.'" —CHAMBERS USA (2014)

Overview Stephen Kudenholdt is co-chair of Dentons’ US Capital Markets practice. He is also a member of Dentons’ US Board, as well as the Firm’s Global Advisory Committee.

Stephen is recommended by The Legal 500 US as "truly one of the more well-known lawyers in the mortgage space." His areas of practice include residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS) and other asset-backed securities (ABS), primarily focusing on residential mortgage loan securitization as well as re-securitization transactions involving various classes of mortgage-backed securities. He represents issuers, underwriters, loan sellers and other entities in public offerings and private placements.

Ranked Band 1 by Chambers Global (2016) and Band 1 by Chambers USA (2016) for the seventh consecutive year, Stephen has been praised by clients as “really smart” and an “excellent lawyer with a lot of presence.” He has helped develop many transaction structures and formats that have become industry standards, including shifting interest subordination techniques. His recent transactional work includes representing both issuers and underwriters in the securitization of distressed assets by federal agencies, and also in the re-emerging private RMBS markets.

Stephen, who is described by Chambers USA as “one of the grandmasters of the industry,” is a member of the board of directors of the recently formed Structured Finance Industry Group (SFIG), and is actively involved in a number of SFIG committees and initiatives pertaining to residential mortgages and RMBS. He is also a frequent writer and public speaker on regulatory developments affecting securitizations.

Stephen earned his JD cum laude from the University of Michigan Law School and his BA from the University of Illinois.

29

Stuart M. Litwin Partner and Co-Head of Structured Finance Practice Mayer Brown LLP Chicago Office: 71 South Wacker Drive Chicago, Illinois 60606 Telephone: (312) 701-7373 Facsimile: (312) 706-8165 New York Office*: 1221 Avenue of the Americas New York, NY 10020-1001 Telephone: (212) 506-2389 Facsimile: (212) 262-1910 * Admitted to Practice Only in Illinois E-mail: slitwin@mayerbrown.com Mobile Phone: (312) 375-8347 Stuart M. Litwin is a partner and co-head of the Securitization/Structured Finance Practice at Mayer Brown LLP. Mr. Litwin also co-heads Mayer Brown’s Capital Markets Practice. Stuart is one of the leading and most experienced lawyers in the United States in the representation of originators, investment banks, marketplace platforms, warehouse lenders, underwriters, aggregators, ABCP conduit sponsors, hedge funds, commercial banks and investors (including mutual funds) in structuring, negotiating and documenting U.S. and international asset-backed and other securities transactions, structured financings and loan purchase transactions. His experience has involved the securitization of virtually all asset types, and he is recognized as an expert in the securitization of retail and commercial auto loans and leases, consumer and small business marketplace loans (including payment processing loans), FFELP and private student loans, dealer floorplan receivables, equipment leases and loans, cell phone device payment plan receivables, global trade finance assets, rental cars, commercial and residential mortgages, cross border transactions, solar leases and power purchase agreements, synthetic risk transfers, money market fund investments and structured transactions in which banks and other clients seek advantageous treatment for accounting, regulatory capital or tax purposes. Mr. Litwin also regularly represents several funds, reinsurance companies and other investors in their “alternative investments” (i.e., unusual assets or finance companies which are more difficult to fund in securitization or banking markets). Recent important engagements have included:

1. Representing Bank of America Merrill Lynch as underwriters counsel in Verizon’s August 2016 ABS transaction backed by device payment plan receivables, the first-ever ABS transaction backed by cell phone contracts

2. Representing Morgan Stanley as underwriters counsel in the first ABS offering backed by marketplace

loans which included multiple funds securitizing loans in the same offering.

3. Representing Morgan Stanley as warehouse lender to Social Finance, Inc.

4. Representing VW Credit, Inc. in its recent $9 billion auto loan and lease warehouse facility.

5. The creation of TradeMAPS, the first multi-issuer trade finance securitization platform to enable banks and others to fund their trade finance portfolios in an off-balance sheet manner without supporting potential losses in the portfolios of other banks. The first transaction, TradeMAPS 2013-1, a securitization of Citibank and Banco Santander portfolios, was selected by IFLR as their 2013 “Deal of the Year.”

30

6. Assisting Santander Consumer USA, Inc. in the creation and financing of the Chrysler Capital platform,

including its $5 billion warehouse financing facility,

7. Acted as initial purchasers’ counsel in the first-ever solar ABS deal to provide backleverage for tax equity. SolarCity was the sponsor and the initial purchasers were Bank of America Merrill Lynch and Credit Suisse. This deal was selected by IFLR as their 2015 “Deal of the Year.”

8. The creation of Straight-A Funding, LLC, the $60 billion asset-backed commercial paper conduit that saved

the student loan industry during the financial crisis and enabled students to finance the 2009-2010 academic year when government guaranteed student loan backed ABS could not be sold. Straight-A Funding received support from the Department of Education and the Federal Financing Bank.

9. Creating the form customer agreement documentation for the TALF program (and representing many of the

primary dealers in their customer agreement negotiations), and working on several of the first TALF transactions,

10. Several tender offers for and restructurings of student loan trusts with auction rate securities,

11. The first ABS offering in the US backed by Australian auto leases,

12. Representing Goldman, Sachs & Co. in the financing of Cerberus’s acquisition of Chrysler, the largest-

ever use of asset-backed securities in any M&A transaction ($47 billion of the $60 billion financing),

13. The securitization of its floorplan loans originated by a heavy equipment manufacturer to dealers in “politically sensitive” countries, mostly in Latin America.

