[Federal Register Volume 75, Number 84 (Monday, May 3, 2010)]
[Proposed Rules]
[Pages 23327-23514]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-8282]



[[Page 23327]]

-----------------------------------------------------------------------

Part II





Securities and Exchange Commission





-----------------------------------------------------------------------



17 CFR Parts 200, 229, 230 et al.



Asset-Backed Securities; Proposed Rule

Federal Register / Vol. 75 , No. 84 / Monday, May 3, 2010 / Proposed 
Rules

[[Page 23328]]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

17 CFR Parts 200, 229, 230, 232, 239, 240, 243, and 249

[Release Nos. 33-9117; 34-61858; File No. S7-08-10]
RIN 3235-AK37


Asset-Backed Securities

AGENCY: Securities and Exchange Commission.

ACTION: Proposed rule.

-----------------------------------------------------------------------

SUMMARY: We are proposing significant revisions to Regulation AB and 
other rules regarding the offering process, disclosure and reporting 
for asset-backed securities. Our proposals would revise filing 
deadlines for ABS offerings to provide investors with more time to 
consider transaction-specific information, including information about 
the pool assets. Our proposals also would repeal the current credit 
ratings references in shelf eligibility criteria for asset-backed 
issuers and establish new shelf eligibility criteria that would 
include, among other things, a requirement that the sponsor retain a 
portion of each tranche of the securities that are sold and a 
requirement that the issuer undertake to file Exchange Act reports on 
an ongoing basis so long as its public securities are outstanding. We 
also are proposing 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. The asset-level information would be provided 
according to proposed standards and in a tagged data format using 
extensible Markup Language (XML). In addition, we are proposing to 
require, along with the prospectus filing, the filing of a computer 
program of the contractual cash flow provisions expressed as 
downloadable source code in Python, a commonly used open source 
interpretive programming language. We are proposing new information 
requirements for the safe harbors for exempt offerings and resales of 
asset-backed securities and are also proposing a number of other 
revisions to our rules applicable to asset-backed securities.

DATES: Comments should be received on or before August 2, 2010.

ADDRESSES: Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/proposed.shtml);
     Send an e-mail to [email protected]. Please include 
File Number S7-08-10 on the subject line; or
     Use the Federal Rulemaking Portal (http://www.regulations.gov). Follow the instructions for submitting comments.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number S7-08-10. This file number 
should be included on the subject line if e-mail is used. To help us 
process and review your comments more efficiently, please use only one 
method. The Commission will post all comments on the Commission's 
Internet Web site (http://www.sec.gov/rules/proposed.shtml). Comments 
are also available for Web site viewing and copying in the Commission's 
Public Reference Room, 100 F Street, NE., Washington, DC 20549, on 
official business days between the hours of 10 a.m. and 3 p.m. All 
comments received will be posted without change; we do not edit 
personal identifying information from submissions. You should submit 
only information that you wish to make available publicly.

FOR FURTHER INFORMATION CONTACT: Katherine Hsu, Senior Special Counsel 
in the Office of Rulemaking, at (202) 551-3430, and Rolaine Bancroft, 
Special Counsel in the Office of Structured Finance, Transportation and 
Leisure, at (202) 551-3313, Division of Corporation Finance, U.S. 
Securities and Exchange Commission, 100 F Street, NE., Washington, DC 
20549-3628.

SUPPLEMENTARY INFORMATION: We are proposing amendments to Rule 30-1 \1\ 
of the Commission's Rules of General Organization,\2\ Items 512 \3\ and 
601 \4\ of Regulation S-K; \5\ Items 1100, 1101, 1102, 1103, 1104, 
1106, 1110, 1111, 1121, and 1122 \6\ of Regulation AB \7\ (a subpart of 
Regulation S-K); Rules 139a, 144, 144A, 167, 190, 401, 405, 415, 424, 
430B, 430C, 433, 456, 457, 502 and 503 \8\ and Forms S-1, S-3 and D \9\ 
under the Securities Act of 1933 (``Securities Act''); \10\ Rules 11, 
101, 201, 202, 305, and 312 \11\ of Regulation S-T,\12\ and Rules 15c2-
8 and 15d-22 \13\ and Forms 8-K, 10-D, and 10-K \14\ under the 
Securities Exchange Act of 1934 (``Exchange Act'') \15\ and Rule 103 
\16\ of Regulation FD.\17\ We also are proposing to add Items 1111A and 
1121A \18\ to Regulation AB and Rule 192,\19\ Rule 430D,\20\ Form SF-
1,\21\ Form SF-3 \22\ and Form 144A-SF \23\ under the Securities Act.
---------------------------------------------------------------------------

    \1\ 17 CFR 200.30-1.
    \2\ 17 CFR 200.1 et al.
    \3\ 17 CFR 229.512.
    \4\ 17 CFR 229.601.
    \5\ 17 CFR 229.10 et al.
    \6\ 17 CFR 229.1100, 17 CFR 229.1101, 17 CFR 229.1102, 17 CFR 
229.1103, 17 CFR 229.1104, 17 CFR 229.1106, 17 CFR 229.1110, 17 CFR 
229.1111, 17 CFR 229.1121 and 17 CFR 229.1122.
    \7\ 17 CFR 229.1100 through 17 CFR 229.1123.
    \8\ 17 CFR 230.139a, 17 CFR 230.144, 17 CFR 230.144A, 17 CFR 
230.167, 17 CFR 230.190, 17 CFR 230.401, 17 CFR 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. 17 CFR 230.457, 17 CFR 230.502, and 17 CFR 230.503.
    \9\ 17 CFR 239.11, 17 CFR 239.13 and 17 CFR 239.500.
    \10\ 15 U.S.C. 77a et seq.
    \11\ 17 CFR 232.11, 17 CFR 232.101, 17 CFR 232.201, 17 CFR 
232.202, 17 CFR 232.305 and 17 CFR 232.312.
    \12\ 17 CFR 232.10 et seq.
    \13\ 17 CFR 240.15c2-8 and 17 CFR 240.15d-22.
    \14\ 17 CFR 249.308, 17 CFR 249.310, and 17 CFR 249.312.
    \15\ 15 U.S.C. 78a et seq.
    \16\ 17 CFR 243.103.
    \17\ 17 CFR 243.100 et. seq.
    \18\ 17 CFR 229.1111A and 17.CFR 229.1121A.
    \19\ 17 CFR 230.192.
    \20\ 17 CFR 230.430D.
    \21\ 17 CFR 239.44.
    \22\ 17 CFR 239.45.
    \23\ 17 CFR 239.144A.
---------------------------------------------------------------------------

Table of Contents

I. Executive Summary
    A. Background
    B. Securities Act Registration
    C. Disclosure
    D. Privately-Issued Structured Finance Products
II. Securities Act Registration
    A. History of ABS Shelf Offerings
    B. New Registration Procedures and Forms for Asset-Backed 
Securities
    1. New Shelf Registration Procedures
    (a) Rule 424(h) Filing
    (b) New Rule 430D
    2. Proposed Forms SF-1 and SF-3
    3. Shelf Eligibility for Delayed Offerings
    (a) Risk Retention
    (b) Third Party Review of Repurchase Obligations
    (c) Certification of the Depositor's Chief Executive Officer
    (d) Undertaking To File Ongoing Reports
    (e) Other Proposed Form SF-3 Requirements
    (i) Registrant Requirements To Be Met for Filing a Form SF-3
    (ii) Evaluation of Form SF-3 Eligibility in Lieu of Section 
10(a)(3) Update
    (iii) Quarterly Evaluation of Eligibility To Use Effective Form 
SF-3 for Takedowns
    (A) Risk Retention
    (B) Transaction Agreements and Officer Certification

[[Page 23329]]

    (C) Undertaking To File Exchange Act Reports
    4. Continuous Offerings
    5. Mortgage Related Securities
    C. Exchange Act Rule 15c2-8(b)
    D. Including Information in the Form of Prospectus in the 
Registration Statement
    1. Presentation of Disclosure in Prospectuses
    2. Adding New Structural Features or Credit Enhancements
    E. Pay-as-You-Go Registration Fees
    F. Signature Pages
III. Disclosure Requirements
    A. Pool Assets
    1. Asset-Level Information in Prospectus
    (a) When Asset-Level Data Would Be Required in the Prospectus
    (b) Proposed Disclosure Requirements and Exemptions
    (i) Proposed Coded Responses
    (ii) Proposed General Disclosure Requirements
    (iii) Asset Specific Data Points
    (iv) Proposed Exemptions
    (c) Residential Mortgage-Backed Securities
    (d) Commercial Mortgage-Backed Securities
    (e) Other Asset Classes
    (i) Automobiles
    (ii) Equipment
    (iii) Student Loans
    (iv) Floorplan Financings
    (v) Corporate Debt
    (vi) Resecuritizations
    2. Asset-Level Ongoing Reporting Requirements
    (a) Proposed Disclosure Requirements
    (b) Proposed Exemptions
    (c) Residential Mortgage-Backed Securities
    (d) Commercial Mortgage-Backed Securities
    (e) Other Asset Classes
    (i) Automobiles
    (ii) Equipment
    (iii) Student Loans
    (iv) Floorplan Financings
    (v) Resecuritizations
    3. Grouped Account Data for Credit Card Pools
    (a) When Credit Card Pool Information Would Be Required
    (b) Proposed Disclosure Requirements
    4. Asset Data File and XML
    (a) Filing the Asset Data File and EDGAR
    (b) Hardship Exemptions
    (c) Technical Specifications
    5. Pool-Level Information
    B. Flow of Funds
    1. Waterfall Computer Program
    (a) Proposed Disclosure Requirements
    (b) Proposed Exemptions
    (c) When the Waterfall Computer Program Would Be Required
    (d) Filing the Waterfall Computer Program and Python
    (e) Hardship Exemptions
    2. Presentation of the Narrative Description of the Waterfall
    C. Transaction Parties
    1. Identification of Originator
    2. Obligation To Repurchase Assets
    (a) History of Asset Repurchases
    (b) Financial Information Regarding Party Obligated To 
Repurchase Assets
    3. Economic Interest in the Transaction
    4. Servicer
    D. Prospectus Summary
    E. Static Pool Information
    1. Disclosure Required
    2. Amortizing Asset Pools
    3. Revolving Asset Master Trusts
    4. Filing Static Pool Data
    F. Exhibit Filing Requirements
    G. Other Disclosure Requirements That Rely on Credit Ratings
IV. Definition of an Asset-Backed Security
V. Exchange Act Reporting Proposals
    A. Distribution Reports on Form 10-D
    B. Servicer's Assessment of Compliance With Servicing Criteria
    C. Form 8-K
    1. Item 6.05
    2. Change in Sponsor's Interest in the Securities
    D. Central Index Key Numbers for Depositor, Sponsor and Issuing 
Entity
VI. Privately-Issued Structured Finance Products
    A. Rule 144A and Regulation D
    B. Proposed Information Requirements for Structured Finance 
Products
    1. General
    2. Application of Proposals
    3. Information Requirements
    4. Proposed Rule 144 Revisions
    5. New Rule 192 of the Securities Act
    C. Notice of Initial Placement of Securities Eligible for Sale 
Under Rule 144A and Revisions to Form D
VII. Codification of Staff Interpretations Relating to Securities 
Act Registration
    A. Fee Requirements for Collateral Certificates or Special Units 
of Beneficial Interest
    B. Incorporating by Reference Subsequently Filed Periodic 
Reports
VIII. Transition Period
IX. General Request for Comment
X. Paperwork Reduction Act
    A. Background
    B. Revisions to PRA Reporting and Cost Burden Estimates
    1. Form S-3 and Form SF-3
    2. Form S-1 and Form SF-1
    3. Form 10-K
    4. Form 10-D
    5. Form 8-K
    6. Regulation S-K and Regulation S-T
    7. Asset Data File
    8. Waterfall Computer Program
    9. Form 144A-SF and Form D
    10. Privately-Issued Structured Finance Product Disclosure
    11. Summary of Proposed Changes to Annual Burden Compliance in 
Collection of Information
    12. Solicitation of Comments
XI. Benefit-Cost Analysis
    A. Background
    B. Benefits
    1. Securities Act Registration
    2. Disclosure
    3. Privately-Issued Structured Finance Products
    C. Costs
    1. Securities Act Registration
    2. Disclosure
    3. Privately-Issued Structured Finance Products
    D. Request for Comment
XII. Consideration of Burden on Competition and Promotion of 
Efficiency, Competition and Capital Formation
    A. Shelf Registration Requirement
    1. Risk Retention
    2. Representations and Warranties in Pooling and Servicing 
Agreements
    3. Depositor's Chief Executive Officer Certification
    4. Ongoing Exchange Act Reporting
    5. Eliminate Ratings Requirement
    B. Five-Business Day Filing and Prospectus Delivery Requirements
    C. Disclosure
    1. Asset Data File and Waterfall Computer Program
    2. Pay-As-You-Go Registration and Revisions to Registration 
Process
    3. Restrictions on Use of Regulation AB
    D. Safe Harbors for Privately-Issued Structured Finance Products
    E. Combined Effect of Proposals
XIII. Small Business Regulatory Enforcement Fairness Act
XIV. Regulatory Flexibility Act Certification
XV. Statutory Authority and Text of Proposed Rule and Form 
Amendments

I. Executive Summary

A. Background

    The recent financial crisis highlighted that investors and other 
participants in the securitization market did not have the necessary 
tools to be able to fully understand the risk underlying those 
securities and did not value those securities properly or accurately. 
The severity of this lack of understanding and the extent to which it 
pervaded the market and impacted the U.S. and worldwide economy calls 
into question the efficacy of several aspects of our regulation of 
asset-backed securities. In light of the problems exposed by the 
financial crisis, we are proposing significant revisions to our rules 
governing offers, sales and reporting with respect to asset-backed 
securities. These proposals are designed to improve investor protection 
and promote more efficient asset-backed markets.
    Securitization generally is a financing technique in which 
financial assets, in many cases illiquid, are pooled and converted into 
instruments that are offered and sold in the capital markets as 
securities. This financing technique makes it easier for lenders to 
exchange payment streams coming from the loans for cash so that they 
can make additional loans or credit available to a wide range of 
borrowers and companies seeking financing. Some of the types of assets 
that are financed today through securitization include residential and 
commercial mortgages, agricultural equipment leases, automobile loans 
and leases, student loans and credit card receivables. Throughout this 
release, we refer to the securities sold through such

[[Page 23330]]

vehicles as asset-backed securities, ABS, or structured finance 
products.
    At its inception, securitization primarily served as a vehicle for 
mortgage financing. Since then, asset-backed securities have played a 
significant role in both the U.S. and global economy. At the end of 
2007, there were more than $7 trillion of both agency and non-agency 
\24\ mortgage-backed securities and nearly $2.5 trillion of asset-
backed securities outstanding.\25\ Securitization can provide liquidity 
to nearly all major sectors of the economy including the residential 
and commercial real estate industry, the automobile industry, the 
consumer credit industry, the leasing industry, and the commercial 
lending and credit markets.\26\
---------------------------------------------------------------------------

    \24\ Agency securities are securities issued by the government-
sponsored enterprises, Ginnie Mae, Fannie Mae or Freddie Mac.
    \25\ See American Securitization Forum, Study on the Impact of 
Securitization on Consumers, Investors, Financial Institutions and 
the Capital Markets (June 17, 2009), at 16 (citing to statistics on 
outstanding residential mortgage-backed securities and outstanding 
U.S. ABS collected by the Securities Industry and Financial Markets 
Association), available at http://www.americansecuritization.com/uploadedFiles/ASF_NERA_Report.pdf.
    \26\ See testimony of Micah Green, President of the Bond Market 
Association, Before the Senate Basel Committee on Banking 
Supervision, A Review of the New Basel Capital Accord, (June 13, 
2003), available at http://banking.senate.gov/.
---------------------------------------------------------------------------

    Many of the problems giving rise to the financial crisis involved 
structured finance products, including mortgage-backed securities.\27\ 
Many of these mortgage-backed securities were used to collateralize 
other debt obligations such as collateralized debt obligations and 
collateralized loan obligations (CDOs or CLOs), types of asset-backed 
securities that are sold in private placements.\28\ As the default rate 
for subprime and other mortgages soared, such securities, including 
those with high credit ratings, lost their value.\29\ CDOs were noted, 
in particular, to have contributed to the collapse in liquidity during 
the financial crisis.\30\ As the crisis unfolded, investors 
increasingly became unwilling to purchase these securities, and today, 
this sentiment remains, as new issuances of asset-backed securities, 
except for government-sponsored issuances, have recently dramatically 
decreased.\31\ The absence of this financing option has negatively 
impacted the availability of credit.\32\
---------------------------------------------------------------------------

    \27\ A report by the U.S. Government Accountability Office (GAO) 
notes that 75% of subprime loans were packaged into securities in 
2006. See U.S. Government Accountability Office, Financial 
Regulation: A Framework for Crafting and Assessing Proposals to 
Modernize the Outdated U.S. Financial Regulatory System (Jan. 2009) 
at 26.
    \28\ CDOs are typically sold as a private placement to an 
initial purchaser followed by resales of the securities to 
``qualified institutional buyers'' pursuant to Rule 144A. Pools 
comprising the CDOs may consist of various types of underlying 
assets including subprime mortgage-backed securities and 
derivatives, such as credit default swaps referencing subprime 
mortgage-backed securities, and even tranches of other CDOs. CLOs 
are similar to CDOs except that they hold corporate loans, loan 
participations or credit default swaps tied to corporate 
liabilities.
    \29\ See, e.g., The President's Working Group on Financial 
Markets, Policy Statement on Financial Market Developments, March 
2008 (the ``PWG March 2008 Report'') at 9 (discussing subprime 
mortgages and the write-down of AAA-rated and super-senior tranches 
of CDOs as contributing factors to the financial crisis).
    \30\ See, e.g., The Report of the Counterparty Risk Management 
Policy Group III (``CRMPG III''), Containing Systemic Risk: The Road 
to Reform, August 6, 2008 (the ``2008 CRMPG III Report''), at 53 
(noting that lack of comprehension of CDO and related instruments 
resulted in the display of price depreciation and volatility far in 
excess of levels previously associated with comparably rated 
securities, causing both a collapse of confidence in a very broad 
range of structured product ratings and a collapse in liquidity for 
such products). Another type of asset-backed security that is 
privately offered is asset-backed commercial paper (ABCP), which was 
increasingly collateralized by CDOs and RMBS from 2004 through 2007. 
The ABCP market severely contracted during the crisis. See PWG March 
2008 Report at 8.
    \31\ See, e.g., David Adler, ``A Flat Dow for 10 Years? Why it 
Could Happen,'' Barrons (Dec. 28, 2009) (noting that new 
securitization issuances, except those sponsored by the government, 
have largely come to a halt). In 2008 through the end of September, 
annualized issuance volumes for overall global securitized and 
structured credit issuance were approximately $2.4 trillion less 
than in 2006. See Global Joint Initiative to Restore Confidence in 
the Securitization Market, Restoring Confidence in the 
Securitization Markets (Dec. 3, 2008) at 6.
    \32\ Id.
---------------------------------------------------------------------------

    The financial crisis highlighted a number of concerns with the 
operation of our rules in the securitization market. Certain 
regulations for asset-backed securities rely on the ratings for those 
securities provided by the ratings agencies, and much has been written 
about the failures of those ratings accurately to measure and describe 
the risks associated with certain of those products that were realized 
during the financial crisis.\33\ In addition, investors have expressed 
concern regarding a lack of time to analyze securitization transactions 
and make investment decisions.\34\ While the Commission historically 
has not built minimum time periods into its registration process to 
deliberately slow down the market,\35\ and instead has believed 
investors can insist on adequate time to analyze securities (and refuse 
to invest if not provided sufficient time), we have been told that this 
is not generally possible in this market, particularly in an active 
market.\36\ In addition, market participants have expressed a desire 
for expanded disclosure relating to the assets underlying 
securitizations.\37\ Investors have complained that the mechanisms for 
enforcing the representations and warranties contained in 
securitization transaction documents are weak, and thus are not 
confident that even strong representations and warranties provide them 
with adequate protection. In the private market, we believe that, in 
many cases, investors did not have the information necessary to 
understand and properly analyze structured products, such as CDOs, that 
were sold in transactions in reliance on exemptions from 
registration.\38\ As a result of these and other factors, the financial 
crisis resulted in an absence of confidence in much of the 
securitization market.
---------------------------------------------------------------------------

    \33\ See, e.g., The PWG March 2008 Report at 2, 8 (noting that 
the performance of credit rating agencies, particularly their 
ratings of mortgage-backed securities and other asset-backed 
securities, contributed significantly to the financial crisis).
    \34\ See discussion in Section II.B.1 below.
    \35\ See, e.g., Section IV.A. of Securities Offering Reform, 
Release No. 33-8591 (Jul. 19, 2005) [70 FR 44722] (release adopting 
significant revisions to registration, communications and offering 
process under the Securities Act) (the ``Offering Reform Release'') 
(stating that Rule 159 would not result in a speed bump or otherwise 
slow down the offering process).
    \36\ See discussion in Section II.B.1 below.
    \37\ See also discussion in Section III.A.1 below.
    \38\ The assumption that sophisticated investors are able to 
fend for themselves in a private asset-backed securities transaction 
has also been questioned. Cf. Financial Services Authority, The 
Turner Review: A Regulatory Response to the Global Banking Crisis, 
March 2009 (the ``Turner Review''), at 39 (finding that ``the crisis 
also raises important questions about the intellectual assumptions 
on which previous regulatory approaches have largely been built'').
---------------------------------------------------------------------------

    We are proposing a number of changes to the offering process, 
disclosure, and reporting for asset-backed securities, which are 
designed to enhance investor protection in this market.\39\ The 
proposals are intended to provide investors with timely and sufficient 
information, including information in and about the private market for 
asset-backed securities, reduce the likelihood of undue reliance on 
credit ratings, and help restore investor confidence in the 
representations and warranties regarding the assets. Although these 
revisions are comprehensive and therefore would impose new burdens, if 
adopted, we believe they would protect investors and promote efficient 
capital

[[Page 23331]]

formation. The proposals cover the following areas:
---------------------------------------------------------------------------

    \39\ Our proposals, if adopted, would not affect the 
applicability of the Investment Company Act (15 U.S.C. 80a-1 et 
seq.) to ABS issuers, including the availability of exclusions from 
such Act. See, e.g., Section 3(c)(1) or Section 3(c)(7) (15 U.S.C. 
80a-3(c)(1) and 80a-3(c)(7)) (for private transactions); Rule 3a-7 
[17 CFR 270.3a-7] (for public and private transactions). Our 
proposals are not intended to affect the application of the 
Investment Company Act, including the availability of these 
exclusions, to ABS issuers.
---------------------------------------------------------------------------

     Revisions to the shelf offering process and criteria and 
prospectus delivery requirements;
     Securities Act and Exchange Act disclosure requirements, 
including new requirements to disclose standardized asset-level 
information or grouped asset data and a computer program that gives 
effect to the cash flow provisions of the transaction agreement (often 
referred to as the ``waterfall''); and
     Changes to the Securities Act safe harbors for exempt 
offerings and exempt resales for asset-backed securities.
    In addition, we are proposing clarifying, technical and other 
changes to the current rules. The proposals are designed to address 
issues that contributed to or arose from the financial crisis. These 
proposals are also designed to be forward looking; some of these 
proposals are designed to improve areas that have the potential to 
raise issues similar to the ones highlighted in the financial crisis.
    Our proposals are generally consistent with global initiatives that 
seek to improve practices in the securitization market.\40\ These 
initiatives include calls by international organizations to require 
greater disclosure by issuers of securitized products, including 
initial and ongoing information about underlying asset pool 
performance.\41\ Our focus on both the public and private markets for 
securitized products is supported by recommendations from international 
regulators about the type of disclosure that should be provided to 
investors in the private markets.\42\
---------------------------------------------------------------------------

    \40\ See Improving Financial Regulation--Report of the Financial 
Stability Board to G20 Leaders, (Sept. 25, 2009) (``The official 
sector must provide the framework that ensures discipline in the 
securitisation market as it revives.'').
    \41\ Id.
    \42\ International Organization of Securities Commissions, Final 
Report of the Task Force on the Subprime Crisis (May 2008) 
(discussing the types of disclosure that, following the model 
offered by the types of disclosure mandated in the public markets, 
private investors may want issuers to provide).
---------------------------------------------------------------------------

B. Securities Act Registration

    Securities Act shelf registration provides important timing and 
flexibility benefits to issuers. An issuer with an effective shelf 
registration statement can conduct delayed offerings ``off the shelf'' 
under Securities Act Rule 415 without further staff clearance. Under 
our current rules, asset-backed securities may be registered on a Form 
S-3 registration statement and later offered ``off the shelf'' if, in 
addition to meeting other specified criteria,\43\ the securities are 
rated investment grade by a nationally recognized statistical rating 
organization (NRSRO). As described in detail in Section II.B.3. below, 
we are proposing to repeal that criterion and establish other criteria 
for shelf eligibility. We are also proposing changes to the Securities 
Act rules and forms for issuances of asset-backed securities.
---------------------------------------------------------------------------

    \43\ See discussion of other criteria in fn. 70 below.
---------------------------------------------------------------------------

    We have undertaken a Commission-wide effort to consider whether 
references to NRSRO credit ratings in all the Commission's regulations 
are necessary or appropriate and whether they could cause investors to 
unduly rely on ratings.\44\ In this release, we are proposing to 
eliminate the current means of establishing shelf eligibility for an 
ABS transaction based on the credit ratings of the securities to be 
issued.\45\ Instead, we are proposing to require for shelf eligibility 
the following:
---------------------------------------------------------------------------

    \44\ See References to Ratings of Nationally Recognized 
Statistical Rating Organizations, Exchange Act Release No. 58070 
(July 1, 2008) [73 FR 40088] (proposing amendments to rules and 
forms under the Securities Exchange Act); References to Ratings of 
Nationally Recognized Statistical Ratings Organizations, Investment 
Company Act Release No. 28327 (July 1, 2008) [73 FR 40124] 
(proposing amendments to rules under the Investment Company Act and 
the Investment Advisers Act); Security Ratings, Securities Act 
Release No. 8940 (July 1, 2008) [73 FR 40106] (proposing amendments 
to rules and forms under the Securities Act and the Securities 
Exchange Act) (``2008 Proposing Release'').
    \45\ As part of the Commission-wide effort to consider whether 
references to NRSRO credit ratings are necessary, we proposed to 
replace the ratings requirement in the shelf eligibility criteria in 
the 2008 Proposing Release. See also Section II.A. below. We 
reopened the comment period in October 2009. References to Ratings 
of Nationally Statistical Rating Organizations, Release No. 33-9069 
(Oct. 5, 2009) [74 FR 52374]. After considering comments, we are 
withdrawing this part of the proposals in the 2008 Proposing 
Release, and we are proposing different ABS shelf eligibility 
requirements to replace the investment grade ratings requirement.
---------------------------------------------------------------------------

     A certification filed at the time of each offering off of 
a shelf registration statement, or takedown, by the chief executive 
officer of the depositor \46\ that the assets in the pool have 
characteristics that provide a reasonable basis to believe that they 
will produce, taking into account internal credit enhancements, cash 
flows to service any payments due and payable on the securities as 
described in the prospectus;
---------------------------------------------------------------------------

    \46\ We use the term ``depositor'' to mean the depositor who 
receives or purchases and transfers or sells the pool assets to the 
issuing entity. For ABS 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 ABS 
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. See Item 1101(e) of Regulation AB.
---------------------------------------------------------------------------

     Retention by the sponsor of a specified amount of each 
tranche of the securitization,\47\ net of the sponsor's hedging (also 
known as ``risk retention'' or ``skin-in-the-game'');
---------------------------------------------------------------------------

    \47\ We use the term ``sponsor'' to mean 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. See Item 
1101(l) of Regulation AB.
---------------------------------------------------------------------------

     A provision in the pooling and servicing agreement that 
requires the party obligated to repurchase the assets for breach of 
representations and warranties to periodically furnish an opinion of an 
independent third party regarding whether the obligated party acted 
consistently with the terms of the pooling and servicing agreement with 
respect to any loans that the trustee put back to the obligated party 
for violation of representations and warranties and which were not 
repurchased; and
     An undertaking by the issuer to file Exchange Act reports 
so long as non-affiliates of the depositor hold any securities that 
were sold in registered transactions backed by the same pool of assets.
    We also are proposing to replace Forms S-1 and S-3 with new forms 
for registered ABS offerings--proposed Forms SF-1 and SF-3--and to 
revise the shelf offering structure for those securities. Form SF-3 
would be the form used for ABS shelf offerings.
    Given many ABS investors' stated desire for more time to consider 
the transaction and for more detailed information regarding the pool 
assets,\48\ we are proposing to revise the filing deadlines in shelf 
offerings to provide investors with additional time to analyze 
transaction-specific information prior to making an investment 
decision. These changes are designed to promote independent analysis of 
ABS by investors rather than reliance on credit ratings. Under the 
proposed ABS shelf procedures, an ABS issuer would be required to file 
a preliminary prospectus with the Commission for each takedown off of 
the proposed new shelf registration form for ABS (Form SF-3) at least 
five business days prior to the first sale in the offering.\49\ Under 
the

[[Page 23332]]

proposal, issuers would use one prospectus for each transaction and the 
current practice of using core or base prospectuses plus supplements 
would be eliminated for ABS.
---------------------------------------------------------------------------

    \48\ See discussion in Section III.A.1 below regarding our 
proposals relating to asset-level information.
    \49\ Pursuant to Exchange Act Rule 15c2-8(b) [17 CFR 240.15c2-
8(b)], with respect to ABS, a broker-dealer is exempt from the 
requirement that a preliminary prospectus be delivered to 
prospective investors at least 48 hours prior to sending a 
confirmation of sale if the issuer of the securities has not 
previously been required to file reports pursuant to Sections 13(a) 
or 15(d) of the Exchange Act (15 U.S.C. 78m or 15 U.S.C. 28o). We 
also are proposing to repeal this exception from Rule 15c2-8(b) such 
that a broker-dealer would be required to deliver a preliminary 
prospectus at least 48 hours prior to sending a confirmation of sale 
in connection with an issuance of ABS, including those issued by ABS 
issuers exempted from the requirement to file reports pursuant to 
Section 12(h) of the Exchange Act.
---------------------------------------------------------------------------

C. Disclosure

    In 2004, we adopted a new set of rules prescribing the disclosure 
requirements for asset-backed issuers.\50\ Many disclosure requirements 
of Regulation AB are principles-based. Regulation AB currently requires 
that material, aggregate information about the composition and 
characteristics of the asset pool be filed with the Commission and 
provided to investors. As described in detail in Sections III, IV and V 
below, we are proposing additional, and, in some cases, revised 
disclosure requirements for ABS offerings and ongoing reporting.
---------------------------------------------------------------------------

    \50\ See the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    For each loan or asset in the asset pool, we are proposing to 
require disclosure of specified data relating to the terms of the 
asset, obligor characteristics, and underwriting of the asset. Such 
data would be provided in a machine-readable, standardized format so 
that it is most useful to investors and the markets. Under our 
proposal, issuers would be required to provide the asset-level data or 
grouped account data at the time of securitization, when new assets are 
added to the pool underlying the securities, and on an ongoing basis.
    We are proposing to require the filing of a computer program (the 
``waterfall computer program,'' as defined in the proposed rule) of the 
contractual cash flow provisions of the securities in the form of 
downloadable source code in Python, a commonly used computer 
programming language that is open source and interpretive. The computer 
program would be tagged in XML and required to be filed with the 
Commission as an exhibit. Under our proposal, the filed source code for 
the computer program, when downloaded and run (by loading it into an 
open ``Python'' session on the investor's computer), would be required 
to allow the user to programmatically input information from the asset 
data file that we are proposing to require as described above. We 
believe that, with the waterfall computer program and the asset data 
file, investors would be better able to conduct their own evaluations 
of ABS and may be less likely to be dependent on the opinions of credit 
rating agencies.
    We also are proposing additional requirements to refine current 
disclosure requirements for asset-backed securities. Among other 
things, we are proposing to require:
     Aggregated and loan-level data relating to the type and 
amount of assets that do not meet the underwriting criteria that is 
specified in the prospectus;
     For certain identified originators, information relating 
to the amount of the originator's publicly securitized assets that, in 
the last three years, has been the subject of a demand to repurchase or 
replace;
     For the sponsor, information relating to the amount of 
publicly securitized assets sold by the sponsor that, in the last three 
years, has been the subject of a demand to repurchase or replace;
     Additional information regarding originators and sponsors;
     Descriptions relating to static pool information, such as 
a description of the methodology used in determining or calculating the 
characteristics of the pool performance as well as any terms or 
abbreviations used;
     That static pool information for amortizing asset pools 
comply with the Item 1100(b) requirements for the presentation of 
historical delinquency and loss information; and
     The filing of Form 8-K for a one percent or more change in 
any material pool characteristic from what is described in the 
prospectus (rather than for a five percent or more change, as currently 
required).

We also are proposing to limit some of the existing exceptions to the 
discrete pool requirement in the definition of an asset-backed 
security. This is intended to not only address recent concerns arising 
out of the financial crisis but also serve to protect against future 
practices of participants along the chain of securitization that could 
result in the addition of assets into a securitization pool without a 
clear understanding of their quality.

D. Privately-Issued Structured Finance Products

    A significant portion of securities transactions, including the 
offer and sale of all CDOs and ABCP, is conducted in the exempt private 
placement market, which includes both offerings eligible for Rule 144A 
resales and other private placements.\51\ CDOs are typically sold by 
the issuer in a private placement to one or more initial purchaser or 
purchasers in reliance upon the Section 4(2) private offering exemption 
in the Securities Act, which is available only to the issuer, followed 
by resales of the securities to ``qualified institutional buyers'' in 
reliance upon Rule 144A.\52\ Subsequent resales may also be made in 
reliance upon Rule 144A. Rule 144A provides a safe harbor for resellers 
from being deemed an underwriter within the meaning of Sections 
2(a)(11) and 4(1) of the Securities Act \53\ for the sale of securities 
to qualified institutional buyers. If the conditions of the Rule 144A 
safe harbor are satisfied, sellers may rely on the exemption from 
Securities Act registration provided by Section 4(1) for transactions 
by persons other than issuers, underwriters or dealers.\54\
---------------------------------------------------------------------------

    \51\ CDOs often permit the active management of their pool 
assets, which could include engaging in activities the primary 
purpose of which is to protect or enhance the returns of their 
equity holders. Such CDOs typically would not meet the requirements 
of Rule 3a-7 under the Investment Company Act because that rule 
includes conditions that are intended to permit an issuer to engage 
only in limited activities that do not in any sense parallel typical 
`management' of registered investment company portfolios. 
Accordingly, these CDOs usually rely on one of the private 
investment company exclusions, both of which condition the exclusion 
in part on the issuer not making a public offering. See fn. 39 
above.
    \52\ In general, a qualified institutional buyer is any entity 
included within one of the categories of ``accredited investor'' 
defined in Rule 501 of Regulation D, acting for its own account or 
the accounts of other qualified institutional buyers, that in the 
aggregate owns and invests on a discretionary basis at least $100 
million in securities of issuers not affiliated with the entity (or 
$10 million for a broker-dealer).
    \53\ 15 U.S.C. 77b(a)(11) and 15 U.S.C. 77d(1).
    \54\ See Section II.A. of the Resale of Restricted Securities, 
Release No. 33-6862 (Apr. 30, 1990) [55 FR 17933] (the ``Rule 144A 
Adopting Release'').
---------------------------------------------------------------------------

    Some have concluded that the events of the financial crisis have 
demonstrated that a lack of understanding of CDOs and other privately 
offered structured finance products by investors, rating agencies and 
other market participants may have significant consequences to the 
entire financial system.\55\ For example, the ratings of these products 
proved inaccurate, which significantly contributed to the financial 
crisis.\56\ This lack of understanding by credit rating agencies, 
investors, and other market participants indicates that the offering 
processes and disclosure

[[Page 23333]]

available in the public and private market were inadequate to provide 
appropriate investor protection. Further, these securities are issued 
by special purpose vehicles whose only purpose is holding financial 
assets, with numerous parties involved in the securitization 
process.\57\ As a result, information about those assets and the 
structure of the vehicle is critical to an informed investment 
decision.
---------------------------------------------------------------------------

    \55\ See, e.g., The PWG March 2008 Report (noting that 
originators, underwriters, asset managers, credit rating agencies 
and investors failed to obtain sufficient information or conduct 
comprehensive risk assessments on instruments that were often quite 
complex and also noting that downgrades were even more frequent and 
severe for CDOs of ABS with subprime mortgage loans as the 
underlying collateral). See also the Turner Review, at 20 (finding 
that ``the financial innovations of structured credit resulted in 
the creation of products--e.g, the lower credit tranches of CDOs or 
even more so CDO-squareds--which had very high and imperfectly 
understood embedded leverage.'').
    \56\ See id.
    \57\ See also discussion in Section VI. below.
---------------------------------------------------------------------------

    The safe harbors of Rule 144A and Regulation D that provide the 
ability to rely on an exemption from registration do not impose 
specific requirements on the disclosures provided to investors if those 
investors meet certain size requirements. However, the financial crisis 
has called into question the ability of our rules, as they relate to 
the private market for asset-backed securities, to ensure that 
investors had access to, and had sufficient time and incentives to 
adequately consider, appropriate information regarding these 
securities.\58\
---------------------------------------------------------------------------

    \58\ An assessment of whether the protections of the Act are 
needed often focuses on whether the purchasers of securities can 
``fend for themselves.'' SEC v. Ralston Purina Co., 346 U.S. 119, 
125 (1953). Historically, whether this test is met turned on whether 
information necessary or appropriate to make informed decisions is 
realistically available to the purchasers. See id. The Supreme Court 
also noted that ``We agree that some employee offerings may come 
within Sec.  4(1), e.g., one made to executive personnel who because 
of their position have access to the same kind of information that 
the Act would make available in the form of a registration 
statement.'' Id. at 125. See also Lawler v. Gilliam, 569 F.2d 1283 
(4th Cir. 1978) (discussing the Supreme Court's observation in 
Ralston that an offering to those who are shown to be able to fend 
for themselves is a transaction `not involving any public offering' 
and the ruling that an essential requirement is access to the kind 
of information that registration would disclose).
---------------------------------------------------------------------------

    We are proposing to require enhanced disclosure by asset-backed 
issuers who wish to take advantage of the safe harbor provisions for 
these privately-issued securities.\59\ In addition, in order to provide 
additional transparency with respect to the private market for these 
securities, we are proposing amendments to Rule 144A to require a 
structured finance product issuer to file a public notice on EDGAR of 
the initial placement of structured finance products that are eligible 
for resale under Rule 144A. As we believe that the Commission may 
benefit from the availability of more information about private 
placements of structured finance products, we are proposing to require 
that in submitting such notice, the issuer undertakes to provide 
offering materials to the Commission upon written request.
---------------------------------------------------------------------------

    \59\ We are also proposing to make conforming changes to 
Regulation D, Form D and Rule 144.
---------------------------------------------------------------------------

    All of our proposals, if adopted, would apply to new issuances of 
asset-backed securities. Therefore, the proposed rules, if adopted, 
would not impose new requirements on outstanding asset-backed 
securities.

II. Securities Act Registration

    We are proposing a number of changes to the Securities Act 
registration process for the offer and sale of asset-backed securities. 
These changes include proposed new eligibility criteria for shelf 
offerings and changes to the shelf offering process.

A. History of ABS Shelf Offerings

    In 1984, mortgage related securities, a subset of asset-backed 
securities, were first permitted to be offered on a ``shelf'' basis. 
Contemporaneous with the enactment of Secondary Mortgage Market 
Enhancement Act of 1984 (SMMEA),\60\ which added the definition of 
``mortgage related security'' to the Exchange Act, we amended 
Securities Act Rule 415 to permit mortgage related securities to be 
offered on a delayed basis, regardless of which form is utilized for 
registration of the offering.\61\ SMMEA defined a mortgage related 
security to include a security that has a high investment grade credit 
rating.\62\
---------------------------------------------------------------------------

    \60\ Public Law 98-440, 98 Stat. 1689.
    \61\ See Shelf Registration, Release No. 33-6499 (Nov. 17, 1983) 
[48 FR 5289]. Mortgage related securities, including such securities 
as mortgage-backed debt and mortgage participation or pass through 
certificates, may be offered on a delayed basis under Rule 415. See 
17 CFR 230.415(a)(1)(vii). SMMEA was enacted by Congress to increase 
the flow of funds to the housing market by removing regulatory 
impediments to the creation and sale of private mortgage-backed 
securities. An early version of the legislation contained a 
provision that specifically would have required the Commission to 
create a permanent procedure for shelf registration of mortgage 
related securities. The provision was removed from the final version 
of the legislation, however, as a result of the Commission's 
decision to adopt Rule 415, implementing a shelf registration 
procedure for mortgage related securities. See H.R. Rep. No. 994, 
98th Cong., 2d Sess. 14, reprinted in 1984 U.S. Code Cong. & Admin. 
News 2827; see also Release No. 33-6499 (Nov. 17, 1983) [48 FR 
52889], at n. 30 (noting that mortgage related securities were the 
subject of pending legislation).
    \62\ The term, ``mortgage related security'' is defined to 
include ``a security that is rated in one of the two highest rating 
categories by at least one nationally recognized statistical rating 
organization.'' 15 U.S.C. 78c(a)(41).
---------------------------------------------------------------------------

    In 1992, in order to facilitate registered offerings of asset-
backed securities and eliminate differences in treatment under our 
registration rules between mortgage related asset-backed securities 
(which could be registered on a delayed basis) and other asset-backed 
securities of comparable character and quality (which could not), we 
expanded the ability to use ``shelf offerings'' to other asset-backed 
securities.\63\ Under the 1992 amendments, offerings of asset-backed 
securities rated investment grade by an NRSRO \64\ could be registered 
on Form S-3.\65\ The eligibility requirement's definition of 
``investment grade'' was largely based on the definition in the 
existing eligibility requirement for non-convertible corporate debt 
securities.\66\
---------------------------------------------------------------------------

    \63\ See Simplification of Registration Procedures for Primary 
Securities Offerings, Release No. 33-6964 (Oct. 22, 1992) [57 FR 
32461].
    \64\ The security is an ``investment grade security'' for 
purposes of form eligibility if, at the time of sale, at least one 
NRSRO has rated the security in one of its generic rating categories 
which signifies investment grade, typically one of the four highest 
categories. See General Instructions I.B.2 and I.B.5 of Form S-3.
    \65\ Under Securities Act Rule 415, securities registered on 
Form S-3 or Form F-3 may be offered on a continuous or delayed 
basis. See 17 CFR 230.415(a)(1)(x).
    \66\ See Release No. 33-6964.
---------------------------------------------------------------------------

    The 1992 amendments did not prescribe specific disclosure 
requirements for ABS offerings; disclosure in ABS offerings was based 
largely on market practices and SEC staff guidance.\67\ At the end of 
2004, the Commission adopted new rules and amendments under the 
Securities Act and the Exchange Act addressing the registration, 
disclosure and reporting requirements for asset-backed securities.\68\ 
In the 2004 amendments (``2004 ABS Adopting Release''), we prescribed 
specific ABS disclosure requirements for the first time, which are 
largely principles-based. In addition, under the 2004 amendments, we 
retained the investment grade ratings condition to ABS Form S-3 
eligibility \69\ and added additional shelf eligibility conditions.\70\
---------------------------------------------------------------------------

    \67\ See id. The 1992 release explained that the Commission did 
not intend to change the character or quality of the disclosure that 
is customary in these offerings and explained generally the type of 
disclosure that was expected for ABS offerings.
    \68\ See 2004 ABS Adopting Release. In 2003, we raised the 
question whether to eliminate ratings reliance from our shelf 
eligibility requirements in a concept release where we requested 
comment on alternatives to the investment grade ratings component of 
Form S-3 eligibility for ABS and debt offerings. See Rating Agencies 
and the Use of Credit Ratings under the Federal Securities Laws, 
Release No. 33-8236 (Jun. 4, 2003) [68 FR 35258].
    \69\ We noted in 2004, however, that the Commission was engaged 
in a broad review of the role of credit ratings agencies in the 
securities markets and the use of credit ratings for regulatory 
purposes. See Section II.A.3.c of the 2004 ABS Adopting Release.
    \70\ In addition to investment grade rated securities, an ABS 
offering is eligible for Form S-3 registration only if the following 
conditions are met: (i) Delinquent assets must not constitute 20% or 
more, as measured by dollar volume, of the asset pool as of the 
measurement date; and (ii) with respect to securities that are 
backed by leases other than motor vehicle 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 20% or more, as measured by dollar volume, of the 
securitized pool balance as of the measurement date. See General 
Instruction I.B.5 of Form S-3. Moreover, to the extent the depositor 
or any issuing entity previously established, directly or 
indirectly, by the depositor or any affiliate of the depositor are 
or were at any time during the twelve calendar months and any 
portion of a month immediately preceding the filing of the 
registration statement on Form S-3 subject to the requirements of 
Section 12 or 15(d) of the Exchange Act (15 U.S.C. 78l or 78o(d)) 
with respect to a class of asset-backed securities involving the 
same asset class, such depositor and each such issuing entity must 
have filed all material required to be filed regarding such asset-
backed securities pursuant to Section 13, 14 or 15(d) of the 
Exchange Act (15 U.S.C. 78m, 78n or 78o(d)) for such period (or such 
shorter period that each such entity was required to file such 
materials). Such material (except for certain enumerated items) must 
have been filed in a timely manner. See General Instruction I.A.4 of 
Form S-3. We are not proposing changes to these other eligibility 
conditions.