Mr. Litwin represents virtually every major bank and investment bank in at least some aspect of its business. Mr. Litwin has regularly been ranked as one of the best securitization lawyers in the US by, among others, Chambers Global, IFLR, Best Lawyers in America, Who’s Who Legal and Euromoney. Mr. Litwin is an Adjunct Professor of Law at the Northwestern University Law School, where he teaches “The Law of Securitization.” Mayer Brown’s securitization practice, which Mr. Litwin co-heads, was recently named IFLR’s Securitization Law Firm of the Year. Mr. Litwin currently serves as Chairman of the Auto ABS Committee of the Structured Finance Industry Group (the trade association for the securitization market). He was the first Chairman of its Legal Counsel Committee. Mr. Litwin is a frequent lecturer and writer on securitization topics. The Structured Finance Institute has produced and sold a DVD, Introduction to Securitization Transactions, featuring Mr. Litwin. Mr. Litwin holds a J.D. from the University of Chicago Law School and an M.B.A. from the University of Chicago Graduate School of Business. He is also a former Certified Public Accountant and winner of the Elijah Watt Sells Award on the Uniform CPA Examination.

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LATHAM & WATKINS LLP

2

LATHAM & WATKINS LLP continued

Ellen L. Marks

Ellen Marks is a partner in the Chicago office of Latham & Watkins and a member of the firm’s Corporate and Finance Departments.

Expertise Ms. Marks handles complex and innovative financial transactions and restructurings with a particular focus on securitization and structured finance. She also handles financial regulatory matters, with an emphasis on swap regulations and securitization regulations, and has extensive knowledge of the federal securities laws, the federal banking laws and their related regulations, including changes resulting from the Dodd-Frank Act.

Ms. Marks represents the Financial Services Roundtable’s swaps working group. In that capacity she has drafted numerous comment letters to the Commodity Futures Trading Commission and the Securities and Exchange Commission relating to the implementation of Titles VII of the Dodd-Frank Act, including with respect to mandatory clearing, swap execution facilities, the definitions of swap dealers and major swap participants, and margin and capital requirements.

Ms. Marks is also active in the Business Law Section of the American Bar Association, currently serving as Chair of the Committee on Securitization and Structured Finance. She has chaired the drafting committees for numerous ABA projects and comment letters, including preparing Securitization in

the Post-Crisis Economy: An ABA Business Law Section White Paper and comment letters to the Federal Deposit Insurance Corporation on its proposed securitization safe harbor and to the Securities and Exchange Commission on its proposed significant revisions of Regulation AB. Ms. Marks also serves as co-chair for the Securitization Financial Industry Group's legal counsel committee.

Experience Ms. Marks' transactional experience includes: ■ Credit card securitizations: Acting

as issuer’s counsel for credit card- backed securities denominated in United States dollars and in foreign currencies, including public, private and off-shore transactions, single- seller credit card-backed commercial paper programs, short- term certificate programs and bank conduit transactions.

■ Collateralized debt obligations: Acting as deal counsel, underwriters’ counsel and collateral manager’s counsel in numerous cash flow and synthetic CDOs.

■ Trade receivables securitizations: Acting as seller’s counsel for domestic and cross-border transactions involving US, Canadian and European originators, banks and special purpose vehicles.

Ellen L. Marks

Partner, Chicago

T +1.312.876.7626 E ellen.marks@lw.com

Education MFA, Vermont College, 2002

JD, University of Michigan Law School, 1991

BA, Northwestern University, 1988

Bar Qualifications Illinois

Languages English

Recognition Highlights Ranked as a leading Capital Markets- Securitization lawyer and receives “plaudits for her expertise on regulatory matters ." Chambers USA 2014

Praised for being "highly knowledgeable" with a "strong ability to explain things clearly." Chamber USA 2013

Recognized in the 2013 edition of the International Who's Who of Capital Markets Lawyers.

Earned praise for her “drive, initiative and leadership in spearheading the regulatory issues.” Chambers USA 2011

Described as “highly rated for innovative solutions in restructuring financial products and expertise in regulatory matters.” The Legal 500 US 2011

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LATHAM & WATKINS LLP continued

Ellen L. Marks

■ Repackaging transactions: Acting as issuer’s and investor’s counsel in numerous public and private structured debt and ABS repackagings.

■ Restructuring transactions: Representing banks, thrifts and other entities in resolving their interests in or restructuring failed structured investments and pools of classified assets.

Ms. Marks also has experience in public debt financings, bank note issuance programs, commercial paper and extendible commercial note programs, bank financings, co- branded and private label credit card agreements, card processing agreements, receivables servicing agreements, general public company representation, mergers and acquisitions, derivatives, bankruptcies and cross-border restructurings.

Thought Leadership ■ CFTC Adopts Long-Awaited SEF

Rule and Other Swaps Trading Rules

■ Compliance Deadline Approaches for Leveraged Lending Final Guidance

■ Affiliated Entities Find Little "Relief" from CFTC on Inter-Affiliate Swaps

■ Regulation of Foreign Currency Transactions: The Intersection of the Treasury Determination, Swaps Regulation and the Retail Foreign Exchange Rules

■ CFTC Issues Further Guidance for Cross-border Swaps

■ US CFTC and EU Regulators Compliance Deadlines on Swap Regulations

■ CFTC Issues a Flurry of No-Action Letters and Guidance as New Swap Regulations Become Effective

■ Final Rule Issued Defining Certain Swap Products

■ Swap Regulations: What End- Users Need to Know

■ CFTC Issues New CPO and CTA Regulations

■ CFTC Issues Proposed Interpretation of US Swaps Regulations

■ The CFTC and SEC Finalize Swap Entity Definitions

■ Final CFTC Rules Maintain Limited Trading Exemptions But May Require Many More Investment Advisers to Investment Funds to Register as CPOs and CTAs

■ Basel III: A New Environment for International Banks

■ Regulation AB - A Summary of the SEC's New Set of Rules and Regulations for Asset-Backed Securities

■ In a Class by Themselves: An In- Depth Look at the SEC's Sweeping New Proposed Regulations for Asset-Backed Securities

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Joyce E. McCarty

Joyce E. McCarty is counsel based in the Washington, D.C. office. Ms. McCarty’s practice focuses on corporate and financial transactions, particularly collateralized debt obligations and other structured finance products. She has extensive experience as counsel for issuers, placement agents and collateral managers. She has also played a leadership role with industry associations such as LSTA regarding major issues of concern to CLO participants, including FATCA, risk retention and the Volcker Rule. She is recognized as one of the country’s leading lawyers by Chambers Global, Chambers USA, Law Business Research’s Who’s Who Legal: Capital Markets and The Legal 500 U.S.

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PAUL, WEISS, RIFKIND, WHARTON & GARRISON LLP WWW.PAULWEISS.COM 1

RYAN D. MCNAUGHTON Counsel Tel: 212-373-3964 Fax: 212-492-0964 rmcnaughton@paulweiss.com

New York 1285 Avenue of the Americas New York, NY 10019-6064

PRACTICES

Corporate

Finance

A counsel in the Corporate Department, Ryan D. McNaughton represents underwriters, issuers, lenders, borrowers, private equity firms and other financial institutions in a variety of structured and asset backed financings, including public and private secured and unsecured note offerings and credit facilities. In addition, he advises ABS investors and private equity firms on the structuring, diligence and execution of acquisitions of ABS issuers, potential ABS issuers and asset backed notes.

EXPERIENCE

Prior to and during the credit crisis, Mr. McNaughton focused his practice primarily on

traditional securitization asset classes, including RMBS, CMBS, trade receivables, automobile

loan ABS and CLOs. Following the crisis, he has focused more extensively on the esoteric ABS

market, including significant transactions in each of the following asset classes: whole business

and other operating asset and royalty-backed securitizations; tax liens; PACE bonds; timeshare

ABS; structured settlements; BDC lending (pre-securitization warehouse facilities); and

wireless spectrum.

Other financing asset classes in which Mr. McNaughton has recently represented long-term

clients of Paul, Weiss include data centers, alarm and home security receivables, non-

performing mortgage loans, venture-capital loans, film and TV production loans and solar

development loans. In addition, Mr. McNaughton has worked on numerous public and private

bond financings for clients such as the FDIC, Memorial Sloan Kettering Cancer Center and the

California Public Utilities Commission.

Mr. McNaughton is currently an Adjunct Professor at Cornell Law School, where he teaches a

seminar on Secured Transactions. He is also an avid classical pianist.

EDUCATION

J.D., Cornell Law School

B.A., Williams College

cum laude

BAR ADMISSIONS

New York

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http://WWW.PAULWEISS.COM

LAWRENCE D. RUBENSTEIN

Biographical Sketch ___________________________________

Larry is Capital Markets Managing Counsel for Wells Fargo & Company and General Counsel of Wells Fargo Asset Securities Corporation. He has 40 years of experience both as an attorney and as an investment banker. Larry has been with the Wells Fargo Law Department since 1995. He has been responsible for all of the residential mortgage securitizations, whole loan sales and other capital markets activities of Wells Fargo Bank as well as the residential mortgage financings and securitizations for Wells Fargo Securities. His began his legal career in Washington, D.C. with Ginnie Mae. Next, he joined Freddie Mac, where he rose to Deputy General Counsel and chief securities attorney. He then moved to New York to become an investment banker in the financial institutions group of Merrill Lynch, initially as a Vice President and later as a Managing Director. After Merrill Lynch, Larry joined Goldman Sachs as a senior member of its structured finance group. He returned to a legal position in late 1990 as the General Counsel of Prudential’s two residential mortgage securitization companies and the manager of a capital markets legal group. Larry has held many leadership positions with securitization industry trade associations. He currently co-chairs the Residential Mortgage Committee for the Structured Finance Industry Group (SFIG). He has been a leading industry voice for well-balanced structural and regulatory reforms for the private-label residential mortgage securitization markets. Larry serves on the Board of Directors of the SFIG Foundation. He also is a member of the Board of Directors and the Executive Committee of the Business Center for New Americans (BCNA), which is a non-profit community development financial institution that provides small business loans and related services to immigrant and refugee entrepreneurs in New York City. Larry received a B.S. degree from Pennsylvania State University and a J.D. degree from American University Law School.

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Bianca A. Russo Ms. Russo currently serves as Managing Director and Associate General Counsel in the Legal Department of JPMorgan Chase & Co., where she has worked since 1994. Ms. Russo is the manager of the Securitized Products Legal group, which provides legal coverage to the Securitized Products businesses within the J.P. Morgan Corporate and Investment Bank. In addition, she provides day-to-day legal coverage for the Commercial Mortgage-Backed Securities business group within Securitized Products. Ms. Russo is active in the industry as a member of the following: the American Bar Association’s Securitization and Structured Finance Committee; the Commercial Real Estate Finance Council; the Securities Industry and Financial Markets Association; and the Structured Finance Industry Group. Prior to JPMorgan Chase, Ms. Russo spent one year as a Vice President at BlackRock Financial Management L.P. and seven years as an Associate at the law firm of Skadden, Arps, Slate, Meagher & Flom, in each such position specializing in asset securitization and structured finance. Prior to that, Ms. Russo spent two years as an Associate at the law firm of Hawkins, Delafield and Wood. Ms. Russo graduated magna cum laude from Barnard College and received her law degree from Columbia University School of Law.

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Michael Urschel

murschel@kslaw.com +1 404 572 2775 (Atlanta) +1 212 556 2285 (New York)

Michael Urschel is a partner in King & Spalding’s Global Finance Group and splits his time between the firm’s Atlanta and New York offices. Mr. Urschel is active in King & Spalding’s leveraged finance, specialty finance, securitization and capital markets practices.

Mr. Urschel represents financial institutions, sponsors, borrowers and specialty lenders in a wide variety of secured lending and debt capital markets transactions, with a focus on specialty finance, acquisition finance, receivables financing and asset securitization.

Recent transactions Mr. Urschel has structured and led include:

$2.4 billion term and revolving “whole business” securitization of franchise receivables and intellectual property of Taco Bell Corp.