---------------------------------------------------------------------------

[[Page 23334]]

    In 2008, we proposed several changes to our rules and form 
requirements that reference investment grade ratings (the ``2008 
Proposing Release''), including a proposal to revise shelf eligibility 
criteria for ABS offerings and primary offerings of non-convertible 
debt by replacing the investment grade ratings component.\71\ Our 
proposal would have replaced investment grade ratings with a 
requirement that sales registered on Form S-3 be made in minimum 
denominations and only to qualified institutional buyers, as defined in 
Rule 144A. We reopened comment on the 2008 Proposing Release on October 
5, 2009.\72\
---------------------------------------------------------------------------

    \71\ See the 2008 Proposing Release.
    \72\ See Release No. 33-9069. We also held a Credit Rating 
Agency Roundtable on April 15, 2009 to consider further information 
on ratings and rating agencies. Materials related to the roundtable, 
including an archived webcast and a transcript of the roundtable, 
are available at http://www.sec.gov/spotlight/cra-oversight-roundtable.htm.
---------------------------------------------------------------------------

    We received comment letters from 35 commenters on the 2008 
Proposing Release. Commenters generally opposed the proposed amendments 
that would have replaced investment grade ratings references in certain 
rules and the shelf eligibility criteria.\73\ Some commenters on the 
proposed amendments to ABS shelf eligibility noted that the proposed 
eligibility requirements would result in many ABS issuers registering 
offerings on Form S-1 \74\ or selling the securities privately.\75\ 
After considering comments, we are withdrawing this part of the 2008 
proposal and are proposing different replacements to the ratings 
requirement in the shelf eligibility criteria for ABS issuers that we 
believe are better measures of quality, and therefore, are more 
appropriate eligibility criteria. We are also proposing several changes 
to restructure the registered ABS offering process.
---------------------------------------------------------------------------

    \73\ See comment letters from American Bar Association (ABA); 
American Electric Power, American Securitization Forum (ASF), 
Arizona Public Service Company, Boeing Capital Corporation (Boeing), 
Cadwalader Wickersham & Taft LLP (Cadwalader), Charles Schwab, 
Constance Curnow, Davis Polk & Wardwell (Davis Polk), Debevoise & 
Plimpton (Debevoise), Dewey & LeBoeuf, Dominion Resources, Inc., 
Edison Electric Institute, Incapital, LLC, Manulife Financial 
Corporation, Mayer Brown LLP (Mayer), Merrill Lynch Depositor, Inc., 
Mortgage Bankers Association, PNM Resources, Inc., Securities 
Industry and Financial Markets Association, Southern Company, WGL 
Holdings, Inc., and Wisconsin Energy Corporation. The public 
comments are available at http://www.sec.gov/comments/s7-18-08/s71808.shtml.
    \74\ 17 CFR 239.11.
    \75\ See, e.g., comment letters from ABA dated September 12, 
2009; ASF; Boeing; Cadwalader; Davis Polk; Debevoise; and Mayer. As 
the proposal in the 2008 Proposing Release did not add requirements 
to the safe harbors for privately-issued asset-backed securities, 
these commenters did not assess whether additional requirements 
would have changed the result.
---------------------------------------------------------------------------

B. New Registration Procedures and Forms for Asset-Backed Securities

1. New Shelf Registration Procedures
    Under existing rules, as with offerings of other types of 
securities registered on Form S-3 and Form F-3, the shelf registration 
statement for an offering of asset-backed securities will often be 
effective before a takedown is contemplated. Pursuant to existing 
Securities Act Rules 409 and 430B,\76\ the prospectus in the 
registration statement may omit the specific terms of a takedown if 
that information is unknown or not reasonably available to the issuer 
when the registration statement is made effective.\77\ For ABS 
offerings off the shelf, because assets for a pool backing the 
securities will not be identified until the time of an offering, 
information regarding the actual assets in the pool and the material 
terms of the transaction are sometimes only included in a prospectus or 
prospectus supplement that is filed with the Commission the second 
business day after first use.\78\ This information includes information 
about the pool, underwriting criteria for the assets and exceptions 
made to the underwriting criteria, identification of the originators of 
the assets and other information that is keyed off the identification 
of specific assets for the pool.
---------------------------------------------------------------------------

    \76\ 17 CFR 230.409 and 17 CFR 230.430B.
    \77\ The prospectus disclosure in the registration statement is 
often presented through a ``base'' or ``core'' prospectus and a 
prospectus supplement. We are proposing to eliminate this type of 
presentation for asset-backed issuers. See Section II.D.1. below.
    \78\ An instruction to Rule 424(b) requires that a form of 
prospectus or prospectus supplement relating to a delayed offering 
of mortgage-backed securities or an offering of asset-backed 
securities be filed no later than the second business day following 
the date it is first used after effectiveness in connection with a 
public offering or sales, or transmitted by a means reasonably 
calculated to result in filing with the Commission by that date.
---------------------------------------------------------------------------

    We recognize that asset-backed issuers have expressed the need to 
use shelf registration to access the capital markets quickly.\79\ We 
understand that the creation of an asset pool to support securitized 
products is a dynamic and ongoing process in which changes can take 
place up until pricing. As a result, our proposals today generally 
maintain the fundamental framework of shelf registration for ABS 
offerings.
---------------------------------------------------------------------------

    \79\ Notably, according to EDGAR, in 2006 and 2007, only three 
ABS issuers filed registration statements on Form S-1 that went 
effective.
---------------------------------------------------------------------------

    However, we also recognize that it is important for investor 
protection that ABS investors have not just adequate information to 
make an investment decision, but also adequate time to analyze the 
information and the potential investment. For the most part, each ABS 
offering off of a shelf registration statement involves securities 
backed by different assets, so that, in essence, from an investor point 
of view, each offering is like an initial public offering with respect 
to the ABS issuer. Information regarding the assets is an important 
piece of information for investors to use to conduct an analysis of the 
ability of those underlying assets to generate sufficient funds to make 
payments on the securities. Furthermore, some have noted the lack of 
time to review transaction-specific information as hindering the 
investors' ability to conduct adequate analysis of the securities.\80\ 
We believe that a more orderly process for asset-backed securities 
offerings with improved investor protections, where investors and 
underwriters have additional time to assist their review of offerings, 
may be needed, even if issuers may not always be able to time their 
offering in a way that takes advantage of short term price peaks. 
Therefore, we are proposing rules designed to increase the amount of 
time that investors have to review information regarding a particular 
shelf takedown and promote analysis of asset-

[[Page 23335]]

backed securities in lieu of undue reliance on security ratings for 
shelf offerings.
---------------------------------------------------------------------------

    \80\ See, e.g., Section I.B. of CFA Institute Centre for 
Financial Market Integrity and Council of Institutional Investors, 
U.S. Financial Regulatory Reform: The Investor's Perspective, July 
2009 (noting that securitized products are sold before investors 
have access to a comprehensive and accurate prospectus, noting that 
each ABS offering involves a new and unique security, and 
recommending that the Commission adopt rules to improve the 
timeliness of disclosures to investors); Dr. William W. Irving's 
testimony concerning ``Securitization of Assets: Problems and 
Solutions'' Before the Senate Banking, Housing and Urban Affairs 
Subcommittee on Securities, Insurance, and Investment (Oct. 7, 
2009), at 11 (recommending that there be ample time before a deal is 
priced for investors to review and analyze a full prospectus and not 
just a term sheet). The testimony is available at http://banking.senate.gov/public/.
---------------------------------------------------------------------------

(a) Rule 424(h) Filing
    We are proposing to require an asset-backed issuer using a shelf 
registration statement on proposed Form SF-3 to file a preliminary 
prospectus containing transaction-specific information at least five 
business days in advance of the first sale of securities in the 
offering. This requirement, if adopted, would allow investors 
additional time to analyze the specific structure, assets, and 
contractual rights regarding each transaction. Requiring that such 
information be filed at least five business days before the first sale 
of securities in the offering is designed to balance the interest of 
ABS issuers in quick access to the capital markets and the need of 
investors to have more time to consider transaction-specific 
information. We considered whether a longer minimum time period than 
five business days would be more appropriate.\81\ However, we are 
proposing five business days, because we preliminarily believe that the 
proposals discussed below that require the filing of standardized and 
tagged loan-level information and a computer program that gives effect 
to the cash flow provisions of the transaction agreement could reduce 
the amount of time required by investors to consider transaction 
specific information. Our requests for comment on the proposed new 
procedures below include questions about the appropriate amount of time 
investors need to consider transaction specific information.
---------------------------------------------------------------------------

    \81\ Some have suggested that investors be provided with up to 
two weeks to analyze asset information. See, e.g., Joshua Rosner, 
Securitization: Taming the Wild West, Roosevelt Institute's Make 
Markets be Markets (Mar. 3, 2010), at 73.
---------------------------------------------------------------------------

    Under our proposal, with respect to any takedown of securities in a 
shelf offering of asset-backed securities where information is omitted 
from an effective registration statement in reliance on newly proposed 
Rule 430D, a form of prospectus meeting certain requirements must be 
filed with the Commission by a means reasonably calculated to result in 
filing in accordance with proposed Rule 424(h) (the ``Rule 424(h) 
filing'' or ``Rule 424(h) prospectus'') at least five business days 
prior to the first sale of securities in the offering.\82\ If the 
preliminary prospectus is used earlier than such five business days to 
offer the securities, then it must be filed by the second business day 
after first use.
---------------------------------------------------------------------------

    \82\ Sale includes ``contract of sale.'' See fn. 31 and 
accompanying text of the Offering Reform Release.
---------------------------------------------------------------------------

    As discussed below, we are proposing new Rule 430D to provide the 
framework for shelf registration of ABS offerings. The proposed rule 
explains what information may be omitted from the prospectus filed with 
the effective registration statement and what information must be 
contained in the Rule 424(h) filing. Under new Rule 430D, as proposed, 
the Rule 424(h) filing must contain substantially all the information 
for the specific ABS takedown previously omitted from the prospectus 
filed as part of an effective registration statement,\83\ except for 
the information with respect to the offering price, underwriting 
discounts or commissions, discounts or commissions to dealers, amount 
of proceeds or other matters dependent upon the offering price. The 
information required to be filed pursuant to proposed Rule 424(h) would 
include, among other things, information about the specific asset pool 
that is backing the securities in the takedown and the waterfall 
computer program discussed in Section III below. Proposed Rule 430D 
would provide that a material change in the information provided in the 
Rule 424(h) filing, other than offering price, would require a new Rule 
424(h) filing and therefore, a new five business-day waiting 
period.\84\ The new Rule 424(h) filing would be required to reflect the 
change and contain substantially all the information required to be in 
the prospectus, except for pricing information. For example, if a 
credit enhancement (that was contemplated in the registration 
statement) is added to the transaction after a Rule 424(h) filing is 
filed, we would expect the issuer to file a new Rule 424(h) filing that 
reflects the credit enhancement and wait an additional five business 
days before the first sale in the offering. This is designed to provide 
investors with information and time sufficient to conduct a thorough 
analysis of new information relating to the offering.
---------------------------------------------------------------------------

    \83\ For example, the Rule 424(h) filing would include the 
waterfall computer program that we are proposing to require, as 
discussed in Section III.B.1 of this release. We believe that 
investors need adequate time to run the waterfall computer program 
using the asset data filed with the Rule 424(h) filing.
    \84\ Whether a change is material for purposes of the proposed 
requirement would depend on the facts and circumstances. See TSC 
Industries, Inc. v.Northway, Inc., 426 U.S. 438, 448-449 (1976). See 
also Basic v. Levinson, 485 U.S. 224, 231 (1988).
---------------------------------------------------------------------------

    So long as a form of prospectus has been filed in accordance with 
Rule 430D, ABS issuers could continue to utilize a free writing 
prospectus or ABS informational and computational materials in 
accordance with existing rules.\85\ However, because we believe that 
investors should have access to a comprehensive prospectus that 
contains substantially all of the required information, a free writing 
prospectus or ABS informational and computational materials could not 
be used for the purpose of meeting the requirements of proposed Rule 
424(h). For liability purposes, a Rule 424(h) filing would be deemed 
part of the registration statement on the date such form of prospectus 
is filed with the Commission, or if the preliminary prospectus is used 
earlier than five business days in advance of the first sale of 
securities in the offering, then the date of first use.\86\ A final 
prospectus for ABS offerings would continue to be filed pursuant to 
Rule 424(b). Consistent with Rule 430B for shelf offerings of corporate 
issuers, under proposed Rule 430D the filing of the final prospectus 
under Rule 424(b) would trigger a new effective date for the 
registration statement relating to the securities to which such form of 
prospectus relates for purposes of liability under Section 11 of the 
Securities Act.\87\
---------------------------------------------------------------------------

    \85\ ABS informational and computational materials, as defined 
in Item 1101 of Regulation AB [17 CFR 229.1101], may be used in 
accordance with Securities Act Rules 167 and 426 [17 CFR 230.167 and 
17 CFR 230.426]. Materials that constitute a free writing 
prospectus, as defined in Securities Act Rule 405 [17 CFR 230.405] 
may be used in accordance with Securities Act Rules 164 and 433 [17 
CFR 230.164 and 17 CFR 230.433].
    \86\ This is consistent with the existing provisions for other 
preliminary prospectuses. See Rule 430B(e). We also propose in this 
release to repeal the exception to the prospectus delivery 
requirement in Exchange Act Rule 15c2-8(b) for shelf-eligible asset-
backed securities. See Section II.C. below.
    \87\ 15 U.S.C. 77k. The proposed rule does not change the 
treatment of ABS offerings for purposes of Rule 159 [17 CFR 
230.159]. Rule 159 provides the following:
    (a) For purposes of section 12(a)(2) of the Securities Act only, 
and without affecting any other rights a purchaser may have, for 
purposes of determining whether a prospectus or oral statement 
included an untrue statement of a material fact or omitted to state 
a material fact necessary in order to make the statements, in the 
light of the circumstances under which they were made, not 
misleading at the time of sale (including, without limitation, a 
contract of sale), any information conveyed to the purchaser only 
after such time of sale (including such contract of sale) will not 
be taken into account.
    (b) For purposes of section 17(a)(2) of the Act only, and 
without affecting any other rights the Commission may have to 
enforce that section, for purposes of determining whether a 
statement includes or represents any untrue statement of a material 
fact or any omission to state a material fact necessary in order to 
make the statements made, in light of the circumstances under which 
they were made, not misleading at the time of sale (including, 
without limitation, a contract of sale), any information conveyed to 
the purchaser only after such time of sale (including such contract 
of sale) will not be taken into account.
    (c) For purposes of section 12(a)(2) of the Act only, knowing of 
such untruth or omission in respect of a sale (including, without 
limitation, a contract of sale), means knowing at the time of such 
sale (including such contract of sale).

---------------------------------------------------------------------------

[[Page 23336]]

(b) New Rule 430D
    Currently, the framework for ABS shelf offerings, along with shelf 
offerings for other securities, is outlined in Rule 430B of the 
Securities Act. Rule 430B describes the type of information that 
primary shelf eligible and automatic shelf issuers may omit from a base 
prospectus in a Rule 415 offering \88\ and include instead in a 
prospectus supplement, Exchange Act report incorporated by reference, 
or a post-effective amendment.\89\ We are proposing new Rule 430D to 
provide the framework for delayed shelf offerings of asset-backed 
securities pursuant to Rule 415(a)(1)(vii), as proposed to be revised. 
If we adopt Rule 430D, existing Rule 430B would no longer apply to ABS 
offerings.
---------------------------------------------------------------------------

    \88\ Under Rule 430B, a form of prospectus filed as part of a 
registration statement for offerings of asset-backed securities may 
omit information unknown or not reasonably available pursuant to 
Rule 409.
    \89\ See also Section V.B.1.b of the Offering Reform Release.
---------------------------------------------------------------------------

    Proposed Rule 430D would require that with respect to each 
offering, substantially all the information previously omitted from the 
prospectus filed as part of an effective registration statement, except 
for the omission of information with respect to the offering price, 
underwriting discounts or commissions, discounts or commissions to 
dealers, amount of proceeds or other matters dependent upon the 
offering price, be filed at least five business days in advance of the 
first sale of securities in the offering in accordance with Rule 
424(h). Thus, an issuer may not omit such information (other than 
offering price, underwriting discounts or commissions, discounts or 
commissions to dealers, amount of proceeds or other matters dependent 
upon the offering price) from the Rule 424(h) filing.
    We are proposing conforming revisions to the undertakings that are 
required by Item 512 of Regulation S-K \90\ in connection with a shelf 
registration statement. For the most part, ABS issuers would continue 
to provide the same undertakings that are currently required of ABS 
issuers conducting shelf offerings. We are proposing a conforming 
revision to the undertakings relating to the determination of liability 
under the Securities Act as to any purchaser in the offering. It would 
require an undertaking that each prospectus filed by the registrant 
pursuant to Rule 424(h) would be deemed part of the registration 
statement as of the date the prospectus was deemed part of, and 
included in, the registration statement (i.e., the date it was filed 
with the Commission, or, if the prospectus was used and filed earlier, 
the second business day after first use).\91\ Also, under our proposed 
revision to Item 512 of Regulation S-K, an issuer would be required to 
undertake to file the information required to be contained in a Rule 
424(h) filing with respect to any offering of securities.
---------------------------------------------------------------------------

    \90\ 17 CFR 229.512.
    \91\ This is consistent with the existing undertaking in Item 
512 for prospectuses that are filed pursuant to Rule 424(b)(3). See 
Item 512(a)(5)(i)(A) of Regulation S-K [17 CFR 229.512(a)(5)(i)(A)].
---------------------------------------------------------------------------

Request for Comment

     We request comment on our proposal to establish a minimum 
period of time available to investors to review registered ABS offering 
prospectuses. Are we correct that investors need additional time? Would 
the proposed timeline for filing the proposed preliminary prospectus at 
least five business days prior to the date of first sale pose problems 
for market participants? If so, how could we address those concerns 
while still providing investors with sufficient time to analyze the 
securities?
     Is the proposed five business days sufficient time for 
investors? Should the required minimum number of days that the Rule 
424(h) filing must be filed before the first sale be longer (e.g., six, 
seven, eight, or ten business days) or shorter than what we are 
proposing (e.g., two or four business days)? Given the increased amount 
of information that would be made available to investors under this 
proposal, would investors need more time to consider transaction 
specific information? Is our belief that the filing of standardized and 
tagged asset-level information and a computer program that gives effect 
to the cash flow provisions of the transaction agreement could reduce 
the amount of time investors need to consider transaction-specific 
information correct?
     We are cognizant that having a transaction exposed to the 
markets for some period of time causes concerns to some issuers and 
underwriters in some instances. However, we also note situations in 
which transaction-specific information regarding ABS is provided to 
other deal participants for a longer period prior to selling the 
securities seemingly with no or minimal effect on the issuer's ability 
to sell securities. We note, in particular, that the Federal Reserve 
Board requires information to be provided to it regarding the assets 
pledged to the Term Asset-Backed Securities Loan Facility (TALF) at 
least three weeks prior to the subscription date.\92\ Similarly, rating 
agencies receive information prior to rating transactions.\93\ If there 
are issues raised by exposing the transaction publicly to the markets, 
please provide us with specific information about the concerns and ways 
we can revise the proposal to address them.
---------------------------------------------------------------------------

    \92\ Each issuer wishing to bring a TALF-eligible ABS 
transaction to market is required to provide, at least three weeks 
prior to the subscription date, information to the Federal Reserve 
Bank of New York including, but not limited to, all data on the 
transaction the issuer has provided to any NRSRO.
    \93\ See Amendments to Rules for Nationally Recognized 
Statistical Rating Organizations, Release No. 34-59342 (Feb. 2, 
2009) [74 FR 6456].
---------------------------------------------------------------------------

     Under our proposal, the Rule 424(h) filing would not be 
required to include information dependent on pricing. Is that 
appropriate? If not, what information should be required to be included 
and how would an issuer have access to the information in the timeframe 
that we are proposing?
     Under our proposal, if a material change to the disclosure 
other than to pricing information occurs, the issuer would be required 
to file a new Rule 424(h) prospectus with updated information. Is this 
requirement specific enough? Should we, instead or in addition, specify 
particular changes that would trigger a filing, or conversely, that 
would not trigger a filing? Should we, for example, provide that a new 
Rule 424(h) filing would be required if the asset pool has changed by a 
certain amount? If so, what should that amount be (e.g., 1%, 5%, or 10% 
of the final asset pool)? How would other changes be described, such as 
changes to the waterfall? Would it be appropriate to allow a material 
change without requiring a new Rule 424(h) filing and a new five-day 
waiting period? Should the new Rule 424(h) filing be required as 
proposed to reflect the change and contain substantially all the 
information required to be in the prospectus, except for pricing 
information? Should we only require that the change be reflected in a 
supplement?
     The requirement to file a new Rule 424(h) filing would 
trigger another five-day waiting period before the first sale. Is this 
approach appropriate and workable? If the issuer is required to re-file 
the preliminary prospectus, as proposed, should the issuer be required 
to wait another five business days before the first sale, as proposed? 
If not, how long should the issuer be required to wait?

[[Page 23337]]

     Are there any aspects of the Rule 424(h) filing that we 
should specify must be substantially set at the time it is required to 
be filed?
     Are there any changes, other than the ones we are 
proposing, to the Item 512 undertaking that should be made? Is our 
proposed change to incorporate the Rule 424(h) filing in the 
undertakings relating to liability so that the Rule 424(h) filing shall 
be deemed part of the registration statement as of the date the filed 
prospectus was deemed part of and included in the registration 
statement appropriate?
     We have designed the proposed process for ABS shelf 
registration to strike a balance between facilitating registered ABS 
offerings and providing investors a meaningful opportunity to analyze 
the securities. Would our proposal to require that the Rule 424(h) 
prospectus be filed at least five business days before the first sale 
make shelf registration sufficiently less attractive to issuers that 
they would avoid the registered market? If so, are there ways to 
address this concern? Below, we are proposing to require more 
disclosure for private offerings of asset-backed securities that rely 
on the Commission's safe harbors that allow issuers to rely on an 
exemption from registration. Should we impose even more restrictions on 
private offerings of asset-backed securities than what is proposed 
below? For example, should we condition reliance on Rule 506 of 
Regulation D on a limitation of the total number of purchasers in an 
ABS offering, even for offerings to accredited investors or qualified 
institutional buyers? Alternatively, should we impose fewer 
restrictions on private offerings of asset-backed securities?
     Should we also require, or require instead, that the 
initial purchaser or investor hold the securities for a period of time 
prior to resales in reliance on Rule 144A to better ensure that such 
resales of asset-backed securities are not a distribution? Could that 
better ensure that the public registered ABS market operates 
appropriately and that the existing safe harbors do not inappropriately 
erode the public markets? If we were to add these additional 
restrictions on private offerings, what would be the impact on the 
broader market for structured securities? Would requiring a holding 
period discourage investors from purchasing ABS in exempt private 
placements? Would these offerings all be done as public deals, or would 
these offerings cease to be conducted at all? Should we provide for 
fewer restrictions--for example, should we require a subset of loan-
level disclosures in the context of an exempt private offering? Should 
issuers or sponsors have the option of providing only certain 
information? Or would these rules reduce the aggregate amount of 
transactions? What would be the economic effect?
2. Proposed Forms SF-1 and SF-3
    In order to distinguish the ABS registration system from the 
registration system for other securities, we are proposing to add new 
registration forms that would be used for any sales of a security that 
meets the definition of an asset-backed security, as defined in Item 
1101 of Regulation AB.\94\ These new forms, which would be named Form 
SF-1 and Form SF-3,\95\ would require all the items applicable to ABS 
offerings that are currently required in Form S-1 and Form S-3 as 
modified by the proposed amendments noted below. Offerings that qualify 
for delayed shelf registration \96\ would be registered on proposed 
Form SF-3, and all other offerings would be registered on Form SF-
1.\97\
---------------------------------------------------------------------------

    \94\ 17 CFR 229.1101(c).
    \95\ The proposed forms would be referenced in 17 CFR 239.44 and 
17 CFR 239.45.
    \96\ In this release, we also refer to such offerings as shelf 
offerings.
    \97\ We also propose to make conforming changes throughout our 
rules to refer to the new forms, as appropriate. See, e.g., proposed 
revisions to Securities Act Rules 167 and 190(b)(1) and the exhibit 
table in Item 601 of Regulation S-K.
---------------------------------------------------------------------------

    Proposed Form SF-1 would not contain all the items that are 
currently required by Form S-1. Specifically, the proposed form would 
not include the instructions as to summary prospectuses, as we do not 
believe that the summary prospectus instructions are relevant for ABS 
offerings. Also, we are proposing to substitute the item in existing 
Form S-1 permitting incorporation by reference by reporting companies 
of previously filed Exchange Act reports and documents with an item 
that is more tailored to asset-backed securities on proposed Form SF-1. 
As discussed in Section I.D.1 below, we are proposing that ABS issuers 
file a single prospectus for each takedown with all of the information 
required by Regulation AB because we believe ABS offerings are more 
closely akin to initial public offerings. Therefore, we are proposing 
to limit incorporation by reference to certain disclosures. In 
particular, as discussed below,\98\ we are proposing to permit an ABS 
issuer to incorporate by reference into proposed Form SF-1 information 
by the time of effectiveness of the registration statement the 
information that is required to satisfy certain disclosure requirements 
(i.e., static pool information filed pursuant to Item 6.08 of Form 8-K, 
asset data filed pursuant to Item 6.06 of Form 8-K, and the waterfall 
computer program filed pursuant to Item 6.07 of Form 8-K).\99\ We also 
are proposing to permit ABS issuers structured as revolving asset 
master trusts to incorporate by reference certain asset-level 
disclosures that would have been provided in previously filed Form 10-
Ds.\100\
---------------------------------------------------------------------------

    \98\ See Sections III.A.4., III.B.1.d., and III.E.4. below.
    \99\ See General Instruction IV. and Item 10 of proposed Form 
SF-1 and Item 11 of proposed Form SF-3.
    \100\ We are proposing to require ABS backed by floorplan 
receivables to include the performance information of assets that 
were part of the pool prior to the current offering. See Section 
III.A.1.e.iv. below.
---------------------------------------------------------------------------

    We are proposing to revise some disclosure requirements that are 
currently located in Form S-3 but would be moved to proposed Form SF-3. 
As discussed in the sections immediately following this discussion, we 
are proposing changes to shelf eligibility for ABS issuers, which will 
now become the eligibility criteria for proposed Form SF-3. In 
addition, we are proposing to change an eligibility requirement in 
existing Form S-3 relating to delinquent filings of the depositor or an 
affiliate of the depositor for purposes of proposed Form SF-3. For Form 
S-3, an issuer is not eligible for registration on the form if the 
depositor or an affiliate of the depositor, with respect to a class of 
asset-backed securities involving the same asset class, has not filed 
the Exchange Act reports required to be filed or has not filed such 
reports in a timely manner for a period of twelve months prior to the 
filing of the registration statement.\101\ However, for certain 
specified reports, including reports on Form 8-K pursuant to Item 6.05, 
untimely filing does not result in loss of eligibility.\102\ We are 
proposing to repeal the existing exception from the filing timeliness 
requirement for Item 6.05 Form 8-K reports. Item 6.05 Form 8-K reports, 
which we discuss in further detail below, are required to be filed if 
there is a change in the asset pool characteristics from the 
description of the asset pool provided in the final prospectus and 
thereby provide important information regarding the composition of the 
assets. Under proposed Form SF-3, the untimely filing of an Item 6.05 
Form 8-K report by the depositor or affiliate of the depositor, with 
respect to a class of asset-backed securities involving the same asset 
class, during the twelve

[[Page 23338]]

calendar months and any portion of a month immediately preceding the 
filing of the registration statement would result in the loss of form 
eligibility for up to twelve months from the time the report was 
due.\103\ As discussed in Section V.C.1 below, we also are proposing to 
lower the threshold amount of change that would trigger a filing 
requirement for Item 6.05 Form 8-K reports from five percent of any 
material pool characteristic to one percent.
---------------------------------------------------------------------------

    \101\ General Instruction I.A.4 of Form S-3.
    \102\ Id.
    \103\ We are also proposing to amend Rule 415 to require a 
quarterly evaluation of form eligibility on proposed Form SF-3. See 
Section II.B.3.e. below.
---------------------------------------------------------------------------

Request for Comment

     We request comment on our proposal to move the 
registration statement item requirements for ABS offerings into new 
forms that would apply only to asset-backed issuers. Would the proposed 
new forms create any difficulties? If so, please specify.
     We are proposing to move the items applicable to asset-
backed securities from Forms S-1 and S-3 to proposed Forms SF-1 and SF-
3, with some exceptions noted. Do the proposed forms omit any 
requirement for asset-backed issuers that should be included? Do any of 
the requirements need further revisions?
     The proposed Form SF-1 would not include the instructions 
as to summary prospectuses that are included in Form S-1. Is there any 
reason we should provide these instructions in proposed Form SF-1 for 
ABS issuers?
     Are our proposed instructions for incorporation by 
reference appropriate?
     Should we repeal the existing carve-out for the untimely 
filing of an Item 6.05 Form 8-K, as we are proposing to do? Why or why 
not?
3. Shelf Eligibility for Delayed Offerings
    We are proposing to eliminate the ability of ABS issuers to 
establish shelf eligibility in part by means of an investment grade 
credit rating. This is part of our broad ongoing effort to remove 
references to NRSRO credit ratings from our rules in order to reduce 
the risk of undue ratings reliance and eliminate the appearance of an 
imprimatur that such references may create.\104\ In place of credit 
ratings, we are proposing to establish four shelf eligibility criteria 
that would apply to mortgage related securities and other asset-backed 
securities alike. These proposed requirements, along with the other 
current requirements,\105\ would determine an asset-backed issuer's 
eligibility to register for a delayed shelf offering. Similar to the 
existing requirement that the securities must be investment grade, the 
proposed requirements are designed to provide for a certain quality and 
character for asset-backed securities that are eligible for delayed 
shelf registrations.
---------------------------------------------------------------------------

    \104\ See Release No. 33-9069.
    \105\ See fn. 70 above.
---------------------------------------------------------------------------

(a) Risk Retention
    Risk retention requirements have been discussed by some market 
participants as one potential way to improve the quality of asset-
backed securities by better aligning the incentives of the sponsors and 
originators of the pool assets with investors' incentives. A chain of 
securitization may involve multiple participants that may serve the 
function of originator, sponsor, servicer, or trustee.\106\ One concern 
that has been debated is whether the model of securitization where loan 
originators do not hold the loans they originate but instead repackage 
and sell them as securities may create a misalignment of incentives 
between the originator of the assets and the investors in the 
securities, which misalignment may have contributed to lower quality 
assets being included in securitizations that did not have continuing 
sponsor exposure to the assets in the pool.\107\ The theory underlying 
a risk retention requirement is that if a sponsor retains exposure to 
the risks of the assets, the sponsor is more likely to have greater 
incentives to include higher quality assets in the pool. Because we 
believe that securitizations with sponsors that have continuing risk 
exposure would likely be higher quality than those without, we are 
proposing, among other things, to replace the investment grade ratings 
requirement in the ABS shelf eligibility conditions with a condition 
that the sponsor of any securitization retain risk in each tranche of 
the securitization on an ongoing basis. Such a requirement has 
colloquially been referred to as ``risk retention,'' or ``skin in the 
game.'' We believe that the proposed risk retention requirement for 
shelf eligibility would distinguish the types of securities that are of 
a sufficient quality and character to be shelf eligible while avoiding 
the possibility of undue reliance on ratings.
---------------------------------------------------------------------------

    \106\ Under Regulation AB, ``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. See Item 1101(j) of Regulation AB. In some cases, one 
party may act in two or more different roles, such as when a bank 
and/or affiliated party of the bank serves in all three functions of 
originator, sponsor, and servicer of an ABS offering. In contrast, 
in the case of so-called aggregators, the sponsor acquires loans 
from many other unaffiliated sellers before securitization.
    \107\ See, e.g., European Central Bank, The Incentive Structure 
of the `Originate to Distribute Model,' December 2008, at 5 (noting 
that securitization is fundamentally vulnerable to certain adverse 
behavior since agents seek to maximize their benefits while 
principals cannot fully observe and control the agents' actions); 
Amiyatosh Purnanandam, ``Originate-to-Distribute Model and the 
Subprime Crisis'' (Apr. 27, 2009), available at http://ssrn.com/abstract=1167786.
---------------------------------------------------------------------------

    Risk retention requirements are being considered in the U.S. and 
internationally. In the U.S., proposals with such requirements have 
come in several different forms.\108\ Risk retention requirements have 
recently garnered support.\109\ On the other hand, some are

[[Page 23339]]

concerned that mandatory risk retention will not necessarily result in 
improved asset quality, may not be calibrated to reflect the risk in 
any given pool and across different asset classes, and may conflict 
with various other goals and purposes of securitization.\110\
---------------------------------------------------------------------------

    \108\ The Federal Deposit Insurance Corporation (``FDIC'') 
recently solicited public comments regarding proposed amendments to 
a ``safe harbor'' rule from the FDIC's statutory authority to 
disaffirm or repudiate contracts of an insured depository 
institution (``IDI'') with respect to transfers of financial assets 
by an IDI in connection with a securitization or a participation 
(the ``FDIC Securitization Proposal''). The FDIC Securitization 
Proposal also includes risk retention requirements for purposes of 
providing a safe harbor for IDIs, although in a different context 
from our proposal which would require risk retention as a condition 
to shelf eligibility. See Federal Deposit Insurance Corporation, 
Advance Notice of Proposed Rulemaking Regarding Treatment by the 
Federal Deposit Insurance Corporation as Conservator or Receiver of 
Financial Assets Transferred by an Insured Depository Institution in 
Connection With a Securitization or Participation After March 31, 
2010 (Jan. 7, 2010) [75 FR 934]. The comment letters are available 
at http://www.fdic.gov/regulations/laws/federal/2010/10comAD55.html. 
See also H.R. 4173, 111th Cong., (bill that would require a creditor 
or securitizer to retain five percent of the credit risk on any loan 
that is transferred, sold, or conveyed); Senate proposal, 111th 
Congress, ``Restoring American Financial Stability Act of 2010'' 
(bill that would require five percent risk retention). The Senate 
bill contemplates joint rulemaking regarding the risk retention 
requirement with the SEC, the FDIC and the Office of Comptroller 
Currency and the House bill contemplates joint rulemaking with the 
SEC, the National Credit Union Administration Board, the Board of 
Governors of the Federal Reserve system, the Office of the 
Comptroller of the Currency, the Office of Thrift Supervisors and 
the FDIC.
    \109\ See, e.g., CFA Institute Centre for Financial Market 
Integrity and Council of Institutional Investors, ``U.S. Financial 
Regulatory Reform: The Investor's Perspective,'' July 2009 
(recommending that ABS sponsors should be required to retain a 
meaningful residual interest in their securitized products). See, 
e.g., U.S. Department of Treasury, A New Foundation: Rebuilding 
Financial Supervision and Regulation, June 17, 2009; H.R. 1728, 
111th Cong. Sec.  213 (2009). In addition, risk retention by 
originating lenders has been a component of several guaranteed loan 
programs administered by the United States Department of Agriculture 
(USDA) since 1972, when amendments to the Consolidated Farm and 
Rural Development Act (7 USC 1921 et seq.) expanded the USDA's 
lending authority to include guarantees of farm and rural 
development loans issued by commercial lenders. For example, under 
its guaranteed farm loan program, the Farm Service Agency can 
guarantee up to 90% of a loan issued by a commercial lender to an 
eligible farmer, but that lender must retain the full amount of the 
unguaranteed portion in its portfolio for the life of the loan. See 
7 CFR 762.160. Similar conditions are required for guaranteed loan 
programs administered by the USDA's Rural Housing Service. See, 
e.g., 7 CFR 3575.4. See also comment letter from MetLife on the FDIC 
Securitization Proposal (``MetLife FDIC Letter'') (generally 
supporting credit risk retention because it aligns interests with 
investors and noting that retention should represent a vertical pro 
rata slice of all securitization obligations, as long as retaining 
the interest does not cause unintended consolidation issues for the 
issuer) and comment letter from Consumers Union on the FDIC 
Securitization Proposal (supporting retention of ten percent of an 
economic interest because it would create stronger incentives for 
accurate underwriting).
    \110\ See, e.g., comment letter from American Securitization 
Forum and comment letter from American Bar Association on the FDIC 
Securitization Proposal.
---------------------------------------------------------------------------

    In addition, in its January 2009 framework, a working group on 
financial reform in the Group of Thirty recommended that regulated 
financial institutions be required to retain a meaningful portion of 
the credit risk of the financial assets they are packaging into 
securitized and other structured credit products.\111\ On May 6, 2009, 
the European Union adopted an amendment to the Capital Requirements 
Directive, which sets out the rules for Basel II implementation in 
Europe, that will, upon effectiveness, prohibit a credit institution 
from investing in a securitization unless there is disclosure from the 
originator, sponsor, or original lender that one of them will retain, 
on an ongoing basis, a net economic interest in the securitized credit 
risk of at least five percent.
---------------------------------------------------------------------------

    \111\ See Group of Thirty, Financial Reform: A Framework for 
Financial Stability (Jan. 15, 2009), at 51. The Group of Thirty, 
established in 1978, is a private, nonprofit, international 
organization composed of representatives of private and public 
institutions.
---------------------------------------------------------------------------

    We are proposing to make risk retention a part of the shelf 
eligibility conditions for asset-backed issuers. Under our proposal, 
Form SF-3 would require that, as a condition to shelf eligibility, the 
sponsor or an affiliate of the sponsor retain a net economic interest 
in each securitization in one of the two following manners:
     Retention of a minimum of five percent of the nominal 
amount of each of the tranches sold or transferred to investors, net of 
hedge positions directly related to the securities or exposures taken 
by such sponsor or affiliate; \112\ or
---------------------------------------------------------------------------

    \112\ Under the proposed condition, no sponsor may purchase or 
sell a security, derivative, or other financial product or enter 
into an agreement with any third party, in which the terms or 
payments (or lack of payment) of any of the loans or other assets 
that underlie the ABS are a material term of that financial product 
or agreement, if the financial product or agreement in any way 
reduces or limits the financial exposure of the sponsor to less than 
five percent of the nominal amount of the ABS. Thus, hedges of 
market interest or currency exchange rates, would not be taken into 
account in the calculation of the sponsor's risk retention for 
purposes of the net five percent risk retention requirement. Hedges 
tied to securities similar to the ABS also would not be taken into 
account in the calculation of the sponsor's risk retention. For 
instance, holding a security tied to the return of a subprime ABX.HE 
index would not be a hedge on a particular tranche of a subprime 
RMBS sold by the sponsor unless that tranche itself was in the 
index.
---------------------------------------------------------------------------

     In the case of revolving asset master trusts, retention of 
the originator's interest of a minimum of five percent of the nominal 
amount of the securitized exposures, net of hedge positions directly 
related to the securities or exposures taken by such sponsor or 
affiliate, provided that the originator's interest and securities held 
by investors are collectively backed by the same pool of receivables, 
and payments of the originator's interest are not less than five 
percent of payments of the securities held by investors 
collectively.\113\
---------------------------------------------------------------------------

    \113\ Currently, credit card ABS structures typically include an 
originator's interest, which is pari passu with the investors' 
interest in the pool of receivables.