$460 million term and revolving acquisition financing and subsequent “whole business” securitization of subsidiaries of Driven Brands, Inc., a transaction which won International Financing Review’s “North America Structured Finance Issue” of 2015.

$685 million term and revolving “whole business” securitization of franchise and other revenues of Arby’s Restaurant Group, Inc.

$875 million securitization of wireless tower assets of subsidiaries of American Tower Corporation.

$200 million structured credit facility for the origination of a specialty real-estate lending platform.

$116 million securitization of ground lease assets of Landmark Infrastructure Partners LP.

Multiple unitranche-financed acquisitions and recapitalizations of franchised and retail companies.

Mr. Urschel holds a Bachelor of Science in Business Administration with a second major in Mathematics, a J.D. degree and a Masters of Business Administration from the University of North Carolina at Chapel Hill, where he was Articles Editor for the North Carolina Law Review.

He is recognized nationally in Capital Markets: Securitization by Chambers USA and was named a New York Metro Super Lawyers “Rising Star” in Banking for 2014 – 2016. Mr. Urschel serves on the Structured Finance Committee of the New York City Bar Association.

King & Spalding brings together more than 100 finance lawyers located in offices across the United States, Europe, Asia and the Middle East to represent lenders, investors, funds and borrowers in the full range of secured and unsecured financings. In each of 2014 and 2015, we closed approximately 200 finance transactions for our clients, amounting to over $120 billion in aggregate financing.

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Cynthia J. Williams

Cynthia J. Williams advises investment advisers, issuers, placement agents and investors investing in, managing, financing, transferring, restructuring and securitizing portfolios of loans and commercial real estate loans, with a particular focus on the CLO market. Ms. Williams advises trade associations on CLO issues. She also advises on fund formation, investment adviser formation, platform structuring, credit derivatives and other structured products. Ms. Williams co-heads the firm’s CLO group. Ms. Williams has authored numerous thought leadership articles in industry publications and is a regular presenter at industry association conferences on relevant regulatory and market issues.

Education Cornell University, A.B., 1973, with Distinction Cornell University Law School, J.D., 1975

Bar Admissions/Qualifications Massachusetts Connecticut

Memberships Structured Finance Industry Group CLO Committee, Loan Syndication and Trading Association Past Co-Chair, Accounting Committee, CRE Finance Council (CREFC) Member and Former Trustee, American College of Investment Counsel Former Member, American Securitization Forum

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1

U.S. Securities and Exchange Commission: Compliance and Disclosure Interpretations: Information for Form ABS-EE Filings (April 28, 2016)

Submitted by: Katherine W. Hsu

U.S. Securities and Exchange Commission

If you find this article helpful, you can learn more about the subject by going to www.pli.edu to view the on demand program or segment for which it was written.

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42

Home | Previous Page

Information for Form ABS-EE Filings

Updated: April 28, 2016

These Compliance and Disclosure Interpretations (“C&DIs”) relate to the filing of asset-level disclosures on Form ABS-EE. The bracketed date following each C&DI is the latest date of publication or revision. For further information, please refer to the Asset-Backed Securities Disclosure and Registration Adopting Release (Release No. 33-9638) (79 FR 57184) (the “2014 ABS Adopting Release”).

Question 1

Question: For a preliminary or final prospectus, what period of information is required to be provided in Form ABS-EE?

Answer: A Form ABS-EE filed with a preliminary or final prospectus is required to include the data set forth in Schedule AL through the end of the most recent reporting period, unless otherwise specified in Schedule AL. The begin date and end date of a reporting period for the Form ABS-EE filed with a prospectus should reflect “how information is normally captured and how it will be reported under the ongoing reporting requirements that will arise after issuance.” See page 57209 of the 2014 ABS Adopting Release.

For example, if the transaction documents require monthly ongoing reporting, the Form ABS-EE filed with a prospectus should include data starting at the reporting period begin date, which is the first day of the month, through the reporting period end date, which is the last day of the month. See Questions 2 and 3 below for additional examples. [April 28, 2016]

Question 2

Question: How does an issuer determine the most recent reporting period for a Form ABS-EE that is filed with a preliminary or final prospectus?

Answer: The most recent reporting period will depend on the date of the applicable prospectus and will correspond to the frequency and timing for providing information to investors on an ongoing basis after issuance, as determined by the transaction documents. See page 57209 of the 2014 ABS Adopting Release.

For example, if investor reports will be made on the 15th of each month, and the prospectus is dated on or after the 15th of a month, the most recent reporting period would be the previous month and data for the previous month would be required in the Form ABS-EE.

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• In a preliminary or final prospectus dated between January 15 and February 14, the most recent reporting period would be December 1 – December 31.

• If instead a preliminary or final prospectus is dated between December 15 and January 14, the most recent reporting period would be November 1 – November 30. Issuers would be permitted, but not required, to provide asset-level data from the reporting period covering December 1 – December 31, either in addition to or instead of the November 1 – November 30 asset-level data. [April 28, 2016]

Question 3

Question: Assuming reports will be provided to investors on the 15th of each month, if an issuer files a Form ABS-EE with a preliminary prospectus dated January 14, is the issuer required to file a new Form ABS-EE with a final prospectus dated January 16?

Answer: As noted in Question 2, the preliminary prospectus dated January 14 must include the asset-level information required by Schedule AL as of the most recent reporting period, which would be November 1 – November 30. The issuer would be permitted, but not required, to provide in the preliminary prospectus asset-level data from the reporting period covering December 1 – December 31, either in addition to or instead of the November asset-level information. In either case, the final prospectus dated January 16 must include Schedule AL data for the reporting period of December 1 – December 30.

• If Schedule AL data for the reporting period of November 1 – November 30 is included in a Form ABS-EE that is filed with the January 14 preliminary prospectus, the issuer must update the January 16 final prospectus to include Schedule AL data for the reporting period covering December 1 – December 30. The issuer would need to file a new Form ABS-EE that includes the Schedule AL data for the December reporting period and update the final prospectus to incorporate the new Form ABS-EE by reference. (See Items 7 and 10 of Form SF-3.)