Under the proposed eligibility requirement, the net economic interest 
required to be retained to be shelf eligible would be measured at 
issuance (or at origination in the case of originator's interest), and 
then maintained on an ongoing basis.\114\ Also, proposed Form SF-3 
would require disclosure relating to the interest that is retained by 
the sponsor.\115\ Retention of five percent net economic interest is 
intended to align incentives of sponsors with investors, such that the 
quality of the assets in the pool or other aspects of the offering is 
likely to be higher than for a securitization without risk retention, 
and, thus, should be an appropriate partial substitute for the existing 
investment grade ratings requirement in the ABS shelf eligibility 
conditions. If we adopt a risk retention condition to shelf 
eligibility, we preliminarily believe that five percent is an 
appropriate amount of risk to require sponsors to retain and balances 
our goal of requiring some exposure to risk without overburdening the 
capital structure of sponsors.\116\
---------------------------------------------------------------------------

    \114\ In 2009, the EU Commission called on Committee of European 
Banking Supervisors (CEBS) to provide technical advice on the 
amendment to the Capital Requirements Directive (i.e., Article 122a 
of the EU Capital Requirements Directive) which will prohibit a 
credit institution from investing in a securitization unless there 
is disclosure from the originator or sponsor that it has retained 
risk. Among other things, the EU Commission requested the CEBS 
consider the adequacy of the minimum 5% retention requirement to 
meet the goal of avoiding misaligned incentives and of mitigating 
systemic risks from securitization markets. See publication of the 
Committee of European Banking Supervisors, ``CEBS today received a 
call for technical advice-second part on article 122a of the amended 
CRD,'' available at http://www.c-ebs.org/Publications/Calls-for-
Advice/2009/CEBS-today-received-a-call-for-technical-advice_s.aspx 
and Committee of European Banking Supervisors, ``Call for Technical 
Advice on the Effectiveness of a Minimum Retention Requirement for 
Securitisations,'' Oct. 30, 2009.
    \115\ See discussion of proposed requirement relating to 
sponsor's interest in Section III.C.3. below.
    \116\ See H.R. 4173, 111th Cong., (bill requiring five percent 
risk retention); Senate proposal, 111th Congress, ``Restoring 
American Financial Stability Act of 2010'' (bill requiring five 
percent risk retention).
---------------------------------------------------------------------------

    In constructing the risk retention shelf eligibility condition, we 
also considered, but are not proposing, an option of retaining risk 
through the retention of randomly selected exposures for purposes of 
meeting shelf eligibility conditions. If issuers retain randomly 
selected exposures, we believe the economic effects, including 
incentive alignment, should be approximately the same as retaining a 
fixed percentage of the nominal amount of each tranche, if the 
randomization is properly implemented. However, we believe that it 
would be both difficult and potentially costly for investors and 
regulators to verify that exposures were indeed selected randomly, 
rather than in a manner that favored the sponsor.
    We believe that the proposed two different ways that a sponsor 
could retain risk to satisfy the risk retention shelf eligibility 
condition would likely result in better incentive alignment, and, 
consequently higher quality securities, than retention of only the 
residual interest in a securitization.\117\ ``Horizontal risk 
retention'' in the form of retention of the equity or residual interest 
could lead to skewed incentive structures, because the holder of only 
the residual interest of a securitization may have different interests 
from the holders of other tranches in the securitization and, thus, not 
necessarily

[[Page 23340]]

result in higher quality securities. The proposed ways that a sponsor 
could satisfy the risk retention shelf eligibility condition--either by 
retaining a ``vertical'' slice of the securitization, by which we mean 
taking a portion of the economic risk in each class of security that is 
being offered, or, in the case of revolving exposures, the originator's 
interest, would create a direct, shared interest with all the investors 
in the performance of the underlying assets.
---------------------------------------------------------------------------

    \117\ A particular issuance of asset-backed securities often 
involves one or more publicly offered classes as well as one or more 
privately placed classes. In most instances, the subordinated 
classes, or residual interests, which are typically privately 
placed, act as structural credit enhancement for the publicly 
offered senior classes by receiving payments after, and therefore 
absorbing losses before, the senior classes. Cash flows from the 
pool assets back both the senior classes and the subordinate 
classes, and thus allocation of the cash flows to the subordinated 
classes could affect directly or indirectly the publicly offered 
classes.
---------------------------------------------------------------------------

    We recognize that there are differing views on the effectiveness of 
risk retention policies as a means to align the incentives of 
securitization transaction parties with the interests of investors, 
both as an intrinsic matter and as compared with other alternatives, as 
well as concerns about the collateral consequences on the 
securitization markets associated with conditioning shelf eligibility 
on risk retention. Some note that originators and other financial 
institutions active in the mortgage securitization chain suffered 
massive losses in the financial crisis as a result of their direct and 
indirect exposure to asset underperformance and, therefore, risk 
retention exposes financial institutions who are sponsors to too much 
risk.\118\ Another criticism of risk retention posits that different 
forms of risk retention, such as retention of the equity piece, may 
lead issuers to screen assets that go into the pool differently.\119\ 
One industry group has asserted that other forms of requiring potential 
loss exposure, such as more stringent representations and warranties 
regarding the assets in the pool, may be preferable to outright 
retention of an economic interest in the securities.\120\ Nevertheless, 
we believe it appropriate at this time to propose the risk retention 
requirement detailed herein, balancing various considerations that will 
need to be accounted for before reaching any final determination as to 
the best way to proceed.
---------------------------------------------------------------------------

    \118\ See Committee on Capital Markets Regulation, The Global 
Financial Crisis: A Plan for Regulatory Reform, May 2009 
(``Committee on Capital Markets Regulation Financial Crisis 
Report''), at 130.
    \119\ See, e.g., Ingo Fender and Janet Mitchell, ``The future of 
securitisation: How to align incentives?'' BIS Quarterly Review, 
Sept. 2009 available at http://www.bis.org/publ/qtrpdf/r_qt0909e.pdf (study that claimed to show having the originator or 
arranger retain the equity tranche of a securitization may lead to 
lower screening effort than other retention schemes and that 
recommended regulators focus on disclosure of the scale and nature 
of risk retention).
    \120\ For example, the ASF has proposed model representations 
and warranties designed to enhance the alignment of incentives of 
mortgage originators with those of investors in mortgage loans. See 
American Securitization Forum Press Release, ``ASF Proposes Risk 
Retention and Issues Final RMBS Disclosure and Reporting Packages,'' 
July 15, 2009, available at http://www.americansecuritization.com/story.aspx?id=3460.
---------------------------------------------------------------------------

    Although sponsors in the past may have initially held a portion of 
the securitization, such retention often had different motivations and 
different effects than retention as we propose it. In many cases, 
sponsors held small portions. These portions were often a small 
horizontal slice of the securitization and, therefore, would have been 
unlikely to have driven the sponsor to focus on the quality of the 
loans or other underlying assets in order to protect that interest. 
Also, retention of that small portion of those securities may have been 
due to an inability or lack of incentive to sell those securities. This 
was often because the securities had a lower return or carried lower 
spread, and thus were of little interest to investors seeking yield, 
while the higher returning securities were sold. Many of the retained 
securities were securities backed by similarly ranked tranches of ABS, 
which magnified rather than diversified risk. It may be the case that 
originators and/or underwriters underestimated the risk of both higher 
(senior) and lower (subordinated) tranches, but their retention 
practices did not result in the sort of overall risk assessment that 
our proposal would entail.\121\ Thus, retaining risk in that manner 
would have been unlikely to have the same impact on loan originations, 
risk analysis, or underwriting--and the resultant asset quality--as the 
risk retention requirement that we are proposing for ABS shelf 
eligibility.
---------------------------------------------------------------------------

    \121\ See Gillian Tett, Fool's Gold (2009); International 
Monetary Fund, Global Financial Stability Report: Navigating the 
Financial Challenges Ahead (Oct. 2009) at 25 (noting that retention 
of the senior tranche was motivated mainly by difficulties placing 
them), available at http://www.imf.org/external/pubs/ft/gfsr/2009/02/pdf/text.pdf.
---------------------------------------------------------------------------

    In keeping with our belief that incentives are best aligned and 
quality of assets most significantly impacted if the sponsor retains an 
equal proportion of all tranches or the economic equivalent, we are 
proposing to require that, if sponsors select the second risk retention 
option, they retain a claim whose cash flows are at least five percent 
of those paid to investors, at all times and in all scenarios. This 
requirement means that the originator's interest must ultimately be a 
claim to the same pool of assets as the securities held by investors 
and must be equivalent in seniority to these securities. The 
originator's interest would, therefore, be the economic equivalent of 
retaining a fixed proportion of the nominal amount of all tranches held 
by investors. We understand that it is a typical practice for credit 
card ABS to retain an originator's interest in the pool.
    For both options, we are proposing to require risk retention net of 
hedge positions directly related to the securities or exposures taken 
by the sponsor or its affiliate. This would mean that sponsors would 
not be able to simply ``resell'' the specific risks related to the 
retained securities or asset pool underlying them and remain shelf 
eligible. The purpose of risk retention is to align the sponsor's 
incentives with the investors' incentives by exposing each of them to 
the same risks which thereby promotes higher quality securities in ABS 
shelf offerings than without risk retention by the sponsor. However, we 
are primarily concerned with the risks that are under the direct or 
indirect control of the sponsor (such as the quality of the 
originator's underwriting standards and the extent of the review 
undertaken to verify the information regarding the assets). Therefore, 
hedge positions that are not directly related to the securities or 
exposures taken by the sponsor or affiliate would not be required to be 
netted under our proposal. Such positions would include hedges related 
to overall market movements, such as movements of market interest 
rates, currency exchange rates, or of the overall value of a particular 
broad category of asset-backed securities.
    As noted above, the proposed risk retention shelf eligibility 
condition would apply to the sponsor or affiliate of the sponsor. Our 
proposal is intended to provide an incentive for the sponsor to take 
additional steps to consider the quality of the assets that are 
securitized by exposing sponsors to the same credit risk that investors 
will be exposed to. We believe that there may be reasons to impose 
these risk retention requirements on the sponsor rather than the 
originator. Where a non-affiliated aggregator acts as the sponsor of a 
transaction,\122\ the costs of monitoring risk retention born by an 
originator rather than the sponsor may be disproportionately high 
because the securitization may include many originators where each 
originator may have contributed a very small part of the assets in the 
entire pool. In addition, if risk retention were imposed on each 
originator rather than the sponsor, the amount of risk held by each 
originator may be small. As such, the incentives afforded through risk 
retention may be

[[Page 23341]]

diminished or rendered less effective. With risk retention imposed on 
sponsors, we believe that sponsors would have the appropriate 
incentives and mechanisms to ensure that originators' lending standards 
are consistent with the quality and character of the ABS to be offered 
off of the shelf. Therefore, we believe it is more appropriate to 
impose risk retention requirements on the sponsor than the non-
affiliated originator.\123\
---------------------------------------------------------------------------

    \122\ See discussion in fn. 106 regarding aggregators.
    \123\ As discussed in Section III.C.3 below, we also propose to 
add requirements for disclosure of any interest in the securities 
that is retained by the sponsor or originator.
---------------------------------------------------------------------------

    Under our proposal, a sponsor may still conduct a public offering 
without risk retention. However, such offering would be required to be 
registered on proposed Form SF-1 rather than proposed Form SF-3. Those 
offerings would not be eligible for delayed shelf registration, which 
would subject them to a longer period before they could be completed 
since a new registration statement would need to be filed and become 
effective before an offering could be completed. This would allow 
additional time for the investors to analyze the offering.\124\
---------------------------------------------------------------------------

    \124\ As we are proposing to require in Section III.C.3 below, 
if the offering does not include risk retention by the sponsor, an 
issuer should provide clear disclosure that the sponsor of the 
offering is not required by law to retain any risk in the securities 
and may sell any interest initially retained at any time, as 
applicable.
---------------------------------------------------------------------------

    We have also considered other ancillary impacts of our proposed 
risk retention shelf eligibility condition. For example, we considered 
the impact of the shelf eligibility condition on financial reporting. 
We note that the Financial Accounting Standards Board's newly-issued 
Statements of Financial Accounting Standards No. 166 and 167, contained 
in FASB's Accounting Standards Codification, Topic 860, Transfers and 
Servicing, and Topic 810, Consolidation, respectively, change the 
accounting for transfers of financial assets and the criteria for 
consolidation of variable interest entities. Substantially all types of 
special-purpose entities used in asset-backed securitization 
transactions are, for accounting purposes, variable interest entities.
    The accounting guidance for consolidation requires a party to 
consolidate a variable interest entity if it has a variable interest in 
the securitization that is a controlling financial interest in the 
variable interest entity. The accounting guidance specifies that a 
party has a controlling financial interest if it has variable interests 
with both of the following characteristics: (a) The power to direct the 
activities of a variable interest entity that most significantly impact 
the variable interest entity's economic performance, and (b) the 
obligation to absorb losses of the variable interest entity (or the 
right to receive benefits from the variable interest entity) that could 
potentially be significant to the variable interest entity. Only one 
party, if any, is expected to have a controlling financial interest in 
a variable interest entity.
    A sponsor that retains an economic interest in each tranche of 
securities, as we are proposing to require as a condition for shelf 
eligibility, generally will have a variable interest in the asset-
backed securitization entity. However, satisfaction of the proposed 
risk retention condition would not, by itself, be determinative as to 
whether a sponsor's variable interests would be a controlling financial 
interest resulting in consolidation. This is the case because each 
sponsor will need to evaluate the facts and circumstances related to 
each particular transaction in light of the FASB's newly-issued 
guidance, including whether the sponsor has the power to direct the 
activities that most significantly impact the variable interest 
entity's economic performance. In some cases, the economic performance 
of the variable interest entity is most significantly impacted by the 
performance of the assets that back the securities. In those cases, the 
activity that most significantly impacts the performance of the assets 
could be, for example, management of asset delinquencies and defaults 
or, as another example, selecting, monitoring, and disposing of 
collateral securities.
    We expect the effect of the FASB's newly-issued guidance, together 
with the effect of satisfaction of our proposed risk retention 
condition for shelf eligibility (or retention of risk for other 
reasons), to generally increase the instances in which financial assets 
(and corresponding financial obligations) continue to be reported in 
the financial statements of the reporting entity that transfers the 
financial assets. However, the accounting and consolidation 
determinations for any particular transaction will depend on judgments 
about the related facts and circumstances.
    We understand that the isolation of the assets comprising the pool 
from claims of other creditors is important to ABS investors.\125\ 
Currently, credit card issuers typically retain an originator's 
interest in the pool, so our proposed risk retention shelf eligibility 
condition should not impact those issuers. Our proposed shelf 
eligibility requirement of retaining a vertical slice of the securities 
offered is not intended to have an impact on the isolation of the 
underlying assets, and we are not aware of any reason to believe it 
would. The proposed shelf eligibility condition would be to hold an 
interest in all the securities sold to investors and not the underlying 
assets directly nor the residual interest. True sale opinions are 
typically required on the transfer of assets from the originator to the 
depositor. This proposed shelf eligibility condition would apply to the 
sponsor, which may not necessarily be the originator. Thus, we believe 
the shelf eligibility condition should not impact whether there has 
been a true sale at law of the assets and therefore not change the 
analysis in the event of bankruptcy, insolvency, receivership or 
conservatorship of the originator or the sponsor.
---------------------------------------------------------------------------

    \125\ See The Bond Market Association, International Swaps & 
Derivatives Association, and Securities Industry Association, 
``Special Purpose Entities (SPEs) and the Securitization Markets,'' 
(Feb. 1, 2002) available at http://www.isda.org/speeches/pdf/SPV-Discussion-Piece-Final-Feb01.pdf (noting that securitizations would 
not take place without the ability to establish SPEs, as investors 
do not want to take on any risk associated with the seller).
---------------------------------------------------------------------------

Request for Comment

     Should we continue to condition shelf eligibility on 
requirements that are related to the quality of an ABS offering? Should 
we, as proposed, replace references to investment grade credit ratings 
with a risk retention requirement and/or the other criteria discussed 
below, which are intended to increase the likelihood of higher quality 
securities than securities that are not required to meet such criteria? 
Is there a possibility that, by establishing a risk retention 
requirement or any other criteria based on quality, investors may 
unduly rely on an appearance that incentives are aligned or that the 
security has greater quality and consequently be less inclined to 
expend effort to perform their own analyses creating a similar 
situation that over-reliance on ratings created? Do the policy bases 
for shelf eligibility suggest eligibility criteria based on quality of 
securities are appropriate? Conversely, are expedited offerings 
inconsistent with an attempt to promote independent analysis of asset-
backed securities and reduce the likelihood of undue reliance by 
investors on credit ratings and therefore, should we not allow ABS 
offerings to be shelf registered? Should we continue to allow short-
form registration for asset-backed securities? Given that each asset-
backed security

[[Page 23342]]

offering off the shelf is akin to an initial public offering with 
respect to the particular issuer, is the premise of most other short 
form registration (i.e., that an eligible issuer enjoys a widespread 
market following) applicable to issuers of asset-backed securities?
     We request comment on risk retention as a condition to 
eligibility for a delayed ABS shelf offering. Would the proposed risk 
retention condition address concerns relating to the misalignment of 
incentives and lead to higher quality securities in registered ABS 
shelf offerings? Is this an appropriate condition for shelf 
eligibility? Would the requirement incentivize sponsors to consider the 
quality of the assets being underwritten and sold into the 
securitization vehicle?
     Is five percent an appropriate amount of risk for the 
sponsor to retain in order for the offering to be shelf eligible? 
Should it be higher (e.g., ten or 15%)? Should it be lower (e.g., one 
or three percent)? Should the amount of required risk retention be tied 
to another measure?
     Should the risk retention condition require retention of 
risk by sponsors (as proposed) or by originators?
     Are there other better ways to address alignment of 
incentives, and thus quality of the securities, in the aggregator 
situation? Should we require in that situation that all originators and 
the sponsor retain some risk?
     Should sponsors be permitted to satisfy the risk retention 
condition through a different form of risk retention than what is 
proposed (e.g., retention of first loss position or retention of first 
loss position in conjunction with retention of some form of vertical 
slice of the securitization)? Should the risk retention condition 
relate to retention of the mezzanine tranche? Should the risk retention 
condition depend on the type and quality of the assets, the structure 
of the securities and expected economic condition? How could we 
structure a shelf eligibility condition to take those variables into 
account?
     We considered but are not proposing an alternative way to 
satisfy the risk retention shelf eligibility condition based on 
retention of randomly-selected exposures. We are concerned about the 
ability to subsequently demonstrate the randomness of the random 
selection process, including for purposes of monitoring or auditing. 
Should we include this alternative? Are there any mechanisms that we 
could adopt that would ensure adequate monitoring of the randomization 
process if such an alternative were permitted? For example, would our 
concerns be addressed if the sponsor was required to provide a third 
party opinion that the selection process has been random and that 
retained exposures are equivalent (i.e., share a similar risk profile) 
to the securitized exposures? Would this be sufficient? Would this 
opinion resemble a credit rating, raising the same issues that rule 
reliance on credit ratings has had? If this approach were taken, should 
we impose any requirements on the characteristics of such a third 
party? Should that third party be considered an expert for purposes of 
the registration statement?
     If we adopted a random selection alternative, should we 
require the same disclosure regarding the securitized exposures that 
are subject to risk retention that is required for the assets in the 
pool at the time of securitization and on an ongoing basis? Should the 
shelf eligibility condition require that the retained exposures be 
subject to the same servicing as the securitized exposures?
     Instead of requiring risk retention as a condition for 
shelf eligibility, should risk retention be made voluntary for shelf-
eligible offerings and issuers only be required to add specified 
disclosure on the interest that the sponsor or other transaction 
participants retain? In other words, instead of mandating a certain 
amount of risk retention, should the requirement be that issuers 
disclose the percentage of risk retained and in what form? As discussed 
in greater detail in section III.C.3 of the release, we are also 
proposing to revise Items 1104, 1108 and 1110 of Regulation AB to 
require disclosure regarding the sponsor's, a servicer's or a 20% 
originator's interest retained in the transaction, including amount and 
nature of that interest. This information would be required for both 
shelf and non-shelf offerings. If those proposed risk retention 
disclosure requirements were adopted, would there be a need for or a 
significant incremental benefit from mandating specific minimum risk 
retention as a condition of shelf eligibility? Could this incremental 
benefit be achieved strictly through a market-based mechanism--for 
example, through fully-disclosed ABS covenants in which the sponsor 
pre-commits to retain a minimum percentage of the risk of the deal, as 
opposed to a regulatory requirement? Is the disclosure proposed to be 
required below sufficient to achieve such a benefit, and if not, what 
additional disclosures should we require? Would disclosure of the risk 
retention be a sufficient indicator of shelf-eligible offerings? Should 
we condition shelf eligibility on requiring the sponsor to covenant 
that it would maintain a minimum percentage of risk retention? If so, 
should we provide any limitations on the covenant (e.g., what 
percentage of tranche or assets must be retained, manner of sponsor's 
retention, no hedging)? What are the limitations to a market-based 
mechanism for risk retention? Would such a transaction covenant be 
credible and enforceable? Would requiring this transaction covenant, 
along with disclosure of risk retention pursuant to the covenant, 
sufficiently distinguish those offerings that should be made shelf 
eligible from those that should not?
     Should net economic interest be measured at the time of 
origination/issuance as proposed? Would a different measurement date be 
more appropriate (e.g., the securitization cut-off date)? If the 
interest were measured at the time of securitization cut-off date, 
could this cause issuers to change various terms? Is the amount of 
retention that is required to be retained on an ongoing basis 
appropriate? Why or why not?
     Should revolving asset master trusts be permitted to 
satisfy the shelf eligibility requirement by retaining the originator's 
interest, as proposed? In those cases, should we require as proposed 
that the originator's interest and securities held by investors are 
collectively backed by the same pool of receivables, and payments of 
the originator's interest are not less than five percent of payments of 
the securities held by investors collectively? Is that typical in 
credit card issuances?
     Are the proposed netting provisions appropriate? Do we 
need to provide more guidance on what kind of hedges would be netted 
against the retained risk? Is the proposed ``directly related'' 
standard appropriate? Is it sufficiently clear what type of hedges 
would be allowed? Are there certain forms of hedges that we should 
indicate would not be netted against the retained risk? Is there any 
concern that sponsors may inadvertently hedge the economic risk 
required to be retained? If so, do we need to address that and what is 
the best way for us to address it? Should we expand the proposed 
netting provisions to other types of hedging? Should we narrow the 
proposed netting provisions in any way?
     Should the sponsor be allowed to sell off the retained 
interest after a certain point in time while non-affiliates of the 
depositor still hold securities and still remain shelf eligible? If so, 
when? Would that undermine the purpose of the condition? If not, why 
not?
     Should there be an alternate condition to the risk 
retention shelf eligibility condition? For instance, should risk 
retention apply to RMBS

[[Page 23343]]

that are backed by mortgages that are not qualified mortgages, as 
defined H.R. 1728,\126\ a recent legislative proposal? \127\ Would it 
be appropriate to require risk retention unless full documentation has 
been provided for the assets, the borrower meets a certain minimum 
credit score, or the terms of the loan do not involve balloon payments? 
Would such requirements for the mortgages in the pool be a better 
condition to shelf eligibility than the proposed risk retention shelf 
eligibility condition? Would such a shelf eligibility condition be 
difficult to implement? Should we instead condition shelf eligibility 
on risk retention for loans with an annual percentage rate that exceeds 
the average prime offer rate for a comparable transaction as of the 
date the interest rate is set by 1.5 or more percentage points for 
loans secured by a first lien on a dwelling, or by 3.5 or more 
percentage points for loans secured by a subordinate lien on a 
dwelling? \128\ How would we structure a condition that relates to 
specified characteristics of the assets for other asset classes that 
may not have those variables or those industry standards or have 
different underwriting standards? What would be the appropriate 
categories and thresholds? Do those appropriate categories and 
thresholds differ for different classes? If so, how? Are there 
securitized asset classes that have no clear or established standards 
that could demarcate assets meriting shelf eligibility and those that 
do not?
---------------------------------------------------------------------------

    \126\ See, e.g., Mortgage Reform and Anti-Predatory Lending Act, 
H.R. 1728, 111th Congress.
    \127\ At Sec.  203 in H.R. 1728, a qualified mortgage is defined 
as a mortgage:
    (i) That does not allow a consumer to defer repayment of 
principal or interest, or is not otherwise deemed a `non-traditional 
mortgage' under guidance, advisories, or regulations prescribed by 
the Federal Banking Agencies;
    (ii) That does not provide for a repayment schedule that results 
in negative amortization at any time;
    (iii) For which the terms are fully amortizing and which does 
not result in a balloon payment, where a `balloon payment' is a 
scheduled payment that is more than twice as large as the average of 
earlier scheduled payments;
    (iv) Which has an annual percentage rate that does not exceed 
the average prime offer rate for a comparable transaction, as of the 
date the interest rate is set--
    (I) By 1.5 or more percentage points, in the case of a first 
lien residential mortgage loan having an original principal 
obligation amount that is equal to or less than the amount of the 
maximum limitation on the original principal obligation of mortgage 
in effect for a residence of the applicable size, as of the date of 
such interest rate set, pursuant to the sixth sentence of section 
305(a)(2) the Federal Home Loan Mortgage Corporation Act (12 U.S.C. 
1454(a)(2));
    (II) By 2.5 or more percentage points, in the case of a first 
lien residential mortgage loan having an original principal 
obligation amount that is more than the amount of the maximum 
limitation on the original principal obligation of mortgage in 
effect for a residence of the applicable size, as of the date of 
such interest rate set, pursuant to the sixth sentence of section 
305(a)(2) the Federal Home Loan Mortgage Corporation Act (12 U.S.C. 
1454(a)(2)); and
    (III) By 3.5 or more percentage points, in the case of a 
subordinate lien residential mortgage loan;
    (v) For which the income and financial resources relied upon to 
qualify the obligors on the loan are verified and documented
    (vi) In the case of a fixed rate loan, for which the 
underwriting process is based on a payment schedule that fully 
amortizes the loan over the loan term and takes into account all 
applicable taxes, insurance, and assessments;
    (vii) In the case of an adjustable rate loan, for which the 
underwriting is based on the maximum rate permitted under the loan 
during the first seven years, and a payment schedule that fully 
amortizes the loan over the loan term and takes into account all 
applicable taxes, insurance, and assessments;
    (viii) That does not cause the consumer's total monthly debts, 
including amounts under the loan, to exceed a percentage established 
by regulation of the consumer's monthly gross income or such other 
maximum percentage of such income as may be prescribed by regulation 
under paragraph (4), and such rules shall also take into 
consideration the consumer's income available to pay regular 
expenses after payment of all installment and revolving debt;
    (ix) For which the total points and fees payable in connection 
with the loan do not exceed 2 percent of the total loan amount, 
where `points and fees' means points and fees as defined by Section 
103(aa)(4) of the Truth in Lending Act (15 U.S.C. 1602(aa)(4)); and
    (x) For which the term of the loan does not exceed 30 years, 
except as such term may be extended under paragraph (4).
    \128\ See definition of ``higher-priced mortgage loans'' in 12 
CFR 226.35(a) and Truth in Lending, Federal Reserve System, 73 FR 
44522 (July 30, 2008).
---------------------------------------------------------------------------

     The residual interest of a commercial mortgage 
securitization is typically sold to a third party purchaser, also known 
as the ``B-piece buyer,'' before the issuance of the securities. In 
light of this practice, should we permit third party retention of a 
portion of the securitization to fulfill the shelf eligibility 
condition? How can we ensure that incentives between the sponsor and 
investors are aligned in a manner that results in higher quality if the 
sponsor is permitted to sell off its risk to a third party? For 
example, should such a shelf eligibility condition require that if a 
third party will retain the credit risk, the third party purchaser must 
retain a higher percentage (e.g., ten or 15%) of the risk, rather than 
five percent? If we allow this approach, should we condition shelf 
eligibility on a requirement that the third party separately examine 
the assets in the pool and/or not sell or hedge its holdings? Are there 
reasons we should, or should not, permit a third party to retain risk 
in order to satisfy the proposed risk retention condition? \129\
---------------------------------------------------------------------------

    \129\ In recent years, it was not uncommon for the 
securitization residual or equity interests to be repackaged into 
CDOs and sold in the private markets.
---------------------------------------------------------------------------

     Should any asset classes or types of securities be exempt 
from the proposed risk retention shelf eligibility condition or have 
different risk retention requirements apply? Because of the unique 
nature of residential mortgages in the financial markets, should risk 
retention apply to shelf offerings of residential mortgage-backed 
securities (RMBS) but not offerings of other ABS? If so, what would be 
an appropriate partial substitute for investment grade rating for shelf 
eligibility for those other asset classes?
     How would the proposed risk retention shelf eligibility 
condition impact how sellers account for the transfer of assets in a 
securitization transaction? Is it desirable to revise the proposal to 
lessen that impact and if so, how?
     Would the proposal have an impact on the true sale at law 
of the assets or on the rights of ABS investors as a result of 
conservatorship, receivership or bankruptcy of the originator or 
sponsor? If so, how can we revise the proposed risk retention condition 
to require risk retention without jeopardizing the transfer of assets 
as a true sale at law or the remoteness of those assets in the event of 
any bankruptcy, conservatorship, or receivership of the sponsor or 
originator?
     We note that FINRA Rule 5130 (Restrictions on the Purchase 
and Sale of IPOs of Equity Securities) generally prohibits FINRA 
members from selling initial public offerings to broker dealers and 
their affiliates. The rule is designed to protect the integrity of the 
public offering process by ensuring that: (1) Members make bona fide 
public offerings of securities at the offering price; (2) members do 
not withhold securities in a public offering for their own benefit or 
use securities to reward persons who can give them future business; and 
(3) industry insiders do not take advantage of their insider position 
to purchase IPOs for their own benefit at the expense of the 
public.\130\ Under FINRA's rules, if an ABS is an equity security, it 
is excluded from the application of the rule if the security is sold 
pursuant to an exemption under the Securities Act or if it is an 
offering of investment grade rated ABS. Will this rule have any 
significant impact on the ability to retain risk as a requirement for 
shelf eligibility? While our rule changes would eliminate references to 
credit ratings, sponsors may still obtain ratings, which would 
potentially qualify

[[Page 23344]]

the offering for this exemption. Alternatively, FINRA could change its 
rule to provide the exemption to shelf-eligible ABS rather than 
investment grade rated ABS. Are there any other regulations or rules 
that may impact the retention of risk?
---------------------------------------------------------------------------

    \130\ NASD notice to Members 03-79 (March 23, 2004) Initial 
Public Offerings.
---------------------------------------------------------------------------

(b) Third Party Review of Repurchase Obligations
    In the underlying transaction agreements for an asset 
securitization, sponsors or originators typically make representations 
and warranties relating to the pool assets and their origination, 
including about the quality of the pool assets. For instance, in the 
case of residential mortgage-backed securities, one such representation 
and warranty is that each of the loans has complied with applicable 
federal, state and local laws, including truth-in-lending, consumer 
credit protection, predatory and abusive laws and disclosure laws. 
Another representation that may be included is that no fraud has taken 
place in connection with the origination of the assets on the part of 
the originator or any party involved in the origination of the assets. 
Upon discovery that a pool asset does not comply with the 
representation or warranty, under transaction covenants, an obligated 
party, typically the sponsor, must repurchase the asset or substitute 
the non-compliant asset with a different asset that complies with the 
representations and warranties.
    The effectiveness of these contractual provisions has been 
questioned and lack of responsiveness by sponsors to potential breaches 
of the representations and warranties relating to the pool assets has 
been the subject of investor complaint.\131\ Transaction agreements 
typically have not included specific mechanisms to identify breaches of 
representations and warranties or to resolve a question as to whether a 
breach of the representations and warranties has occurred.\132\ Thus, 
these contractual agreements have frequently been ineffective because 
without access to documents relating to each pool asset, it can be 
difficult for the trustee, which typically notifies the sponsor of an 
alleged breach, to determine whether or not a representation or 
warranty relating to a pool asset has been breached. Investors and 
trustees must rely on the sponsor to provide the necessary 
documentation about the assets in question. Without further safeguards, 
the protective quality of the representations and warranties can be 
compromised.
---------------------------------------------------------------------------

    \131\ See the Committee on Capital Markets Regulation Financial 
Crisis Report, at 135 (noting that contractual provisions have 
proven to be of little practical value to investors during the 
crisis); see also Investors Proceeding with Countrywide Lawsuit, 
Mortgage Servicing News, Feb. 1, 2009 (describing class action 
investor suit against Countrywide in which investors claim that 
language in the pooling and servicing agreements requires the 
seller/servicer to repurchase loans that were originated with 
``predatory'' or abusive lending practices) and American 
Securitization Forum, ASF Releases Model Representations and 
Warranties to Bolster Risk Retention and Transparency in Mortgage 
Securitizations, (Dec. 15, 2009), available at http://www.americansecuritization.com/. Only large investors of ABS such as 
Fannie Mae and Freddie Mac have been able to exercise repurchase 
demands. See Aparajita Saha-Bubna, ``Repurchased Loans Putting Banks 
in Hole,'' Wall Street Journal (Mar. 8, 2010) (noting that most 
mortgages bouncing back to lenders are coming from Fannie Mae and 
Freddie Mac).
    \132\ See also Moody's Investors Service, Inc., Special Report: 
Moody's Criteria for Evaluating Representations and Warranties in 
U.S. Residential Mortgage Backed Securitizations (RMBS), November 
24, 2008 (noting that historically RMBS have not incorporated 
mechanisms and procedures to identify breaches of representations 
and warranties and recommending that post-securitization forensic 
reviews be conducted by an independent third party for delinquent 
loans).
---------------------------------------------------------------------------

    We are proposing to require as a condition to shelf eligibility, 
that the pooling and servicing agreement or other transaction agreement 
for the securitization, which is required to be filed with the 
Commission,\133\ contain a specified provision to enhance the 
protective nature of the representations and warranties. The specified 
provision would require the obligated party (i.e. the representing and 
warranting party) to furnish a third party's opinion relating to any 
asset for which the trustee has asserted a breach of any representation 
or warranty and for which the asset was not repurchased or replaced by 
the obligated party on the basis of an assertion that the asset met the 
representations and warranties contained in the pooling and servicing 
or other agreement.\134\ The third party opinion would confirm that the 
asset did not violate a representation or warranty contained in the 
pooling and servicing agreement or other transaction agreement. Because 
we believe that annual review of the assets is not sufficient to 
address investors' concerns regarding the enforceability of these 
provisions in the underlying transaction documents, the opinion would 
be required to be furnished to the trustee at least quarterly.
---------------------------------------------------------------------------

    \133\ ABS issuers are currently required to file these 
agreements as an exhibit to the registration statement.
    \134\ See proposed General Instruction I.B.1(b) of proposed Form 
SF-3. Under existing rules, the transaction agreement is required to 
be filed as an exhibit to the registration statement. See Item 601 
of Regulation S-K [17 CFR 229.601].
---------------------------------------------------------------------------

    To better ensure that the opinion is impartial, we are proposing to 
require that the third party providing the opinion not be an affiliate 
of the obligated party. This proposed third party loan review condition 
to shelf eligibility is designed to help ensure that representations 
and warranties about the assets provide meaningful protection to 
investors, which should encourage sponsors to include higher quality 
assets in the asset pool.\135\ As a result, we believe that this 
proposed condition is an appropriate partial substitute for the 
investment grade ratings requirement.
---------------------------------------------------------------------------

    \135\ As described below, we also propose to add a disclosure 
requirement to Exchange Act Form 10-D that would require disclosure 
of the number of loans that have been presented for repurchase to 
the party obligated to repurchase the assets under the transaction 
agreements and the number of those assets that have not been 
repurchased or replaced.
---------------------------------------------------------------------------

Request for Comment

     Is this proposed condition an appropriate shelf 
eligibility condition for ABS offerings?
     Would this proposed condition, which would only require an 
undertaking from the issuer, have a measurable benefit to investors? 
Should we require more assurance that third party opinions have been 
provided to investors as a condition to shelf eligibility? For example, 
should we instead condition eligibility on receipt of a certification 
from the trustee in offerings of the same asset class by the depositor 
or its affiliates to the effect that all required opinions have been 
obtained? Should we condition eligibility on a requirement that the 
trustee provide notice if required third party opinions are not 
obtained, along with an absence of a notice from the trustee to the 
effect that there was a failure to provide required opinions?
     Should we provide more guidelines in this shelf 
eligibility condition regarding the specifics of the provision that 
would be required to be included in the pooling and servicing or other 
agreement? If so, what should be detailed?
     Should the proposed condition provide any further 
specification of the terms of the third party opinion provision?
     Is it appropriate to require, as proposed, the third party 
to be non-affiliated with the obligated party? Should we specify 
further any requirements relating to providers of the third party 
opinion? Should we specify that the third party opinion provider must 
be an independent expert, similar to what is required in Section 
314(d)(1) \136\ of the Trust Indenture Act of 1939? \137\
---------------------------------------------------------------------------

    \136\ 15 U.S.C. 77nnn(d)(1).
    \137\ 15 U.S.C. 77aaa et seq.

---------------------------------------------------------------------------

[[Page 23345]]

     Should we specify who should provide the third party 
opinion or who should not be permitted to provide the opinion? Should 
diligence firms that provide third party pre-securitization review of a 
random sample of assets be allowed to provide this opinion? Should we 
specify that it must be a legal opinion? Would attorneys or law firms 
be willing to provide this opinion? Why or why not? Would it be 
appropriate to allow a sponsor's in-house counsel to provide the 
opinion? If a law firm provides the opinion, should we prohibit the law 
firm that assisted in the offering from providing such an opinion?
     Based on existing attestation standards of either the 
PCAOB or AICPA, we do not believe that the proposed opinion could be 
provided by a public accountant. Would a public accountant be able to 
provide the proposed opinion under existing attestation standards? If 
so, which standard or standards should be applied, what level of 
assurance should be provided and how should the third party opinion be 
reported?
     Should we provide that the third party opinion must cover 
all of the representations and warranties in the agreement related to 
the assets, as proposed? Instead, are there certain representations and 
warranties that are the most significant that the opinion should cover? 
Are there types of representations and warranties that the third party 
opinion should not be required to opine on? For example, are there 
certain representations and warranties that an attorney or a law firm 
would not be able to opine on? If so, why?
     Are there any other types of limitations that a third 
party opinion provider would or should place on the required opinion? 
In general, what type of exam, assessment or evaluation would a third 
party opinion provider need to make in order to provide the required 
opinion?
     How costly or burdensome would it be for an issuer to be 
required to have a third party provide an opinion to satisfy the 
proposed shelf eligibility condition? Would this impose too much burden 
on ABS issuers? Are there ways to lessen the cost?
     Should the third party opinion be required to be furnished 
annually rather than quarterly, as proposed?
     Should we require that the third party opinion also be 
filed as an exhibit to an Exchange Act report?
     We are aware of some insurance providers that have offered 
to insure in the context of mergers and acquisitions any breach of the 
representations and warranties in the transaction agreement. As an 
alternative to conditioning ABS shelf eligibility on an undertaking in 
the transaction agreement that the issuer furnish a third party opinion 
on assets not repurchased (or instead of the proposed condition), 
should we allow the issuer to purchase insurance to insure a minimum 
amount or percentage of the sponsor or originator's obligations under 
the transaction agreement? If so, what kind of disclosure should we 
require about the insurance provider? How can we ensure that this 
alternative method of meeting shelf eligibility adequately improves the 
incentive structure and therefore the quality of the securities?
(c) Certification of the Depositor's Chief Executive Officer
    We also are proposing to establish a requirement that, as a 
condition to ABS shelf eligibility to replace investment grade ratings 
criteria, the issuer provide a certification signed by the chief 
executive officer of the depositor of the securitization regarding the 
assets underlying the securities for each offering.\138\ The 
certification would require the depositor's chief executive officer to 
certify that to his or her knowledge, the assets have characteristics 
that provide a reasonable basis to believe they will produce, taking 
into account internal credit enhancements, cash flows at times and in 
amounts necessary to service payments on the securities as described in 
the prospectus. This officer would also certify that he or she has 
reviewed the prospectus and the necessary documents for this 
certification.\139\
---------------------------------------------------------------------------

    \138\ See proposed General Instruction I.B.1(c) to proposed Form 
SF-3.
    \139\ This condition is similar to the current disclosure 
requirements for asset-backed issuers in the European Union. Annex 
VIII, Disclosure Requirements for the Asset-Backed Securities 
Additional Building Block, Section 2.1 (European Commission 
Regulation (EC) No. 809/2004 (April 29, 2004). The EU requires 
asset-backed issuers to disclose in each prospectus that the 
securitized assets backing the issue have characteristics that 
demonstrate capacity to produce funds to service any payments due 
and payable on the securities. Similarly, under the North American 
Securities Administrator's Association (NASAA)'s guidelines for 
registration of asset-backed securities, sponsors are required to 
demonstrate that for securities without an investment grade rating, 
based on eligibility criteria or specifically identified assets, the 
eligible assets being pooled will generate sufficient cash flow to 
make all scheduled payments on the asset-backed securities after 
taking certain allowed expenses into consideration. The guidelines 
are available at www.nasaa.org.
---------------------------------------------------------------------------

    Because we would frame this ABS shelf eligibility condition as a 
certification requirement instead of a disclosure requirement, we are 
using slightly different language than a similar EU disclosure 
requirement in order to more precisely outline what the officer is 
certifying to. We are proposing a certification rather than a 
disclosure requirement because we preliminarily believe the potential 
focus on the transaction and the disclosure that may result from an 
individual providing a certification should lead to enhanced quality of 
the securitization.\140\ We believe, as we did when we proposed the 
certification for Exchange Act periodic reports, that a certification 
may cause these officials to review more carefully the disclosure, and 
in this case, the transaction, and to participate more extensively in 
the oversight of the transaction.\141\
---------------------------------------------------------------------------

    \140\ For instance, a depositor's chief executive officer may 
conclude that in order to provide the certification, he or she must 
analyze a structural review of the securitization. Rating agencies 
would also conduct a structural review of the securitization when 
issuing a rating on the securities.
    \141\ See Certification of Disclosure in Companies' Quarterly 
and Annual Reports, Release No. 34-46079 June 14, 2002. See also 
Testimony Concerning Implementation of the Sarbanes-Oxley Act of 
2002 by William H. Donaldson, Chairman U.S. Securities and Exchange 
Commission Before the Senate Committee on Banking, Housing and Urban 
Affairs (September 9, 2003) (noting that a consequence of ``the 
combination of the certification requirements and the requirement to 
establish and maintain disclosure controls and procedures has been 
to focus appropriate increased senior executive attention on 
disclosure responsibilities and has had a very significant impact to 
date in improving financial reporting and other disclosure'').
---------------------------------------------------------------------------

    We are proposing that the statements required in the certification 
would be made based on the knowledge of the certifying officer. As 
signatories to the registration statement, we would expect that chief 
executive officers of depositors would have reviewed the necessary 
documents regarding the assets, transactions and disclosures. Under 
current requirements, the registration statement for an ABS offering is 
required to include a description of the material characteristics of 
the asset pool,\142\ as well as information about the flow of funds for 
the transaction, including the payment allocations, rights and 
distribution priorities among all classes of the issuing entity's 
securities, and within each class, with respect to cash flows, credit 
enhancement and any other structural features in the transaction.\143\ 
The proposed certification would be an explicit representation by the 
chief executive officer of the depositor of what is already implicit in 
this disclosure

[[Page 23346]]

contained in the registration statement.\144\ This is similar to the 
certifications of Exchange Act periodic reports required by Exchange 
Act Rules 13a-14 and 15d-14,\145\ which also refer to the disclosure. 
As with the certifications required by these rules, the language of the 
proposed certification could not be altered. Instead, any issues in 
providing the certification would need to be addressed through 
disclosure in the prospectus.\146\ For instance, if the prospectus 
describes the risk of non-payment, or probability of non-payment, or 
other risks that such cash flows will not be produced or such payments 
will not be made, then those disclosures would be taken into 
consideration in signing the certification.
---------------------------------------------------------------------------

    \142\ See Item 1111 of Regulation AB [17 CFR 229.1111].
    \143\ See Item 202 of Regulation S-K [17 CFR 229.202] and Item 
1113 of Regulation AB [17 CFR 229.1113].
    \144\ This approach is somewhat similar to the approach we took 
with Regulation AC, which requires certifications from analysts. We 
noted there that Regulation AC makes explicit the representations 
that are already implicit when an analyst publishes his or her 
views--that the analysis of a security published by the analyst 
reflects the analyst's honestly held views. Section II of Regulation 
Analyst Certification, Release No. 33-8193 (Feb. 23, 2003) [68 FR 
9482].
    \145\ 17 CFR 240.13a-14 and 17 CFR 240.15d-14.
    \146\ See Section III.D.6 of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    The chief executive officer of the depositor is already responsible 
as signatory of the registration statement for the issuer's disclosure 
in the prospectus and can be liable for material misstatements or 
omissions under the federal securities laws.\147\ An officer providing 
a false certification potentially could be subject to Commission action 
for violating Securities Act Section 17.\148\ The certification would 
be a statement of what is known by the signatory at the time of the 
offering and would not serve as a guarantee of payment of the 
securities.
---------------------------------------------------------------------------

    \147\ See Securities Act Section 11 (15 U.S.C. 77k(a)) and 
Exchange Act Section 10(b) (15 U.S.C. 78j(b)).
    \148\ 15 U.S.C. 77q(a).
---------------------------------------------------------------------------

    Under our proposal, this certification would be an additional 
exhibit requirement for the shelf registration statement that would not 
be applicable to the non-shelf registration statement, Form SF-1, and 
that would be required to be filed by the time the final prospectus is 
required to be filed under Rule 424.\149\ We believe that requiring the 
chief executive officer of the depositor to sign the certification is 
consistent with other signature requirements for asset-backed 
securities.\150\
---------------------------------------------------------------------------

    \149\ See proposed revision to Item 601(b) of Regulation S-K.
    \150\ See, e.g., Item 601(b)(31)(ii) of Regulation S-K (exhibit 
requirement for ABS regarding certification required by Exchange Act 
Rules 13a-14(d) and 15d-14(d)).
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require certification appropriate as a 
condition to shelf eligibility? Would investors find the certification 
valuable?
     Is the proposed language for the certification requirement 
appropriate? Should we revise it in any way? Should we require that the 
officer certify that he has a reasonable basis to believe that the 
assets will produce cash flows at times and in amounts necessary to 
service payments on the securities as described in the prospectus 
(rather than certify that the assets have characteristics that provide 
a reasonable basis to believe that the assets will produce cash flows 
at times and amounts necessary to service payments as described)?
     Should we identify the level of inquiry required by the 
executive officer? Should we specify which documents (other than the 
prospectus) would need to be reviewed for purposes of the 
certification, and, if so, which ones should we specify?
     Under the proposal, the certifying officer could take into 
account internal credit enhancements for purposes of evaluating whether 
the assets have characteristics that provide a reasonable basis to 
believe they will produce cash flows at times and in amounts necessary 
to service payments on the securities as described in the prospectus. 
Should we also permit the certifying officer to also take into account 
external credit enhancements that may be utilized in the 
securitization? \151\
---------------------------------------------------------------------------

    \151\ Examples of external credit enhancement may include third 
party insurance to reimburse losses on the pool assets or the 
securities or an interest rate swap or similar swap transaction to 
provide incidental changes to cash-flow and return.
---------------------------------------------------------------------------

     Are there concerns that it is not possible for any 
individual to be in a position to certify that the assets in the pool 
have characteristics that provide a reasonable basis to believe they 
will produce, taking into account internal credit enhancements, cash 
flows at times and in amounts necessary to service payments on the 
securities as described in the prospectus? If so, how can we address 
those concerns or are there steps we should take to ensure that the 
level of uncertainty in the structure and assets is clear to investors?
     Instead of, or in addition to, requiring a certification, 
should we require the sponsor to disclose its estimates of default 
probability for all tranches in the transaction, default probability of 
loans in the pool, and/or the expected recovery rate on the loans 
conditional on default? Such estimates would be expected to be 
consistent with assumptions used in sponsors' internal modeling. Would 
this disclosure potentially provide investors useful insights into the 
sponsor's view of the creditworthiness of pool assets and the 
securitization overall? Would it convey information similar to that 
contained in credit ratings, which also have, historically, reflected 
beliefs about default probabilities and expected recovery rates? Do 
sponsors currently have internal models, or make internal assumptions 
for valuation purposes, that could be used to readily produce these 
numbers? If so, should we require that disclosed estimates be 
consistent with those used in sponsors' internal models? Should we 
indicate whether or not such disclosures constitute forward-looking 
statements?
     Should the chief executive officer of the depositor, as 
proposed, be required to sign the certification, or should an 
individual in a different position be required to certify? Which 
individual should be required to sign the certification? Should we 
instead require that the certification be signed by the senior officer 
of the depositor in charge of securitization, consistent with other 
signature requirements for ABS? Given that the depositor is often a 
special purpose subsidiary of the sponsor, would it be more appropriate 
to have an officer of the sponsor sign the certification? If so, should 
it be the senior officer in charge of securitization or some other 
officer of the sponsor?
     Is it appropriate to require the certification be filed as 
an exhibit to the registration statement at the time of the final 
prospectus by means of a Form 8-K?
(d) Undertaking To File Ongoing Reports
    Our last proposed new shelf eligibility criterion replacing the 
investment grade ratings requirement is a requirement that the issuer 
provide an undertaking to file Exchange Act reports with the Commission 
on an ongoing basis. Exchange Act Section 15(d) requires an issuer with 
an effective Securities Act registration statement to file ongoing 
reports with the Commission. However, the statute also provides that 
for issuers that do not also have a class of securities registered 
under the Exchange Act the duty to file ongoing reports is 
automatically suspended after the first year if the securities of each 
class to which the registration statement relates are held of record by 
less than three hundred persons. As a result, typically the reporting 
obligations of all asset-

[[Page 23347]]

backed issuers,\152\ other than those with master trust 
structures,\153\ are suspended after they have filed one annual report 
on Form 10-K because the number of record holders falls below, often 
significantly below, the 300 record holder threshold.\154\
---------------------------------------------------------------------------

    \152\ Under Rule 3b-19 under the Exchange Act [17 CFR 240.3b-
19], an issuer is defined in relation to asset-backed securities in 
the following way:
    (a) The depositor for the asset-backed securities acting solely 
in its capacity as depositor to the issuing entity is the ``issuer'' 
for purposes of the asset-backed securities of that issuing entity.
    (b) The person acting in the capacity as the depositor specified 
in paragraph (a) is a different ``issuer'' from that same person 
acting as a depositor for another issuing entity or for purposes of 
that person's own securities.
    \153\ In a securitization using a master trust structure, the 
ABS transaction contemplates future issuances of asset-backed 
securities backed by the same, but expanded, asset pool that 
consists of revolving assets. Pre-existing securities also would 
therefore be backed by the same expanded asset pool.
    \154\ One source noted that in a survey of 100 randomly selected 
asset-backed transactions, the number of record holders provided in 
reports on Form 15 ranged from two to more than 70. The survey did 
not consider beneficial owner numbers. See Committee on Capital 
Markets Regulation Financial Crisis Report, at fn. 349.
---------------------------------------------------------------------------