• If Schedule AL data for the reporting period covering December 1 – December 30 is included in a Form ABS-EE that is filed with the January 14 preliminary prospectus, the final prospectus dated January 16 may incorporate by reference the previously filed Form ABS-EE for the reporting period of December 1 – December 30.

• Any requirement to update the asset-level data for a new reporting period is separate from and in addition to the obligation to update for material changes as required by Securities Act Rule 424(h). [April 28, 2016]

Question 4

Question: What information is required to be provided in a Form ABS-EE that is filed with a preliminary or final prospectus?

Answer: The issuer is required, at the time of the offering, to provide all the information relating to the underwriting of the asset that our rules require, and any applicable performance-related information for the most recent reporting period. Applicable performance related information in a preliminary or final prospectus includes all performance data points, such as amounts that were scheduled to be collected during the reporting period,

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actual amounts collected during the reporting period, and delinquency status, so investors can review asset performance prior to issuance. Therefore, issuers may be required to report information about these cash flows that occurred prior to the cut-off date.

Unless otherwise specified in the data point definition or instructions, data points that require a yes or no response are always applicable, including in the initial Form ABS-EE. For example, a yes or no response will always be required for the “Modification Indicator – Reporting Period” data point in the initial Form ABS-EE.

See page 57211 (fn. 265) and pages 57245-57246 of the 2014 Adopting Release. [April 28, 2016]

Question 5

Question: Are issuers required to include performance-related information for the most recent reporting period in the Form ABS-EE filed with the prospectus even when payments made during that reporting period do not flow to investors?

Answer: Yes. Issuers are required to provide performance information for the most recent reporting period, including payments made by obligors or lessees, regardless of whether those payments flow to investors.

In order to make clear that certain payments do not flow to the investors, issuers may provide narrative disclosure in the prospectus describing the asset-level information presented. Alternatively, issuers may include such information in an asset-related document, which allows issuers to make explanatory disclosure about the asset-level data file attached as Exhibit 102 to Form ABS-EE. The asset-related document is attached as Exhibit 103 to Form ABS-EE. [April 28, 2016]

Question 6

Question: Can performance data ever be omitted?

Answer: There are very limited circumstances under which an issuer can omit performance data.

If an asset is very recently originated and no payments are scheduled to be received by the end of the most recent reporting period and an obligor has not made any payments, an issuer may choose, for example, to omit the data points that would capture performance information related to payments and omit the related XML tags for that particular asset for that particular reporting period. As an alternative, an issuer could include responses to the data points by including the XML tags and respond with zero. In either case, once an obligor has made a payment or has missed a scheduled payment, then performance information exists and the data points capturing such information are applicable for that asset and the XML tags are required to be provided. [April 28, 2016]

Question 7

Question: If an Exhibit 102 to Form ABS-EE that omits applicable data points is accepted by the EDGAR system, does that mean that the filing is compliant with the requirements of Schedule AL?

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Answer: No. The EDGAR system does not validate for compliance with the requirements of Schedule AL. Compliance with the legal requirements is the responsibility of the issuer. [April 28, 2016]

Question 8

Question: If pool-level information under Items 1111(a) and (b) of Regulation AB is required to be presented in a prospectus as of a cut-off date that is different from the end of the most recent reporting period, is an issuer permitted to provide asset-level information as of the cut-off date?

Answer: No. Several of the requirements in Schedule AL specify the “as of” date that the data should be provided. For example, some data points require information as of origination. Unless the data point specifies a different “as of” date, the data should be as of the end of the reporting period. See page 57209 of the 2014 ABS Adopting Release. The reporting period begin date and the reporting period end date set the period of time for which other information, such as account balances, interest rates, payments and fees, are required in a prospectus and on an ongoing basis.

After an issuer determines which assets will be included in a pool (a determination that is typically made on the cut-off date), it will then need to collect information about those assets to report in Form ABS-EE. For example an issuer will need to look back:

• To the beginning of the most recent reporting period for the following disclosures: reporting period beginning loan balance, reporting period interest rate, scheduled interest amount, scheduled principal amount, and scheduled payment amount.

• Through the end of the most recent reporting period for the following disclosures: reporting period ending actual balance, actual amount paid, actual interest collected, actual principal collected, other principal adjustments, actual other amounts collected, servicer advanced amounts, interest paid through date, current delinquency status, servicing fees, next reporting period payment amount due, and next interest rate.

• To origination for the following disclosures: original loan amount, original interest rate, underwriting indicator and payment-to-income ratio.

Collecting this information may require that the issuer obtain such information from unaffiliated entities. [April 28, 2016]

Question 9

Question: Where a data point asks for a percent, ratio, or rate, should the response be presented in decimal format (e.g., 0.025) or as a whole percent (e.g., 2.5%)?

Answer: Responses to data points that ask for a percent, ratio, or rate should be given in decimal format. For example, an interest rate of 2.5% would be reported as “0.025” rather than “2.5”. [April 28, 2016]

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NOTES

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Federal Register, Vol. 79, No. 185, Part II; U.S. Securities and Exchange Commission, 17 CFR Parts 229, 230, 232, et al., Asset-Backed Securities Disclosure and Registration; Final Rule (September 24, 2014)

Submitted by: Katherine W. Hsu

U.S. Securities and Exchange Commission

If you find this article helpful, you can learn more about the subject by going to www.pli.edu to view the on demand program or segment for which it was written.