    In the proposing release for Regulation AB, we requested comment on 
whether the ability to suspend reporting under Section 15(d) should be 
revisited.\155\ One investor group recommended conditioning ABS shelf 
registration upon an issuer agreeing either to continue filing reports 
under Section 15(d) or to make publicly available on their Web sites 
copies of reports that contain the information required by Form 10-
D.\156\ While in 2004 we did not adopt rules that would create ongoing 
reporting obligations for asset-backed issuers, we did note that the 
concerns raised by investors confirm the importance to investors of 
post-issuance reporting of information regarding an ABS transaction in 
understanding transaction performance and in making ongoing investment 
decisions.\157\
---------------------------------------------------------------------------

    \155\ See Section III.D.2 of Asset-Backed Securities, Release 
No. 33-8419 (May 3, 2004) [69 FR 26650].
    \156\ See comment letter from Investment Company Institute 
(ICI).
    \157\ See Section III.A.3.d of the 2004 ABS Adopting Release. We 
noted that modifying the reporting obligation would raise broad 
issues about the treatment of other non-ABS issuers that do not have 
public common equity. We believe our ABS shelf eligibility proposal 
is sufficiently distinguishable from the treatment of non-ABS 
issuers.
---------------------------------------------------------------------------

    We are proposing to require as a condition to ABS shelf eligibility 
that the issuer undertake to file with the Commission reports to 
provide disclosure as would be required pursuant to Exchange Act 
Section 15(d) and the rules thereunder, if the issuer were required to 
report under that section.\158\ The issuer's reporting obligation under 
the undertaking would extend as long as non-affiliates of the depositor 
hold any of the issuer's securities that were sold in registered 
transactions.\159\ We believe that ongoing reporting of an asset-backed 
issuer would provide investors and the markets with transparency 
regarding many aspects about the ongoing performance of the securities 
and servicer in its compliance with servicing criteria, among other 
things. We believe this transparency is important for investors and the 
market and that it is appropriate to encourage ABS issuers to provide 
ongoing reports by conditioning shelf eligibility on an undertaking to 
do so. Thus, we believe this requirement is a reasonable additional 
condition to shelf eligibility. In conjunction with our proposal to 
require asset-level information, it may prove even more useful to 
investors.\160\
---------------------------------------------------------------------------

    \158\ See proposed Item 512(a)(7)(ii) of Regulation S-K.
    \159\ We also are proposing to add a checkbox to the cover page 
of Forms 10-K, 10-D, and 8-K where the issuer would be required to 
indicate whether the report is being filed pursuant to the proposed 
undertaking.
    \160\ See the Committee on Capital Markets Regulation Financial 
Crisis Report, at 151-152 (noting that loan-level data is not useful 
if issuers can opt out of periodic reporting and recommending that 
the Commission consider whether Section 15(d) of the Exchange Act 
should apply to the typical RMBS issuance); Statement of Paul Schott 
Stevens President and CEO, ICI, for SEC Roundtable on Oversight of 
Credit Rating Agencies, April 15, 2009, available at http://www.sec.gov/comments/4-579/4579-15.pdf (recommending that the 
Commission require disclosure under Regulation AB be required to be 
made on an ongoing basis in spite of Section 15(d)).
---------------------------------------------------------------------------

    In connection with this shelf eligibility condition, we are 
proposing to require disclosure in the prospectus that is filed as part 
of the registration statement that the issuer has undertaken and will 
file with the Commission the reports as would be required pursuant to 
Exchange Act Section 15(d) and the rules thereunder if the issuer were 
required to report under that section. Such disclosure would be subject 
to the same liability as other disclosure in the prospectus.
    Also, we are proposing to add a disclosure requirement to Item 1106 
of Regulation AB \161\ that would require disclosure in a prospectus of 
any failure in the last year of an issuing entity established by the 
depositor or any affiliate of the depositor to file, or file in a 
timely manner, an Exchange Act report that was required either by rule 
or by virtue of an undertaking. We are proposing further changes to ABS 
shelf eligibility requirements in connection with the proposed 
condition, as discussed in the following section.
---------------------------------------------------------------------------

    \161\ 17 CFR 229.1106.
---------------------------------------------------------------------------

Request for Comment

     We request comment on our proposal to require ABS issuers 
who wish to conduct delayed shelf offerings to undertake to file 
reports that would be required under Section 15(d) of the Exchange Act 
for as long as non-affiliates of the depositor hold any securities that 
were sold in registered transactions. Should we impose such a 
requirement? Should ABS issuers who use shelf registration be permitted 
to terminate their reporting obligations at an earlier period in time 
under shelf eligibility conditions? If so, when?
     Should we require, as proposed, the disclosure of any 
failure in the last year of an issuing entity established by the 
depositor or any affiliate of the depositor to file, or file in a 
timely manner, an Exchange Act report that was required either by rule 
or by virtue of the proposed undertaking?
     We request comment on all of the four new proposed shelf 
eligibility conditions in general. Are the proposed shelf eligibility 
conditions appropriate alternatives to the existing investment grade 
ratings requirement? If one or more of these proposed criteria are not 
adopted, should an investment grade rating continue to determine 
whether or not an ABS issuer is eligible for shelf registration? Or 
should we prohibit ABS issuers from using shelf registration 
altogether? What would the impact be if ABS issuers were prohibited 
from utilizing shelf registration? Do the proposed changes to the shelf 
registration procedures described above, coupled with the proposed 
shelf eligibility conditions, mitigate concerns about ABS issuers using 
shelf registration?
     Should our proposed shelf eligibility conditions (or some 
subset of them) be used in addition to the existing investment grade 
ratings requirement rather than replace it?
     What is the aggregate effect of the proposed revisions to 
shelf eligibility criteria and the shelf registration process for ABS 
offerings? If these revisions are adopted, would this make using non-
shelf registration (Form SF-1) more attractive to an ABS issuer? How 
would this change the costs and benefits analysis for using shelf 
registration for ABS issuers? Would this change cause shelf 
registration to be less attractive or become uneconomic?
     If we continue to condition shelf eligibility, in part, on 
characteristics of the securities that relate to quality, should we 
establish shelf eligibility based on different criteria than the four

[[Page 23348]]

proposed criteria? Should shelf eligibility be conditioned on a 
limitation of the capital structure of ABS offerings? For instance, 
should shelf offerings not be allowed to include leveraged tranches or 
should we limit the number of tranches? If so, how many (e.g., five, 
six, or seven)? Should we put restrictions on the size of each tranche? 
If so, how should we do that? Should we limit ABS shelf eligibility to 
offerings backed by assets that are seasoned for some period of time? 
If so, how much time for each asset class (e.g., six months, one year, 
or two years)? Are there certain standardized structures that we should 
use as a requirement for shelf offering?
(e) Other Proposed Form SF-3 Requirements
    We are proposing other amendments to Rule 401 and the instructions 
in proposed Form SF-3 relating to form eligibility. Currently, to be 
eligible to use Form S-3, the existing form for ABS shelf registration, 
an issuer must meet the form's registrant requirements, which generally 
pertain for ABS issuers to reporting history under the Exchange Act of 
the depositor and affiliates of the depositor with respect to the same 
asset class, and at least one of the form's transaction requirements. 
One of the current ABS transaction requirements for use of Form S-3 is 
that the securities are investment grade securities, and above we have 
described our proposals for four new transaction requirements for use 
of Form SF-3 that would replace the investment grade ratings 
requirement (i.e., risk retention, third party opinion review of 
repurchase demands, certification, and the undertaking to file Exchange 
Act reports). We are proposing to add new registrant requirements that 
pertain to compliance with the four proposed transaction requirements. 
These registrant requirements would be new shelf eligibility conditions 
to registration on proposed Form SF-3, and would also serve as the new 
eligibility conditions to be evaluated prior to conducting an offering 
off an effective Form SF-3 shelf registration statement.
(i) Registrant Requirements To Be Met for Filing a Form SF-3
    In order to be eligible to file a registration statement on 
proposed Form SF-3, we are proposing that the registrant meet the 
following new requirements. First, we are proposing to require that to 
the extent the sponsor or an affiliate of the sponsor of the ABS 
transaction being registered was required to retain risk with respect 
to a previous ABS offering involving the same asset class, then, at the 
time of filing the registration statement, such sponsor or affiliate 
must be holding the required risk.
    Second, we are proposing that to the extent the depositor or an 
issuing entity previously established, directly or indirectly, by the 
depositor or any affiliate of the depositor were at any time during the 
twelve calendar months and any portion of a month immediately preceding 
the filing of the registration statement required to comply with the 
other transaction requirements of Form SF-3 (``twelve-month look-back 
period''), with respect to a previous offering of securities involving 
the same asset class, the following requirements would apply:
     Such depositor and each such issuing entity must have 
timely filed all the transaction agreements that contained the required 
provision relating to the third party opinion review of repurchase 
demands; \162\
---------------------------------------------------------------------------

    \162\ Under our proposal discussed in Section III.F below, we 
are proposing to revise Item 1100(f) to require that exhibits be 
filed no later than the date of filing the final prospectus.
---------------------------------------------------------------------------

     Such depositor and each such issuing entity must have 
timely filed all the required certifications of the depositor's chief 
executive officer; and
     Such depositor and each such issuing entity must have 
filed all the reports that they had undertaken to file during the 
previous twelve months (or such shorter period during which the 
depositor or issuing entity had undertaken to file reports) as would be 
required under the Section 15(d) of Exchange Act if they were subject 
to the reporting requirements of that section.
    Third, as proposed, there must be disclosure in the registration 
statement on Form SF-3 stating that these proposed registrant 
requirements have been complied with.
    These proposed new registrant requirements are, in many respects, 
consistent with the existing Form S-3 registrant requirement relating 
to Exchange Act reporting.\163\ As with the existing Form S-3 Exchange 
Act reporting registrant requirement, which we are retaining for 
proposed Form SF-3, the proposed new registrant requirements would 
require specified compliance with respect to previous offerings of the 
depositor or its affiliates. The proposed twelve-month look-back period 
(except for the requirement relating to risk retention) is also 
consistent with the existing Form S-3 Exchange Act reporting registrant 
requirement. The proposed new registrant requirement relating to risk 
retention requires an issuer to measure its risk retention as of the 
date of filing the registration statement, which we believe is a 
reasonable requirement. As described in more detail below, we are not 
proposing to require the sponsor or an affiliate of the sponsor to 
ensure that all risk was retained at all times during the previous 
twelve calendar months, for purposes of shelf eligibility, out of a 
concern that it may be overly burdensome.
---------------------------------------------------------------------------

    \163\ Under existing Form S-3, prior to filing a registration 
statement, to the extent the depositor or any issuing entity 
previously established by the depositor or an affiliate of the 
depositor are or were at any time during the twelve calendar months 
and any portion of a month immediately preceding the filing of the 
Form S-3 required to file Exchange Act reports, with respect to a 
class of asset-backed securities involving the same asset class, 
such depositor and each such issuing entity must have filed all 
material required to be filed during the twelve months (or shorter 
period that the entity was required to have filed such materials). 
Also, such material, other than certain specified reports on Form 8-
K, must have been filed in a timely manner. See General Instruction 
I.A.4 to Form S-3.
---------------------------------------------------------------------------

(ii) Evaluation of Form SF-3 Eligibility in Lieu of Section 10(a)(3) 
Update
    Form S-3 eligibility under the current rules is determined at the 
time of filing the registration statement and at the time of updating 
that registration statement under Securities Act Section 10(a)(3) \164\ 
by filing audited financial statements. Because ABS registration 
statements do not contain financial statements of the issuer, a 
periodic determination of whether the issuer can continue to use the 
shelf would be specified by rule.\165\ Such an evaluation would also 
provide a means for the Commission and its staff to better oversee 
compliance with the proposed new Form SF-3 eligibility conditions that 
would replace the existing investment grade ratings requirement. 
Therefore, in lieu of Section 10(a)(3) updating, we are proposing to 
revise Rule 401 to require, as a condition to conducting an offering 
off an effective shelf registration statement, an annual evaluation of 
whether the Exchange Act reporting registrant requirements have been 
satisfied. Under the proposal, an ABS issuer wishing to conduct a 
takedown off an effective shelf registration statement must evaluate 
whether affiliated issuers that were required to report under Sections 
13(a) or 15(d) of the Exchange Act during the previous twelve months, 
have filed such reports on a timely basis, as of ninety

[[Page 23349]]

days after the end of the depositor's fiscal year end.\166\
---------------------------------------------------------------------------

    \164\ 15 U.S.C. 77j(a)(3).
    \165\ See Securities Act Rule 401(b) [17 CFR 230.401(b)].
    \166\ Under this proposal, the related registration statement 
could not be utilized for subsequent offerings for at least one year 
from the date the issuer that had failed to file Exchange Act 
reports then became current in its Exchange Act reports (and the 
other requirements had been met).
---------------------------------------------------------------------------

(iii) Quarterly Evaluation of Eligibility To Use Effective Form SF-3 
for Takedowns
    We also are proposing to require a quarterly evaluation of whether 
the ABS issuer has satisfied the proposed new registrant requirements 
relating to risk retention, third party opinions, the depositor's chief 
executive officer certification, and the undertaking to file ongoing 
reports. Under our proposal, an ABS issuer wishing to conduct a 
takedown off an effective shelf registration statement must evaluate 
its compliance with the proposed new registrant requirements as of the 
last day of the most recent fiscal quarter.
(A) Risk Retention
    Accordingly, if the interest that a sponsor was required under the 
proposed risk retention shelf eligibility condition to retain during 
the previous twelve months (or shorter period as applicable), with 
respect to a previous offering of securities off a Form SF-3 
registration statement involving the same asset class, was sold off or 
hedged as of the last day of the most recent fiscal quarter, the 
related shelf registration statement could not be utilized for 
subsequent offerings until the fiscal quarter after the sponsor has re-
acquired the risk that was required to be retained (e.g., by removing 
the disqualifying hedge or open market purchases of the securities) and 
such risk was on the sponsor's books as of the end of the fiscal 
quarter. We have provided for quarterly testing because we are 
concerned that more frequent testing could be unnecessarily costly. By 
requiring an evaluation of risk retention at the end of the quarter, we 
are not suggesting that a sponsor could permissibly sell or hedge the 
required risk. Such activities would be inconsistent with the risk 
retention shelf eligibility condition, with the disclosure relating to 
a sponsor's interest in the transaction that we are proposing to 
require in the registration statement, and would be subject to our 
proposed periodic reporting disclosure requirements related to the 
sponsor's interest described in Section III.C.3. below. At the same 
time, we are concerned that there may be circumstances where a sponsor 
or its affiliates undertake transactions that inadvertently hedge a 
required risk retention interest, and discover this after a take-down 
off the shelf by an affiliated ABS issuer. We are not proposing that 
this would necessarily cause the new offering to be deemed not to have 
been registered on the appropriate form. However, we believe that it is 
important that our requirements take into consideration a practicable 
testing schedule that promotes compliance with the proposed shelf 
eligibility criteria without creating undue burdens or uncertainty for 
issuers, and we are proposing requirements that would require at least 
quarterly testing to achieve that goal. Similarly, with respect to our 
proposed registrant requirement relating to risk retention, we are 
proposing that an issuer evaluate whether the sponsor has retained 
required risk at the time of filing the registration statement.
(B) Transaction Agreements and Officer Certification
    An ABS issuer must also evaluate whether, during the previous 
twelve months, the depositor or it affiliates had filed the transaction 
agreements required to contain the third party opinion provision and 
the depositor's chief executive officer certifications on a timely 
basis as of the end of the quarter. If they had not, then the depositor 
could not utilize the registration statement or file new registration 
statement on Form SF-3 until one year after the required filings were 
filed.
(C) Undertaking To File Exchange Act Reports
    Finally, under this proposal, an issuer must evaluate whether 
Exchange Act reports, with respect to previous takedowns off an 
effective registration statement of the depositor or affiliate of the 
depositor, where the issuer had undertaken to file such reports during 
the prior twelve months had, in fact, been filed as of the last day of 
the most recent fiscal quarter. In this way, the reports required under 
Section 13(a) or 15(d) must continue to be timely for shelf eligibility 
but reports required pursuant to the undertaking must be current as of 
the end of the quarter. As such, the ABS issuer would need to confirm 
once a quarter that it continued to be eligible to use the effective 
registration statement for takedowns.

Request for Comment

     Should we add, as proposed, registrant requirements that 
would require, as a condition to form eligibility, affiliated issuers 
of the depositor that had offered securities of the same asset class 
that were registered on Form SF-3 to have complied with the risk 
retention, third party opinion, certification and ongoing reporting 
shelf eligibility conditions that replace the investment grade ratings 
requirement? Will these requirements lead to better compliance by ABS 
issuers with the new shelf eligibility conditions that we are 
proposing?
     Should we require disclosure, as proposed, in the 
registration statement that the registrant requirements have been 
complied with? Should we specify a location in the registration 
statement for such disclosure?
     In our proposed registrant requirements for Form SF-3, we 
are proposing to require that sponsors of affiliated issuers have 
retained the required risk at the time of filing the registration 
statement. Is that appropriate? Should we require continued monitoring 
of risk retention compliance instead? Should we provide the loss of 
shelf eligibility if the sponsor of a previously established affiliated 
issuer has not retained at any time during the previous twelve months 
all of the risk that it was required to retain during that time? Or 
would such a requirement be overly burdensome?
     Is it appropriate to require, as proposed, that the 
certifications and the transaction agreement containing the required 
third party opinion provision that are required to be filed pursuant to 
our proposed shelf eligibility conditions be filed on a timely basis? 
Why or why not?
     We are proposing to require an affiliated issuer that has 
undertaken to file Exchange Act reports in the last twelve months to 
have filed such reports as required pursuant to the Exchange Act rules. 
Is this an appropriate additional registrant requirement for proposed 
Form SF-3? Should we also specify that such reports must have been 
filed on a timely basis?
     Should we revise Rule 401, as proposed, to require that as 
a condition to continued use of an existing shelf registration 
statement for takedowns, an issuer conduct a periodic evaluation of 
form eligibility? Why or why not? If not, how should we address the 
concern that ABS issuers do not file amendments for purposes of Section 
10(a)(3)?
     Should we require, as proposed, that an issuer test for 
sponsor's compliance with risk retention requirements as of the end of 
the fiscal quarter? Could there be situations where a sponsor or its 
affiliates undertake transactions that inadvertently hedge a required 
risk retention interest? Alternatively, because the testing for 
compliance would occur at predictable

[[Page 23350]]

intervals, are there concerns that the quarterly test for risk 
retention compliance could allow a sponsor to hold less than the 
required risk in between testing intervals? Should our requirements 
provide for testing that is made at different intervals (e.g., once a 
month, once a distribution period, twice a quarter, at minimum number 
of random intervals)?
     Should we require that the evaluation of whether Exchange 
Act reports of affiliated issuers have been filed on a timely basis be 
made as of the 90 days after the depositor's fiscal year, as proposed? 
Should the evaluation be made on a different timeframe, such as the 
last day of the most recent fiscal quarter, consistent with our other 
proposals here?
     Should we require, as proposed, that the evaluation of 
whether the registrant requirements relating to risk retention, third 
party opinions, certification, and the issuer's undertaking to file 
ongoing reports be made as the last day of the most recent fiscal 
quarter? Should that evaluation be made at different periods, such as 
monthly or annually?
4. Continuous Offerings
    We also are proposing to amend Rule 415 to limit the registration 
of continuous offerings for ABS offerings to ``all or none'' offerings. 
While we have not encountered particular problems with respect to 
continuous ABS offerings to date (and we believe that ABS offerings are 
not typically continuous), we believe that our proposal would help 
ensure that ABS investors receive sufficient information relating to 
the pool assets, if an issuer registered an ABS offering to be 
conducted as a continuous offering. We believe that this would close a 
potential gap in our regulations for ABS offerings.
    In an all or none offering, the transaction is only completed if 
all of the securities are sold. However, in a best-efforts or ``mini-
max'' offering, a variable amount of securities may be sold. In those 
latter cases, because the size of the offering would be unknown, 
investors would not have the transaction-specific information and, in 
particular, would not know the specific assets to be included in the 
transaction. Thus, Item 1111, either in its existing form or as 
proposed to be amended, could not be complied with.\167\ Under our 
proposal, the continuous offering must be commenced promptly and must 
be made on the condition that all of the consideration paid for such 
security will be promptly refunded to the purchaser unless (A) all of 
the securities being offered are sold at a specified price within a 
specified time, and (B) the total amount due to the seller is received 
by the seller by a specified date.\168\
---------------------------------------------------------------------------

    \167\ The staff has advised us that they believe that neither 
best efforts offerings nor any continuous offerings have been 
utilized in the past for public offerings of asset-backed 
securities.
    \168\ All or none offerings are described in Exchange Act Rule 
10b-9 [17 CFR 240.10b-9] in the same manner.
---------------------------------------------------------------------------

Request for Comment

     Is our proposed amendment to Rule 415 relating to 
continuous offerings of ABS appropriate?
     Should we restrict the duration of a continuous offering 
of ABS? If so, how long should the offering be permitted to continue?
5. Mortgage Related Securities
    As noted above, mortgage related securities, as that term is 
defined in Section 3(a)(41) of the Exchange Act, currently are eligible 
for shelf registration regardless of form eligibility. This was a 
provision that was added to Rule 415 contemporaneous with the enactment 
of SMMEA.\169\ As a result, an offering of mortgage related securities 
that does not meet the requirements of Form S-3 can be registered on a 
delayed basis on Form S-1.\170\
---------------------------------------------------------------------------

    \169\ See Section II.A. and fn. 61 above.
    \170\ See fn. 61 of 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    We believe that mortgage related securities should meet all the 
requirements we are proposing for shelf eligibility in order to be 
eligible for registration on a delayed basis since these securities 
present the same complexities and concerns as other asset-backed 
securities. To achieve this goal and to better coordinate shelf 
registration for all types of asset-backed securities, we are proposing 
to amend Rule 415 to eliminate the provision for shelf eligibility for 
mortgage related securities regardless of the form that can be used for 
registration of the securities.\171\ Under the proposal, offerings of 
mortgage related securities will only be eligible for shelf 
registration on a delayed basis if, like other asset-backed securities, 
they meet the criteria for eligibility for shelf registration that we 
are proposing today. Thus, as proposed, delayed shelf offerings of 
mortgage related securities must be registered on new proposed Form SF-
3, and accordingly, must meet the eligibility requirements of Form SF-
3.
---------------------------------------------------------------------------

    \171\ As proposed, Rule 415(a)(1)(vii) would enumerate the 
provision that permits delayed offerings for all asset-backed 
securities that are eligible to register on the proposed new Form 
SF-3. This provision would include offerings of eligible mortgage 
related securities.
---------------------------------------------------------------------------

Request for Comment

     We request comment on the proposed amendment for mortgage 
related securities. Should we instead treat mortgage related securities 
differently from other asset-backed securities by continuing to 
condition the ability to conduct a delayed offering of mortgage related 
securities on their credit ratings by an NRSRO?
     We are proposing to require that delayed offerings of 
mortgage related securities be registered on proposed Form SF-3, the 
same registration form for delayed offerings of other asset-backed 
securities. Is there any reason to permit delayed offerings of mortgage 
related securities on either proposed Form SF-1 or proposed Form SF-3?

C. Exchange Act Rule 15c2-8(b)

    Except for securities issued under master trust structures, shelf-
eligible ABS issuers generally are not reporting issuers at the time of 
issuance. Under Exchange Act Rule 15c2-8(b),\172\ with respect to an 
issue of securities where the issuer has not been previously required 
to file reports pursuant to Sections 13(a) and 15(d) of the Exchange 
Act, unless the issuer has been exempted from the requirement to file 
reports thereunder pursuant to Section 12(h) of the Exchange Act, a 
broker or dealer is required to deliver a copy of the preliminary 
prospectus to any person who is expected to receive a confirmation of 
sale at least 48 hours prior to the sending of such confirmation (``48-
hour preliminary prospectus delivery requirement''). The rule contains 
an exception to the 48-hour preliminary prospectus delivery requirement 
for offerings of asset-backed securities eligible for registration on 
Form S-3. An exception to the 48-hour preliminary prospectus delivery 
requirement was first provided in 1995 by staff no-action 
position.\173\ This staff position was later codified in 2004.\174\
---------------------------------------------------------------------------

    \172\ 17 CFR 240.15c2-8(b).
    \173\ See fn. 163 of the 2004 ABS Adopting Release and 
accompanying text (discussing staff no-action letters providing 
relief to ABS issuers from Rule 15c2-8(b)).
    \174\ In the 2004 ABS Adopting Release, we noted some concerns 
that investors did not have sufficient time to consider ABS offering 
information. However, we determined to codify the staff position in 
light of other proposals that we were considering at the time that 
sought to address information disparity in the offering process.
---------------------------------------------------------------------------

    In light of recent economic events and to make this rule consistent 
with our other proposed revisions, we are proposing to eliminate this 
exception so that a broker or dealer would be

[[Page 23351]]

required to deliver a preliminary prospectus at least 48 hours before 
sending a confirmation of sale for all offerings of asset-backed 
securities, including those involving master trusts. Because each pool 
of assets in an ABS offering is unique, we believe that an ABS offering 
is akin to an initial public offering, and therefore we believe the 48-
hour preliminary prospectus delivery requirement in Rule 15c2-8(b) 
should apply. Even with subsequent offerings of a master trust, the 
offerings are more similar to an initial public offering given that the 
mix of assets changes and is different for each offering. Moreover, 
requiring that a broker or dealer provide an investor with a 
preliminary prospectus at least 48 hours before sending a confirmation 
of sale should be feasible and made easier to implement as a result of 
our proposal that a form of preliminary prospectus be filed with the 
Commission at least five business days in advance of the first sale in 
a shelf offering. We, therefore, are proposing to amend Rule 15c2-8(b) 
by repealing the exception for shelf-eligible asset-backed securities 
from the 48-hour preliminary prospectus delivery requirement.\175\
---------------------------------------------------------------------------

    \175\ Because of the other changes we are proposing, we are also 
proposing to repeal Rule 190(b)(7). Rule 190(b)(7) provides that if 
securities in the underlying asset pool of asset-backed securities 
are being registered, and the offering of the asset-backed 
securities and the underlying securities is not made on a firm 
commitment basis, the issuing entity must distribute a preliminary 
prospectus for both the underlying securities and the expected 
amount of the issuer's securities that is to be included in the 
asset pool to any person who is expected to receive a confirmation 
of sale of the asset-backed securities at least 48 hours prior to 
sending such confirmation. Rule 190(b)(7) effectively overrules the 
exclusion in Rule 15c2-8 for ABS issuers from the 48-hour 
preliminary prospectus delivery requirement for particular types of 
ABS offerings. Because we are proposing to repeal the Rule 15c2-8 
exclusion for ABS issuers, and because our proposed disclosure 
requirements regarding the underlying securities for 
resecuritizations would require significantly more information than 
what is required in Rule 190(b)(7) to be provided in the preliminary 
prospectus, we are proposing to delete Rule 190(b)(7).
---------------------------------------------------------------------------

    Under the proposed amendment, a broker or dealer would be required 
to comply with the 48-hour preliminary prospectus delivery requirement 
with respect to the sale of securities by each ABS issuer, regardless 
of whether the issuer has previously been required to file reports 
pursuant to Sections 13(a) or 15(d) of the Exchange Act.\176\ In 
addition, the 48-hour preliminary prospectus delivery requirement would 
also apply to ABS issuers utilizing master trust structures that are 
exempt from the reporting requirements pursuant to Section 12(h) of the 
Exchange Act. In a master trust securitization, assets may be added to 
the pool in connection with future issuances of the securities backed 
by the pool.\177\ Although ABS issuers utilizing master trust 
structures may be reporting under the Exchange Act at the time of a 
``follow-on'' or subsequent offering of securities, additional assets 
are added to the entire pool backing the trust in connection with a 
subsequent offering of securities. Additional assets are added to the 
pool also in connection with a subsequent offering by an issuer 
utilizing a master trust structure that is exempt from reporting under 
Section 12(h) or the rules thereunder. Requiring a broker-dealer to 
deliver a preliminary prospectus at least 48 hours before sending a 
confirmation of sale of ABS involving master trust structures issued by 
a reporting ABS issuer could afford investors more time to consider 
information about the assets that is not provided in Exchange Act 
reports.\178\
---------------------------------------------------------------------------

    \176\ See definition of issuer in relation to asset-backed 
securities in Exchange Act Rule 3b-19.
    \177\ The typical master trust securitization is backed by 
assets arising out of revolving accounts such as credit card 
receivables or dealer floorplan financings.
    \178\ We note that many such issuers currently often provide 
preliminary prospectuses to investors for each offering. Therefore, 
we do not believe our proposal would be overly burdensome on such 
issuers.
---------------------------------------------------------------------------

    We are also proposing a correcting amendment to Rule 15c2-8(j). 
Paragraph (j) states that the terms ``preliminary prospectus'' and 
``final prospectus'' include terms that are defined in a Rule 434. In 
1995, at the same time we adopted Rule 434, we added paragraph (j) to 
expand the use of the terms ``preliminary prospectus'' and ``final 
prospectus'' to reflect the terminology used in Rule 434.\179\ Rule 
434, however, was later repealed in 2005.\180\ Accordingly, we are 
proposing to delete paragraph (j), which is no longer applicable.
---------------------------------------------------------------------------

    \179\ See Section II.B.4.a of Prospectus Delivery; Securities 
Transactions Settlement, Release No. 33-7168 (May 11, 1995) [60 FR 
26604].
    \180\ Rule 434 was repealed in the Offering Reform Release.
---------------------------------------------------------------------------

Request for Comment

     Should we adopt a 48-hour preliminary prospectus delivery 
requirement for all ABS issuers, as proposed? Should we instead provide 
a different application of the 48-hour preliminary prospectus delivery 
requirement for ABS issuers? Should a broker or dealer be required to 
deliver a preliminary prospectus for an ABS offering at a different 
time from initial public offerings, such as 48 hours before the first 
sale in the offering (instead of 48 hours before confirmation)?
     Does our proposal to require filing of a preliminary 
prospectus pursuant to proposed Rule 424(h) at least five business days 
before the first sale in the offering make the proposed changes to Rule 
15c2-8(b) unnecessary? Or is delivery of the preliminary prospectus, as 
contemplated by Rule 15c2-8(b), important? Would the proposed amendment 
to 15c2-8(b) provide a meaningful change in the information and time 
that investors are given to consider offering materials? \181\
---------------------------------------------------------------------------

    \181\ The 48-hour preliminary prospectus delivery requirement is 
triggered by when a broker-dealer sends a confirmation of sale. 
Under Exchange Act Rule 10b-10 [17 CFR 240.10b-10], the Commission's 
confirmation rule, broker-dealers must send confirmations to their 
customers at or before completion of a securities transaction. Given 
the industry practice of a lengthy time to complete an ABS 
transaction, a customer may not receive a preliminary prospectus 
until well after he or she has made an investment decision. See also 
Exchange Act Rule 15c1-1 [17 CFR 240.15c1-1] (defining ``completion 
of the transaction'').
---------------------------------------------------------------------------

     How should the prospectus delivery requirement apply to 
master trust structures? Is our proposal appropriate with respect to 
master trusts? Should we instead amend the rule to apply the 48-hour 
preliminary prospectus delivery requirement to master trusts only if 
the pool assets have changed by a specified level? If so, what should 
that level be (e.g., a change in five, ten, or 20% of pool assets, a 
change in a specified percentage such as five, ten, or 20% of the 
dollar value of the pool assets as measured by the principal balance, a 
significant change in the pool assets)? Are there other ways of 
measuring change in pool assets? Should this be determined by asset 
class, and if so, which asset classes should be subject to what 
standards? For example, should a change in pool assets for purposes of 
Rule 15c2-8 be measured differently for credit card ABS than for dealer 
floorplan ABS?
     As proposed, there are no specific disclosure requirements 
applicable to the 48-hour preliminary prospectus. Do we need to specify 
further how much asset or other information should be contained in the 
48-hour preliminary prospectus? Or is that unnecessary in light of 
proposed Rule 430D and the proposed Rule 424(h) filing requirements?

D. Including Information in the Form of Prospectus in the Registration 
Statement

1. Presentation of Disclosure in Prospectuses
    As currently permitted, asset-backed offerings registered on a 
shelf basis typically present disclosure through the use of two primary 
documents: the ``base'' or ``core'' prospectus and the

[[Page 23352]]

prospectus supplement.\182\ The base prospectus filed prior to 
effectiveness of the registration statement outlines the parameters of 
the various types of ABS offerings that may be conducted in the future, 
including asset types that may be securitized, the types of security 
structures that may be used and possible credit enhancements or other 
forms of support. The registration statement at the time of 
effectiveness also contains one or more forms of prospectus supplement, 
which outline the format of transaction-specific information that will 
be disclosed at the time of each takedown.\183\ At the time of a 
takedown, a final prospectus supplement is used which describes the 
specific terms of the securities being offered.\184\ The base 
prospectus and the final prospectus supplement together form the final 
prospectus which is filed with the Commission pursuant to Securities 
Act Rule 424(b).\185\
---------------------------------------------------------------------------

    \182\ The Form S-3 requirements adopted in 2004 incorporated the 
existing practice of using a base and supplement format. In Section 
III.A.3.b. of the 2004 ABS Adopting Release, we noted that we did 
not intend to change existing practices of asset-backed issuers.
    \183\ Rule 430B describes the type of information that primary 
shelf eligible issuers and automatic shelf issuers may omit from a 
base prospectus in a Rule 415 offering and include instead in a 
prospectus supplement, Exchange Act report incorporated by 
reference, or a post-effective amendment. Under Rule 430B a base 
prospectus in a shelf registration statement must comply with the 
applicable form requirements, but can omit information that is 
unknown or not reasonably available to the registrant pursuant to 
Rule 409. See Section V.B.1.b.i.(A) of the Offering Reform Release.
    \184\ We note that currently stand alone trust issuers do not 
usually provide preliminary prospectuses to investors.
    \185\ See Section III.A.3.b of the 2004 ABS Adopting Release and 
Section V.B.1.b.i.(A) of the Offering Reform Release.
---------------------------------------------------------------------------

    This practice has also been utilized by non-ABS issuers. However, 
for typical corporate issuers, their base prospectus is substantially 
shorter than in an ABS offering as the bulk of the information is 
incorporated by reference into the prospectus from the issuer's 
Exchange Act reports.
    In the 2004 ABS Adopting Release, we explained that when presenting 
disclosure in base prospectuses and prospectus supplements, the base 
prospectus must describe the types of offerings contemplated by the 
registration statement.\186\ We also noted that a takedown off of a 
shelf that involves assets, structural features, credit enhancement or 
other features that were not described as contemplated in the base 
prospectus will usually require either a new registration statement 
(e.g., to include additional assets) or a post-effective amendment 
(e.g., to include new structural features or credit enhancement) rather 
than simply describing them in the final prospectus filed with the 
Commission pursuant to Securities Act Rule 424. However, we admonished 
registrants to exercise discretion and describe only those material 
asset types and features reasonably contemplated to be included in an 
actual takedown in order to make the information easily accessible to 
investors.\187\
---------------------------------------------------------------------------

    \186\ See Securities Act Rule 409 [17 CFR 230.409] and Section 
III.A.3.b. of the 2004 ABS Adopting Release.
    \187\ See Section III.A.3.b of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    Today, we also remind issuers of the importance of providing 
disclosure in compliance with our plain English rules. Under Securities 
Act Rule 421,\188\ information in a prospectus must be presented in a 
clear, concise and understandable manner. The note to Rule 421(b) 
states that issuers should avoid copying complex information directly 
from legal documents without any clear and concise explanation of the 
provisions. The rule also cautions against using boilerplate disclosure 
and repeating disclosure in different sections of the document because 
it increases the size of the document and it does not enhance the 
quality of information.\189\
---------------------------------------------------------------------------

    \188\ 17 CFR 230.421. See also A Plain English Handbook: How to 
Create Clear SEC Disclosure Documents, available at http://www.sec.gov/pdf/handbook.pdf.
    \189\ See 17 CFR 230.421(b).
---------------------------------------------------------------------------

    Notwithstanding the discussion in the 2004 ABS Adopting Release and 
the provisions of Rule 421, we are concerned that the base and 
supplement format has resulted in unwieldy documents with excessive and 
inapplicable disclosure that is not useful to investors. Many ABS 
prospectuses in this format often include boilerplate disclosure and 
complex information that appears to be imported directly from forms of 
transaction agreements. Some issuers file a base prospectus that 
contemplates multiple asset types, security structures and possible 
types of enhancement and support that are never actually utilized in a 
takedown. Moreover, the length of a disclosure document for an ABS 
offering, as a result of the base and prospectus supplement format, is 
often overwhelming and is burdensome for investors to navigate.
    Another problem that has arisen under current practices is that in 
some instances, issuers have filed with the Commission at the time of 
takedown only the prospectus supplement and not the base prospectus 
that was included in the registration statement. Since the base and the 
prospectus supplement together form the final prospectus, when an ABS 
issuer excludes the base prospectus from the EDGAR filing at the time 
of takedown, an investor needs to locate the base prospectus filed with 
the initial effective registration statement on Form S-3 on EDGAR. 
Given that a shelf registration statement is available for three 
years,\190\ it can be unclear what information from the base prospectus 
is applicable to the current offering or is superseded by the 
supplement.
---------------------------------------------------------------------------

    \190\ See Securities Act Rule 415(a)(5).
---------------------------------------------------------------------------

    The current format has the unintended effect of encouraging a 
drafting approach that builds in the largest possible flexibility for 
as many differing transactions as possible, although with the negative 
effect that an investor bears the burden of determining which 
disclosures are relevant to a particular transaction. The current rule 
benefits issuers but may not be as useful for investors, when the 
registration statement is primarily for the benefit of investors. We 
believe we should facilitate investor understanding and access to 
prospectuses for ABS and eliminate unnecessary disclosures given to 
investors. Investors must be able to readily access and understand the 
information for a specific offering. Consequently, we are proposing to 
eliminate the practice of providing a base prospectus and a prospectus 
supplement for ABS issuers. To accomplish this, we are proposing to add 
a provision in new Rule 430D and an instruction to proposed Form SF-3 
that would require ABS issuers to file a form of prospectus at the time 
of effectiveness of the proposed Form SF-3 and to file a single 
prospectus for each takedown, which would require that all of the 
information required by Regulation AB be included in the 
prospectus.\191\ We believe our proposal will help issuers comply with 
our plain English requirements, help reduce the size of the offering 
documents, and eliminate the need to review inapplicable disclosure.
---------------------------------------------------------------------------

    \191\ Disclosure may still be incorporated by reference as 
allowed by proposed Rule 430D and the applicable Form requirements. 
Proposed Rule 430D(c) would provide that information omitted from a 
form of prospectus that is part of an effective registration 
statement in reliance on Rule 430D(a) that is subsequently included 
in the prospectus that is part of a registration statement must 
contain all of the information that is required to be included in 
the prospectus pursuant to the requirements of the registration 
statement with respect to the offering. Under this proposed 
requirement, an ABS issuer would not be permitted to include 
information on the offering in a prospectus base and supplement 
format. We discuss this proposal in more depth in Section II.B.1.b.
---------------------------------------------------------------------------

    Other than the proposed limitation of one depositor and asset class 
per registration statement discussed below,

[[Page 23353]]

we believe requiring only one form of prospectus with the registration 
statement would not limit the flexibility of the issuer to vary its 
structural features from takedown to takedown. As is the case today, 
assets, structuring and other features may be presented in brackets in 
the form of prospectus filed with the registration statement. Under the 
proposal, issuers could include the same bracketed information in the 
form of prospectus filed with the registration statement. At the time 
of the offering, only the disclosure applicable to the transaction at 
hand would be included in the prospectus provided to investors and 
filed with the Commission.
    Currently, some sponsors create a separate depositor for each of 
its various loan programs, and each depositor files its own shelf 
registration statement. Other issuers have included multiple 
depositors,\192\ multiple base prospectuses and multiple prospectus 
supplements all in one registration statement.\193\ Under our proposal, 
each depositor would be required to file a separate registration 
statement for each form of prospectus. Each registration statement 
would cover offerings by one depositor securitizing only one asset 
class.\194\ Although this would change current practice for asset-
backed issuers, we believe such a change would make disclosure for 
investors much more accessible and useful.
---------------------------------------------------------------------------

    \192\ With respect to registration statements with multiple 
depositors, each depositor is an issuer of each takedown of 
securities off of a shelf. See Securities Act Rule 191 [17 CFR 
230.191].
    \193\ Also, the current instructions to Form S-3 state that a 
registration statement may not merely identify several alternative 
types of assets that may be securitized. Under current requirements, 
a separate base prospectus and form of prospectus supplement must be 
presented for each asset class that may be securitized in a discrete 
pool in a takedown under that registration statement. See General 
Instruction V.A.2 of Form S-3 and Section III.A.3.b. of the 2004 ABS 
Adopting Release.
    \194\ For instance, resecuritization transactions of mortgage-
backed securities would be considered a separate asset class from 
mortgage-backed securities and, thus, require a separate 
registration statement, even if the depositor would be the same. As 
we currently require for offerings registered on Form S-3, a 
separate registration statement would be required for takedowns 
involving pools of foreign assets where the assets originate in 
separate countries or the property securing the pool assets is 
located in separate countries. In cases where an underlying security 
such as a special unit of beneficial interest (SUBI) or collateral 
certificate is also registered, the depositor of the underlying SUBI 
or collateral certificate would also be included in the same 
registration statement. Collateral certificates and SUBIs are 
discussed further in Section VII.A. below.
---------------------------------------------------------------------------

Request for Comment

     Is the proposed change to presentation of disclosure in 
the prospectus appropriate? Would investors benefit from the proposed 
change? Would it be unduly burdensome for issuers to prepare the 
disclosure in a single document? If so, how can we better mandate clear 
and concise documents so that investors are able and encouraged to 
analyze the investment?
     Is our proposal to require a depositor to file a separate 
registration statement for each form of prospectus appropriate?
     Are there any particular asset classes that should retain 
the base and form of prospectus supplement format? If so, why?
     Should issuers be able to file more than one form of 
prospectus with a registration statement? If so, why? If issuers were 
permitted to do so, what other steps could be taken to help market 
participants understand the transaction?
     Are there other changes we should make to the format and 
form of the prospectus to assist investors in analyzing the potential 
investment?
2. Adding New Structural Features or Credit Enhancements
    We are also proposing to restrict the ability of ABS issuers to 
file a prospectus under Rule 424(b) for the purpose of adding certain 
types of information to the form of prospectus. Under the existing Rule 
430B, ABS issuers and other issuers are permitted to provide the 
information omitted from the prospectus that is part of a registration 
statement at the time of the offering as a prospectus supplement, a 
post-effective amendment, or where permitted as described below, 
through its Exchange Act filings that are incorporated by reference 
into the registration statement and prospectus that is part of the 
registration statement and identified in a prospectus supplement.\195\ 
In the 2004 ABS Adopting Release, we stated our longstanding position 
that the type or category of asset to be securitized must be fully 
described in the registration statement at the time of 
effectiveness.\196\ We further explained the structural features 
contemplated also should be disclosed, as well as identification of the 
types or categories of securities that may be offered, such as 
interest-weighted or principal-weighted classes (including IO or PO 
securities), planned amortization or companion classes or residual or 
subordinated interests.\197\ We stated that a takedown off of a shelf 
that involves assets, structural features, credit enhancements or other 
features that were not described as contemplated in the base prospectus 
will usually require either a new registration statement (e.g., to 
include additional assets) or a post-effective amendment (e.g., to 
include new structural features or credit enhancement) rather than 
simply describing them in the final prospectus filed with the 
Commission pursuant to Securities Act Rule 424.\198\ Although, with 
Offering Reform, we adopted Rule 430B,\199\ which provides all issuers 
on Form S-3 with the alternative to include information previously 
omitted in a prospectus filed pursuant to 424(b) or by incorporating 
periodic and current Exchange Act reports and the staff has continued 
to apply our position articulated in the 2004 ABS Adopting Release. We 
confirm that position by proposing to codify our statement regarding 
when a post-effective amendment would be required in Rule 430D.\200\
---------------------------------------------------------------------------

    \195\ See Securities Act Rule 430B(d) and Offering Reform 
Release Section V.B.1.b.i.(B).
    \196\ See Section III.A.3.b. of the 2004 ABS Adopting Release.
    \197\ See id.
    \198\ See id.
    \199\ See Securities Act Rule 430B(d) and Section V.B.1.b.i.(B) 
of the Offering Reform Release.
    \200\ See proposed Securities Act Rule 430D(d)(2).
---------------------------------------------------------------------------

    We are proposing to require that when the issuer desires to add 
information that relates to new structural features or credit 
enhancement, the issuer must file that information by post-effective 
amendment. As a result of this proposal, the staff would have the 
opportunity to review new structural features or credit enhancements 
that would be contemplated for future offerings. With respect to new 
assets, we believe that if the issuer intends to offer securities that 
are backed by assets that are not contemplated in the form of 
prospectus that is filed as part of the registration statement, a new 
registration statement should be filed.\201\
---------------------------------------------------------------------------

    \201\ If the asset pool includes securities, registration would 
be required under Securities Act Rule 190.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require issuers to file a post-
effective amendment to reflect new structural features or credit 
enhancements and provide a related undertaking appropriate?

E. Pay-as-You-Go Registration Fees

    In 2005, we first adopted pay-as-you-go rules \202\ to allow well-
known seasoned issuers using automatic shelf registration statements to 
pay filing fees at the time of a securities offering.\203\ To

[[Page 23354]]

alleviate some of the burden of managing multiple registration 
statements among ABS issuers, we are proposing to allow, but not 
require, asset-backed issuers eligible to use Form SF-3 to pay filing 
fees as securities are offered off of a shelf registration statement. 
If this approach, commonly known as ``pay-as-you-go,'' is adopted for 
ABS issuers, no filing fees would need to be paid at the time of filing 
a registration statement on Form SF-3. A dollar amount or a specific 
number of securities would not be required to be included in the 
calculation of the registration fee table in the registration 
statement, unless a fee based on an amount of securities is paid at the 
time of filing.\204\ However, under our proposal the fee table on the 
cover of the registration statement must list the securities or class 
of securities registered and must indicate if the filing fee will be 
paid on a pay-as-you-go basis.\205\
---------------------------------------------------------------------------

    \202\ See Securities Act Rules 456(b) [17 CFR 230.456(b)] and 
457(r) [17 CFR 230.457(r)].
    \203\ See Section V.B.2.b.(D) of the Offering Reform Release. 
Under the current pay-as-you-go procedure for WKSIs, an issuer can 
pay any filing fee, in whole or in part, in advance of takedown or 
at the time of takedown providing flexibility in the timing of the 
fee payment. Issuers using pay-as-you-go can still deposit monies in 
an account for payment of filing fees when due. The fee rules 
applicable to the use of such account, also referred to as the 
``lockbox account,'' apply. The amount of the fee is calculated 
based on the fee schedule in effect when the money is withdrawn from 
the lockbox account. This flexibility had been provided so issuers 
may determine the fee payment approach most appropriate for them. 
See fn. 529 of the Offering Reform Release.
    \204\ See proposed Securities Act Rule 457(s).
    \205\ In the case of ABS, the fee table on the registration 
statement would typically list the offering of certificates and 
notes as separate classes of securities. Each class (or tranche) of 
those certificates and notes offered would not need to be separately 
listed on the fee table. However, if the ABS is a resecuritization, 
where registration of the underlying securities would be required 
under Rule 190 and the underlying security was not listed on the fee 
table of the Form SF-3 registration statement, the offering would 
require a new registration statement. Likewise, if a servicer or 
trustee invests cash collections in other instruments which may be 
securities under the Securities Act, such as guarantees or debt 
instruments of an affiliate, under Rule 190 those underlying 
securities would also need to be registered concurrently with the 
asset-backed offering. If those underlying securities were not 
listed on the fee table of the registration statement, a new 
registration statement would be required.
---------------------------------------------------------------------------

    Under our proposal, the triggering event for a fee payment would be 
the filing of a preliminary prospectus under proposed Rule 424(h).\206\ 
At the time of filing a Rule 424(h) prospectus,\207\ the asset-backed 
issuer would include a calculation of registration fee table on the 
cover page of the prospectus and would be required to pay the 
appropriate fee calculated in accordance with Securities Act Rule 
457.\208\
---------------------------------------------------------------------------

    \206\ See proposed Securities Act Rule 456(c). Unlike the pay-
as-you-go rules for WKSIs, we do not believe that a cure period is 
necessary for ABS issuers because we are proposing to require ABS 
issuers to pay the required fee at the time the preliminary 
prospectus is filed under Rule 424(h). The timing of the fee payment 
for ABS would not give rise to the same effective date and 
registration concerns that arise with WKSIs. Section V.B.2.b.(D) of 
the Offering Reform Release.
    \207\ If an issuer is filing a Rule 424(h) filing solely in 
order to update the fee table and pay additional fees, the 424(h) 
filing would not trigger a new five business day waiting period.
    \208\ The amount of the filing fee is calculated based on the 
fee schedule in effect at the time of payment (upon filing in 
advance, or at the time of an offering) in accordance with the 
provisions of Rule 457. Thus the fee amount may be different 
depending on the time of payment. Also, as provided in Rule 457(p), 
if all or a portion of the securities offered under a registration 
statement remain unsold after the offering's completion or 
termination, or withdrawal of the registration statement, the 
aggregate total dollar amount of the filing fee associated with 
those unsold securities may be offset against the total filing fee 
due for a subsequent registration statement. Currently, if an ABS 
offering is not completed after the fee is paid, the fee could be 
applied to future registration statements by the same depositor or 
affiliates of the depositor.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal for a pay-as-you go fee alternative for 
ABS issuers appropriate? Should ABS issuers be able to register 
offerings of an unspecified amount of securities on Form SF-3?
     Would this help with the management of multiple shelves 
for asset-backed issuers? Are there other steps we could take to help 
sponsors and depositors manage shelves for ABS?
     Should we revise Rule 457(p), as proposed, to clarify that 
if an ABS offering is not completed after the fee is paid, the fee 
could be applied to future registration statements by the same 
depositor or affiliates of the depositor across asset classes?

F. Signature Pages

    We also are proposing to revise the signature pages for 
registration statements of asset-backed issuers. Securities Act Section 
6 \209\ requires that the registration statement be signed by the 
issuer, its principal executive officer or officers, its principal 
financial officer, its comptroller or principal accounting officer, and 
the majority of its board of directors or persons performing similar 
functions. In 2004, we clarified that the depositor is the issuer for 
purposes of ABS.\210\ We codified in the general instructions to Forms 
S-1 and S-3 that the registration statement must be signed by the 
depositor, the depositor's principal executive officer or officers, 
principal financial officer and controller or principal accounting 
officer, and by at least a majority of the depositor's board of 
directors or persons performing similar functions.\211\
---------------------------------------------------------------------------

    \209\ 15 U.S.C. 77f(a).
    \210\ Securities Act Rule 191 and Exchange Act Rule 3b-19 state 
that the depositor for the asset-backed securities acting solely in 
its capacity as depositor to the issuing entity is the ``issuer'' 
for purposes of the asset-backed securities of that issuing entity. 
These rules also provide that the person acting in the capacity as 
such depositor is a different ``issuer'' from that same person 
acting as a depositor for another issuing entity or for purposes of 
that person's own securities.
    \211\ See General Instruction VI.C of Form S-1 and General 
Instruction V.B. of Form S-3.
---------------------------------------------------------------------------

    Asset-backed issuers are not required to file financial statements 
of the issuer under our rules or pursuant to their governing documents, 
and these issuers do not employ a principal accounting officer or 
controller. Thus, because such signatures appear to serve no purpose, 
we are proposing to exempt asset-backed issuers from the requirement 
that the depositor's principal accounting officer or controller sign 
the registration statement.
    The Form 10-K report for ABS issuers must be signed either on 
behalf of the depositor by the senior officer in charge of 
securitization of the depositor, or on behalf of the issuing entity by 
the senior officer in charge of the servicing. In addition, the 
certifications for ABS issuers that are required under Section 302 of 
the Sarbanes-Oxley Act \212\ must be signed either on behalf of the 
depositor by the senior officer in charge of securitization of the 
depositor if the depositor is signing the Form 10-K report, or on 
behalf of the issuing entity by the senior officer in charge of the 
servicing function of the servicer if the servicer is signing the Form 
10-K report. We are now proposing to require that the senior officer in 
charge of securitization of the depositor sign the registration 
statement (either on Form SF-1 or Form SF-3) for ABS issuers. We 
believe that requiring such individual to sign the registration 
statement is more meaningful in the context of ABS offerings because it 
is more consistent with our other signature requirements for ABS 
issuers.
---------------------------------------------------------------------------

    \212\ 15 U.S.C. 7241.
---------------------------------------------------------------------------

Request for Comment

     Is our proposed amendment to the registration statement 
signature requirements appropriate? Is there any reason we should not 
exempt, as we are proposing to do, ABS issuers from the requirement 
that the depositor's principal accounting officer or comptroller sign 
the registration statement?
     Is our proposal to require the senior officer in charge of 
securitization of the depositor to sign the registration statement for 
ABS issuers appropriate?

III. Disclosure Requirements

    In addition to reformatting how prospectuses are presented in ABS

[[Page 23355]]

offerings, we are proposing several changes to the disclosure 
requirements in Regulation AB for asset-backed securities. Three of our 
proposals involve significant changes from our current requirements. 
First, subject to certain exceptions, we are proposing to require 
asset-level information regarding each asset in the pool backing the 
securities. Second, we are proposing that issuers of ABS backed by 
credit card pools provide standardized grouped account data regarding 
the underlying asset pool. Third, we are proposing to require that most 
issuers provide the flow of funds, or waterfall, in a waterfall 
computer program. In addition, we are proposing changes that refine 
other disclosure requirements, including those relating to pool-level 
disclosure, the prospectus summary, transaction parties, and static 
pool information.

A. Pool Assets

    We are proposing to increase the required disclosure regarding the 
assets underlying the ABS. We are proposing that in most ABS offerings 
asset-level data be required in the prospectus at the time of offering 
and in Exchange Act reports. For credit card ABS issuers, we are 
proposing that issuers provide grouped account data. In order to 
facilitate investors' use of asset data files, we are proposing that 
the data be filed on EDGAR in Extensible Mark-Up Language (XML). We 
also are proposing revisions to our pool-level disclosure requirements 
designed to enhance the information available to analyze the pool.
    While Regulation AB does not restrict the type or quality of assets 
that may be included in the asset pool, our rules under the Securities 
Act are designed to assure that a prospectus contains disclosure 
regarding the assets that facilitates informed investment 
decisions.\213\ We believe access to robust information concerning the 
pool assets is important to investors' ability to make informed 
investment decisions about asset-backed securities.\214\ We also 
believe disclosure about the pool should be as multi-faceted as 
necessary to provide a full picture of the composition and 
characteristics of the pool assets. In addition, it is critical that 
the pool asset information be presented in a comprehensible and clear 
fashion.\215\
---------------------------------------------------------------------------

    \213\ Item 1111 of Regulation AB contains our disclosure 
requirements regarding the pool assets. Item 1111 requires 
disclosure of the material aspects of the composition of the asset 
pool, sources of pool cash flow, changes to the asset pool, and 
rights and claims regarding the pool assets. See Section III.B.5. of 
the 2004 ABS Adopting Release.
    \214\ See also Section III.B.5 of the 2004 ABS Adopting Release.
    \215\ See id.
---------------------------------------------------------------------------

1. Asset-Level Information in Prospectus
    To augment our current principles-based pool-level disclosure 
requirements, we are proposing a new requirement to disclose asset-
level information. Investors, market participants, policy makers and 
others have increasingly noted that asset-level information is 
essential to evaluating an asset-backed security.\216\ Some have said 
that there is a need and investor appetite for increased asset-level 
disclosures.\217\ We have heard that understanding a borrower's ability 
to repay may be more important than the features of the underlying 
loan, or even the collateral, on an asset-level basis.\218\ Others have 
stated that having access only to pool data (and not asset-level data) 
has made it difficult to discern whether the riskiest loans were to the 
most creditworthy borrowers or to the least creditworthy borrowers in 
the asset pool.\219\
---------------------------------------------------------------------------

    \216\ See, e.g., ``Restoring Confidence in the Securitization 
Markets,'' Global Joint Initiative Report, Dec. 3, 2008, at 11.
    \217\ See Committee on Capital Markets Regulation Financial 
Crisis Report, at 147 (noting that a survey of data fields provided 
to investors did not include 21 data fields considered essential by 
all investors surveyed). See also Joshua Rosner, Securitization: 
Taming the Wild West, Roosevelt Institute Project on Global Finance, 
Make Markets Be Markets (Mar. 2010) at 75 (noting investors need for 
timely loan-level performance data in order to accurately price 
securities).
    \218\ See Committee on Capital Markets Regulation Financial 
Crisis Report, at 151 (recommending that standard, granular, loan-
level data be provided sufficient to allow investors to complete 
their own credit analysis). See also Rosner, at 77 (noting that the 
lack of clear definitions interferes with investors' ability to 
compare performance of various deals, issuers, and underlying 
collateral).
    \219\ Testimony of Patricia A. McCoy, Hearing on 
``Securitization of Assets: Problems and Solutions'' before the U.S. 
Senate Banking Housing and Urban Affairs Subcommittee on Securities, 
Insurance and Investment, Oct. 7, 2009.
---------------------------------------------------------------------------

    The public availability of asset-level information has been 
limited. In the past, some transaction agreements for securitizations 
required issuers to provide investors with asset-level information, or 
information on each asset in the pool backing the securities.\220\ Such 
loan schedules provided to an investor are sometimes filed as part of 
the pooling and servicing agreement or as a free writing prospectus. We 
believe that all investors and market participants should have access 
to the information necessary to assess the credit quality of the assets 
underlying a securitization transaction at inception and over the life 
of the transaction.\221\
---------------------------------------------------------------------------

    \220\ This usually includes information such as the principal 
balance at the time of origination, the date of origination, the 
original interest rate, the type of loan (e.g., fixed, ARM, hybrid), 
the borrower's debt to income ratio, the documentation level for 
origination of the loan, and the loan-to-value ratio.
    \221\ Others have noted the importance of loan-level data to 
investors. See U.S. Department of Treasury, A New Foundation: 
Rebuilding Financial Supervision and Regulation, June 17, 2009; 
(noting in particular, that issuers of ABS should be required to 
disclose loan-level data); Federal Deposit Insurance Corporation, 
Supervisory Insights: Enhancing Transparency in the Structured 
Finance Market, available at http://www.fdic.gov/regulations/examinations/supervisory/insights/sisum08/article01_transparency.html (stating that a lack of complete and public 
dissemination of a securitization's loan-level data reduces 
transparency and hampers the investor's ability to fully assess risk 
and assign value).
---------------------------------------------------------------------------

    For most investors, the usefulness of asset-level data is generally 
limited unless the individual data points are standardized. 
Standardizing the information facilitates the ability to compare and 
analyze the underlying asset-level data of a particular asset pool as 
well as compare them with other pools.\222\ Standardized and easily 
accessible data points also may facilitate stronger independent 
evaluations of ABS by market participants.
---------------------------------------------------------------------------

    \222\ See Statement of Former Federal Reserve Governor Randall 
S. Kroszner at the Federal Reserve System Conference on Housing and 
Mortgage Markets, Washington, DC, Dec. 4, 2008 (stating that a 
necessary condition for the potential of private-label MBS to be 
realized going forward is for comprehensive and standardized loan-
level data covering the entire pool of loans backing MBS be made 
available and easily accessible so that the underlying credit 
quality can be rigorously analyzed by market participants).
---------------------------------------------------------------------------

    Prior to today, the Commission had not proposed to require asset-
level data or proposed standards for such information. We are aware 
that some standards have already been developed for registered and 
unregistered offerings of commercial mortgage-backed securities and 
residential mortgage-backed securities.\223\ The CRE Finance Council 
(formerly Commercial Mortgage Securities Association)'s \224\ Investor 
Reporting Package includes data fields on loan, property and bond-level 
information for commercial mortgage-backed securities at issuance and 
while the securities are outstanding.\225\ The American Securitization 
Forum (ASF) \226\ recently published disclosure

[[Page 23356]]

and reporting packages for residential mortgage-backed securities that 
included standardized definitions for loan or asset-level 
information.\227\ The package is part of the group's Project on 
Residential Securitization Transparency and Reporting (``Project 
RESTART''). The ASF has proposed implementation dates involving new 
issuance loans under the Disclosure Package of February 1, 2010.\228\ 
Other organizations, such as Mortgage Electronic Registration Systems, 
Inc. (MERS),\229\ have developed reporting packages to capture and 
report data at different times during the life of the underlying 
residential or commercial loan. Sellers of mortgage loans to Fannie Mae 
and Freddie Mac \230\ are required to deliver loan-level data in a 
standardized electronic form.\231\ Other federal agencies, such as the 
Office of the Comptroller of the Currency (OCC), and the Office of 
Thrift Supervision (OTS) also collect certain loan-level data on 
mortgages. The OCC and the OTS gather mortgage performance data from 
national banks and thrifts.\232\ We are unaware of any publicly 
available data standards for other asset classes and currently there is 
no mandatory requirement that issuers follow any of these standards for 
reporting to investors in asset-backed securities.
---------------------------------------------------------------------------

    \223\ The collection of standardized disclosure given to 
investors is generally called a reporting package.
    \224\ The CRE Finance Council (formerly Commercial Mortgage 
Securities Association) is a trade organization for the commercial 
real estate finance industry.
    \225\ Materials related to the CRE Finance Council Investor 
Reporting Package are available at: http://www.crefc.org/.
    \226\ ASF is a securitization industry group that represents 
issuers, investors, financial intermediaries, rating agencies, legal 
and accounting firms, trustees, servicers, guarantors, and other 
market participants.
    \227\ See American Securitization Forum RMBS Disclosure and 
Reporting Package Final Release (July 15, 2009), available at http://www.americansecuritization.com/.
    \228\ Implementation dates for ongoing monthly reporting under 
the Reporting Package are set for August 1, 2010 on a trial basis 
and November 1, 2010 on a permanent basis.
    \229\ MERS is affiliated with the Mortgage Industry Standards 
Maintenance Organization (MISMO), a not-for profit subsidiary of the 
Mortgage Bankers Association.
    \230\ Fannie Mae and Freddie Mac are government sponsored 
enterprises (GSE's) that purchase mortgage loans and issue or 
guarantee mortgage-backed securities (MBS). MBS issued or guaranteed 
by these GSEs have been and continue to be exempt from registration 
under the Securities Act and reporting under the Securities Exchange 
Act. As a result, only non-GSE ABS, or so called ``private label'' 
ABS, will be required to comply with the new rules. For more 
information regarding the GSEs, see Task Force on Mortgage-Backed 
Securities Disclosure, ``Staff Report: Enhancing Disclosure in the 
Mortgage-Backed Securities Markets'' (Jan. 2003) available on our 
Web site at http://www.sec.gov/news/studies/mortgagebacked.htm.
    \231\ See Fannie Mae Loan Delivery Data requirements at https://www.efanniemae.com/sf/refmaterials/prodmortcodes/index.jsp. See also 
Freddie Mac Product Delivery requirements at http://www.freddiemac.com/singlefamily/sell/delivery/.
    \232\ The results are collected and published in a quarterly 
Mortgage Metrics Report. The reports are available at http://www.occ.gov/mortgage_report/MortgageMetrics.htm or at http://www.ots.treas.gov/?p=Mortgage%20Metrics%20Report. See Joint Press 
Release of the Office of the Comptroller of the Currency and the 
Office of Thrift Supervision, ``OCC and OTS Expand Data Collection 
on Mortgage Performance,'' February 13, 2009, available at http://www.occ.treas.gov/ftp/release/2009-9.htm. (attaching Web site link 
to the data dictionary).
---------------------------------------------------------------------------

    Because we believe that issuers should provide transparent and 
comparable data, we are proposing to require asset-level information in 
a standardized format to be included in the prospectus and periodic 
reports and filed on EDGAR. Our proposal specifies and defines each 
item that must be disclosed for each asset in the pool. In our 
discussion below, we refer to each individual item requirement as an 
asset-level data point. Some of the asset-level data points that we are 
proposing are indicator fields. Indicator fields will require an answer 
of ``yes'' or ``no,'' and are designed to facilitate investor review of 
the data.\233\ We are also proposing an instruction to Schedule L that 
will contain definitions for some of the terms that we use throughout 
the schedule. Because we believe that asset-level data should be 
provided to investors and all market participants in a form that 
facilitates data analysis, we are also proposing to require that asset-
level data be filed on EDGAR in XML format. These proposals would be in 
addition to the disclosure currently required about the composition and 
characteristics of the pool of assets taken as a whole. We believe the 
pool-level disclosure currently required by Regulation AB is still 
important to investment decisions and can facilitate an investor's 
understanding of the overall investment opportunity.
---------------------------------------------------------------------------

    \233\ For example, we are proposing an asset-level data point to 
disclose whether the asset has been modified. The response would be 
either yes or no. If the answer is no, a preparer or user of the 
data would then know that asset-level data points related to 
modifications would not be applicable to that particular asset.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require asset-level disclosure with 
data points identified in our rules appropriate?
     Is a different approach to asset-level disclosure 
preferable, such as requiring it generally, but relying on industry to 
set standards or requirements? If so, how would data be disclosed for 
all the asset classes for which no industry standard exists or for 
which multiple standards may exist? To the extent multiple standards 
exist, how would investors be able to compare pools? Please be detailed 
in your response.
     We note that there are several different standards under 
which asset-level data is already required. Would our requirements 
impose undue burdens on ABS issuers?
     Should we instead amend our current requirements regarding 
pool-level disclosure by requiring issuers to present certain pool-
level tables in a standardized manner? For instance, should we specify 
how statistical data should be presented by defining the groups or 
incremental ranges that must be presented? What would those appropriate 
groups or incremental ranges be for an individual table? For instance, 
what would be the appropriate range for obligor income and why? Please 
be specific in your response.
     Are the definitions of terms in the proposed instruction 
to Schedule L appropriate? Are there any other terms that should be 
included in the instruction?

(a) When Asset-Level Data Would Be Required in the Prospectus

    Today we are proposing new Item 1111(h) and Schedule L of 
Regulation AB which enumerate all of the data points that must be 
provided for each asset in the asset pool at the time of the offering. 
Schedule L data would be an integral part of the prospectus, and in 
order to facilitate investor analysis prior to the time of sale, we are 
proposing to require issuers to provide Schedule L data as of a recent 
practicable date that we define as the ``measurement date'' at the time 
of a Rule 424(h) prospectus. So that investors receive a data file with 
final pool information at the time of the offering, we also are 
proposing that an updated Schedule L, as of the cut-off date for the 
securitization, be provided with the final prospectus under Rule 
424(b).\234\ Likewise, if issuers are required to report changes to the 
pool under Item 6.05 of Form 8-K, updated Schedule L data would be 
required.\235\ As we discuss in Section III.A.3, we are proposing a new 
Item 6.06 to Form 8-K for issuers to file the XML data file.
---------------------------------------------------------------------------

    \234\ The cut-off date would be the date specified in the 
instruments governing the transaction (i.e., the date on and after 
which collections on the pool assets accrue for the benefit of the 
asset-backed security holders).
    \235\ If a new asset is added to the pool during the reporting 
period, an issuer would be required to provide the asset-level 
information for each additional asset as required by our proposed 
revisions to Item 1111 and Item 6.05 on Form 8-K.
---------------------------------------------------------------------------

Request for Comment

     Is the proposed requirement to provide Schedule L data 
with the proposed Rule 424(h) prospectus, the final prospectus under 
424(b) and for changes under Item 6.05 of Form 8-K appropriate? Should 
Schedule L data be required at any other time? If so, please tell us 
when and why.
     Are the proposed measurement dates appropriate? Are there 
any data fields that would be inappropriate or too

[[Page 23357]]

burdensome to supply as of two different measurement dates (i.e., the 
measurement date and the cut-off date)? If so, please specify the data 
field and provide a detailed explanation.
     Should we provide further guidance about what would be a 
recent practicable date for purposes of determining the measurement 
date?

(b) Proposed Disclosure Requirements and Exemptions

    We are proposing that issuers of ABS of most asset classes must 
provide the standardized data points enumerated in Schedule L. The 
proposed standardized data points would serve to indicate the payment 
stream related to a particular asset, such as the terms, expected 
payment amounts, indices and whether and how payment terms change over 
time. Such data points would be important in order to analyze the 
future payments on the asset-backed securities. To perform better 
prepayment analysis or credit analysis, we are proposing data points 
that indicate the quality of the obligor or the asset origination 
process. For instance, in the case of residential mortgages, data 
points we are proposing to require, among others, are credit score of 
the obligors, employment status, income, and how that information was 
verified. To perform analysis of the collateral related to the asset in 
the pool, we are proposing data points related to each property. For 
instance, in the case of loans or leases secured by automobiles, 
issuers would need to provide data points related to the type and model 
of car and the value of the car.
    Except with respect to certain asset classes (as described below), 
we are proposing that every issuer must provide the data points listed 
under Item 1. General described below. We are proposing to subdivide 
Schedule L based on the asset class. We believe the general data points 
are consistent with the principles-based definition of an asset-backed 
security and apply to almost every asset class underlying a transaction 
that has been registered in the past, and should also apply to any new 
asset classes that may be included in a registered offering in the 
future. We also propose asset class specific data point requirements 
for eleven specific asset classes: Residential mortgages, commercial 
mortgages, auto loans, auto leases, equipment loans, equipment leases, 
student loans, floorplan financings, corporate debt and 
resecuritizations. We are proposing item requirements for these asset 
classes because, based on our experience with registered offerings for 
these types of asset classes, we believe these data points are among 
those that represent the more useful information for investors.

(i) Proposed Coded Responses

    Consistent with our efforts to standardize asset-level disclosure, 
we are proposing that issuers provide responses to the asset-level 
disclosure requirements as a date, a number, text or a coded response. 
The required coded responses will be contained in the EDGAR Technical 
Specifications. Attached at the end of this release we provide an 
appendix which contains a table for the proposed general item 
requirements as well as asset class specific item requirements. Each 
table lists the proposed item number, the title of the proposed data 
field, the proposed definition, the proposed response type and codes, 
if applicable, and proposed category of information. The proposed 
category of information designates the type of information we are 
proposing so that users will know when the data point is applicable.
    We are sensitive to the possibility that certain asset-level 
disclosure may raise concerns about the personal privacy of the 
underlying obligors. In particular, we are aware that data points 
requiring disclosure about the geographic location of the obligor or 
the collateralized property, credit scores, income and debt may raise 
privacy concerns. As we stated in the 2004 ABS Adopting Release, 
issuers and underwriters should be mindful of any privacy, consumer 
protection or other regulatory requirements when providing loan-level 
information, especially given that in most cases, the information would 
be publicly filed on EDGAR.\236\ However, as we noted above, 
information about credit scores, employment status and income would 
permit investors to perform better credit analysis of the underlying 
assets. In light of privacy concerns, instead of requiring issuers to 
disclose a specific location, credit score, or exact income and debt 
amounts, we are proposing ranges, or categories of coded responses.
---------------------------------------------------------------------------

    \236\ See Section III.C.1.c. of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    For instance, to designate geographic location of an obligor who is 
a person, instead of requiring, city, state or zip code of the 
property, we are proposing that issuers provide the broader geographic 
delineations of Metropolitan or Micropolitan Statistical Areas.\237\ 
Metropolitan and Micropolitan Statistical Areas are geographic areas, 
designated by a five-digit number, defined by the U.S. Office of 
Management and Budget (OMB) for use by Federal statistical agencies in 
collecting, tabulating, and publishing Federal statistics.\238\ A 
Metropolitan Statistical Area may also contain a subdivision, called a 
Metropolitan Division.\239\ As an example, if the underlying property 
that serves as collateral to a mortgage is located in Alexandria, 
Virginia, the issuer would need to designate the geographic location as 
47894--Washington-Arlington-Alexandria, DC-VA-MD-WV, the appropriate 
Metropolitan Division.
---------------------------------------------------------------------------

    \237\ Current lists and definitions of Metropolitan and 
Micropolitan Statistical Areas are available at http://www.census.gov/population/www/metroareas/metrodef.html.
    \238\ A Metropolitan Statistical Area contains a core urban area 
of 50,000 or more population, and a Micropolitan Area contains an 
urban core of at least 10,000 (but less than 50,000) population. 
Each Metro or Micro area consists of one or more counties and 
includes the counties containing the core urban area, as well as any 
adjacent counties that have a high degree of social and economic 
integration (as measured by commuting to work) with the urban core. 
The OMB also further subdivides and designates New England City and 
Town Areas. The OMB may also combine two or more of the above 
designations and identify it as a Combined Statistical Area.
    \239\ For example, 47900 designates the Washington-Arlington-
Alexandria, DC-VA-MD-WV Metropolitan Statistical Area. 47900 
contains two subdivisions. One is 13644 Bethesda-Frederick-
Rockville, MD Metropolitan Division which includes Frederick County 
and Montgomery County. The other is 47894 Washington-Arlington-
Alexandria, DC-VA-MD-WV Metropolitan Division which contains the 
District of Columbia, DC; Calvert County, MD; Charles County, MD; 
Prince George's County, MD; Arlington County, VA; Clarke County, VA; 
Fairfax County, VA; Fauquier County, VA; Loudoun County, VA; Prince 
William County, VA; Spotsylvania County, VA; Stafford County, VA; 
Warren County, VA; Alexandria City, VA; Fairfax City, VA; Falls 
Church City, VA; Fredericksburg City, VA; Manassas City, VA; 
Manassas Park City, VA; and Jefferson County, WV. See OMB Bulletin 
No. 09-01, ``Update of Statistical Area Definitions and Guidance on 
Their Uses,'' List 3, November 2008.
---------------------------------------------------------------------------

    For asset-level disclosure data points that require disclosure of 
obligor credit scores, we are proposing coded responses that represent 
ranges of credit scores. The ranges are based on the ranges that some 
issuers already provide in pool-level disclosure. For monthly income 
and debt ranges, we developed the ranges based on a review of 
statistical reporting by other governmental agencies.
    We also realize that a situation may arise where an appropriate 
code for disclosure may not be currently available in the technical 
specifications. To accommodate those situations, our proposals provide 
a coded response for ``not applicable,'' ``unknown'' or ``other.'' 
However, ``not applicable,'' ``unknown'' or ``other'' would not be 
appropriate responses to a significant number of data points and 
registrants should be mindful of their responsibilities to

[[Page 23358]]

provide all of the disclosures required in the prospectus and other 
reports.\240\ Additionally, a situation may arise where an issuer would 
like to disclose other data not already defined in our proposed 
disclosure requirements.\241\ In these cases, registrants should 
provide appropriate explanatory disclosure. As we discuss in more 
detail below, we are proposing that issuers file explanatory disclosure 
and or definitions of additional data points as another exhibit to Form 
8-K at the same time the asset-level data file is required to be filed 
on Form 8-K. The Form 8-K and each of these exhibits would be 
incorporated by reference into the prospectus.\242\
---------------------------------------------------------------------------

    \240\ See Securities Act Rule 409 [17 CFR 230.409] and Exchange 
Act Rule 12b-21 [17 CFR 240.12b-21].
    \241\ See our discussion regarding adding tags to our XML schema 
in Section III.A.4. below.
    \242\ See Section III.A.4. below, proposed Item 6.06 to Form 8-K 
and proposed Item 601(b)(103) of Regulation S-K.
---------------------------------------------------------------------------

Request for Comment

     Are the proposed coded responses contained in the attached 
tables appropriate? Please be specific in your responses by commenting 
on specific proposed line items and codes.
     The combination of certain asset-level data disclosures 
may raise privacy concerns. Are there particular asset-level data 
points that give rise to privacy concerns, in addition to the ones 
noted above and why? Are there other ways we could provide investors 
with similar information and lessen privacy concerns? Which information 
raises the most significant privacy concerns?
     Which data points, or combination of data points would be 
the most important to an investor's analysis? For instance, if we do 
not adopt any requirement to disclose geographic location, would the 
coded range of FICO score, coded range of income, and sales price still 
be useful to investors? If we do not adopt a requirement to disclose 
geographic location, a coded range of FICO score and coded range of 
income, would the sales price alone still be useful to investors? 
Please be specific in your response.
     Is our approach to geographic location appropriate? Does 
the use of the Metropolitan or Micropolitan Statistical Area, or 
Metropolitan Division provide investors with meaningful disclosure? 
Should we require only Metropolitan and Micropolitan Statistical Area 
which would be a broader description? For example, for a property in 
Alexandria, Virginia, 47900-Washington-Arlington-Alexandria, DC-VA-MD-
WV Metropolitan Statistical Area would be the appropriate designation 
that would be a larger geographic area than Metropolitan Division. 
Would disclosure by state or zip code be appropriate? If a particular 
geographic area is experiencing a low volume of real estate 
transactions, would the low volume of transactions make it easier to 
identify the underlying obligor using other publicly available 
resources? Are there other ways to designate geographic location that 
would provide investors meaningful disclosure while also addressing 
privacy concerns? For instance, instead of requiring geographic 
location at the asset-level, should we proscribe requirements for a 
pool-level table that presents the geographic concentration of the pool 
subdivided by state, size of loan and number of loans? In using such a 
pool-level disclosure approach would it also be necessary to subdivide 
by income, credit score and sales price?
     Is our approach to credit scores, income and debt 
appropriate? Does our approach appropriately balance investor need for 
the information while addressing privacy concerns? Do the categories 
provide meaningful ranges for investor analysis? If not, please be 
specific in your response. Should we instead require asset-level 
disclosure of the specific credit score, amount of income and amount of 
debt of an obligor?
     Are there other privacy issues that arise for issuers of 
ABS backed by foreign assets? How do the privacy laws of foreign 
jurisdictions differ from U.S. privacy laws? If the privacy laws of 
foreign jurisdictions are more restrictive regarding the disclosure of 
information, how should we accommodate issuers of ABS backed by foreign 
assets? Is there substitute information that could be provided to 
investors? Please be specific in your response.

(ii) Proposed General Disclosure Requirements

    With respect to each asset in the pool, the issuer would be 
required to provide the disclosure described below. A description of 
the 28 proposed data points is provided in Table 1 of the Appendix. We 
believe the proposed general item requirements are basic 
characteristics of assets that would be useful to investors in ABS 
across asset classes.
    1. A unique asset number applicable only to that asset and the 
source of the number. We are aware that identifiers for each asset may 
be generated in many ways. These identification numbers may have been 
generated at origination or at different times through the 
securitization process. An asset number is necessary so that investors 
and other market participants may follow the performance of a loan 
through ongoing periodic reporting. We do not propose a specific naming 
or numbering convention; however, we are proposing an instruction to 
clarify what type of asset numbers would satisfy this requirement and 
an instruction to clarify that the same asset number should be used to 
identify the asset for all reports required of an issuer under Section 
13(a) or 15(d) of the Exchange Act. For instance, asset number types 
that would satisfy the requirements could be generated by CUSIP Global 
Services (CUSIP); \243\ the American Securitization Forum (ASF 
Universal Link); MERS (Mortgage Identification Number); by the 
registrant; \244\ or by using the convention ``[CIK-number]-[Sequential 
asset number]''; \245\
---------------------------------------------------------------------------

    \243\ A CUSIP number would be appropriate if the asset being 
securitized itself is a security.
    \244\ For instance, if a registrant uses its own unique 
numbering to track the asset throughout its life, disclosure of that 
number would satisfy this proposed item requirement.
    \245\ For instance, if a registrant used the ``[CIK-number]-
[Sequential asset number]'' format, the number would first list the 
10-digit CIK of the issuing entity and the second half would be a 
number for the pool, e.g, ``0000350001-000001.''
---------------------------------------------------------------------------

    2. Whether the asset is designated to a particular collateral 
group. Some asset pools designate assets to particular groups in order 
to determine how cash flows will be passed on to investors;
    3. Information regarding origination, such as origination date, 
original amount of the loan or contract, original term of the asset in 
number of months;
    4. The asset maturity date, which is the month the final payment on 
the asset is scheduled to be made;
    5. The original amortization term, which is the number of months in 
which the asset would be retired if the amortizing principal and 
interest were to be paid each month;
    6. Information regarding interest rate, such as the original 
interest rate, amortization type which means whether the interest rate 
is fixed or adjustable;
    7. If the asset has an interest only term, the number of months in 
which the obligor is permitted to pay only interest on the asset;
    8. Whether the interest calculation is simple or actuarial. A 
simple interest calculation is always based on the original principal, 
thus interest on interest is not included. An actuarial calculation is 
based on principal plus accrued interest;
    9. The identity of the primary servicer that has the right to 
service the asset, either by name or by the MERS organization number 
(in the case of RMBS);

[[Page 23359]]

    10. The servicing fees, either expressed as a percentage of the 
asset amount or as a flat-dollar amount, as applicable;
    11. The servicing advance methodology by indicating the code that 
best describes the manner in which principal and/or interest are to be 
advanced by the servicer;
    12. Whether the loan or asset was an exception to defined or 
standardized underwriting criteria; and
    13. The measurement date, which would be the date the asset-level 
data is provided in accordance with proposed Item 1111(h)(1).\246\
---------------------------------------------------------------------------

    \246\ As discussed above, proposed Item 1111(h)(1) would require 
issuers provide Schedule L data at the time of a Rule 424(h) 
prospectus as of a recent practicable date.
---------------------------------------------------------------------------

    As discussed above, proposed Item 1111(h)(2) would also require 
issuers to provide Schedule L data as part of a final prospectus filed 
in accordance with Rule 424(b), as of the cut-off date for the 
securitization.\247\ The cut-off date would be the date specified in 
the instruments governing the transaction (i.e., the date on and after 
which collections on the pool assets accrue for the benefit of the 
asset-backed security holders). In addition, we are proposing the 
following data points to update for activity that could occur during 
the period between the time the asset-level data would have been 
previously provided in the proposed Rule 424(h) prospectus and the cut-
off date.
---------------------------------------------------------------------------

    \247\ We note that the proposed requirement to file Schedule L 
data with the final prospectus does not address the timing and 
adequacy of information available to the investor at the time the 
investment decision is made. Under Securities Act Rule 159, 
information conveyed after the time of the contract of sale (e.g., a 
final prospectus) is not taken into account in evaluating the 
adequacy of information available to the investor at the time the 
investment decision was made.
---------------------------------------------------------------------------

    1. The current asset balance, current interest rate, and current 
payment amount due.
    2. The number of days the obligor is delinquent and the number of 
payments the obligor is past due as of the cut-off date.
    3. If the obligor has not made the full scheduled payment, the 
number of days between the scheduled payment date and the cut-off 
date.\248\ We are proposing this item requirement so that investors 
will receive comparable data about the payment performance of an 
asset.\249\ We note that the disclosure provided in response to this 
proposed requirement may differ from other asset-level or pool-level 
delinquency disclosure due to the various delinquency recognition 
policies across issuers and asset classes.\250\
---------------------------------------------------------------------------

    \248\ For example, if the scheduled payment date is December 25, 
and the full payment due is not received by the cut-off date for the 
report, December 31, the appropriate response to this item would be 
6 days. We note that some delinquency recognition policies may not 
consider the payment delinquent at the same point in time.
    \249\ We are also proposing that issuers be required to report 
the number of days a full scheduled payment is past due in each Form 
10-D. See discussion in Section III.A.2.a.
    \250\ We are proposing this item instead of proposing to define 
delinquency for all issuers. In the 2004 ABS Adopting Release we 
stated that delinquency should be 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 above or the program or 
regulatory entity that oversees the program under which the pool 
asset was originated. We adopted that definition because commenters 
requested flexibility since policies relating to delinquency vary 
somewhat across asset types and sponsors. The approach we adopted 
gave consideration to a party's delinquency recognition policies and 
we emphasized robust disclosure about those policies. For instance, 
some sponsors do not consider an obligor delinquent when any portion 
of a contractually required payment is late, but instead only when 
less than some percentage or amount of a payment is received. See 
Section III.A.d.iii. of the 2004 ABS Adopting Release. In the 
context of standardized asset-level data, we believe the disclosure 
of the number of days from the scheduled payment due date and the 
cut-off date allows flexibility for the definition of delinquent 
while allowing for analysis and comparability of asset-level data.
---------------------------------------------------------------------------

    4. Remaining term to maturity, which would be the number of months 
between the cut-off date and asset maturity date.

Request for Comment

     Are the general data points that would apply to all 
securitizations (other than credit cards, charge cards and stranded 
costs) appropriate? Should any be deleted or made applicable only to 
certain asset classes? If so, what data points? Are there any other 
data points that should apply to all asset classes? Please provide a 
detailed explanation of the reasons why or why not.
     Is the approach to asset number identifier workable? 
Should we only require or permit one type of asset number for all asset 
classes? If so, which one would be most useful? It appears that our 
proposed naming convention of ``[CIK-number]-[Sequential asset 
number]'' would be applicable to all asset classes. Does the use of an 
asset number alleviate potential privacy issues for the underlying 
obligor? Why or why not? What issues arise if the asset number is 
determined by the registrant? Would there be any issues with investors 
being able to specifically identify each asset and follow its 
performance through periodic reporting?
     Should we require a data point to disclose the CIK number 
of the sponsor? Would all sponsors have a CIK number? If not, in what 
other ways could we require standardized disclosure of the identity of 
sponsors?
     Should we define delinquency in order to provide 
comparable delinquency disclosure across issuers and asset classes? If 
so, how should it be defined and why? Would market participants be able 
to make changes to their current systems to capture information to 
satisfy a standardized delinquency disclosure requirement? Would such a 
requirement be burdensome? Is there another way to provide comparable 
delinquency disclosure across issuers and asset classes? Please be 
detailed in your response.
     The response to some data points requires the 
identification of a party (e.g., originator or servicer) or the MERS 
generated number of the organization. Is this approach to 
identification workable? Do any issues arise with allowing a text 
response to these types of data points? What alternatives would 
alleviate such issues? What if the organization does not have a MERS 
number?
(iii) Asset Specific Data Points
    As discussed in detail below, we are proposing to further subdivide 
the Schedule L data points so that issuers can determine whether or not 
the data field applies to their transaction. For instance, if the asset 
pool contains only residential mortgages, then issuers would only need 
to provide those data points designated under proposed Items 1 and 2 of 
Schedule L. Similarly, if the asset pool contains only student loans, 
the issuer would only need to provide those data points designated 
under proposed Items 1 and 8. If the asset pool contains assets for 
which we have not proposed asset class specific data points, the issuer 
would only need to provide those general data points designated under 
proposed Item 1. Further, if the asset pool of residential mortgages 
consists only of fixed-rate mortgages, all of the data points related 
to adjustable rate mortgages \251\ need not be included in the data 
file. Likewise, in a pool of student loans, if the asset pool comprised 
only loans issued under a federal student loan program, such as the 
Federal Family Education Loan Program (FFELP),\252\ information related

[[Page 23360]]

to private label student loan programs need not be included in the data 
file.\253\ The issuer, however, may need to provide data in the 
appropriate indicator field, which is a ``yes'' or ``no'' answer to 
whether the characteristic is present. This approach is designed to 
facilitate investor review of the asset-level data.
---------------------------------------------------------------------------

    \251\ Item 2(a)(16) of proposed Schedule L.
    \252\ FFELP loans are generally based on need, instead of credit 
quality of the underlying obligor. For more information, see the 
U.S. Department of Education Web site at http://www2.ed.gov/programs/ffel/index.html.
    \253\ Item 8(c) of proposed Schedule L.
---------------------------------------------------------------------------

Request for Comment

     Is the proposed subdivision of Schedule L appropriate? 
Would this approach facilitate investor review of the asset-level data?
(iv) Proposed Exemptions
    We are proposing to exclude ABS backed by credit cards, charge 
cards, and stranded costs from the requirement to provide asset-level 
data. Based on staff reviews of credit card and charge card asset 
pools, it appears that some may contain as many as 20 to 45 million 
accounts. Based on the overwhelming volume of data in these types of 
asset classes, we do not believe that granular asset-level information 
would be as useful for investors and the provision of asset-level data 
may be cost-prohibitive for issuers. We have also heard anecdotally 
that investors in credit card or charge card ABS do not have a desire 
for asset-level data. For these asset classes, we are proposing that 
credit card ABS issuers provide grouped account data that we discuss 
below.\254\
---------------------------------------------------------------------------

    \254\ See Section III.A.3.
---------------------------------------------------------------------------

    For ABS backed by stranded costs, the underlying asset is 
transition property or system restoration property. Stranded costs are 
the costs associated with a decline in the value of electricity-
generating assets due to restructuring of the industry, and the 
underlying property is called transition property.\255\ System 
restoration property is a similar underlying asset, but provides for 
recovery of system restoration costs incurred by electric utilities as 
a result of hurricanes, tropical storms, ice or snow storms, floods and 
other weather-related events and natural disasters. These types of 
property are usually created by the action of a state legislature or 
other designated authority.\256\ The property generally includes a 
right and interest to impose, collect and receive charges payable by 
electric customers in a particular territory. Also, this right usually 
provides that the designated state authority may periodically adjust 
the charges billed to customers in order to recover the stranded costs 
in the event all collections are not made. Because transition property 
is not originated on a customer-by-customer basis, and is instead the 
right to impose charges on customers based on electrical usage, we 
preliminarily do not believe it is appropriate to require asset-level 
data be provided for stranded cost ABS.
---------------------------------------------------------------------------

    \255\ When the electricity industry deregulated, prices for 
electricity were expected to decline as competition was introduced 
into the market. With prices projected to fall more than production 
costs, utilities would earn less and the value of their assets would 
shrink. Thus, with falling prices eroding the value of the 
utilities' assets, some of their costs would be unrecoverable, or 
stranded. See Electric Utilities: Deregulation and Stranded Costs, 
Congressional Budget Office, October 1998.
    \256\ See, e.g., Public Utility Regulatory Act, TEX. UTIL. CODE 
ANN. Sec. Sec.  39.001-.463.
---------------------------------------------------------------------------