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Vol. 79 Wednesday,

No. 185 September 24, 2014

Part II

Securities and Exchange Commission 17 CFR Parts 229, 230, 232, et al. Asset-Backed Securities Disclosure and Registration; Final Rule

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57184 Federal Register / Vol. 79, No. 185 / Wednesday, September 24, 2014 / Rules and Regulations

1 17 CFR 229.512. 2 17 CFR 229.601. 3 17 CFR 229.10 et al. 4 17 CFR 229.1100, 17 CFR 229.1101, 17 CFR

229.1102, 17 CFR 229.1103, 17 CFR 229.1104, 17 CFR 229.1105, 17 CFR 229.1108, 17 CFR 229.1109, 17 CFR 229.1110, 17 CFR 229.1111, 17 CFR 229.1112, 17 CFR 229.1113, 17 CFR 229.1114, 17 CFR 229.1119, 117 CFR 229.1121, and 17 CFR 229.1122.

5 17 CFR 229.1100 through 17 CFR 229.1124. 6 17 CFR 230.139a, 17 CFR 230.167, 17 CFR

230.190, 17 CFR 230.193, 17 CFR 230.401, 17 CFR 230.405, 17 CFR 230.415, 17 CFR 230.424, 17 CFR 230.430B, 17 CFR 230.430C, 17 CFR 230.433, 17 CFR 230.456, and 17 CFR 230.457.

7 17 CFR 239.11 and 17 CFR 239.13. 8 15 U.S.C. 77a et seq. 9 17 CFR 232.11, 17 CFR 232.101, 17 CFR

232.201, 17 CFR 232.202, and 17 CFR 232.305. 10 17 CFR 232.10 et seq. 11 17 CFR 240.3a68–1a, 17 CFR 240.3a68–1b, 17

CFR 240.15c2–8, 17 CFR 240.15d–22, 17 CFR 240.15Ga–1, and 17 CFR 240.17g–7.

12 17 CFR 249.308, 17 CFR 249.310, and 17 CFR 249.312.

13 15 U.S.C. 78a et seq. 14 17 CFR 243.103. 15 17 CFR 243.100 et seq. 16 17 CFR 229.1124 and 17 CFR 229.1125. 17 17 CFR 230.430D. 18 17 CFR 239.44. 19 17 CFR 239.45. 20 17 CFR 249.1500.

SECURITIES AND EXCHANGE COMMISSION

17 CFR Parts 229, 230, 232, 239, 240, 243, and 249

[Release Nos. 33–9638; 34–72982; File No. S7–08–10]

RIN 3235–AK37

Asset-Backed Securities Disclosure and Registration

AGENCY: Securities and Exchange Commission. ACTION: Final rule.

SUMMARY: We are adopting significant revisions to Regulation AB and other rules governing the offering process, disclosure, and reporting for asset- backed securities (‘‘ABS’’). The final rules require that, with some exceptions, prospectuses for public offerings under the Securities Act of 1933 (‘‘Securities Act’’) and ongoing reports under the Securities Exchange Act of 1934 (‘‘Exchange Act’’) of asset- backed securities backed by real estate related assets, auto related assets, or backed by debt securities, including resecuritizations, contain specified asset-level information about each of the assets in the pool. The asset-level information is required to be provided according to specified standards and in a tagged data format using eXtensible Markup Language (‘‘XML’’). We also are adopting rules to revise filing deadlines for ABS offerings to provide investors with more time to consider transaction- specific information, including information about the pool assets. We are also adopting new registration forms tailored to ABS offerings. The final rules also repeal the credit ratings references in shelf eligibility criteria for ABS issuers and establish new shelf eligibility criteria. DATES: Effective Date: November 24, 2014.

Compliance Dates: Offerings on Forms SF–1 and SF–3:

Registrants must comply with new rules, forms, and disclosures no later than November 23, 2015.

Asset level Disclosures: Offerings of asset-backed securities backed by residential mortgages, commercial mortgages, auto loans, auto leases, and debt securities (including resecuritizations) must comply with asset-level disclosure requirements no later than November 23, 2016.

Forms 10–D and 10–K: Any Form 10– D or Form 10–K that is filed after November 23, 2015 must comply with new rules and disclosures, except asset- level disclosures.

FOR FURTHER INFORMATION CONTACT: Rolaine S. Bancroft, Senior Special Counsel, Michelle M. Stasny, Special Counsel, M. Hughes Bates, Attorney- Advisor, or Kayla Florio, Attorney- Advisor, in the Office of Structured Finance at (202) 551–3850, Division of Corporation Finance, U.S. Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–3628. SUPPLEMENTARY INFORMATION: We are adopting amendments to Items 512 1 and 601 2 of Regulation S–K; 3 Items 1100, 1101, 1102, 1103, 1104, 1105, 1108, 1109, 1110, 1111, 1112, 1113, 1114, 1119, 1121, and 1122 4 of Regulation AB 5 (a subpart of Regulation S–K); Rules 139a, 167, 190, 193, 401, 405, 415, 424, 430B, 430C, 433, 456, and 457,6 and Forms S–1 and S–3 7 under the Securities Act of 1933 (Securities Act); 8 Rules 11, 101, 201, 202, and 305 9 of Regulation S–T; 10 and Rules 3a68– 1a, 3a68–1b, 15c2–8, 15d–22, 15Ga–1, and 17g–7 11 and Forms 8–K, 10–K, and 10–D 12 under the Securities Exchange Act of 1934; 13 and Rule 103 14 of Regulation FD.15 We also are adding new Items 1124 and 1125 16 to Regulation AB, and Rule 430D,17 Form SF–1,18 Form SF–3,19 and Form ABS– EE 20 under the Securities Act.