Request for Comment

     Should asset-level data be provided by credit card, charge 
card or stranded cost issuers? If so, please explain why and what 
asset-level data should be provided.
     Would requiring asset-level data for these asset classes, 
rather than grouped asset data, as proposed below, be useful for 
investors? Is the volume of data in these types of asset classes a 
concern to investors? If so, are there ways to address this, for 
example, by facilitating the presentation of the data, to make it more 
useful to investors?
     Are there any other asset classes that should be exempt 
from the requirement to provide asset-level data and why?
     In light of the proposal not to set forth asset-level data 
for these assets, is there any pool-level data that should be provided 
by credit card, charge card, or stranded cost issuers? If so, please 
identify the pool-level data that we should require and explain why.
     Should we specify standardized definitions for pool-level 
data? For instance, for credit cards or charge cards, should we define 
terms such as modification, excess spread and charge-off? How are 
issuers currently defining these various terms?
     Should pool-level data for credit cards and charge cards 
be provided at the same time that we propose for other issuers to 
provide Schedule L data (i.e., with the proposed Rule 424(h) 
prospectus, the final prospectus under 424(b) and for changes under 
Item 6.05 of Form 8-K)? Should it also be provided at any other time, 
such as in periodic reports? If so, please tell us when and why.
     Should we revise Item 1111 to require pool-level 
disclosure in a standardized format for ABS backed by credit cards or 
charge cards? Current Item 1111 requires issuers to present pool-level 
statistical information in appropriate distributional groups or 
incremental ranges in addition to presenting appropriate overall pool 
totals, averages and weighted averages, if such presentation will aid 
in the understanding of the data. In the case of credit cards and 
charge cards, should we proscribe the distributional groups or 
incremental ranges for material pool characteristics such as credit 
scores, credit limit, account balance, account age, geographic location 
or annual percentage rate (APR)? \257\ For instance, in the case of 
FICO credit scores, should the distributional groups be similar to the 
coded response ranges for asset-level data in proposed Item 2(c)(3) of 
Schedule L? \258\ What other types of credit scores are used by credit 
card issuers, if any? Are any proprietary? What distributional groups 
would be useful for disclosure of other types of credit scores?
---------------------------------------------------------------------------

    \257\ In the FDIC Securitization Proposal, the FDIC also 
solicited comments on specific questions of disclosure related to 
securitizations. We note the suggestions of one commenter regarding 
the disclosure that should be provided by issuers of ABS backed by 
credit cards. See comment letter from MetLife on the FDIC 
Securitization Proposal (``MetLife FDIC Letter''), available at 
http://www.fdic.gov/regulations/laws/federal/2010/10comAD55.html.
    \258\ See Table 2 of the Appendix to this release.
---------------------------------------------------------------------------

    [cir] In the case of credit limit and account balance, should we 
proscribe the following distributional groups for disclosure with 
respect to credit card and charge card pools: (1) <$1,000; (2) $1,000-
$5,000; (3) $5,000-$10,000; (4) $10,000-$20,000; (5) $20,000-$30,000; 
(6) $30,000-$40,000; (7) $40,000-$50,000; and (8) greater than $50,000? 
Would using these distribution groups lead to useful disclosure?
    [cir] In the case of account age, should we proscribe the following 
distributional groups for disclosure with respect to credit card and 
charge card pools: (1) 12 months or less; (2) 12-24 months; (3) 24-36 
months; (4) 36-48 months; (5) 48-60 months; (6) 60-84 months; (7) 84-
120 months; and (8) over 120 months? Would using these distribution 
groups lead to useful disclosure?
    [cir] In the case of geographic location, should we require 
disclosure by state or by Metropolitan Statistical Area for credit card 
and charge card pools? \259\ Which would be more useful? Should issuers 
be required to disclose all states or Metropolitan Statistical Areas 
for the entire pool, or only the top 10, 20 or some other number?
---------------------------------------------------------------------------

    \259\ See discussion in Section III. A.1.b.i. above.
---------------------------------------------------------------------------

    [cir] In the case of interest rate or APR, what would be the 
appropriate

[[Page 23361]]

distributional groups? For example, would the following distributional 
groups be appropriate: (1) 0 to 1.99%; (2) 2.00% to 4.99%; (3) 5.00% to 
9.99%; (4) 10.00% to 14.99%; (5) 15.00% to 19.99%; (6) 20.00% to 
24.99%; (7) 25.00% to 29.99%; (8) 30.00% to 34.99%; (9) 35.00% to 
39.99%; and (10) over 40.00%? Are there other characteristics that 
should be included in the same statistical table of information, such 
as how many accounts are currently deferring interest, deferring 
interest/principal, or other types of promotions?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose the amount of 
credit that is available for purchases? If so, should we proscribe the 
following distributional groups: (1) <$1,000; (2) $1,000-$5,000; (3) 
$5,000-$10,000; (4) $10,000-$20,000; (5) $20,000-$30,000; (6) $30,000-
$40,000; (7) $40,000-$50,000; and (8) greater than $50,000? Would using 
these distribution groups lead to useful disclosure? Would this 
information be useful to investors and why?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose the type of 
products in the pool? For instance, credit card products could include 
affinity,\260\ co-branded cards,\261\ merchant cards, partner cards, 
and reward cards. Would this information be useful to investors and 
why?
---------------------------------------------------------------------------

    \260\ Affinity card programs are offered by organizations such 
as universities, alumni associations, sports teams, professional 
associations and others.
    \261\ A co-branded credit card generally is a credit card 
jointly sponsored by a bank and retail merchant, such as a 
department store.
---------------------------------------------------------------------------

    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose whether there 
any accounts in the pool are under a debt management program, have 
redefaulted, are diluted or whether the account has been closed? Would 
this information be useful to investors and why?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose payment habits 
of the obligors, such as the number of accounts, or percentage of the 
pool that make minimum payments, pays balances in full, or other 
payment types? Are there any other categories of payment behavior that 
would be useful to investors?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose whether the 
obligors are homeowners, mortgage holders or renters? Would this 
information be useful to investors and why? Do issuers have this 
information? Because credit card securitizations are usually structured 
as master trusts, how would issuers be able to provide updated 
information at the time of each takedown?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose whether the 
obligors are employed and if so, the type of employment? Should we 
specify the categories for this type of information, such as: (1) 
Professional; (2) technical; (3) managerial; (4) clerical; (5) sales; 
(6) service; (7) agricultural; (8) laborers; (9) military; (10) 
student; (11) retired; (12) unemployed; and (13) unknown? Would this 
information be useful to investors and why?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards provide statistical tables to disclose the level of 
education of the obligors? Should we specify the categories for this 
type of information such as: (1) Graduate; (2) college-4 year; (3) 
college-2 year; (4) high school or (5) unknown? Would this information 
be useful to investors and why?
    [cir] Should we require issuers of ABS backed by credit cards and 
charge cards to provide statistical tables to disclose the debt-to-
income ratio of the obligors? Would this information be useful to 
investors and why? Should the debt-to-income ratio be defined and 
calculated in the same manner as required in Schedule L? \262\ What 
would the appropriate distributional categories be? For example, would 
the following distributional groups be appropriate: (1) 0 to 4.99%; (2) 
5.00% to 9.99%; (3) 10.00% to 14.99%; (4) 15.00% to 19.99%; (5) 20.00% 
to 24.99%; (6) 25.00% to 29.99%; (7) 30.00% to 34.99%; (8) 35.00% to 
39.99%; (9) 40.00% to 44.99%; (10) 45.00% to 49.99%; (11) 50.00% to 
54.99%; (12) 55.00% to 59.99%; (13) 60.00% to 64.99%; (14) 65.00 to 
69.99%; (15) 70.00% to 74.99%; (16) over 75.00%?
---------------------------------------------------------------------------

    \262\ See proposed Items 2(a)(21)(iv) and 2(a)(20)(v) of 
Schedule L.
---------------------------------------------------------------------------

    [cir] Because credit card securitizations are usually structured as 
master trusts, how would issuers be able to provide updated information 
described in the previous four bullet points at the time of each 
takedown?
    [cir] Should we specify the data that should be presented for each 
distributional group in the above requests for comment? For instance, 
for each distributional group of credit scores, issuers typically 
provide a table detailing the number of accounts, dollar amount and 
percentage of the pool. Should we also require that issuers provide the 
following information for each credit score distributional group in the 
same table: (1) Weighted average credit limit; (2) weighted average 
utilization rate; (3) weighted average account age; (4) percentage of 
obligors that pay in full; (5) percentage of obligors that make minimum 
payments; (6) weighted average credit score; (7) weighted average APR; 
(8) portfolio yield; (9) amount of interchange; (10) amount of fees; 
(11) amount of gross charge-offs; (12) amount of recoveries; (13) 
amount of prepayments; (14) dollar amount of accounts that are over 30 
days delinquent; (15) number of accounts that are over 30 days 
delinquent; and (16) weighted average excess spread? \263\ Is there any 
other information that would be useful for investors in this format?
---------------------------------------------------------------------------

    \263\ See, e.g., Appendix A, Attachment I of the MetLife FDIC 
Letter.
---------------------------------------------------------------------------

     Should we require aggregated asset-level data in a 
machine-readable form for issuers of ABS backed by stranded costs so 
that investors may download the data and input it into a waterfall 
computer program? If so, please specify the characteristics, the 
appropriate distributional groups and related definitions and formulas, 
if applicable.
(c) Residential Mortgage-Backed Securities
    We are proposing 137 data points for ABS backed by residential 
mortgages. The staff has surveyed the data and definitions provided by 
the organizations mentioned above, as well as other industry sources. 
We are proposing to require additional data fields that relate to 
residential mortgages that are based mainly on information already 
typically provided by sellers to Fannie Mae and Freddie Mac or likely 
to be collected by participants in Project RESTART.
    Some of the Fannie Mae, Freddie Mac and Project RESTART data points 
appear in the general section (Item 1), because we believe those data 
points would apply to all types of asset-backed securities. We did not, 
however, include every data point included in those loan-level 
packages. We believe that there are numerous ways to capture the same 
data, and after reviewing other loan-level data dictionaries, our 
definitions may have minor differences from those in Fannie Mae, 
Freddie Mac and Project RESTART because we wanted to make sure that we 
captured disclosure that may be provided to other organizations. For 
instance, we believe that many of the points are also consistent with 
the data dictionary developed by

[[Page 23362]]

MISMO.\264\ We also reviewed other data definitions currently used by 
banks for reporting to the OCC and OTS.\265\ As noted above, we also 
are proposing several indicator fields that usually require a ``yes'' 
or ``no'' answer in order to facilitate investor review of the data.
---------------------------------------------------------------------------

    \264\ As noted above, MISMO is an affiliate of MERS. The MISMO 
data dictionary is available at http://www.mismo.org/pages/Residential%20Specifications.aspx.
    \265\ See ``OCC/OTS Mortgage Metrics--Loan Level Data 
Collection: Field Definitions,'' January 7, 2009, available at 
http://www.occ.treas.gov/ftp/release/2009-9a.pdf.
---------------------------------------------------------------------------

    With respect to each mortgage in the pool, the issuer would be 
required to disclose the information described below. A complete 
description of each proposed data point is provided in Table 2 of the 
Appendix to this release.
    1. A code that describes the loan purpose.
    2. The lien position of the loan.
    3. Whether the obligor is subject to any prepayment penalties, a 
code that describes the type of penalty, the term of penalty and a code 
that describes how the penalty is calculated.
    4. The origination channel and whether a broker took the 
application.
    5. The Nationwide Mortgage Licensing System (NMLS) loan originator 
number and loan origination company number.\266\
---------------------------------------------------------------------------

    \266\ In 2008, Congress passed The Secure and Fair Enforcement 
for Mortgage Licensing Act of 2008 (the SAFE Act) which required the 
creation of a Nationwide Mortgage Licensing System and Registry. The 
SAFE Act is designed to enhance consumer protection and reduce fraud 
by encouraging states to establish minimum standards for the 
licensing and registration of state-licensed mortgage loan 
originators and for the Conference of State Bank Supervisors (CSBS) 
and the American Association of Residential Mortgage Regulators 
(AARMR) to establish and maintain a nationwide mortgage licensing 
system and registry for the residential mortgage industry. The SAFE 
Act was enacted as part of the Housing and Economic Recovery Act of 
2008, Public Law 110-289, Division A, Title V, sections 1501-1517, 
122 Stat. 2654, 2810-2824 (July 30, 2008), codified at 12 U.S.C. 
5101-5116. The Federal Housing Finance Agency will require that 
mortgages purchased by Freddie Mac and Fannie Mae include loan-level 
identifiers of the loan originator and loan origination company for 
mortgage applications taken on or after July 1, 2010. The original 
date of compliance was January 1, 2010; however, this has been 
extended to July 1, 2010. See Federal Housing Finance Agency News 
Release, ``FHFA Announces New Mortgage Data Requirements,'' January 
15, 2009, available at http://www.fhfa.gov/webfiles/400/LoanOrigIDS11509.pdf. See also Freddie Mac Bulletin 2009-27, 
December 4, 2009, available at http://www.freddiemac.com/sell/guide/bulletins/pdf/bll0927.pdf and Fannie Mae Selling Notice ``Mortgage 
Loan Data Requirements--Update,'' October 6, 2009, available at 
https://www.efanniemae.com/sf/guides/ssg/annltrs/pdf/2009/ntce100609.pdf. The NMLS maintains the following Web site: http://mortgage.nationwidelicensingsystem.org/Pages/default.aspx.
---------------------------------------------------------------------------

    6. Whether the loan allows for negative amortization and 
information regarding the negative amortization terms which would 
include:
    a. The maximum dollar amount and the number of months negative 
amortization amount allowed;
    b. The initial and subsequent number of months an obligor can 
initially pay the minimum payment before a new payment is determined;
    c. The current negative amortization amount that has accumulated;
    d. The number of months the payment is fixed and the initial and 
subsequent limits on payment increases and decreases;
    e. The length of the initial and any subsequent recast periods in 
number of months; and
    f. The current minimum payment amount.
    7. Whether the loan has been modified. If so:
    a. The number of modifications;
    b. A code that describes the reason for modification;
    c. The effective date of the modification;
    d. Updated debt-to-income ratios of the obligor;
    e. The total amount added to the principal balance of the loan due 
to the modification or capitalized amount;
    f. Any deferred amount that is non-interest bearing; and
    g. The pre-modification interest rate, the pre-modification payment 
amount, and the forgiven principal and interest amounts.
    8. Whether the loan documents require a lump-sum payment of 
principal at maturity, otherwise known as a balloon loan.
    9. In the case of a refinance transaction, the amount of cash the 
obligor received.
    10. The number of months a buydown period would be in effect. A 
buydown period is when a lump sum payment is made to the creditor by 
the obligor or by a third party to reduce the amount of some or all of 
the obligor's periodic payments.
    11. The date through which interest is paid with the current 
payment, which is the date from which interest will be calculated for 
the application of the next payment.
    12. The number of days after which a servicer can stop advancing 
funds on a delinquent loan.
    13. Amount of any junior mortgages on the property and if the loan 
in the pool is a junior loan, information on the senior loan such as 
origination date, amount, loan type, hybrid period, and negative 
amortization limit.
    14. If the loan is an adjustable rate mortgage:
    a. The index on which the adjustable rate is based;
    b. The margin, which is the number of percentage points added to 
the index to establish the new rate;
    c. The fully indexed rate, which is the index rate plus the margin;
    d. If the interest rate is initially fixed for a period of time, 
the number of months between the first payment date and the first 
interest adjustment date;
    e. The maximum percentage by which a mortgage rate may increase or 
decrease, initially, at subsequent points in time, and over the 
lifetime of the loan;
    f. The number of months between interest rate reset periods;
    g. The number of days prior to an interest rate effective date 
which is used to determine the appropriate index rate or lookback;
    h. The date of the next interest rate adjustment;
    i. The method of rounding and the rounding percentage;
    j. Whether the loan is an option ARM, that is whether the obligor 
can choose payment options;
    k. A code that describes the means of computing the lowest monthly 
payment available to the obligor after recast. When the loan is recast, 
a new minimum payment is calculated to fully amortize the loan over the 
remaining term of the loan;
    l. The initial minimum payment an obligor is required to make; and
    m. Whether the loan is convertible to a fixed interest rate.
    15. Whether the loan is a home equity line of credit, or HELOC, and 
the related period in which the obligor may draw funds against the 
HELOC account.
    With respect to each mortgage loan in the pool, the issuer would be 
required to disclose the information on the property securing the loan 
described below.
    1. Geographic location of the property, designated by Metropolitan 
Statistical Area, Micropolitan Statistical Area, or Metropolitan 
Division, as applicable.
    2. A code that describes the property type and occupancy status of 
the property.
    3. Sales price.
    4. The appraised value used to approve the loan and most recent 
appraised value, the property valuation method, date of valuation, 
valuation scores and types of scores.
    5. Combined and original loan-to-value ratios and the calculation 
date.
    6. If the obligor pledged financial assets to the lender instead of 
making a down payment, the total value of assets pledged as collateral 
for the loan at the time of origination.
    If the loans in the pool relate to manufactured housing, the issuer 
would

[[Page 23363]]

be required to disclose the information described below.
    1. A code that describes the interest of others in the real estate.
    2. A code that describes the community ownership structure.
    3. The name of manufacturer and model name, the year the home was 
manufactured and whether it was constructed in accordance with the 1976 
HUD Code.
    4. Gross and net invoice price of the home.
    5. Loan to invoice ratios, whether the loan was made by a lender 
related to the community, and whether the securitized property is 
considered chattel or real estate.
    6. The source of the obligor's down payment.
    With respect to each mortgage in the pool, the issuer would be 
required to disclose the information on the obligor described below.
    1. Obligor and co-obligor's credit scores and types of scores.
    2. Obligor and co-obligor's wage and other income and a code that 
describes the level of verification.
    3. A code that describes the level of verification of assets of the 
obligor and co-obligor.
    4. Obligor and co-obligor's length of employment, whether they are 
self-employed and a code that describes the level of verification.
    5. The dollar amount of verified liquid/cash reserves after the 
closing of the mortgage loan.
    6. The total number of properties owned by the obligor that 
currently secure mortgages.
    7. The amount of the obligor's other monthly debt.
    8. The obligor's debt to income ratio used by the originator to 
qualify the loan.
    9. A code that describes the type of payment used to qualify the 
obligor for the loan, such as the payment under the starting interest 
rate, the first year cap rate, the interest only amount, the fully 
indexed rate or the minimum payment.
    10. The percentage of down payment from obligor's own funds other 
than any gift or borrowed funds.
    11. The number of obligors on the loan.
    12. Any other monthly payment due on the property other than 
principal and interest.
    13. The number of months since any obligor bankruptcy or 
foreclosure.
    14. The obligor and co-obligor's wage income, other income and all 
income.
    With regard to mortgage insurance, the issuer would be required to 
disclose the information below.
    1. Whether mortgage insurance is required.
    2. The name of the mortgage insurance company, coverage plan type, 
certificate number, and insurance coverage percentage.
    3. Whether the insurance is lender or borrower paid.
    4. If there is pool insurance, the name of pool insurance provider 
and pool insurance stop loss percentage.

Request for Comment

     Are all of the RMBS data points appropriate? Are there 
other data points that should be required for all RMBS issuers? Are any 
data points not necessary or overly burdensome to obtain? Please 
specify the proposed data points and provide a detailed explanation of 
the reasons why or why not.
     Some data points request the results of calculations, such 
as debt-to-income ratios. Can these ratios otherwise be calculated from 
data provided by the other asset-level data points? If so, can users of 
the information independently calculate these data points? And should 
we not require these data points to be included in the asset-level data 
file?
     Should we include a data point to require what effort an 
originator or sponsor made to see if there are other loans secured by 
the same property? If we were to code the response, what code 
descriptions should we provide?
     Are the proposed type of responses and coded responses 
appropriate? Are there additional codes that should be included? Please 
provide a detailed explanation of the reasons why or why not.
     What privacy concerns arise if we require issuers to 
disclose the sales price of the property, if any? Would rounding the 
sales price to the nearest thousandth alleviate privacy concerns? If 
not, what would be the appropriate rounding method? If we instead 
required the disclosure of sales price be provided by a coded range of 
dollar amounts, would that alleviate privacy concerns? What would be 
the appropriate ranges of dollar amounts? Would the above mentioned 
options have an effect on an investor's ability to analyze the asset-
level data or use the waterfall computer program? If so, please be 
specific in your response. In what other ways could we require the 
disclosure of sales price so that investors receive useful information 
and also address any privacy concerns?
(d) Commercial Mortgage-Backed Securities
    We are proposing 61 data points for ABS backed by commercial 
mortgages. The data points we are proposing to require are primarily 
based on the definitions included in the CRE Finance Council Investor 
Reporting Package, current Regulation AB requirements and staff review 
of current disclosure. The CRE Finance Council disclosure package 
standardizes bond, loan and property level information for commercial 
mortgage-backed securities.\267\ We are not proposing, however, to 
include every data point included in the CRE Finance Council reporting 
package. Some of the data points already appear in the general section 
(Item 1), because we believe those data points would apply to all types 
of asset-backed securities. We did not include others because we did 
not believe the level of detail was necessary for investor analysis as 
we believe that the most important data points for CMBS are those that 
relate to the loan term and the property. With respect to each 
commercial mortgage loan in the pool, the issuer would be required to 
disclose the information described below. A description of each 
proposed data point and related response is provided in Table 3 to the 
Appendix to this release.
---------------------------------------------------------------------------

    \267\ According to the CRE Finance Council, transaction 
disclosure should be updated and provided monthly. See http://www.crefc.org/.
---------------------------------------------------------------------------

    1. A code that describes the loan structure, including the 
seniority of participated mortgage loan components.
    2. The current remaining term of the loan.
    3. A code that describes the payment method, the amount of the 
periodic principal and interest payment, and frequency of payment for 
the loan, frequency that the payment will be adjusted, and grace days 
allowed.
    4. The number of properties that serve as mortgage collateral for 
the loan;
    5. The hyper-amortizing date, which is the current anticipated 
repayment date after which principal and interest may amortize at an 
accelerated rate, and/or interest to the mortgagor increases 
substantially.
    6. Whether the loan is interest only or requires a balloon payment.
    7. Whether the obligor is subject to prepayment penalties, the 
effective date after which the lender allows prepayment of a loan, the 
date after which yield maintenance prepayment penalties are no longer 
effective and the date after which prepayment premiums are no longer 
effective.
    8. If the loan permits negative amortization, the maximum 
percentage and amount of the original loan balance that can be added to 
the original loan balance as a result of negative amortization.
    9. If the loan is an adjustable rate mortgage:

[[Page 23364]]

    a. The index on which the adjustable rate is based;
    b. The first rate adjustment date;
    c. The first payment adjustment date;
    d. The number of percentage points that are added to the current 
index rate to establish the new note rate each interest adjustment 
date;
    e. The maximum percentage by which a mortgage rate may increase or 
decrease, initially, at subsequent points in time, and over the 
lifetime of the loan;
    f. A code describing the frequency with which the periodic mortgage 
rate is reset and a code describing the frequency with which the 
periodic mortgage payment will be adjusted; and
    g. The number of days prior to an interest rate effective date 
which is used to determine the appropriate index rate or lookback.
    10. Whether the loan had been modified from its terms at the time 
of origination.
    The issuer also would be required to provide information on each of 
the properties collateralizing the loan. This would include:
    1. The property name, geographic location, designated by zip code, 
as applicable, and the year that the property was built;
    2. A code describing the current use of the property, including net 
rentable square feet of a property, number of units/beds/rooms, and 
percentage of rentable space occupied by tenants;
    3. The valuation amount of the property as of a valuation date and 
source of valuation;
    4. The total underwritten revenues from all sources for a property 
and total underwritten operating expenses (including real estate taxes, 
insurance, management fees, utilities, and repairs and maintenance); 
\268\
---------------------------------------------------------------------------

    \268\ For this purpose ``underwritten'' means the amount of 
revenues or expenses adjusted based on a number of assumptions made 
by the mortgage originator or seller. We believe issuers should 
include narrative disclosure about the assumptions used in the 
prospectus.
---------------------------------------------------------------------------

    5. The date when the defeasance option becomes available. A 
defeasance option is when an obligor may substitute other income-
producing property for the real property without pre-paying the 
existing loan; \269\
---------------------------------------------------------------------------

    \269\ See Mary Stuart Freydberg and Mary MacNeill, ``Defeasance 
by Design: Frequently Asked Questions,'' CMBS World, March 1999, 
available at http://www.cmsaglobal.org/cmbsworld/cmbsworld_toc.aspx?folderid=31374.
---------------------------------------------------------------------------

    6. Net operating income and net cash flow, including a code 
describing how operating income and net cash flow were calculated 
(i.e., using the CMSA standard, using a definition in the pooling and 
servicing agreement, or using the underwriting method);
    7. The ratio of underwritten net operating income to debt service, 
the ratio of underwritten net cash flow to debt service, and an 
indicator showing how the debt service coverage ratio was calculated; 
\270\ and
---------------------------------------------------------------------------

    \270\ For this purpose, ``underwritten'' means that the amount 
disclosed is adjusted based on a number of assumptions made by the 
mortgage originator or seller. We believe issuers should include 
narrative disclosure about the assumptions used in the prospectus. 
Such an indicator would consider whether the servicer allocates debt 
service only to properties where financial statements are received, 
whether all properties are reported on one rolled up financial 
statement from the borrower, whether all financial statements were 
collected for all properties, whether no financial statements were 
received, whether not all properties received financial statements 
and the servicer leaves empty, or whether or not all properties 
received financial statements and the servicer allocates 100% of 
debt service to all properties where financial statements are 
received.
---------------------------------------------------------------------------

    8. The three largest tenants (based on square feet), including 
square feet leased by the tenant and lease expiration dates of the 
tenant.
    We note that some of the data points that we are proposing to 
include in Schedule L are currently required on a loan-level basis 
under existing Item 1111(b)(9)(i) of Regulation AB.\271\ Such items are 
described in the list above and relate to: the location and use of each 
property; net operating income and net cash flow information, as well 
as the components of net operating income and net cash flow, for each 
mortgaged property; current occupancy rates for each mortgaged property 
and the identity, square feet occupied by and lease expiration dates 
for the three largest tenants at each mortgaged property. Issuers of 
ABS backed by CMBS would be required to continue to provide the 
information required by Item 1111(b)(9)(i) in the prospectus in a 
narrative form.
---------------------------------------------------------------------------

    \271\ Specifically, we are proposing to include the requirements 
of Item 1111(b)(9)(i)(A), (B), (C), and (D) in Schedule L.
---------------------------------------------------------------------------

Request for Comment

     Are all of the CMBS data points appropriate? Is there any 
reason not to incorporate any of the requirements for commercial 
mortgage-backed securities into Schedule L? Are there any additional 
fields we should include? Are there any changes we should make for 
specific types of commercial properties?
     Should we include the current Item 1111(b)(9)(i) asset-
level disclosure requirement for CMBS in Schedule L, as proposed? 
Should we eliminate the requirement to provide the asset-level 
information in narrative form? If so, would any material information 
relating to a commercial mortgage be lost?
     We are proposing to require an indicator that shows how 
net operating income and net cash flow were calculated for commercial 
mortgages. The code options for this indicator would show whether these 
items were calculated using a CMSA standard, using a definition in the 
pooling and servicing agreement, or using an underwriting method. Are 
these appropriate codes? Are there any additional codes that should be 
included?
     We are proposing to require an indicator that shows how 
the debt service coverage ratio was calculated for commercial 
mortgages. The code options for this indicator would be: (1) Average--
not all properties received financial statements, and the servicer 
allocates debt service only to properties where financial statements 
are received; (2) Consolidated--all properties reported on one ``rolled 
up'' financial statement from the borrower, (3) Full--all financial 
statements collected for all properties, (4) None Collected--no 
financial statements were received; (5) Partial--not all properties 
received financial statements and servicer to leave empty; and (6) 
``Worst Case''--not all properties received financial statements, and 
servicer allocates 100% of debt service to all properties where 
financial statements are received. Are these codes appropriate? Are 
there additional codes that should be included?
     We currently require disclosure of the three largest 
tenants that occupy the underlying property in the prospectus. Should 
we also require issuers to disclose whether the named tenants are 
affiliated with the obligor as a data point in Schedule L and in 
narrative form in the prospectus? Should we require a description of 
the relation in narrative form?
     Should we continue to require Item 1111(b)(9)(i) data in 
the prospectus, as proposed, or is the proposed asset-level data 
sufficient?
(e) Other Asset Classes
    We are unaware of any other organization that has standardized data 
points for asset classes other than mortgages for investor 
reporting.\272\ As we explain above, standardized data points provide 
disclosure to investors about the payment stream and amount of payments 
related to individual assets;

[[Page 23365]]

make it possible for users to perform prepayment and credit analysis on 
an individual asset, and evaluate the collateral, if any, that secures 
the individual asset.\273\ Consequently, in order to make the asset-
level information useful to investors, we are proposing data points 
derived from the aggregate pool-level disclosure that is commonly 
provided in prospectuses for the following asset classes: Automobile 
loans and leases; equipment loans and leases; student loans; floorplan 
financing; repackagings of corporate debt and resecuritizations. We are 
also proposing to add several data points related to obligor and co-
obligor income, assets, employment, and credit scoring. These data 
points mirror the definitions proposed for RMBS in an effort to provide 
more robust disclosure about obligor credit quality. We solicit comment 
on all of our proposed asset specific data points and have specific 
questions on certain asset classes.
---------------------------------------------------------------------------

    \272\ We note that the ASF contemplates expanding Project 
RESTART to other major asset classes, such as student loans, credit 
cards and automobile securitizations. See American Securitization 
Forum RMBS Disclosure and Reporting Package Final Release (July 15, 
2009) at 29, available at http://www.americansecuritization.com/.
    \273\ See Section III.A.1.b.
---------------------------------------------------------------------------

Request for Comment

     Are there any organizations that have produced 
standardized data definitions for other asset classes? If so, would 
these definitions be appropriate for the proposed asset specific data 
points?
     Are the asset specific data points appropriate? What other 
data points should be required by all issuers of that asset class? 
Please provide a detailed explanation of the reasons why or why not.
(i) Automobiles
    Asset-backed securities may be backed by a pool of automobile loans 
or automobile leases. We are proposing to require 31 additional data 
fields that relate to ABS backed by loans for the purchase of 
automobiles and 33 data fields that relate to ABS backed by automobile 
leases. With respect to each loan or lease in the pool, the issuer 
would be required to disclose the information described below. A 
description of each proposed data point is provided in the Appendix to 
the release in Table 4 for automobile loans and Table 5 for automobile 
leases.
    1. Whether payments are required monthly or a balloon payment is 
due;
    2. Whether a form of subsidy was received by the borrower, such as 
an incentive or rebate;
    3. Geographic location of the dealer by zip code;
    4. The vehicle manufacturer, model, model year, vehicle type and 
whether it is new or used;
    5. The vehicle value and source of vehicle value at the time of 
origination;
    6. For leases, base residual value and source of residual value;
    7. The obligor and co-obligor's credit scores and credit score 
type;
    8. The obligor and co-obligor's wage and other income and a code 
that describes the level of verification;
    9. A code that describes the level of verification of assets of the 
obligor and co-obligor;
    10. The obligor and co-obligor's length of employment and a code 
that describes the level of verification; and
    11. The geographic location of the obligor by Metropolitan 
Statistical Area, Micropolitan Statistical Area, or Metropolitan 
Division, as applicable.

Request for Comment

     Are all of the automobile data points appropriate? What 
other data points should be required by all issuers of ABS backed by 
automobile loans or leases? Please provide a detailed explanation of 
the reasons why or why not.
     For ABS backed by automobile leases, should we require a 
field indicating whether the lessor or lessee is responsible for 
selling the vehicle at the end of the lease? If so, please explain why.
     We are proposing to require an indicator for the source of 
the vehicle value. The code options for this indicator would be: (1) 
Invoice price; (2) Sales Price; (3) Kelly Blue Book; and (98) Other. 
Are these codes appropriate? Are there additional codes that should be 
included?
     We are proposing to require an indicator for the source of 
a vehicle's residual value. The code options for this indicator would 
be: (1) Black Book; (2) Automotive Lease Guide; and (98) Other. Are 
these codes appropriate? Are there additional codes that should be 
included?
(ii) Equipment
    We are proposing to require five additional data fields that relate 
to ABS backed by equipment loans and eight that relate to equipment 
leases. With respect to each equipment loan or lease in the pool, the 
issuer would be required to disclose the information described below. A 
description of each proposed data point is provided in the Appendix to 
the release in Table 6 for equipment loans and Table 7 for equipment 
leases.
    1. The frequency of payments, such as whether payments are due 
monthly, quarterly, semiannually, or annually.
    2. The type of equipment financed and whether it is new or used.
    3. The obligor industry and geographic location as indicated by zip 
code.
    4. For leases, whether the lease type is a true lease or a finance 
lease.
    5. For leases, the residual value of the equipment and source of 
residual value.

Request for Comment

     Are all of the equipment data points appropriate? What 
other data points should be required by all issuers of ABS backed by 
equipment loans or leases? Please provide a detailed explanation of the 
reasons why or why not.
     Should we require data points on the obligor's ability to 
pay the equipment loan or lease? If so, please provide a detailed 
explanation of the types of data points and what code descriptions 
should be provided.
     Should we require a data point to disclose whether the 
equipment that serves as collateral is the subject of certain 
provisions of the U.S. Bankruptcy Code? For instance, section 1110 of 
the Bankruptcy Code \274\ applies to financiers of aircraft, aircraft 
engines, and other defined equipment. If so, please provide a detailed 
explanation of what the data point should be and what code descriptions 
should be provided.
---------------------------------------------------------------------------

    \274\ 11 U.S.C. 1110.
---------------------------------------------------------------------------

     We are proposing to require an indicator for equipment 
type. The code options for this indicator would be: (1) Construction; 
(2) Furniture and Fixtures; (3) General Office Equipment/Copiers; (4) 
Industrial; (5) Maritime; (6) Printing Presses; (7) Technology; (8) 
Telecommunications; (9) Transportation; and (98) Other. Are these codes 
appropriate? Are there additional codes that should be included?
     We are proposing to require an indicator for the obligor 
industry. The code options for this indicator would be: (1) Agriculture 
and Resources; (2) Communications and Utilities; (3) Construction; (4) 
Distribution/Wholesale; (5) Electronics; (6) Financial Services; (7) 
Forestry and Fishing; (8) Healthcare; (9) Manufacturing; (10) Mining; 
(11) Printing and Publishing; (12) Public Administration; (13) Retail; 
(14) Services; (15) Transportation; and (98) Other. Are these codes 
appropriate? Is code ``(15) Transportation'' too broad? If so, what 
codes would be more useful? Are there additional codes that should be 
included?
     We are proposing to require an indicator for the source of 
the equipment residual value. The code options for this indicator would 
be: (1) Internal; (2) External Consultant; and (3) Other. Are these 
codes appropriate? Are

[[Page 23366]]

there additional codes that should be included? Are there any published 
guides to equipment residual values?
(iii) Student Loans
    We are proposing to require 28 additional data fields that relate 
to ABS backed by student loans. With respect to each loan in the pool, 
the issuer would be required to disclose the information described 
below. A description of each proposed data point is provided in the 
Appendix to the release in Table 8.
    1. Whether payments on the loan are subsidized through a federal 
program.
    2. A code describing the repayment terms and the current number of 
years in repayment.
    3. The name of any guarantee agency.
    4. The date the loan was disbursed to the obligor.
    5. Whether the obligor payment status is in-school, grace period, 
deferral, forbearance or repayment.
    6. Geographic location of the obligor by Metropolitan Statistical 
Area, Micropolitan Statistical Area, or Metropolitan Division, as 
applicable.
    7. A code describing the type of school or program. Code options 
for this data point would be continuing education, graduate, K-12, 
medical, or undergraduate.
    8. If the loan was not issued under a federally funded program, the 
following additional disclosure would be required:
    a. The obligor and co-obligor's credit scores and credit score 
type;
    b. The obligor and co-obligor's wage and other income and a code 
that describes the level of verification;
    c. A code that describes the level of verification of assets of the 
obligor and co-obligor; and
    d. The obligor and co-obligor's length of employment and a code 
that describes the level of verification.

Request for Comment

     Are all of the student loan data points appropriate? What 
other data points should be required by all issuers of ABS backed by 
student loans? Please provide a detailed explanation of the reasons why 
or why not.
     We are proposing to require an indicator for repayment 
type. The code options for this indicator would be: (1) Level; (2) 
Graduated Repayment; (3) Income-sensitive or (4) Interest Only Period. 
Are these codes appropriate? Are there additional codes that should be 
included?
     We are proposing to require an indicator for school type. 
The code options for this indicator would be: (1) Continuing Education; 
(2) Graduate; (3) K-12; (4) Medical; or (5) Undergraduate. Are these 
codes appropriate? Are there additional codes that should be included?
(iv) Floorplan Financings
    Asset-backed securities may be backed by a pool of floorplan 
receivables. Floorplan receivables are used by wholesalers and 
retailers to finance purchases of inventory, for instance, an 
automobile dealership will finance purchases of the vehicles available 
for sale in its inventory. Floorplan receivables are usually revolving 
in nature and are commonly structured as revolving asset master trusts. 
Payment terms may vary, but usually payment is due when the underlying 
collateral is sold. Generally, when new inventory is purchased, a new 
receivable is created; therefore, we are proposing that the asset-level 
data be provided for each receivable, instead of each account.
    We are proposing to require six additional data fields that relate 
to ABS backed by floorplan financings. With respect to each receivable 
in the pool, the issuer would be required to disclose the information 
described below. A description of each proposed data point is provided 
in the Appendix to the release in Table 9.
    1. The account origination date.
    2. The type of inventory product line.
    3. Whether the property financed is new or used.
    4. Information related to the obligor such as geographic location 
by zip code, and credit score and type.
    5. If the issuing entity is structured as a master trust that has 
previously issued securities, the information required by Items 1 and 9 
of Schedule L-D for assets that were part of the asset pool prior to 
the current offering.\275\
---------------------------------------------------------------------------

    \275\ We believe prior performance information of pre-existing 
assets would be useful for investor analysis of the asset pool. If 
the information was previously reported, issuers would be able to 
incorporate by reference the previously filed Form 10-D.
---------------------------------------------------------------------------

Request for Comment

     Since floorplan financings are usually structured as 
master trusts, we are proposing to require asset-level data based on 
each receivable in the pool. Should the data be provided by account? 
Which is more appropriate and why?
     Are all of the proposed floorplan financing data points 
appropriate? What other data points should be required by all issuers 
of ABS backed by floorplan financings? Please provide a detailed 
explanation of the reasons why or why not.
     We are proposing to require an indicator for product line 
type. The code options for this indicator would be: (1) Accounts 
Receivable; \276\ (2) Consumer Electronics and Appliances; (3) 
Industrial; (4) Lawn and Garden; (5) Manufactured Housing; (6) Marine; 
(7) Motorcycles; (8) Musical Instruments; (9) Power Sports; (10) 
Recreational Vehicles; (11) Technology; (12) Transportation and (98) 
Other. Are these codes appropriate? Are there additional codes that 
should be included?
---------------------------------------------------------------------------

    \276\ With respect to accounts receivable, an originator 
generally makes loans that are secured by accounts receivable owed 
to the dealer, manufacturer, distributor or other commercial 
customer against which an extension of credit was made and, in 
limited cases, by other personal property, mortgages on real estate, 
assignments of certificates of deposit or letters of credit. The 
accounts receivable which are pledged to an originator as collateral 
may or may not be secured by collateral. In the case of a loan 
facility secured by accounts receivable, the lender usually has 
discretion as to whether to make advances to the borrower under that 
facility.
---------------------------------------------------------------------------

     Is our proposal to require the information in Item 1 and 
Item 9 of Schedule L-D for pre-existing assets in master trusts 
appropriate?
(v) Corporate Debt
    Asset-backed securities may be backed by corporate debt securities. 
Asset-backed securities backed by corporate debt securities are 
typically issued in smaller denominations than the underlying security 
and the ABS are registered under Section 12(b) of the Exchange Act for 
trading on an exchange. Additionally, a pooling and servicing agreement 
may also permit a servicer or trustee to invest cash collections in 
corporate debt instruments which may be securities under the Securities 
Act.\277\ We are proposing nine additional data fields for ABS backed 
by corporate debt. We believe the data points in Item 1. General are 
appropriate because items such as origination date, maturity date, 
amortization term, etc. would also apply to corporate debt. A 
description of each proposed data point is provided in the Appendix to 
this release in Table 10.
---------------------------------------------------------------------------

    \277\ An asset pool of an issuing entity includes all other 
instruments provided as credit enhancement or which support the 
underlying assets of the pool. If those instruments are securities 
under the Securities Act, they must be registered or exempt from 
registration if included in the asset pool as provided in Securities 
Act Rule 190, regardless of their concentration in the pool. See 
Securities Act Rule 190(a) and (b). See also Section III.A.6.a. of 
the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    1. Title of the underlying security or agreement, denomination, and 
currency.
    2. The payment frequency of the security or agreement.
    3. Whether the security or agreement is callable.

[[Page 23367]]

    4. Name of trustee.
    5. Underlying SEC file number and CIK number.
    6. Whether the security is a zero-coupon, that is whether it bears 
interest by means of periodic payments or by means of purchase at a 
discount and full price repayment at maturity.

Request for Comment

     Should asset-level disclosure be required for ABS backed 
by corporate debt? Are all of the corporate debt data points 
appropriate? What other data points should be required by all issuers 
of ABS backed by corporate debt? Please provide a detailed explanation 
of the reasons why or why not.
     Should we require asset-level disclosure of credit 
enhancements related to the underlying security? If so, how would we 
define the data point(s) and the related responses?
(vi) Resecuritizations
    In a resecuritization ABS, the asset pool is comprised of one or 
more asset-backed securities. We are proposing that issuers provide the 
same Schedule L data as required for corporate debt-backed securities, 
for each asset-backed security in the asset pool because the same 
information about the underlying asset-backed security, such as the 
title of the security, payment frequency, whether it is callable, the 
name of trustee and the underlying SEC file number and CIK number would 
be useful to an investor. In addition, we are proposing that issuers 
provide Schedule L data for assets underlying those securities.\278\ 
For instance, in an offering where the asset pool is comprised of 
several RMBS, then the data points in Item 1 and Item 10 of Schedule L 
would be required for every RMBS security in the asset pool, as well as 
the data points in Item 1 and Item 2 for each loan underlying each RMBS 
security. Also, under current rules, if the assets that will be 
securitized are themselves securities under the Securities Act, the 
offering of those securities must be registered or exempt from 
registration under the Securities Act, and all disclosures for a 
registered offering is required.\279\
---------------------------------------------------------------------------

    \278\ The waterfall computer program would also be required for 
each underlying security. See our proposed changes to Item 1113 (h) 
of Regulation AB discussed in Section III.B.1 below.
    \279\ Due to the exposure created in the underlying instrument 
through the asset-backed offering, under current rules, information 
related to any underlying instrument is required to be disclosed in 
accordance with offering disclosure requirements of current Forms S-
1and S-3. For example, updated and current information includes 
updated pool data, static pool, risk factors, performance 
information, how the underlying securities were acquired, and 
whether and when the underlying securities experienced any trigger 
events or rating downgrades. As we stated in the 2004 ABS Adopting 
Release, not all items of disclosure required at the time of 
offering the resecuritization ABS are available through 
incorporation by reference of Exchange Act reports. See Section 
III.A.7. and footnote 193 of the 2004 ABS Adopting Release. 
Furthermore, under our proposal requiring one prospectus for each 
ABS offering, all of the information must be contained in the 
prospectus.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal for resecuritizations appropriate? What 
other data points should be required by all issuers of that asset 
class? Please provide a detailed explanation of the reasons why or why 
not.
     Should we require disclosure of the ratings of the 
resecuritized securities in Schedule L?
     Should we require Schedule L data for the asset pool only, 
i.e. only the data points in Item 1 and Item 9 of Schedule L?
     Would issuers of the resecuritization ABS be able to 
obtain the asset-level data for the pool of assets underlying the 
resecuritized ABS? Should we phase in the requirement? We note that 
Project RESTART recommends that issuers provide the loan-level 
reporting package for outstanding RMBS,\280\ although we note that the 
ASF recommendation may only serve to provide information similar to our 
proposed requirements for periodic reports, and may not include all the 
information required at the time of an offering.
---------------------------------------------------------------------------

    \280\ See American Securitization Forum RMBS Disclosure and 
Reporting Package Final Release (July 15, 2009) at 21, available at 
http://www.americansecuritization.com/.
---------------------------------------------------------------------------

2. Asset-Level Ongoing Reporting Requirements
    In addition to asset-level information at the time of the offering, 
we are proposing to require asset-level performance information in a 
standardized format filed on EDGAR in periodic reports required under 
Sections 13 and 15(d) of the Exchange Act, including those required 
pursuant to the new undertaking to continue reporting described above. 
The proposed asset-level performance data in periodic reports would 
differ from information that would be required at the time of the 
offering. We believe that in periodic reports, some of the most 
important information focuses on whether an obligor is making payments 
as scheduled, the efforts by the servicer to collect amounts past due, 
and the losses that may pass on to the investors.
    Currently, issuers report performance information in periodic 
reports on an aggregate basis; however, we believe that it would be 
most useful for investors to receive information regarding whether an 
individual obligor is making payments as scheduled, the efforts by the 
servicer to collect amounts past due, and the loss that may pass on to 
the investors on an asset-level basis. That way, an investor may use 
the asset-level information to conduct his or her own valuation of the 
credit quality of a particular asset and its effect on the pool 
throughout the life of the investment. We also believe that regulators 
could find this information useful. Like asset-level data at the time 
of the offering, we are proposing to require asset-level performance 
data to be filed on EDGAR in XML in order to facilitate data analysis. 
The proposed disclosure requirements are contained in proposed Item 
1121(d) and Schedule L-D.
    As we discussed earlier, in to order facilitate comparison of 
information across securities, we believe that asset-level data should 
be standardized, and some organizations have already developed data 
points for ongoing reporting of information for registered and 
unregistered commercial mortgage-backed securities and residential 
mortgage-backed securities.\281\ In our proposed periodic reporting 
requirements, we have utilized such standardization where feasible. 
Like our proposal for asset-level data at the time of the offering, our 
proposed periodic reporting requirements specify and define each item 
that must be disclosed for each asset in the pool. We are also 
proposing an instruction to Schedule L-D that will contain definitions 
for some of the terms that we use throughout the schedule. Attached at 
the end of this release we provide an appendix which contains a table 
of the proposed general item requirements as well as asset class 
specific item requirements. Each table lists the proposed item number, 
the title of the proposed data field, the proposed definition, the 
proposed response type and codes, if applicable, and proposed category 
of information. The proposed category of information designates the 
type of information we are proposing so that users will know when the 
data point is applicable.
---------------------------------------------------------------------------

    \281\ Materials related to the CRE Finance Council Investor 
Reporting Package are available at: http://www.crefc.org/Industry_Standards/CMSA-Investor_Reporting_Package/CRE_Finance_Council_IRP/. See American Securitization Forum RMBS Disclosure and 
Reporting Package Final Release (July 15, 2009), available at http://www.americansecuritization.com/.
---------------------------------------------------------------------------

    Proposed Item 1121(d) and Schedule L-D disclosure would be required 
at the time of each Form 10-D. Periodic

[[Page 23368]]

reports on Form 10-D are required to be filed within 15 days after each 
required distribution date on the asset-backed securities, as specified 
in the governing documents for such securities.\282\ If assets are 
added to the pool during the reporting period, either through 
prefunding periods, revolving periods or substitution, disclosure would 
be required under our proposed revisions to Item 6.05 on Form 8-K 
discussed in Section V.C.1. Similarly, the Schedule L data contained in 
proposed Item 1111A would need to be provided.
---------------------------------------------------------------------------

    \282\ See General Instruction A.2 to Form 10-D.
---------------------------------------------------------------------------

Request for Comment

     Are the definitions of terms in the proposed instruction 
to Schedule L appropriate? Are there any other terms that should be 
included in the instruction?
     Are the proposed coded responses contained in the attached 
tables appropriate? Does our approach to responses provide investors 
with meaningful disclosure while also addressing any privacy concerns? 
Please be specific in your response by commenting on specific proposed 
line items and codes.
     Is the proposed requirement to provide Schedule L-D data 
with Form 10-D appropriate? Should Schedule L-D data be required at any 
other time, such as daily or monthly for all asset classes? Please tell 
us why.
(a) Proposed Disclosure Requirements
    We are proposing that the same asset classes, subject to the 
requirement to provide asset-level data at the time of the offering, 
would also be required to provide the standardized data points 
enumerated in Schedule L-D. Like the proposed asset-level information 
at the time of the offering, we are proposing that most issuers must 
provide the 46 data points listed under Item 1. General of Schedule L-
D. We believe these data points are generic and consistent across asset 
classes, and should also apply to any new asset classes that may be 
included in a registered offering. In addition, we also propose asset 
class specific data points that will be discussed further below.
    With respect to each asset in the pool, we are proposing to require 
the following disclosure with each Form 10-D. A description of the 46 
data points is provided in Table 11 of the Appendix.
    1. The unique asset number and a description of the type of number. 
The asset number and type of asset number should be the same values 
assigned at the time of the offering that would appear in Schedule L.
    2. Whether the asset is designated to a particular collateral 
group.
    3. The beginning and ending dates of the reporting period.
    4. The actual total amount paid during the reporting period, the 
amount of interest collected, the amount of principal collected and 
other amounts collected.
    5. Any other principal and interest adjustments.
    6. The current asset balance and scheduled asset balance.
    7. Amounts that were scheduled to be collected during the reporting 
period, which would be the scheduled payment amount, scheduled interest 
payment amount, and scheduled principal amount.
    8. A code that describes the current delinquency status and current 
payment status.
    9. A code that describes the payment history over the most recent 
12 months.
    10. The next due date, next interest rate and remaining term to 
maturity.
    11. Information related to servicing which would be:
    a. The current servicer and the dollar amount of the fee earned by 
the current servicer for administering the loan for the reporting 
period;
    b. If the loan's servicing has been transferred, the effective date 
of the servicing transfer;
    c. Any amounts advanced by the servicer during the reporting 
period, and the cumulative outstanding amount;
    d. A code that describes the manner in which principal and/or 
interest are advanced by the servicer;
    e. The date a servicer stopped advancing payment; and
    f. Other fees earned by the servicer and other fees assessed by the 
servicer related to the asset.
    12. Whether the asset terms have been modified.
    13. Whether a notice to repurchase the asset has been received, 
whether the asset has been repurchased, the repurchase date, name of 
the repurchaser, and the reason for repurchase.
    14. Whether the asset has been liquidated.
    15. Whether the asset has been charged-off and the charged-off 
principal and interest amounts.
    16. Whether the asset has been paid-off, and if so, whether any 
prepayment penalties were paid or waived. If waived, a code indicating 
the reason why.