Table of Contents

I. Executive Summary A. Background B. Problems in the ABS Markets C. Summary of Final Rules 1. Asset-Level Disclosure

2. Other Disclosure Requirements 3. Securities Act Registration (a) Certification (b) Asset Review Provision (c) Dispute Resolution (d) Investor Communication (e) Other Shelf Offering Provisions 4. Other Changes to ABS Rules 5. Proposed Rules Not Being Adopted at

This Time II. Economic Overview

A. Market Overview and Economic Baseline

B. Economic Motivations C. Potential Effects on the ABS Market D. Potential Market Participants’ Responses

III. Asset-Level Disclosure A. Asset-Level Disclosure Requirement 1. Background and Economic Baseline for

the Asset-Level Disclosure Requirement (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 2. Specific Asset-Level Data Points in

Schedule AL (a) Disclosure Requirements for All Asset

Classes and Economic Analysis of These Requirements

(b) Asset Specific Disclosure Requirements and Economic Analysis of These Requirements

(1) Residential Mortgage-Backed Securities (2) Commercial Mortgage-Backed

Securities (3) Automobile Loan or Lease ABS (4) Debt Security ABS (5) Resecuritizations 3. Asset-Level Data and Individual Privacy

Concerns (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 4. Requirements Under Section 7(c) of the

Securities Act (a) Section 7(c)(2)(B)—Data Necessary for

Investor Due Diligence (b) Section 7(c)(2)(B)(i)—Unique Identifiers

Relating to Loan Brokers and Originators (c) Section 7(c)(2)(B)(ii)—Broker

Compensations and Section 7(c)(2)(B)(iii)—Risk Retention by Originator and the Securitizer of the Assets

B. Asset-Level Filing Requirements 1. The Timing of the Asset-Level

Disclosure Requirements (a) Timing of Offering Disclosures (1) Proposed Rule (2) Comments on Proposed Rule (3) Final Rule and Economic Analysis of

the Final Rule (b) Timing of Periodic Disclosures (1) Proposed Rule (2) Comments on Proposed Rule (3) Final Rule and Economic Analysis of

the Final Rule 2. The Scope of New Schedule AL (a) Proposed Rule (1) Offering Disclosures (2) Periodic Disclosures (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 3. XML and the Asset Data File

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(a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 4. Asset Related Documents (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 5. New Form ABS–EE (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 6. Temporary Hardship Exemption (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule C. Foreign ABS

IV. Other Prospectus Disclosure A. Transaction Parties 1. Identification of the Originator (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule 2. Financial Information Regarding a Party

Obligated To Repurchase Assets (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule 3. Economic Interest in the Transaction (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule 4. Economic Analysis Related to the Rules

Regarding Transaction Parties B. Prospectus Summary 1. Proposed Rule 2. Comments on Proposed Rule 3. Final Rule and Economic Analysis of the

Final Rule C. Modification of Underlying Assets 1. Proposed Rule and Comments on

Proposed Rule 2. Final Rule and Economic Analysis of the

Final Rule D. Disclosure of Fraud Representations E. Static Pool Disclosure 1. Disclosure Required (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 2. Amortizing Asset Pools (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 3. Filing Static Pool Data (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and the Economic Analysis

of the Final Rule F. Other Disclosure Requirements That

Rely on Credit Ratings V. Securities Act Registration

A. Background and Economic Discussion B. New Registration Procedures and Forms

for ABS 1. New Shelf Registration Procedures (a) Rule 424(h) and Rule 430D (1) Proposed Rule (2) Comments on Proposed Rule (3) Final Rule and Economic Analysis of

the Final Rule

(a) Rule 424(h) Filing (b) New Rule 430D 2. Forms SF–1 and SF–3 (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 3. Shelf Eligibility for ABS Offerings (a) Shelf Eligibility—Transaction

Requirements (1) Certification (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Shelf Certification Requirement (i) Paragraph One (ii) Paragraph Two (iii) Paragraph Three (iv) Paragraph Four (v) Paragraph Five (vi) Signature Requirement (vii) Date of the Certification (viii) Opinion by an Independent Evaluator

Alternative (2) Asset Review Provision (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Asset Review Provision (i) Triggers for Review (a) Delinquency Prong (b) Investor Vote Prong (ii) Scope of the Review (iii) Report of the Findings and

Conclusions (iv) Selection of the Reviewer (3) Dispute Resolution Provision (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Dispute Resolution Shelf Requirement

(4) Investor Communication (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Investor Communication Shelf Requirement

(b) Shelf Eligibility—Registrant Requirements

(c) Annual Evaluation of Form SF–3 Eligibility in Lieu of Section 10(a)(3) Update

(1) Annual Compliance Check Related to Timely Exchange Act Reporting

(a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule (2) Annual Compliance Check Related to

the Fulfillment of the Transaction Requirements in Previous ABS Offerings

(a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 4. Continuous Offerings (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 5. Mortgage Related Securities (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule

C. Exchange Act Rule 15c2–8(b) 1. Proposed Rule 2. Comments on Proposed Rule 3. Final Rule and Economic Analysis of the

Final Rule D. Including Information in the Form of

Prospectus in the Registration Statement 1. Presentation of Disclosure in

Prospectuses (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 2. Adding New Structural Features or

Credit Enhancements (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule E. Pay-as-You-Go Registration Fees 1. Proposed Rule 2. Comments on Proposed Rule 3. Final Rule and Economic Analysis of the

Final Rule F. Codification of Staff Interpretations

Relating to Securities Act Registration 1. Fee Requirements for Collateral

Certificates or Special Units of Beneficial Interest

2. Incorporating by Reference Subsequently Filed Exchange Act Reports

(a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule VI. Filing Requirements for Transaction

Documents A. Proposed Rule B. Comments Received on Proposed Rule C. Final Rule and Economic Analysis of the

Final Rule VII. Definition of Asset-Backed Security

A. Proposed Rule B. Comments on Proposed Rule 1. The Master Trust Exception 2. The Revolving Period Exception 3. The Prefunding Exception C. Final Rule and Economic Analysis of the

Final Rule VIII. Exchange Act Reporting

A. Distribution Reports on Form 10–D 1. Delinquency Presentation (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 2. Identifying Information and Cross-

References to Previously Reported Information

3. Changes in Sponsor’s Interest in the Securities

(a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule B. Annual Report on Form 10–K 1. Servicer’s Assessment of Compliance

With Servicing Criteria (a) Proposed Rule (b) Comments on Proposed Rule (c) Final Rule and Economic Analysis of

the Final Rule 2. Codification of Prior Staff Interpretations

Relating to the Servicer’s Assessment of Compliance With Servicing Criteria

C. Central Index Key Numbers for Depositor, Sponsor and Issuing Entity

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21 See Asset-Backed Securities, Release No. 33– 8518 (Jan. 7, 2005) [70 FR 1506] (the ‘‘2004 ABS Adopting Release’’).

22 See Asset-Backed Securities, Release No. 33– 9117 (Apr. 7, 2010) [75 FR 23328] (the ‘‘2010 ABS Proposing Release’’ or the ‘‘2010 ABS Proposal’’).

23 See the 2010 ABS Proposing Release at 23329.

24 In this Release, we also refer to such offerings as shelf offerings.

25 Public Law 111–203, 124 Stat. 1376 (July 21, 2010).

26 See Re-Proposal of Shelf Eligibility Conditions for Asset-Backed Securities, Release No. 33–9244 (July 26, 2011) [76 FR 47948] (the ‘‘2011 ABS Re- Proposing Release’’ or the ‘‘2011 ABS Re- Proposal’’).

27 See Re-Opening of Comment Period for Asset- Backed Securities, Release No. 33–9552 (Feb. 25,

2014), [79 FR 11361] (‘‘the 2014 Re-Opening Release’’).

28 See Memorandum from the Commission’s Division of Corporation Finance (Feb. 25, 2014), available at http://www.sec.gov/comments/s7-08- 10/s70810.shtml (the ‘‘2014 Staff Memorandum’’).

29 For a more detailed discussion of the issues mentioned in this section and other economic problems that affected the ABS market, see Section II.B Economic Motivations below.

30 See, e.g., H.R. Rep. No. 4173 (2010) (Conf. Rep.) (Dodd-Frank Wall Street Reform and Consumer Protection Act—Conference Report) (noting that the performance of credit rating agencies, particularly their ratings of asset-backed securities, contributed significantly to the financial crisis); John Griffin & Dragon Tang, Did Subjectivity Play a Role in CDO Credit Ratings?, 67 J. Fin. 1293–1328 (2012) (discussing discretionary out-of-model adjustments to collateralized debt obligation (‘‘CDO’’) ratings made by one nationally recognized statistical rating organization); Adam Ashcraft, Paul Goldsmith- Pinkham & James Vickery, MBS Ratings and the Mortgage Credit Boom (2010 Working Paper Federal Reserve Bank of New York) (arguing, among other things, that MBS ratings did not fully reflect publicly available data).

31 See the 2011 ABS Re-Proposal. See also Federal Reserve, Report to Congress on Risk Retention 49– 66 (2010) (documenting the extent of the collapse of the investment-grade ABS market); Efraim Benmelech & Jennifer Dlugosz, The Credit Rating Crisis, in 24 NBER Macroeconomics Ann. 161–207 (Daron Acemoglu, Kenneth Rogoff & Michael Woodford, eds., Univ. of Chicago Press, Apr. 2010) (2009) (arguing that credit rating agency models did not adequately anticipate how poorly the assets underlying many structured finance products performed during economic downturns, that the ratings models failed to account for the correlation among underlying assets (e.g., residential home prices) at the national level, and that ‘‘ratings shopping’’ by issuers exacerbated the severity of the poor performance of structured finance products during the economic downturn); Patrick Bolton, Xavier Freixas & Joel Shapiro, The Credit Ratings Game, 67(1) J. Fin. 85–111 (2012) (arguing that credit rating agency competition can reduce the efficiency of credit ratings, as it facilitates ‘‘ratings shopping,’’ and that ratings are more likely to be inflated during economic booms and when investors are more trusting).

IX. Transition Period A. General Transition Period B. Transition Period for Asset-Level

Disclosure Requirements C. Compliance Dates

X. Paperwork Reduction Act A. Background B. Summary of Comment Letters on the

PRA Analysis C. Revisions to Proposals D. PRA Reporting and Cost Burden

Estimates 1. Form ABS–EE 2. Form S–3 and Form SF–3 3. Form S–1 and Form SF–1 4. Form 10–K 5. Form 10–D 6. Form 8–K 7. Regulation S–K and Regulation S–T E. Summary of Changes to Annual Burden

of Compliance in Collection of Information

XI. Regulatory Flexibility Act Certification XII. Statutory Authority and Text of Rule and

Form Amendments

I. Executive Summary

A. Background The Commission addressed the

registration, disclosure, and reporting requirements for asset-backed securities in 2004 when it adopted new rules and amendments under the Securities Act and the Exchange Act.21 Among other changes, the 2004 rules updated and clarified the Securities Act registration requirements for asset-backed securities offerings and allowed modified Exchange Act reporting tailored to asset- backed securities offerings. In April 2010, we proposed revisions to the registration, disclosure, and reporting requirements for ABS offerings in an effort to improve investor protection and promote more efficient asset-backed markets.22

In the 2010 ABS Proposing Release we noted that the financial crisis highlighted that investors and other participants in the securitization market did not have the necessary information and time to be able to fully assess the risks underlying asset-backed securities and did not value asset-backed securities properly or accurately. This lack of understanding and the extent to which it impacted the U.S. and global economy prompted us to revisit several aspects of our regulation of asset-backed securities.23 To address these issues, we proposed to require that, with some exceptions, prospectuses for public offerings of asset-backed securities and ongoing Exchange Act reports contain

specified asset-level information about each of the assets in the pool in a standardized tagged data format. Further, we proposed a rule that asset- backed issuers provide investors with more time to consider transaction- specific information about the pool assets. We also proposed to require asset-backed issuers to file a computer program modeling the flow of funds, or waterfall, provisions of the transaction to help investors analyze the offering and monitor ongoing performance. For offerings of asset-backed securities that qualify for shelf registration, we proposed investor protection-focused shelf eligibility and offering requirements that would indicate which types of offerin