Request for Comment

     Are the general data points appropriate for Form 10-D? 
What other data points would apply to all asset classes? Please provide 
a detailed explanation of the reasons why or why not.
(b) Proposed Exemptions
    We are proposing to exclude ABS backed by credit cards, charge 
cards and stranded costs from the requirement to provide ongoing asset-
level data in periodic reports. Like the proposed asset-level data at 
the time of the offering, because of the volume of accounts in a credit 
card or charge card securitization we believe that granular asset-level 
information would not be as useful to investors and would be very 
costly for issuers, depending on the level of automation of the 
issuer's information processing and delivery system. For these asset 
classes, we are proposing that issuers provide grouped account data 
that we discuss in Section III.A.3. below. As explained earlier, 
because transition property is not a receivable, nor a pool of 
receivables, we do not propose asset-level data be provided for 
stranded cost ABS for periodic reports.

Request for Comment

     Is there any asset-level data that should be provided in 
periodic reports by credit card, charge card or stranded cost issuers? 
If so, please explain why.
     Is there any pool-level data that should be provided in 
periodic reports by credit card, charge card, or stranded cost issuers? 
Should any pool-level data be standardized for these asset classes? If 
so, please explain why. For instance, we request comment above about 
whether we should require issuers of ABS backed by credit cards and 
charge cards to provide specific types of pool-level disclosure in a 
standardized manner at the time of an offering.\283\ Should any of that 
pool-level information be required with each periodic report on Form 
10-D? For instance, should we use the same distributional groups for 
account balance, account age, APR, credit available for purchase, types 
of products, and accounts under a debt management program?
---------------------------------------------------------------------------

    \283\ See Section III. A.1.b.iv. above.
---------------------------------------------------------------------------

     Are there any other asset classes that should be exempt 
from the asset-level disclosure requirement in periodic reports and 
why?
(c) Residential Mortgage-Backed Securities
    We are proposing 151 data points for periodic reports for ABS 
backed by residential mortgages. Similar to the RMBS data points we are 
proposing for

[[Page 23369]]

Schedule L, much of the proposed data and definitions are based on 
fields developed by organizations doing work in the area of RMBS, as 
well as government agencies.\284\ Many of the data points we are 
proposing relate to loan modifications and loss mitigation activities 
by the servicer. We describe the additional proposed data points below. 
A description of each proposed data point and related response is 
provided in Table 12 of the Appendix to this release.
---------------------------------------------------------------------------

    \284\ See Section III.A.1.c. above.
---------------------------------------------------------------------------

    1. Information related to delinquent loans, such as a code 
describing the reason for non-payment and codes describing the status 
of the non-payment;
    2. If the loan is an adjustable rate mortgage, the rate at the next 
reset date, the next interest reset date, the payment at the next reset 
date, the next payment reset date, whether the loan is an option ARM, 
and whether the borrower exercised an option to convert an ARM loan to 
a fixed loan;
    3. If the obligor has filed for bankruptcy:
    a. The date of filing and case number;
    b. The date on which the next payment is due under the terms of the 
bankruptcy plan;
    c. If the bankruptcy has been released, the code that describes the 
reason for the release and the date of the release;
    d. The actual due date of the loan had the bankruptcy not been 
filed; and
    e. Whether the debt was reaffirmed and whether the trustee handles 
post-petition payments.
    4. With respect to delinquent loans, whether the servicer is 
pursuing loss mitigation and the type of loss mitigation with the loan, 
borrower or property;
    5. Information related to loan modifications:
    a. The date of first payment due post modification;
    b. The loan balance as of the modification effective payment date;
    c. The amount added to the principal balance of the loan;
    d. Pre- and post-modification interest rates;
    e. Post-modification margin, which is the number of percentage 
points added to the index to establish the new rate;
    f. Pre- and post-modification principal and interest scheduled 
payment amount;
    g. Post-modification interest rate ceilings and floors;
    h. Pre- and post-modification initial and subsequent limitations on 
interest rate increases and decreases;
    i. Pre- and post-modification limitations on payment amount 
increases and decreases;
    j. Pre- and post-modification maturity dates;
    k. The number of months of the interest reset period, pre- and 
post- modification;
    l. Updated debt-to-income ratios used to qualify the modification;
    m. Pre- and post-modification interest only period;
    n. Cumulative and current forgiven interest and principal amounts;
    o. The due date on which the next payment adjustment is scheduled 
to occur for an ARM loan;
    p. Whether the loan remains an ARM loan post-modification;
    q. Whether the terms of the modification agreement call for the 
interest rate to step up over time, the maximum interest rate to which 
the loan may step up and the date the maximum interest rate will be 
reached;
    r. Cumulative and current principal amount deferred by the 
modification that are not subject to interest accrual as well as any 
amounts collected from the obligor during the current period;
    s. Cumulative and current interest and fees deferred by the 
modification that are not subject to interest accrual as well as any 
amounts collected from the obligor during the current period;
    t. The total amount of expenses that have been waived or forgiven 
and reimbursable to the servicer;
    u. The total amount of escrow and corporate advances made by the 
servicer at the time of the modification. Corporate advances are 
amounts paid by the servicer which may include foreclosure expenses, 
attorney fees, bankruptcy fees, and insurance, among others;
    v. The total amount of servicing fees for delinquent payments that 
has been advanced by the servicer at the time of the modification;
    w. Whether the loan has been modified under the terms of the Home-
Affordable Modification Plan (HAMP).\285\ If so, information regarding 
participation end dates, amounts paid and payable under the program, 
whether the mortgage holder has or will receive the incentive amount 
under the program, and actual and scheduled balance of the loan plus 
any deferred amounts.
---------------------------------------------------------------------------

    \285\ HAMP is a federal loan modification program. Further 
details are available at http://makinghomeaffordable.gov/ and 
https://www.hmpadmin.com/portal/index.html.
---------------------------------------------------------------------------

    6. If a forbearance plan is in effect, the start date and end date 
of the plan. A forbearance plan is a period during which no payment or 
a payment amount less than the contractual obligation is required by 
the obligor;
    7. If a repayment plan is in effect, the start and end date of the 
plan, and the date the obligor ceased complying with the terms of the 
plan. A repayment plan refers to a period during which an obligor has 
agreed to make monthly mortgage payments greater than the contractual 
installment in an effort to bring a delinquent loan current;
    8. If the type of loss mitigation is Deed-In-Lieu, the date on 
which a title was transferred to the servicer pursuant to a deed-in-
lieu-of-foreclosure arrangement. Deed-In-Lieu refers to the transfer of 
title from an obligor to the lender to satisfy the mortgage debt and 
avoid foreclosure;
    9. If the type of loss mitigation is a short sale, the amount 
accepted for a short sale. Short sale refers to the process in which a 
servicer works with a delinquent obligor to sell the property prior to 
the foreclosure sale;
    10. If the loan has exited loss mitigation efforts, whether the 
plan was completed or satisfied, cancelled or failed, or denied and the 
date of exit;
    11. If the loan is in the foreclosure process:
    a. The date the loan was referred to a foreclosure attorney and the 
date on which foreclosure action was taken;
    b. The expected date of the foreclosure sale, the date set for the 
foreclosure sale by the court or the trustee, and the actual date it 
occurs;
    c. A code that describes the reason for delay in the foreclosure 
process;
    d. If state law provides for a period for confirmation, 
ratification, redemption or upset period, the date of the end of the 
period;
    e. The amount bid by the servicer at the foreclosure sale; \286\
---------------------------------------------------------------------------

    \286\ The servicer will usually place an opening bid, on behalf 
of the issuing entity, at the foreclosure auction that is usually 
equal to the outstanding loan balance, interest accrued, and any 
additional fees and attorney fees associated with the trustee sale. 
If there are no bids higher than the opening bid, the property will 
be owned by the issuing entity and be considered real estate owned 
(REO). This typically would occur because the market value of the 
property is less than the total amount owed on the loan.
---------------------------------------------------------------------------

    f. If the loan exited foreclosure, the date and the code that 
describes the reason the proceedings ended;
    g. If the property was sold to a third-party, the sale amount of 
the property;
    h. In a judicial foreclosure state, if a judgment on the 
foreclosure has occurred, the date on which a court granted the 
judgment in favor of the creditor;
    i. The date on which the publication of the trustee's sale 
information is published in the appropriate venue; and

[[Page 23370]]

    j. The date on which the servicer sent a notice of intent to the 
obligor informing the obligor of the acceleration of the loan and 
pending initiation of foreclosure action.
    12. If the property is now owned by the issuing entity due to an 
unsuccessful sale at the foreclosure auction, the asset is considered 
real estate owned (REO).\287\ Information should be provided on the 
following:
---------------------------------------------------------------------------

    \287\ Servicing agreements will usually require the servicer to 
promptly sell the property.
---------------------------------------------------------------------------

    a. The most recent listing date and price;
    b. If an offer has been accepted, the amount and the date of 
acceptance;
    c. The original list date and list price for the property;
    d. If an REO sale has closed, the closing date, the gross proceeds, 
and the net proceeds;
    e. The cumulative monthly and total loss amount passed on to the 
issuing entity;
    f. Any amount recovered during the current period;
    g. The start and end date of an eviction process, if applicable; 
and
    h. If the loan exited REO during the current period, provide the 
date and a code describing the reason.
    13. Information related to loss claims:
    a. The unpaid principal balance at the time of liquidation;
    b. Amounts advanced by the servicer and to be reimbursed such as 
interest, servicing fees, attorney fees, attorney costs, property 
taxes, property maintenance, insurance premiums, utility expenses, 
appraisal expenses, property inspections, any pre-securitization 
advances and other miscellaneous expenses;
    c. If the loan is in REO, the amount of REO management fees;
    d. The amount of the payment to the obligor or tenants in exchange 
for vacating the property; and
    e. Any incentive payment to servicer for carrying out a deed-in-
lieu or short sale.
    14. Information related to loss recoveries:
    a. The escrow balance and the suspense balance;
    b. Proceeds collected from hazard claims, pool insurance, mortgage 
insurance, property tax refunds, and insurance premium refunds; and
    c. The amount of any realized loss resulting from bankruptcy or 
special hazard.
    15. If a mortgage insurance claim has been submitted to the primary 
mortgage insurance company for reimbursement, the following information 
would be required:
    a. The date the claim was filed and the date it was paid;
    b. The amount claimed and the amount paid;
    c. The date the claim was denied or rescinded; and
    d. If the property was conveyed to the insurance company, the date 
of conveyance.

Request for Comment

     Are all of the RMBS data points appropriate for periodic 
reports? What other data points should be required by all RMBS issuers? 
Are any data points not necessary or overly burdensome to obtain? 
Please provide a detailed explanation of the reasons why or why not. 
Some data points request the results of calculations, such as debt-to-
income ratios. Can those data points be calculated from information 
already provided by the other asset-level data points? If so, can users 
of the information independently calculate these data points? Should we 
not require these data points to be included in the asset-level data 
file for periodic reports?
     Should we add a data point to require the amount of any 
loss as a result of intentional misstatement, misrepresentation, or 
omission by an applicant or other interested parties, relied on by a 
lender or underwriter to provide funding for, to purchase, or to insure 
a mortgage loan? If so, how would the issuer be able to verify the 
information? Is this information currently disclosed?
     Should we require updated information about the obligor, 
such as updated credit scoring information? If so, why? Would issuers 
be able to obtain updated credit scores?
     We are proposing several data points to capture activity 
specifically related to the HAMP program. Are more generic data points 
appropriate that would capture activity if other types of government 
programs are or become available? If so, please provide us with the 
data points that would be more appropriate and the related definition.
     We are proposing, in the case of a foreclosure, that 
registrants provide the expected date of the foreclosure sale, the date 
on which the foreclosure sale has been set by the court or the trustee, 
and the date on which the foreclosure sale occurs. Are all three data 
points necessary?
     We are proposing, in the case of a delayed foreclosure, 
that registrants provide a code describing the reason for the delay. 
Should we specify the number of days that would constitute a delay for 
this item requirement? If so, what would be the appropriate number of 
days and why?
(d) Commercial Mortgage-Backed Securities
    We are proposing to require 47 additional data points for periodic 
reports that relate to commercial mortgages. Similar to the proposed 
Schedule L data points for commercial mortgage-backed securities, the 
data points we are proposing to require below are primarily based on 
the definitions provided by the CMSA. With respect to each commercial 
mortgage loan in the pool, the issuer would be required to disclose the 
information described below. A description of each proposed data point 
is provided in Table 13 to the Appendix to this release.
    1. The remaining term, number of properties that collateralize the 
loan and the current hyper-amortizing date. The hyper-amortizing date 
is the current anticipated repayment date, after which principal and 
interest may amortize at an accelerated rate, and/or interest to the 
mortgagor increases substantially.
    2. If the loan is an adjustable rate mortgage, the rate at the next 
reset date, the next date the rate is scheduled to change, the amount 
of the payment at next reset, and next payment change date.
    3. If the loan permits negative amortization, the cumulative 
deferred interest, and deferred interest collected.
    4. A code describing any workout strategy.
    5. Information related to modifications, such as the date of the 
last modification, a code that describes the type of loan modification, 
the new modified note rate, payment amount, maturity date and 
amortization period.
    6. Information related to each property such as property name, 
geographic location, as represented by zip code, property type, net 
rentable square footage, number of units, year built, valuation 
amounts, physical occupancy, property status and a code that describes 
the defeasance status. A defeasance option is when an obligor may 
substitute other income-producing property for the real property 
without pre-paying the existing loan.
    7. Financial information related to the properties including:
    a. Financial reporting beginning and end dates;
    b. Revenues, operating expenses, net operating income, and net cash 
flow;
    c. A code describing how net operating income and net cash flow 
were calculated; and
    d. The ratio of underwritten net operating income to debt service, 
the ratio of underwritten net cash flow to

[[Page 23371]]

debt service and a code describing how the ratio was calculated.\288\
---------------------------------------------------------------------------

    \288\ For this purpose, ``underwritten'' means the adjusted 
amount based on a number of assumptions made by the mortgage 
originator or seller. We believe issuers will have had to include 
narrative disclosure about the assumptions used in the prospectus 
for the transaction.
---------------------------------------------------------------------------

Request for Comment

     Are all of the CMBS data points for periodic reports 
appropriate? What other data points should be required by all CMBS 
issuers? Please provide a detailed explanation of the reasons why or 
why not.
     Should we require more data points relating to foreclosure 
in CMBS, like we propose for RMBS? If so, please be specific as to 
which data points should be required and why.
     We are proposing data points for information related to 
the properties collateralizing each asset in Item 3(d) of Schedule L-D 
because we note that issuers that currently provide the disclosure in 
accordance with the CMSA Investor Reporting Package provide property 
information on a periodic basis. Some of this information is the same 
disclosure that would have been provided at the time of the offering by 
proposed Schedule L. Is it appropriate to include all of the data 
points in proposed Item 3(d) with each Form 10-D filing? In particular, 
is it useful for investors to receive the Item 3(d)(1) Property name, 
Item 3(d)(2) Property geographic location, Item 3(d)(3) Property type 
and Item 3(d)(6) Year built with each Form 10-D filing? Please tell us 
why or why not.
(e) Other Asset Classes
    As discussed above, because we are unaware of any other 
organizations attempting to standardize data points for asset classes 
other than mortgages, we are proposing data points for periodic reports 
derived from the aggregate pool-level disclosure that is already 
provided in periodic reports for the following asset classes: 
Automobile loans and leases; equipment loans and leases; student loans; 
and resecuritizations. We do not propose any asset specific data points 
related to repackagings of corporate debt for periodic reports. We 
believe the data points required under proposed Item 1. General of 
Schedule L-D will provide the appropriate asset-level performance 
disclosure for those assets to investors.

Request for Comment

     Should we propose asset specific data points related to 
repackaging of corporate debt for periodic reports? If so, what would 
those be and what would be the appropriate form of disclosure?
(i) Automobiles
    We are proposing to require five additional data fields for 
periodic reports that relate to ABS backed by automobiles loans and 
nine for ABS backed by automobile leases. With respect to each loan or 
lease in the pool, the issuer would be required to disclose the 
information described below. A description of each proposed data point 
is provided in the Appendix to the release in Table 14 for automobile 
loans and Table 15 for automobile leases.
    1. Whether a form of subsidy is received on the loan, such as an 
incentive or rebate.
    2. Any recovery of amounts previously charged-off.
    3. Whether the vehicle was repossessed and related proceeds and 
fees.
    4. For automobile leases, the updated residual value, source of 
residual value, whether the lease has been terminated and the reason 
why, any excess wear and tear or mileage charges, sales proceeds of the 
vehicle, or extension of lease term.

Request for Comment

     Are all of the automobile data points appropriate for 
periodic reports? What other data points should be required by all 
issuers of ABS backed by automobile loans or leases? Please provide a 
detailed explanation of the reasons why or why not.
     We are proposing to require an indicator for the reason 
for automobile lease termination. The code options for this indicator 
would be: (1) Scheduled termination; (2) Early termination due to 
bankruptcy; (3) Involuntary repossession; (4) Voluntary repossession; 
(5) Insurance payoff; (6) Customer payoff; (7) Dealer purchase; and (8) 
Other. Are these codes appropriate? Are there additional codes that 
should be included?
(ii) Equipment
    We are proposing to require two additional data fields for periodic 
reports that relate to ABS backed by equipment loans and five that 
relate to equipment leases. With respect to each loan or lease in the 
pool, the issuer would be required to disclose the information 
described below. A description of each proposed data point is provided 
in the Appendix to the release in Table 16 for equipment loans and 
Table 17 for equipment leases.
    1. Liquidation proceeds and any recovery of amounts previously 
charged-off; and
    2. For equipment leases, the updated residual value, source of 
residual value, and whether the lease has been terminated and the 
reason why.

Request for Comment

     Are all of the equipment data points appropriate for 
periodic reports? What other data points should be required by all 
issuers of ABS backed by equipment loans or leases? Please provide a 
detailed explanation of the reasons why or why not.
     We are proposing to require an indicator for the reason 
for equipment lease termination. The code options for this indicator 
would be: (1) Scheduled termination; (2) Early termination due to 
bankruptcy; (3) Involuntary repossession; (4) Voluntary repossession; 
(5) Insurance payoff; (6) Customer payoff; (7) Dealer purchase and (98) 
Other. Are these codes appropriate? Are there additional codes that 
should be included?
(iii) Student Loans
    We are proposing to require six additional data fields for periodic 
reports that relate to ABS backed by student loans. With respect to 
each loan in the pool, the issuer would be required to disclose the 
information described below. A description of each proposed data point 
is provided in the Appendix to the release in Table 18.
    1. A code that describes the current obligor payment status.
    2. The amount of capitalized interest during the reporting period.
    3. If there is activity related to any guarantor during the 
reporting period, principal and interest received from the guarantor, 
whether a claim is in process and the outcome of the claim.

Request for Comment

     Are all of the student loan data points appropriate for 
periodic reports? What other data points should be required by all 
issuers of ABS backed by student loans? Please provide a detailed 
explanation of the reasons why or why not.
(iv) Floorplan Financings
    We are proposing to require five additional data fields for 
periodic reports that relate to ABS backed by floorplan financings. 
With respect to each loan in the pool, the issuer would be required to 
disclose the information described below. A description of each 
proposed data point is provided in the Appendix to the release in Table 
19.
    1. The liquidation proceeds and any recovery of amounts previously 
charged-off.
    2. Updated credit score and type.

[[Page 23372]]

Request for Comment

     Are all of the proposed floorplan financing data points 
appropriate for periodic reports? What other data points should be 
required by all issuers of ABS backed by floorplan financings? Please 
provide a detailed explanation of the reasons why or why not.
(v) Resecuritizations
    As discussed earlier, at the time of the offering, we are proposing 
to require underlying asset-level data disclosure for resecuritization 
ABS.\289\ Therefore, for periodic reporting, in addition to the asset-
level data that would be required of the underlying securities as 
outlined in Item 1. General of Schedule L-D, we also propose that 
issuers of resecuritization ABS provide Schedule L-D data for the asset 
pool of the underlying securities. For example, if the ABS is comprised 
of several RMBS, then the data points in Item 1 of Schedule L-D would 
be required with respect to each RMBS security in the asset pool. In 
addition, the data points in Items 1 and 2 of Schedule L-D would be 
required for each loan underlying each RMBS security.\290\ If the 
issuer of the underlying security suspends its reporting obligation and 
stops reporting, the issuer of the resecuritization ABS would still 
have to provide the required Schedule L-D data for each loan underlying 
each RMBS security because we believe that investors in the 
resecuritization ABS would need the underlying asset-level information 
to evaluate the performance of the resecuritization ABS.
---------------------------------------------------------------------------

    \289\ Where the underlying securities were required to be 
registered pursuant to Rule 190 [17 CFR 230.190], the issuer of 
those underlying securities is subject to the requirements of 
Section 13(a) or 15(d) of the Exchange Act, as applicable.
    \290\ However, asset-level data would not be required if the 
asset class is exempt from the requirements of Item 1121(d) of 
Regulation AB. For instance, if the asset pool is comprised of 
stranded cost ABS, then Schedule L-D for the underlying pool would 
not be required because they are exempt from the requirements of 
Item 1121(d).
---------------------------------------------------------------------------

Request for Comment

     Is our proposal for asset-level reporting for 
resecuritizations appropriate?
     Would issuers of the resecuritization ABS be able to 
obtain the asset-level data for the pool of assets underlying the 
resecuritized ABS? Should we phase in the requirement? We note that 
Project RESTART recommends that issuers provide the loan-level 
reporting package for outstanding RMBS.\291\
---------------------------------------------------------------------------

    \291\ See American Securitization Forum RMBS Disclosure and 
Reporting Package Final Release (July 15, 2009) at 21, available at 
http://www.americansecuritization.com/.
---------------------------------------------------------------------------

3. Grouped Account Data for Credit Card Pools
    As we discussed above, we are proposing to exclude ABS backed by 
credit cards \292\ from the requirement to provide asset-level data 
because we believe that level of information would result in an 
overwhelming volume of data that may not be useful to investors and 
providing the data may be cost-prohibitive for issuers. However, as we 
also noted above, we believe that investors and market participants 
should have access to the information necessary to assess the credit 
quality of the assets underlying a securitization transaction at 
inception and over the life of the transaction. Instead of providing 
asset-level data, we are proposing that issuers of ABS backed by credit 
cards provide disclosure more granular than pool-level disclosure by 
creating ``grouped account data.'' As we explain in more detail below, 
grouped account data would be created by compressing the underlying 
asset-level data into combinations of standardized distributional 
groups using asset-level characteristics and providing specified data 
about these groups. Like our proposals for other asset classes 
discussed above, we are proposing to require the grouped account data 
be provided in XML and filed as an Asset Data File in order to 
facilitate data analysis.\293\ Our proposal for grouped account data 
would be in addition to the disclosure currently required about the 
composition and characteristics of the pool of assets taken as a whole.
---------------------------------------------------------------------------

    \292\ For purposes of this discussion, we refer to both credit 
card and charge cards as ``credit cards.''
    \293\ See Section III.A.4.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require grouped account data disclosure 
with standardized groupings appropriate?
     Do investors in ABS backed by credit cards need enhanced 
information about assets, or are our current disclosure requirements 
sufficient?
     Is our proposal to require grouped account data in XML 
appropriate? Why or why not?
(a) When Credit Card Pool Information Would Be Required
    Today we are proposing new Item 1111(i) and Schedule CC of 
Regulation AB that describe the standardized distributional groups and 
the information that would be provided for each group. Consistent with 
the proposed asset-level disclosure requirements for other asset 
classes, Schedule CC data would be an integral part of the prospectus, 
and in order to facilitate investor analysis prior to the time of sale, 
we are proposing to require issuers to provide Schedule CC data as of a 
recent practicable date that we define as the ``measurement date'' at 
the time of a Rule 424(h) prospectus and at the time of the final 
prospectus under Rule 424(b). Likewise, if issuers are required to 
report changes to the pool under Item 6.05 of Form 8-K, updated 
Schedule CC data would be required.\294\ Updated Schedule CC would also 
be required if an issuer is required to report changes to the waterfall 
under proposed Item 6.07 to Form 8-K.\295\ As we discuss in Section 
III.A.4, we are proposing a new Item 6.06 to Form 8-K for issuers to 
file the XML data file.
---------------------------------------------------------------------------

    \294\ Under our proposed revisions to Item 6.05 of Form 8-K, a 
narrative description of the changes that were made to the asset 
pool, including the number of assets substituted or added to the 
asset pool, would be included in the body of the report.
    \295\ See Section III.B. below.
---------------------------------------------------------------------------

    In addition, because credit card ABS are typically structured as 
master trusts, accounts may be added or withdrawn.\296\ Unlike 
amortizing asset pools, the composition of the underlying asset pool 
varies over time and we believe investors and market participants would 
benefit from receiving information about the underlying asset pool as 
the pool evolves. Therefore, we are proposing that an updated Schedule 
CC be filed with each periodic report on Form 10-D.
---------------------------------------------------------------------------

    \296\ See fn. 177 above and accompanying text.
---------------------------------------------------------------------------

Request for Comment

     Is the proposed requirement to provide Schedule CC data 
with the proposed Rule 424(h) prospectus, the final prospectus under 
424(b) and for changes under Item 6.05 of Form 8-K appropriate?
     Is the proposed measurement date appropriate? Should we 
provide further guidance about what would be a recent practicable date 
for purposes of determining the measurement date? For example, should 
we specify that it be prepared as of a date that is five business days 
prior to filing?
     Would the proposed Schedule CC contained in the most 
recent Form 10-D provide investors with sufficiently current 
information at the time of making an investment decision? In this 
regard, we note the result could be that the most recent Schedule CC 
data could be as old as 45 days.
     Is our proposal to require that updated Schedule CC data 
be provided with Form 10-D appropriate? Should Schedule CC data be 
required at any other time, such as daily, weekly or

[[Page 23373]]

monthly? If so, please tell us when and why.
     Is our proposal to require that updated Schedule CC data 
be provided when changes to the waterfall are reported under proposed 
Item 6.07 appropriate? Please tell us why or why not.
(b) Proposed Disclosure Requirements
    We are proposing that issuers group the underlying pool into 
grouped account data lines. Proposed Schedule CC sets forth the 
standardized groups and the information requirements that would be 
required for credit card pools. Grouped account data lines are created 
by grouping the underlying accounts by several characteristics. We 
further designate the groupings for each characteristic. This way, 
investors may receive more granular information about the underlying 
asset pool in order to perform better analysis of future payments on 
the asset-backed securities.\297\
---------------------------------------------------------------------------

    \297\ We base our groupings on a comment letter received from an 
investor in response to the FDIC Securitization Proposal. See fn. 
257 above.
---------------------------------------------------------------------------

    We are proposing that data be grouped by a combination of the 
following characteristics:
    1. Credit score. If the credit score used is FICO, the proposed 
groupings would be: (1) Less than 500; (2) 500-549; (3) 550-599; (4) 
600-649; (5) 650-699; (6) 700-749; (7) 750-799; (8) 800 and over; and 
(9) unknown. We are proposing that issuers provide the most recent 
credit score available and accompanying disclosure would be required to 
explain the age of the credit score or the policy for updating the 
credit score from the time of account origination.\298\ If the credit 
score used is not FICO, an issuer would designate similar groupings and 
provide explanatory disclosure. We are proposing a group of 
``unknown;'' however, as we discuss above, registrants should be 
mindful of their responsibilities to provide all of the disclosures 
required in the prospectus and other reports.\299\
---------------------------------------------------------------------------

    \298\ See further discussion regarding explanatory disclosure 
for asset data files in Section III.A.4. and proposed Item 6.06(b) 
to Form 8-K.
    \299\ See Securities Act Rule 409 [17 CFR 230.409] and Exchange 
Act Rule 12b-21 [17 CFR 240.12b-21].
---------------------------------------------------------------------------

    2. Number of Days Past Due. The proposed groupings would be 
accounts that are: (1) Current; (2) less than 30 days; (3) 30-59 days; 
(4) 60-89 days; (5) 90-119 days; (6) 120-149 days; (7) 150-179 days; 
and (8) 180 days and over.\300\
---------------------------------------------------------------------------

    \300\ See fn. 260 above. As we discuss above, our rules do not 
currently provide a definition of delinquent because of various 
delinquency policies across issuers. Instead of proposing to define 
delinquency, we believe disclosure of the number of days past due 
allows for analysis and comparability of the data.
---------------------------------------------------------------------------

    3. Account age. The proposed groupings would be accounts that are: 
(1) Less than 12 months; (2) 12 to 24 months; (3) 24 to 36 months; (4) 
36 to 48 months; (5) 48 to 60 months; and (6) over 60 months.
    4. State. The proposed groupings would be the top 10 states for 
aggregate account balance. The remaining accounts would be grouped into 
the category ``other.''
    5. Adjustable rate index. The proposed groupings for the adjustable 
rate indexes would be: (1) Fixed; (2) prime; and (3) other.
    In order to create a grouped account data line, each group based on 
each of these characteristics should be combined with all groups for 
all other characteristics. All possible combinations would result in 
14,256 grouped account data lines. The table below illustrates how the 
distributional groups and the information requirements relate to each 
other. For example, grouped account data line 2 in the table below 
presents the information required by columns (b)(1) through (b)(5) by 
combining all the credit card accounts in the underlying pool that fall 
within the 500-549 credit score group (column (a)(1)), payments are 
less than 30 days past due (column (a)(2)), account age of 12 to 24 
months (column (a)(3)), with obligors located in the state of Alabama 
(column (a)(4)), where the adjustable rate index is based on a floating 
percentage (column (a)(5)). For each grouped account data line, we are 
proposing that issuers provide the following information: The aggregate 
credit limit; aggregate account balance; number of accounts; weighted 
average annual percentage rate; and weighted average net annual 
percentage rate.\301\
---------------------------------------------------------------------------

    \301\ The weighted average net annual percentage rate would be 
the weighted average of the annual percentage rate less any 
servicing fees related to the account.

------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                                                  Aggregate    Aggregate    Number of     Weighted     Weighted
   Grouped account data line        Credit score      Days payment  is     Account age        Top 10 State     Adjustable  rate     credit      account      accounts   average APR    average
             number                                       past due                                                  index         limit ($)   balance ($)  ()      (%)      net APR (%)
                                 (a)(1)............  (a)(2)...........  (a)(3)...........  (a)(4)...........  (a)(5)...........       (b)(1)       (b)(2)       (b)(3)       (b)(4)       (b)(5)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
1..............................  less than 500.....  Current..........  Less than 12       AK...............  Fixed............
                                                                         months.
2..............................  500-549...........  < 30 days........  12-24 months.....  AL...............  Prime............
3..............................  550-599...........  30-59 days.......  24-36 months.....  AR...............  Other............
4..............................  600-649...........  60-89 days.......  36-48 months.....  AZ...............  Fixed............
5..............................  650-699...........  90-119 days......  48-60 months.....  CA...............  Prime............
6..............................  700-749...........  120-149 days.....  Over 60 months...  CO...............  Other............
7..............................  750-799...........  150-179 days.....  Less than 12       CT...............  Fixed............
                                                                         months.
8..............................  800 and over......  180+ days........  12-24 months.....  DE...............  Prime............
9..............................  less than 500.....  < 30 days........  24-36 months.....  DC...............  Other............
10.............................  500-549...........  30-59 days.......  36-48 months.....  FL...............  Fixed............
11.............................  550-599...........  60-89 days.......  48-60 months.....  Other............  Prime............
12.............................  600-649...........  90-119 days......  Over 60 months...  AK...............  Other............
13.............................  650-699...........  120-149 days.....  Less than 12       AL...............  Fixed............
                                                                         months.
14.............................  700-749...........  150-179 days.....  12-24 months.....  AR...............  Prime............
15.............................  750-799...........  180+ days........  24-36 months.....  AZ...............  Other............
16.............................  800 and over......  Current..........  36-48 months.....  CA...............  Fixed............
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Request for Comment

     Are the proposed standardized distributional groups 
appropriate? Are there any other distributional groups that we should 
specify? Are there any that should not be required?
     Would credit card ABS issuers be able to provide this 
information in this

[[Page 23374]]

format on a cost-effective basis? Would it raise competitive concerns?
     We understand that most credit card ABS issuers currently 
provide disclosure about the FICO credit score distribution of the 
underlying pool. Rather than allowing the issuer to use a credit score 
that is not FICO, should we require that all issuers provide disclosure 
of FICO credit scores by distributional groups? Are there other types 
of credit scores with respect to which we should require disclosure by 
distributional group? If so, what would be the appropriate 
distributional groups?
     Should we provide a definition for delinquency? If so, how 
should it be defined?
     Are the distributional groups for adjustable rate index 
appropriate? Are there any other commonly used indexes that we should 
specify?
     Would issuers already have information about all of the 
states in order to prepare the groupings for the top 10 states by 
aggregate account balance and other? If so, should we require that 
issuers provide groupings by every state? Please tell us why or why 
not.
     Are the proposed informational requirements appropriate 
for the grouped account data (i.e., aggregate credit limit, aggregate 
account balance, number of accounts, weighted average APR and weighted 
average net APR)? What other types of information should issuers 
provide about their accounts in the grouped account data format?
     Are credit cards ever securitized using structures that 
are not master trusts? If so, should we require asset-level disclosure 
for non-master trust credit card ABS issuers because the pool would be 
fixed and contain a smaller number of accounts?
4. Asset Data File and XML
    We are proposing to require asset-level information \302\ and 
grouped account data (with respect to credit cards) related to an 
offering and ongoing periodic reporting be filed on EDGAR in XML 
(extensible Markup Language) as an asset data file. By proposing to 
require the asset-level data file in XML, a machine-readable language, 
we anticipate that users of the data will be able to download the 
disclosure directly into spreadsheets and databases, analyze it using 
commercial off-the-shelf software, or use it within their own models in 
other software formats.
---------------------------------------------------------------------------

    \302\ As defined in proposed Schedule L [17 CFR 229.1111A] and 
Schedule L-D [17 CFR 229.1121A].
---------------------------------------------------------------------------

    Asset-backed filers currently are required to file their 
registration statements, current and periodic reports in ASCII 
(American Standard Code for Information Interchange) or HTML (HyperText 
Markup Language).\303\ Our electronic filing system also uses other 
formats for reporting related to corporate issuers, such as XML, to 
process reports of beneficial ownership of equity securities on Forms 
3, 4, and 5 under Section 16(a) of the Exchange Act,\304\ and a form of 
XML known as XBRL to provide financial statement data.\305\ As we 
explained in the XBRL Adopting Release, electronic formats such as HTML 
and XML are open standards \306\ that define or ``tag'' data using 
standard definitions. The tags establish a consistent structure of 
identity and context. This consistent structure can be recognized and 
processed by a variety of different software applications. In the case 
of HTML, the standardized tags enable Web browsers to present Web 
sites' embedded text and information in a predictable format so that 
they are human readable. In the case of XML and XBRL, software 
applications, such as databases, financial reporting systems, and 
spreadsheets recognize and process tagged information. For asset-backed 
issuers, we believe that XML is the appropriate format to provide 
standardized asset data disclosure. As we discuss earlier, some issuers 
already file loan schedules on EDGAR as part of the pooling and 
servicing exhibit or a free writing prospectus. However, the data is 
currently filed on EDGAR in ASCII or HTML, both of which do not 
facilitate data analysis. XBRL allows issuers to capture the rich 
complexity of financial information presented in accordance with U.S. 
GAAP.\307\ In contrast, the proposed asset data file will present 
relatively simpler characteristics of the underlying loan, obligor, 
underwriting criteria and collateral among other items that are well 
suited for XML. We are proposing XML, rather than XBRL, because there 
are many commercial products that can be used with XML including 
parsers that would allow investors to insert data into a relational 
database for analysis, data extensions available in XBRL are not 
applicable to this data set, the nature of the repetitive data lends 
itself to an XML format and the schema could be easily updated.
---------------------------------------------------------------------------

    \303\ Rule 301 under Regulation S-T [17 CFR 232.301] requires 
electronic filings to comply with the EDGAR Filer Manual, and 
Section 5.1 of the Filer Manual requires that electronic filings be 
in ASCII or HTML format. Rule 104 under Regulation S-T [17 CFR 
232.104] permits filers to submit voluntarily as an adjunct to their 
official filings in ASCII or HTML unofficial PDF copies of filed 
documents.
    \304\ 15 U.S.C. 78p(a).
    \305\ See Interactive Data to Improve Financial Reporting, 
Release No. 33-9002 (Feb. 10, 2009) (``the XBRL Adopting Release)
    \306\ The term ``open standard'' is generally applied to 
technological specifications that are widely available to the 
public, royalty-free, at minimal or no cost.
    \307\ As part of its process of developing proposed Accounting 
Standards Updates, the FASB identifies and seeks comment on proposed 
changes to tags in the U.S. GAAP XBRL Taxonomy. When the FASB 
publishes final Accounting Standards Updates, it includes in the 
final document proposed changes to the U.S. GAAP XBRL taxonomy as a 
result of the amendments in the Accounting Standards Update being 
issued. FASB Accounting Standards Updates, which include proposed 
updates to the U.S. GAAP XBRL taxonomy and are used to update the 
FASB Accounting Standards Codification. The FASB Accounting 
Standards Codification is available at www.fasb.org.
---------------------------------------------------------------------------

    We understand that most of this information is data collected at 
the time of origination and ongoing performance information is 
maintained on servicing systems. The CRE Finance Council (formerly 
CMSA) is already moving towards requiring issuers to provide its 
Investor Reporting Package in XML.\308\ The use of XML will enable 
investors to use standard commercial off-the-shelf software for 
analysis of underlying loan-level data.\309\ This software may also 
permit investors to insert the data into a database to identify 
individual data points. Then the data can be aggregated, compared and 
analyzed. Data can also be subjected to further waterfall analysis. 
Since XML data can be visualized in internet browsers, investors can 
develop a style sheet if viewing data is important in their 
analysis.\310\
---------------------------------------------------------------------------

    \308\ See CRE Finance Council Investor Reporting Package X 
Version 6.0 Working Exposure Draft 1'' available at http://www.crefc.org/Industry_Standards/CMSA-Investor_Reporting_Package/CRE_Finance_Council_IRP/.
    \309\ Off-the-shelf software includes computer products that are 
ready-made and available for sale, lease, or license to the general 
public.
    \310\ A style sheet is a text file that provides instructions 
for formatting and displaying the information in XML documents in a 
human-readable format.
---------------------------------------------------------------------------

    Prior to requiring the asset data file in XML, technical 
specifications that describe the schema, which would include each data 
point described in Schedules L, L-D, and CC are necessary.\311\ Also, 
extension data would not be permitted in the asset-level data file 
because we believe it would defeat the purpose of standardizing the 
data elements.\312\ Instead, we are proposing to include a limited 
number of ``blank'' data tags in

[[Page 23375]]

our XML schema. In order to reduce complexity for users we are 
proposing to limit the number to ten blank data tags. These blank data 
tags would give issuers the ability to present additional asset-level 
data not required by proposed Schedule L or L-D. For example, if 
servicers were required to comply with a new modification program, and 
related tagged information would be material to investors, it may be 
appropriate to use a blank data tag. Additionally, if an issuer 
registers ABS backed by an asset class that has not been previously 
registered, so that no asset class specific schema exists at the time, 
that issuer could use the available blank data tags. Issuers, however, 
would need to provide a narrative explanation of the definitions or 
formulas for the additional tagged data and file it as another exhibit 
on Form 8-K or Form 10-D.\313\ Issuers could also file other 
explanatory disclosure regarding the asset-level data in an exhibit, if 
necessary.\314\
---------------------------------------------------------------------------

    \311\ A schema is a set of custom tags and attributes that 
defines the tagging structure for an XML document.
    \312\ Extension data would allow issuers to add their own data 
elements to our defined data elements.
    \313\ See proposed Item 601(b)(103)(i) of Regulation S-K.
    \314\ See proposed Item 601(b)(103)(ii) of Regulation S-K.
---------------------------------------------------------------------------

(a) Filing the Asset Data File and EDGAR
    We are proposing that the new asset data file in XML be filed as an 
exhibit to the filings. Therefore, we are proposing changes to Item 601 
of Regulation S-K, Rules 11, 201, and 202 of Regulation S-T and Form 8-
K to accommodate the filing of asset data files. We are proposing to 
define the XML file required by proposed Schedules L, L-D, and CC as an 
``Asset Data File'' in Regulation S-T and make corresponding changes to 
Rule 101 of Regulation S-T mandating electronic submission.\315\ As we 
discuss above, we are proposing that the asset data be filed as an 
exhibit to the appropriate Form 8-K (in the case of an offering) or to 
the appropriate Form 10-D (in the case of a periodic distribution 
report).\316\ As we note above, we realize that registrants may want to 
provide investors with additional asset information not defined in 
Schedule L or L-D, or that issuers of new asset classes may want to 
provide investors with other data points. As such, we also propose an 
additional exhibit, an asset related document, for registrants to 
disclose the definitions or formulas for the additional data points or 
to provide further explanatory disclosure regarding the asset data 
file.\317\
---------------------------------------------------------------------------

    \315\ See proposed definition to Rule 11 of Regulation S-T.
    \316\ See proposed exhibit table in Item 601(a) of Regulation S-
K.
    \317\ See proposed Item 601(b)(103) of Regulation S-K.
---------------------------------------------------------------------------

    We also propose to add Item 6.06 to Form 8-K. Regardless of whether 
the issuer is registering the offering on Form SF-1 or SF-3, we are 
proposing to require all asset data files to be filed on Form 8-K so 
that investors may easily locate asset-level data disclosure on EDGAR. 
The proposed item explains that the asset data file must be filed with 
the Form 8-K on the same date of the filing of a prospectus filed in 
accordance with proposed Rule 424(h), a final prospectus meeting the 
requirements of section 10(a) of the Securities Act filed in accordance 
with Rule 424(b), and a report filed in accordance with Item 6.05 of 
Form 8-K (Securities Act Updating Disclosure). The proposed item also 
requires that any asset data related document \318\ be filed at the 
same time the asset data file is filed on EDGAR. We have also included 
proposed instructions to Item 6.06 to refer to the proposed exhibit 
requirements in Item 601 of Regulation S-K and to the incorporation by 
reference item requirements on proposed Forms SF-1 and SF-3.
---------------------------------------------------------------------------

    \318\ Id.
---------------------------------------------------------------------------

(b) Hardship Exemptions
    We are proposing a self-executing temporary hardship exemption for 
filing the asset data file; however, we are proposing to exclude the 
asset data file from the continuing hardship exemption. Rule 201 under 
Regulation S-T generally provides for a temporary hardship exemption 
from electronic submission of information, without staff or Commission 
action, when a filer experiences unanticipated technical difficulties 
that prevent timely preparation and submission of an electronic filing. 
The temporary hardship exemption permits the filer to initially submit 
the information in paper, but requires the filer to submit a confirming 
electronic copy of the information within six business days of filing 
the information in paper.\319\ Failure to file the confirming 
electronic copy by the end of that period results in short form 
ineligibility. Because the disclosure requirement for an asset data 
file is inherently electronic, and the information would not be useful 
if provided in paper, we are proposing an alternative approach to the 
temporary hardship exemption. Under our proposal, if the registrant 
experiences unanticipated technical difficulties preventing the timely 
preparation and submission of an asset data file, a registrant will 
still be considered timely if the asset data is posted on a Web site on 
the same day it was due to be filed on EDGAR, the Web site address is 
specified in the required exhibit, a legend is provided in the 
appropriate exhibit claiming the hardship exemption, and the asset data 
file is filed on EDGAR within six business days. We believe that 
posting the asset data on a Web site is preferable to a paper filing in 
this circumstance. By requiring the asset data file posting on a Web 
site, investors would have access to the disclosures and would not 
experience any delay in accessing the asset data in XML format. 
Consistent with our current temporary accommodation rules, under our 
proposed accommodation, the asset data file must be filed on EDGAR 
within six business days and failure to file the asset data file within 
that period will result in the loss of Form SF-3 eligibility. We 
believe it is important that the disclosure be filed with the 
Commission on EDGAR to preserve continuous access to the information. 
As we discuss below, our experience with the temporary accommodation 
for static pool disclosure raises concern that access to the 
information on Web sites may be lost due to the distress in the market 
or the fact that certain sponsors may cease operations.\320\
---------------------------------------------------------------------------

    \319\ See Rule 201 of Regulation S-T [17 CFR 232.201].
    \320\ See Section III.E.4.
---------------------------------------------------------------------------

    We are proposing to exclude asset data files from the continuing 
hardship exemption under Rule 202 of Regulation S-T. Rule 202 generally 
allows a registrant to apply for a continuing hardship if it cannot 
file all or part of a filing without undue burden or expense. In 
contrast to the self-executing temporary hardship exemption process, a 
filer may obtain a continuing hardship exemption only by submitting a 
written application, upon which the Commission staff must then act 
under delegated authority.
    We do not believe a continuing hardship exemption is appropriate 
with respect to an asset data file because we believe the proposed 
asset data file would be an integral part of the prospectus and 
periodic performance reporting. We believe that, for ABS issuers, the 
information in machine readable format is generally already collected 
and stored on a servicer's systems. Therefore, we do not believe it 
would be appropriate for issuers to receive a continuing hardship 
exemption for the asset data file. We believe investors should receive 
all of the disclosures specified in Schedules L

[[Page 23376]]

and L-D and in a format that will allow them to effectively utilize the 
information.\321\
---------------------------------------------------------------------------

    \321\ We recognize that our rules provide for a continuing 
hardship for registrants required to file Interactive Data Files in 
XBRL. Interactive Data Files in XBRL contain data that is already 
disclosed in the prospectus. In contrast, asset data files will 
contain disclosure that is not otherwise provided in the related 
prospectus or report. See the XBRL Adopting Release.
---------------------------------------------------------------------------

(c) Technical Specifications
    We are proposing to add detailed information on submitting an asset 
data file to the EDGAR Technical Specification. As discussed above and 
as specified in the Appendix to this release, there are several data 
points contained in Schedule L and Schedule L-D that require issuers to 
provide a coded response. These codes would be enumerated in the EDGAR 
Technical Specification. We expect that the technical specifications 
would be available as early as possible prior to any required 
compliance date. The manual would be published on the SEC's Web site on 
the ``Information for EDGAR Filers'' webpage.\322\
---------------------------------------------------------------------------

    \322\ The Web site address is http://www.sec.gov/info/edgar.shtml.
---------------------------------------------------------------------------

Request for Comment

     Is it appropriate to require the asset data file in XML 
format? Does XML format most easily facilitate the analysis of the 
securities and their underlying assets for all market participants?
     In what format do issuers currently provide asset data 
information to investors (as may be required, for example, under 
transaction agreements)? Do any market participants currently provide 
asset data in accordance with a technical specification or schema 
commonly used across a particular asset class? If so, would our data 
points cause divergence from current practice? Please tell us which 
specific proposed data points would be of concern and why. How can we 
address those concerns? Is another format preferable, such as XBRL?
     Should we adopt the proposed changes to Item 601 of 
Regulation S-K, Regulation S-T and Form 8-K?
     We are not proposing changes to Rule 305 of Regulation S-T 
to exempt the asset data file from the restrictions on the number of 
characters per line that may be filed on EDGAR in order to prevent 
issuers from filing the tagged data in one continuous string. We 
believe the restriction on the number of characters per line will help 
preparers and validators with their review of the asset data file. 
Should we exempt the asset data file from Rule 305 of Regulation S-T? 
If so, why?
     Are the proposed blank data tags appropriate? Is ten blank 
data tags the appropriate number? Should the number be more or less? 
Would more blank data tags create undue complexity for investors? Are 
there other ways we could provide for additional disclosure and have 
that disclosure be standardized?
     Is the proposed temporary hardship exemption, including 
the required Web site posting, appropriate? Should we allow a 
continuing hardship exemption for filing the asset data file on EDGAR?
     We propose to use existing submission types in order to 
enable filers to attach the asset data file as an exhibit. Tagging 
specifications that explain the requirements of the XML schema would be 
included in the proposed technical specifications. Are there other 
specifications that would be helpful that should be provided in the 
EDGAR Filer Manual for asset data files that are not currently included 
in other Technical Specifications? Please be specific in your response.
     Should we provide a transition period prior to the 
required compliance date that would allow filers to submit only test 
filings? Please be specific in your response.
     The technical specification will outline in detail the 
required format of each data point. Are there other validation checks 
that need to be in place to check compliance? Please be specific in 
your response.
4. Pool-Level Information
    By at least 2006, an increasing number of residential mortgages 
were generated in the United States through loosened underwriting 
standards.\323\ In addition, originators engaged in practices such as 
the bundling of non-traditional features into a single loan product, 
known as ``risk-layering.'' \324\ The loosening of underwriting 
standards for subprime mortgages has been cited as one of the principal 
causes of the recent turmoil in the financial markets.\325\ In 
addition, compliance with the disclosure guidelines set forth in our 
rules by some ABS issuers was not consistent.
---------------------------------------------------------------------------

    \323\ The PWG March 2008 Report states that there was a dramatic 
weakening of underwriting standards for U.S. subprime mortgages, 
beginning in late 2004 and extending into early 2007.
    \324\ For a discussion of the increase in looser underwriting 
standards and risk layering practices, see, e.g., Speech by Federal 
Reserve Chairman Ben S. Bernanke At the Federal Reserve Bank of 
Chicago's 43rd Annual Conference on Bank Structure and Competition, 
Chicago, Illinois, available at http://www.federalreserve.gov/newsevents/speech/bernanke20070517a.htm; Report by the Global Joint 
Initiative of Securities Industry and Financial Markets Association, 
the American Securitization Forum, the European Securitisation 
Forum, and the Australian Securitisation Forum, ``Restoring 
Confidence in the Securitization Markets,'' (Global Joint Initiative 
Report) Dec. 3, 2008, at 4; and United States Government 
Accountability Report to Congressional Requesters: Home Mortgages: 
Provisions in a 2007 Mortgage Reform Bill (H.R. 3915) Would 
Strengthen Borrower's Protections But Views on Their Long Term 
Impact Differ (July 2009) at 19, available at http://www.gao.gov/new.items/d09741.pdf.
    \325\ See The PWG March 2008 Report and The President's Working 
Group, Progress Update on March Policy Statement on Financial Market 
Developments, October 2008 (both reports noting that the breakdown 
in underwriting standards for subprime mortgages as one of a list of 
principal causes of the turmoil in the financial markets).
---------------------------------------------------------------------------

    Item 1111 of Regulation AB \326\ outlines several aspects of the 
pool that the prospectus disclosure should cover.\327\ Item 1111 
explicitly provides that exceptions to origination criteria must be 
disclosed.\328\ We are proposing revisions to the pool-level disclosure 
requirements in Item 1111 to further detail and clarify the type of 
disclosure that is required to be provided for ABS offerings with 
respect to deviations from disclosed underwriting standards. We also 
are proposing revisions related to the originator's diligence with 
respect to the information used to underwrite the assets, and the 
remedies related to the pool assets that are available to investors 
that are provided in underlying transaction agreements.
---------------------------------------------------------------------------

    \326\ 17 CFR 229.1111.
    \327\ Item 1111 requires this disclosure on the assets, as 
material, whether or not the sponsor is also the originator of the 
assets or the sponsor acts as an aggregator or consolidator of 
loans.
    \328\ Item 1111(a)(3) requires a description of the 
solicitation, credit-granting or underwriting criteria used to 
originate or purchase the pool assets, including, to the extent 
known, any changes in such criteria and the extent to which policies 
and criteria are or could be overridden.
---------------------------------------------------------------------------

    First, we are proposing to amend Item 1111 to specify that 
disclosure regarding the underwriting of assets that deviate from the 
disclosed origination standards must be accompanied by specific data 
about the amount and characteristics of those assets that did not meet 
the disclosed standards. To the extent that disclosure is provided 
regarding compensating or other factors, if any, that were used to 
determine that the assets should be included in the pool, despite not 
having met the disclosed underwriting standards, the issuer would be 
required to specify the factors that were used and provide data on the 
amount of assets in the pool that are represented as meeting those 
factors. Thus, data would be required on the number of assets not 
meeting the underwriting criteria, the number of such assets meeting 
particular compensating factors (if those factors are disclosed), and 
the number of such assets not meeting such factors.

[[Page 23377]]

    Second, we are proposing to require disclosure of what steps were 
undertaken by the originator or originators to verify the information 
used in the solicitation, credit-granting or underwriting of the pool 
assets.\329\ Such information could include how the originator 
documented various criteria such as, for example, debt-to-income 
ratios, loan-to-value ratios or documentation type.\330\ We believe 
that this information should provide helpful insight to investors 
regarding the underwriting of the pool assets.
---------------------------------------------------------------------------

    \329\ See proposed revision to Item 1111(a).
    \330\ The requirement under this proposal to disclose these 
steps should not be confused with the due diligence defense against 
liability under Securities Act Section 11 (15 U.S.C. 77k) or the 
reasonable care defense against liability under Securities Act 
Section 12(a)(2) (15 U.S.C. 77l(a)(2)). Instead, our proposed 
amendment is designed to provide disclosure of information relating 
to the originator's diligence to verify the information used to 
underwrite the assets.
---------------------------------------------------------------------------

    Third, we are proposing amendments that would elicit more 
disclosure regarding certain remedies available to investors in the 
transaction agreements. As discussed above, most transaction agreements 
for ABS offerings contain representations and warranties by the sponsor 
or originator about the quality, legal compliance and other aspects of 
the pool assets. Typically, investors are entitled to recover through 
provisions that require the repurchase of assets from the securitized 
pool by an obligated party. The obligated party, typically the sponsor, 
would be obligated to repurchase the assets if the representations and 
warranties have been breached. Item 1111(e) currently requires summary 
disclosure regarding any representations and warranties made concerning 
the pool assets by the sponsor, transferor, originator or other party 
to the transaction. The item also requires disclosure of the remedies 
available if those representations and warranties are breached, such as 
repurchase obligations. In addition, many transaction agreements may 
provide for the repurchase of assets if the servicer has modified the 
terms of an asset in the pool in a manner or to a degree that is 
prohibited under the transaction agreements.
    To help ensure that issuers provide meaningful disclosure in an 
area that has become increasingly important for investors, we are 
proposing to replace Item 1108(c)(6) with a more detailed and specific 
disclosure requirement in Item 1111.\331\ Item 1108(c)(6) currently 
requires disclosure to the extent material of any ability of the 
servicer to waive or modify any terms, fees, penalties or payments on 
the assets and the effect of any such ability, if material, on the 
potential cash flows from the assets. Our proposal would replace Item 
1108(c)(6) with a more detailed and specific disclosure requirement in 
Item 1111. As proposed to be revised, Item 1111 would require a 
description of the provisions in the transaction agreements governing 
modification of the assets. We also are proposing to require disclosure 
regarding how modification may affect cash flows from the assets or to 
the securities.
---------------------------------------------------------------------------

    \331\ 17 CFR 229.1108(c)(6).
---------------------------------------------------------------------------

    We also are proposing to require disclosure of whether or not a 
fraud representation is included among the representations and 
warranties. Under the proposal, the issuer would provide disclosure 
regarding whether a representation was made that no fraud has taken 
place in connection with the origination of the assets on the part of 
the originator or any party involved in the origination of the assets. 
We believe that it is important to highlight this representation to 
investors, although we do not intend to diminish the importance of 
other representations and warranties regarding the pool assets that are 
provided.
    Existing Item 1111 requires the disclosure of statistical 
information about the pool in appropriate distributional groups or 
incremental ranges, among other things. The rule also requires that 
statistical information for each group or range also should be 
presented by material variables, such as average balance, weighted 
average coupon, average age and remaining term, average loan-to-value 
or similar ratio, and weighted average standardized credit score or 
other applicable measure of obligor credit quality.\332\ Because we 
believe that existing Item 1111 calls for statistical information in 
the prospectus regarding an originator's ``risk-layering practices'' 
that demonstrates the manner and extent to which multiple non-
traditional features of a loan are bundled into one instrument, issuers 
should already be providing this disclosure.\333\ However, to the 
extent there is ambiguity or lack of clarity in Item 1111 regarding 
what disclosure with respect to risk-layering practices is required to 
be provided, we request comment on how to make changes to Regulation AB 
to require the appropriate disclosure on risk-layering practices.
---------------------------------------------------------------------------

    \332\ See also Section III.B.5.a. of the 2004 ABS Adopting 
Release.
    \333\ We believe that this would include risks relating to the 
geographic location of the property.
---------------------------------------------------------------------------

Request for Comment

     Above we noted that disclosure regarding risk layering 
practices is required under existing Item 1111. Is the application of 
Item 1111 to risk-layering practices clear? Is there some way we can 
make Item 1111 clearer in that regard? Should we revise any other rule 
in that regard?
     Should we require, as proposed, disclosure on assets that 
deviate from the disclosed origination underwriting standards that must 
be accompanied by disclosure of specific data about the amount and 
characteristics of those assets that did not meet the standards? Should 
we require, as proposed, that if disclosure is provided regarding 
compensating or other factors, if any, that were used to determine that 
the assets should be included in the pool, despite not having met the 
disclosed underwriting standards, disclosure is required that would 
describe those factors and provide data on the amount of assets in the 
pool that are represented as meeting those factors and the amount of 
assets that do not meet those factors? Should we require any other 
disclosure with respect to exceptions to or deviations from disclosed 
origination underwriting standards? Should issuers be required to 
identify each exception loan by a loan identifier that will be 
disclosed in the proposed Schedule L discussed above?
     Are the proposed amendments relating to disclosure 
concerning representations and warranties and modification provisions 
in the transaction agreements appropriate?
     Are there other kinds of disclosure relating to 
representations and warranties and enforcement mechanisms of those 
representations and warranties that should be required to be provided? 
If so, please describe in detail.
     A repurchase obligation also may be imposed under other 
circumstances.\334\ Should the rules require prospectus disclosure of 
other types of repurchase obligations?
---------------------------------------------------------------------------

    \334\ For example, there may be obligation to repurchase a loan 
that goes into payment default within a short period of time after 
closing.
---------------------------------------------------------------------------

     We are proposing to require disclosure of whether the 
transaction agreements include a fraud representation. Is this 
appropriate? Are there other types of representations and warranties 
that the prospectus should highlight?
     Should we delete Item 1108(c)(6), as proposed? Is there 
any type of disclosure that will be omitted if we delete Item 
1108(c)(6) in lieu of our proposed revision to Item 1111?

[[Page 23378]]

B. Flow of Funds

1. Waterfall Computer Program
    We are proposing to require that most ABS issuers file a computer 
program that gives effect to the flow of funds, or ``waterfall,'' 
provisions of the transaction. We are proposing that the computer 
program be filed on EDGAR in the form of downloadable source code in 
Python. Python, as we will discuss further below, is an open source 
interpreted programming language.\335\ Under our proposal, an investor 
would be able to download the source code for the waterfall computer 
program and run the program on the investor's own computer (properly 
configured with a Python interpreter).\336\ The waterfall computer 
program would be required to allow use of the asset data files that we 
are also proposing today.\337\ This proposed requirement is designed to 
make it easier for an investor to conduct a thorough investment 
analysis of the ABS offering at the time of its initial investment 
decision. In addition, an investor may monitor ongoing performance of 
purchased ABS by updating its investment analysis from time to time to 
reflect updated asset performance.\338\ In this way, market 
participants would be able to conduct their own evaluations of ABS and 
may be less dependent on the analysis of third parties such as credit 
rating agencies.
---------------------------------------------------------------------------

    \335\ Open source means that the source code is available to all 
users (as opposed to proprietary source code that can be viewed only 
by the owner/developers of the program). An interpreted programming 
language is one that requires an interpreter in the target computer 
for program execution. See Section III.B.1.d. below.
    \336\ An interpreter is a programming language translator that 
translates and runs the program at the same time. It converts one 
program statement into machine language, executes it, and then 
proceeds to the next statement. This differs from regular executable 
programs that are presented to the computer as binary-coded 
instructions. Interpreted programs remain in the source language the 
programmer wrote it in, which is human readable text.
    \337\ See Sections III.A.1., III.A.2. and III.A.3 above.
    \338\ Updated asset performance data would be required under 
proposed Item 1121(d) and (e) for Regulation AB. See Sections 
III.A.2. and III.A.3.
---------------------------------------------------------------------------

    The waterfall is a critical component of an ABS. Currently 
investors receive only a textual description of this information in the 
prospectus, which may make it difficult for them to perform a rigorous 
quantitative analysis of the ABS.\339\ In a typical ABS, the waterfall 
governs the application of cash collected on pool assets. Using the 
waterfall, cash collections are applied to distributions to the holders 
of various classes of ABS backed by the pool assets. Depending on the 
level of prepayments, defaults and losses-given-default \340\ that 
occur on the pool assets, the waterfall may redirect the application of 
cash to or away from a particular class of securities; may allocate 
cash to a reserve account or require the release of reserve account 
cash; \341\ may change the allocation of cash to the classes in an ABS 
transaction from sequential pay to pro rata pay,\342\ and vice versa; 
or may accelerate or defer the application of principal prepayments to 
a particular tranche. As a result, the calculation of the probable 
amount and timing of cash distributions to an investor on a particular 
ABS, an essential element of valuing or pricing the security, can be 
complex.
---------------------------------------------------------------------------

    \339\ See Item 1113 of Regulation AB [17 CFR 229.1113]. The 
waterfall computer program is a necessary but not a sufficient tool 
for carrying out quantitative analysis of an ABS. We recognize that 
investors will still have to build or acquire from a vendor other 
elements of a complete cash flow and valuation model. However, 
requiring the issuer to supply the waterfall computer program should 
make the investor's task easier, and is an appropriate subject of a 
filing requirement as it consists of information that is specific to 
the particular ABS being offered.
    \340\ By losses-given-default we mean the amount of unrecovered 
principal on a defaulted asset after realization of all amounts 
available.
    \341\ A reserve account is a form of internal credit enhancement 
created to cover losses on the pool assets.
    \342\ Sequential pay means that from the inception of the 
transaction, a single designated class receives all available 
principal payments until it is retired; only then does a second 
designated class begin to receive principal; and so on. Pro rata pay 
means that all classes receive their proportionate shares of 
principal payments during the life of the securities.
---------------------------------------------------------------------------

    Institutional sellers and buyers of ABS typically rely on computer 
simulation of the results of applying the cash flows on the pool assets 
to the waterfall under different interest rate, prepayment, default and 
loss-given-default assumptions to determine the likely amount and 
timing of cash distributions on, and therefore the value of, the ABS. A 
common approach to this task is to: (a) Run many separate simulations, 
or projections, of the cash flows for the pool assets (using randomly 
generated assumed interest rates, prepayment speeds, default rates and 
loss-given-default rates--a simulation process referred to as the Monte 
Carlo method); (b) pass these simulated cash flows through the 
waterfall structure of the ABS; and (c) observe the resulting cash 
flows for each separate ABS tranche. To conduct this analysis, a market 
participant requires:
     Loan-level information, or grouped account data, about the 
assets, including such fields as their coupon rates, balances, loan-to-
value ratios, maturity dates, and the borrowers' credit scores, among 
others;
     A computer program that calculates the contractual cash 
flows for each tranche of the ABS based on the presumed cash flows of 
the underlying pool assets;
     Additional computer models that generate inputs for the 
computer simulation (such as interest rate, prepayment, loss and loss-
given-default models); and
     A computer system that combines the three elements above 
into a model that allows investors to calculate the values of ABS 
tranches based on their own assumptions about the behavior of the 
underlying pool assets combined with the waterfall of the ABS, and the 
current state and performance of the underlying pool assets.
    Without these tools, market participants must rely on third party 
vendors to provide quantitative analysis of the asset-backed security 
\343\ or must rely on computational materials provided by the issuer, 
without the opportunity to test the model or vary the assumptions used 
by the issuer.\344\
---------------------------------------------------------------------------

    \343\ Our proposed requirement to file the waterfall computer 
program is intended to have same functionality as a ``deal'' in a 
``deal library'' that has been coded or programmed from an 
authoritative statement of the waterfall, such as a pooling and 
servicing agreement. Deal and deal library are terms used by 
commercial vendors of quantitative valuation analysis services and 
their customers. The process of coding or programming the waterfall 
for an ABS is referred to by vendors as ``scripting'' a deal.
    \344\ Computational materials contain statistical data 
displaying for a particular class of asset-backed securities the 
yield, average life, expected maturity, interest rate sensitivity, 
cash flow characteristics or other such information under specified 
prepayment interest rate, loss or related scenarios. See Item 
1101(a) of Regulation AB [17 CFR 229.1101(a)] and Section III.C. of 
the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    The ABS issuer or the underwriter generally will have a computer 
model of the waterfall. However, the issuer or underwriter currently 
has no obligation to share the computer model with actual or potential 
ABS investors. Because prospective investors in ABS typically do not 
have access to the ABS issuer's computer models, under current 
conditions, an investor must create its own computer program. It does 
this by taking the priority of payment rules stated in the trust 
agreement, pooling and servicing agreement, indenture, or other 
operative document for the ABS and described in the prospectus, 
converting the English language statement of those provisions into one 
or more algorithms, and then expressing the algorithms as computer code 
in a programming language. As a practical matter, it is often not 
possible to complete these steps before making an investment decision. 
This is particularly onerous for smaller institutional

[[Page 23379]]

investors, for whom it may not be feasible to acquire the financial and 
technological expertise necessary to develop a computer program of the 
waterfall. Thus, investment decisions with respect to ABS may be made 
without the benefit of the investor performing its own quantitative 
valuation analysis. This may encourage undue reliance on the 
determinations of credit rating agencies. Further, there is the 
possibility that some investors will program the waterfall erroneously, 
leading to inaccurate ABS valuations.
    We believe that the proposed requirement to file the waterfall 
computer program would convey information to investors in a form that 
is both more accurate and more useful to them for data analysis than a 
textual description of the waterfall. By running the waterfall computer 
program in combination with other internally-developed or commercially 
available vendor interest rate, prepayment, default and loss-given-
default models, cash flow engines, or computational services, investors 
should be able to promptly run cash flow simulations and generate 
present value estimates for ABS tranches. An investor should also be 
able to more effectively monitor the ongoing performance of the ABS by 
using the proposed updated asset-level performance information to be 
filed with each periodic distribution report on Form 10-D.
(a) Proposed Disclosure Requirements
    We are proposing to require, for offerings of asset-backed 
securities backed by most asset classes, that issuers file the 
waterfall computer program in the form of downloadable source code in 
the Python programming language.\345\ We define the disclosure 
requirements of the waterfall computer program in proposed Item 
1113(h)(1). We are proposing that the waterfall computer program give 
effect to the priority of payment provisions in the transaction 
agreements that determine the funds available for payments or 
distributions to the holders of each class of securities,\346\ and each 
other person or account entitled to payments or distributions, from the 
pool assets, pool cash flows, credit enhancement or other support, and 
the timing and amount of such payments or distributions.\347\
---------------------------------------------------------------------------

    \345\ When we refer to a waterfall computer program for an 
asset-backed security, we refer to the whole offering of asset-
backed securities backed by a particular pool of assets; in other 
words, the deal, not to a single class or tranche of the deal.
    \346\ For this purpose, a subclass or tranche would be a 
separate class.
    \347\ See proposed Item 1113(h)(1)(i) of Regulation AB.
---------------------------------------------------------------------------

    Under the proposed requirement, the filed source code, when 
downloaded and run by an investor, must provide the user with the 
ability to programmatically input the user's own assumptions regarding 
the future performance and cash flows from the pool assets, including 
but not limited to assumptions about future interest rates, default 
rates, prepayment speeds, loss-given-default rates, and any other 
necessary assumptions required to be described under Item 1113 of 
Regulation AB. The waterfall computer program must also allow the use 
of the proposed asset-level data file that will be filed at the time of 
the offering and on a periodic basis thereafter.\348\
---------------------------------------------------------------------------

    \348\ See proposed Items 1111A and 1121A of Regulation AB.
---------------------------------------------------------------------------

    We also propose to require that the waterfall computer program 
produce a programmatic output, in machine-readable form, of all 
resulting cash flows associated with the ABS, including the amount and 
timing of principal and interest payments payable or distributable to a 
holder of each class of securities, and each other person or account 
entitled to payments or distributions in connection with the 
securities, until the final legal maturity date, as a function of the 
inputs into the waterfall computer program.
    We are also proposing an instruction to the item requirement to 
make clear that the provisions captured in the waterfall computer 
program should include, but not be limited to, provisions that set 
forth the priorities of payments or distributions (and any 
contingencies affecting such priorities) to the holders of each class 
of securities and any other persons or accounts entitled to payments or 
distributions, and any related provisions necessary to determine the 
quantitative results of such provisions (including certain provisions 
required to be described in Item 1113 of Regulation AB). Item 1113 of 
Regulation AB currently requires disclosure of a plain English 
description of the structure of the waterfall and we believe that the 
provisions given effect in the proposed waterfall computer program 
should largely be the same as those provisions required to be described 
under current Item 1113. But in the event that there are any provisions 
that are not required to be described under Item 1113 because they are 
not material to the description of the waterfall in the prospectus, but 
those provisions are used to determine the value of the inputs to the 
waterfall computer program, the waterfall computer program would be 
required to give effect to the provisions by which those inputs are 
determined.
    In addition, we are proposing to require that the issuer file as 
part of the waterfall computer program a sample expected output for 
each ABS tranche based on sample inputs provided by the issuer. By 
using the sample inputs to run the program, the investor will be able 
to confirm that the program is working correctly by matching the actual 
outputs produced against the sample expected output provided by the 
issuer.\349\
---------------------------------------------------------------------------

    \349\ We note that the sample inputs and outputs we propose to 
require are intended to confirm that the program is functioning, and 
would not serve to make any representations about the actual 
expected performance of the deal.
---------------------------------------------------------------------------

    Lastly, so that investors may easily locate the waterfall computer 
program, we are proposing that the prospectus include a statement that 
the information provided in response to proposed Item 1113(h) is 
provided as a downloadable source code in the Python programming 
language filed on the SEC Web site. Issuers would also need to disclose 
the CIK and file number of the related filing.
(b) Proposed Exemptions
    We are proposing to exclude issuers of ABS backed by stranded costs 
from the requirement to provide the waterfall computer program. As we 
discuss above, we are not proposing to require such issuers to file an 
asset data file at the time of the offering or on a periodic 
basis,\350\ and therefore, we do not believe investors would have the 
necessary inputs to run the waterfall computer program.
---------------------------------------------------------------------------

    \350\ See Sections III.A.1.b.iii. and III.A.2.b.
---------------------------------------------------------------------------

(c) When the Waterfall Computer Program Would Be Required
    Like the asset data file, the waterfall computer program would be 
an integral part of the prospectus so that issuers would be required to 
provide the waterfall computer program at the time of filing the Rule 
424(h) prospectus as of the date of the filing. Similarly, as a 
prospectus requirement, the waterfall computer program would be filed 
with the final prospectus under Rule 424(b) as of the date of the 
filing.
    In addition, we are proposing to require credit card master trusts 
to report changes to the waterfall computer program on Form 8-K and 
file the updated waterfall computer program as an exhibit to the 
report. Furthermore, we are also proposing to require that registrants 
provide updated Schedule CC grouped account data at the same time the 
updated waterfall computer program is filed so that investors may 
evaluate the effect of the change in the

[[Page 23380]]

flow of funds using updated underlying pool information.
(d) Filing the Waterfall Computer Program and Python
    We are proposing that the waterfall computer program be filed as an 
exhibit in accordance with Item 6.07 of Form 8-K. The Form 8-K would 
then also be incorporated by reference into the registration statement. 
Therefore, we are proposing changes to Item 601 of Regulation S-K, 
Rules 101, 201, 202 and 305 of Regulation S-T, new Rule 314 of 
Regulation S-T and changes to Form 8-K to accommodate the filing of the 
waterfall computer program. We realize that registrants may want to 
provide more program functionality in the waterfall computer program 
than would be required by proposed Item 1113(h). For example, 
additional program functionality could include features designed to 
allow interoperability with other ABS quantitative analysis software. 
As such, we also propose to permit the filing of an additional exhibit, 
a waterfall computer program related document, for registrants to 
disclose the additional program functionality.
    We are proposing new Rule 314 of Regulation S-T to require that the 
waterfall computer program be written in the Python programming 
language and be filed as source code that is able to be downloaded and 
run on a local computer properly configured with a Python interpreter. 
As we note above, Python is an open source interpreted programming 
language. Open source means that the source code is available to all 
users (as opposed to proprietary source code that can be viewed only by 
the owner or developer of the program). An interpreted language is a 
programming language that requires an interpreter in the target 
computer for program execution.\351\ We prohibit the inclusion of 
executable code in electronic submissions on EDGAR because of the 
computer security risks posed by accepting executable code for 
filing.\352\ Executable code results from separately compiling a 
computer program prior to running it.\353\ Since Python is an 
interpreted language that does not need to be compiled prior to running 
it, executable code would not need to be published on EDGAR, and we 
would not require EDGAR to establish facilities to host, run, or 
operate any computer program. The waterfall computer program source 
code would be required to be submitted as tagged XML data. The EDGAR 
Technical Specification would contain detailed information on how to 
file the waterfall computer program.
---------------------------------------------------------------------------

    \351\ An interpreter is a programming language translator that 
translates and runs the program at the same time. It converts one 
program statement into machine language, executes it, and then 
proceeds to the next statement. This differs from regular executable 
programs that are presented to the computer as binary-coded 
instructions. Interpreted programs remain in the source language the 
programmer wrote it in, which is human readable text.
    \352\ See Securities Act Rule 106 to Regulation S-T [17 CFR 
239.106].
    \353\ We define executable code in Rule 11 of Regulation S-T [17 
CFR 239.11] as instructions to a computer to carry out operations 
that use features beyond the viewer's, reader's, or Internet 
browser's native ability to interpret and display HTML, PDF, and 
static graphic files. Such code may be in binary (machine language) 
or in script form. Executable code includes disruptive code.
---------------------------------------------------------------------------

    Additionally, we are proposing a change to Rule 305 of Regulation 
S-T to exempt the waterfall computer program from number and character 
per line requirements on EDGAR.
(e) Hardship Exemptions
    We are proposing a self-executing temporary hardship exemption for 
filing the waterfall computer program; however, we are proposing to 
exclude the waterfall computer program from the continuing hardship 
exemption under Rule 202 of Regulation S-T.\354\ We are proposing the 
same approach to the temporary hardship exemption for the waterfall 
computer program as we propose for the asset-level data file. Because 
the disclosure requirement for the waterfall computer program is 
inherently electronic, the information would not be useful if provided 
on paper. Under our proposal, if the registrant experiences 
unanticipated technical difficulties preventing the timely preparation 
and submission of the waterfall computer program, a registrant would be 
considered to have made a timely filing if the waterfall computer 
program is posted on a Web site on the same day it was due to be filed 
on EDGAR, the Web site address is specified in the required exhibit, a 
legend is provided in the appropriate exhibit claiming the hardship 
exemption, and the waterfall computer program is filed on EDGAR within 
six business days.
---------------------------------------------------------------------------

    \354\ We explain the hardship exemptions in further detail above 
in Section III.A.4.b.
---------------------------------------------------------------------------

    We are also proposing to exclude the waterfall computer program 
from the continuing hardship exemption under Rule 202 of Regulation S-
T. This is the same approach for the waterfall computer program that we 
are proposing for asset-level data files. We do not believe a 
continuing hardship exemption is appropriate with respect to the 
waterfall computer program because, as we discuss above, the waterfall 
computer program will be an integral part of the prospectus. Therefore, 
we do not believe it would be appropriate for issuers to receive a 
continuing hardship exemption for the waterfall computer program.

Request for Comment

     Is it appropriate for us to require most ABS issuers to 
file the waterfall computer program? Is there an alternative form of 
required information filing that would be more useful to investors, 
subject to the limitation that executable code may not be filed on 
EDGAR?
     Should we require, as proposed, that the Rule 424(h) 
filing include the waterfall computer program?
     Does access to the waterfall computer program decrease the 
amount of time needed to analyze the information in a prospectus? If we 
adopt the waterfall computer program filing requirement, would less 
time be needed for investors to review transaction-specific 
information? If so, how much time would be needed after the waterfall 
computer program is filed? Four days? Two days? Does analysis of the 
waterfall computer program require more time than what we allow as 
proposed so that we should increase the time period for the Rule 424(h) 
filing?
     Is it appropriate to require issuers to submit the 
waterfall computer program in a single programming language, such as 
Python, to give investors the benefit of a standardized process? If so, 
is Python the best choice or are there other open source programming 
language alternatives (such as PERL) that would be better suited for 
these purposes?
     Should more than one programming language be allowed? If 
so, which ones and why?
     Should we restrict ourselves to only open source 
programming languages or allow fully commercial or partly-commercial 
languages (such as C-Sharp or Java) to be used? If so, what factors 
should be considered?
     Are there other requirements we should impose on the 
possible computer programming languages that are used to satisfy this 
requirement, other than that such languages be open source and 
interpreted?
     Under our proposal, issuers would be required to file the 
waterfall computer program in the form of downloadable source code on 
EDGAR. Prior to filing, the code would not be tested by the Commission. 
Would downloading the code onto a local computer give rise to any 
significant risks for investors? If so, please identify those risks and 
what steps or measures

[[Page 23381]]

we should take to address the risks, if any.
     Are the proposed input and output requirements for the 
waterfall computer program appropriate? If not, what type of output and 
tests should be required for the waterfall computer program? Should the 
outputs of the waterfall computer program be specified in detail by 
rule, or broadly defined to afford flexibility to ABS issuers?
     Should we require comments in the code that explain what 
each line does? Is this necessary given the narrative disclosure of the 
waterfall in the prospectus? If it is appropriate, are there any 
specific explanations we should require?
     Is it appropriate to exempt issuers of ABS backed by 
stranded costs from the requirement to provide a waterfall computer 
program? If not, what types of inputs would be necessary to run the 
waterfall computer program? How would issuers obtain these inputs?
     Is our proposal to require credit card master trusts to 
report changes to the waterfall computer program on Form 8-K and file 
the updated waterfall computer program as an exhibit appropriate? Would 
the flow of funds, and thus the waterfall computer program, change over 
time? If so, how and why would it change? Should we require the 
waterfall computer program be filed at any other time? Should we 
require it be filed with each Form 10-D?
     Is the proposed requirement to provide the waterfall 
computer program with the proposed Rule 424(h) prospectus as of the 
date of filing and a final prospectus under Rule 424(b) as of the date 
of filing appropriate? Should the waterfall computer program be 
required to be filed at any other time? If so, please tell us why. As 
we discuss above in Section II.B.1.a., under our proposal, for material 
changes in information, other than offering price, which would include 
material changes to the waterfall computer program, a new Rule 424(h) 
filing would be required as well as a new five business-day waiting 
period.
     Should we adopt the proposed changes to Item 601 of 
Regulation S-K and to Regulation S-T?
     Is the proposed temporary hardship exemption appropriate? 
Should we allow a continuing hardship exemption?
     We propose to use existing submission types in order to 
enable filers to attach the proposed waterfall computer program as an 
exhibit. Specifications that explain the requirements would be included 
in the EDGAR technical specifications. Are there other specifications 
that would be helpful that should be provided in the EDGAR Filer Manual 
for the waterfall computer program that are not currently included in 
other technical specifications? Please be specific in your response.
     Should we provide a transition period prior to the 
required compliance date that would allow filers to submit only test 
filings? Please be specific in your response.
     Is our proposal to permit the filing of an exhibit to 
disclose additional program functionality appropriate?
     Are there any impediments that issuers would face if they 
are required to file the waterfall computer program on EDGAR?
2. Presentation of the Narrative Description of the Waterfall
    The information relating to the structure of the transaction 
pursuant to Item 1113 of Regulation AB may be used by investors to 
model the cash flows for the securities. In order to facilitate this 
modeling, we believe that such information should be easily accessible 
and in a useable format. We are proposing to revise Item 1100 of 
Regulation AB \355\ to require that the information detailing the flow 
of funds for the transaction (and related definitions of terms) be 
included in one location in the prospectus. We note that the waterfall 
computer program and the narrative description of the waterfall would 
need to be accurate and the accuracy of one would not compensate for 
inaccuracies in the other.
---------------------------------------------------------------------------

    \355\ 17 CFR 229.1100.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require that the narrative description 
of the waterfall be presented in one location appropriate? Are there 
any reasons not to require this?

C. Transaction Parties

1. Identification of Originator
    Existing Item 1110(a) of Regulation AB requires identification of 
originators apart from the sponsor or its affiliates only if the 
originator has originated, or expects to originate, 10% or more of the 
pool assets. The existing rule does not require identification of a 
non-affiliate that has originated less than 10% of the pool assets. In 
situations where much of the pool assets have been purchased from 
originators other than the sponsor, identification of originators is 
not required if each originator has originated less than 10% of the 
pool assets. This can result in very little, if any information about 
originators if there are multiple originators with less than 10% that 
make up a major part of the securitization. We believe that where the 
sponsor securitizes assets of a group of originators that are not 
affiliated with the sponsor, more disclosure regarding the originator 
of the assets is needed than is required under the current rules. 
Therefore, we are proposing that an originator would be required to be 
identified even if such originator has originated less than 10% of the 
pool assets if the cumulative amount of originated assets by parties 
other than the sponsor (or its affiliates) comprises more than 10% of 
the total pool assets.

Request for Comment

     Should we amend Item 1110 to require identification of 
originators even if no single originator comprises 10% or more of the 
pool? Is it appropriate to require identification of originators, as 
proposed, if the cumulative amount of originated assets by parties 
other than the sponsor (or its affiliates) comprises 10% or more of the 
total pool asset?
     Are the proposed revised thresholds for originator 
identification appropriate? Should they be different (e.g., 5%)?
2. Obligation To Repurchase Assets
    We are proposing expanded disclosure regarding the obligations to 
repurchase assets. As discussed above, many transaction agreements 
underlying a securitization provide for the repurchase of pool assets 
by an obligated party upon breach of a representation and warranty 
related to the pool assets.\356\ This obligated party could be the 
originator of the assets or, most typically, the sponsor of the 
securities--who could also function as the originator, depending on the 
transaction. Depending on the application of Section 15(d) to the 
issuer, ongoing reports filed by the issuer may provide some 
information regarding assets that have been repurchased from the pool 
by the obligated party pursuant to transaction agreements.
---------------------------------------------------------------------------

    \356\ As discussed in Section II.B.3.b. above, with respect to 
shelf eligibility, we are proposing that the pooling and servicing 
agreement contain a provision requiring the obligated party (i.e., 
representing/warranting party) to furnish an opinion or certificate 
from a qualified independent third party to the trustee that any 
loans that the trustee has asserted breached a representation or 
warranty and were not repurchased or replaced by the obligated party 
did not violate the representations and warranties contained in the 
pooling and servicing or other agreement. Neither this provision nor 
the proposed requirement regarding the disclosure of the obligation 
to repurchase assets would impose requirements on the substance of 
transaction agreements to include such repurchase obligations.

---------------------------------------------------------------------------

[[Page 23382]]

(a) History of Asset Repurchases
    We are proposing to amend Item 1104 and Item 1110 to require 
disclosure of the amount, if material, of publicly securitized assets 
originated or sold by the sponsor or an identified originator (as 
identified under the specifications detailed below) that were the 
subject of a demand to repurchase or replace any of the assets for 
breach of the representation and warranties concerning the pool assets 
in the last three years pursuant to the transaction agreements.\357\ We 
are proposing to require that such disclosure be provided on a pool by 
pool basis. The percentage of that amount that was not then repurchased 
or replaced by the obligated party (i.e., the sponsor and/or 
originator) also would be disclosed. Of those assets that were not then 
repurchased or replaced, we propose to require disclosure whether an 
opinion of a third party not affiliated with the obligated party had 
been furnished to the trustee that confirms that the assets did not 
violate a representation or warranty. This enhanced information about 
the originator or sponsor's history with assets they have originated or 
sold into public securitization vehicles should allow investors to 
better assess practices of the originator or the sponsor.
---------------------------------------------------------------------------

    \357\ Although we are not proposing to require it, additional 
disclosure regarding the repurchase of assets could be provided.
---------------------------------------------------------------------------

    Under existing Item 1110(b), additional disclosure relating to an 
originator, such as the originator's experience in originating assets, 
is only required to be provided if the originator has originated or is 
expected to originate 20% or more of the assets (``20% originator''). 
This threshold for disclosure was adopted in 2004. Consistent with the 
existing threshold, the proposed disclosure requirement relating to the 
repurchase of assets would only be required if the originator is a 20% 
originator.
(b) Financial Information Regarding Party Obligated To Repurchase 
Assets
    In the events arising out of the financial crisis, the financial 
condition of the party obligated to repurchase assets pursuant to the 
transaction agreements underlying an asset-securitization became 
increasingly important to whether payments on asset-backed securities 
would be made.\358\ Currently, there is no requirement for asset-backed 
issuers to disclose the financial condition of an originator unless 
some other financial disclosure threshold is also triggered such as the 
trigger for servicers.\359\ We believe that there are situations where 
it is appropriate for financial information about certain obligated 
parties to be provided to ABS investors.
---------------------------------------------------------------------------

    \358\ See testimony of Joseph Mason, ``Transparency in 
Accounting: Proposed Changes to Accounting for Off-Balance Sheet 
Entities,'' Before the United States Senate Committee on Banking, 
Housing, and Urban Affairs Subcommittee on Securities, Insurance, 
and Investment (Sept. 18, 2008) (noting that representations and 
warranties have become a mechanism for subsidizing pool performance, 
so that no asset- or mortgage-backed security investor experiences 
losses--until the seller fails and is no longer able to support the 
pool).
    \359\ For example, information regarding the servicer's 
financial condition is required under Item 1112 of Regulation AB to 
the extent that there is a material risk that the effect on one or 
more aspects of servicing resulting from such financial condition 
could have a material impact on pool performance or performance of 
the asset-backed securities.
---------------------------------------------------------------------------

    We are proposing to amend Item 1104 and Item 1110(b) to require 
financial information of the party obligated to repurchase a pool asset 
for breach of a representation and warranty pursuant to the transaction 
agreements. These requirements would be similar to the requirement 
regarding financial information of certain servicers. Under the 
proposal, information regarding the financial condition of a 20% 
originator would be required if there is a material risk that the 
financial condition could have a material impact on the origination of 
the originator's assets in the pool or on its ability to comply with 
provisions relating to the repurchase obligations for those assets. 
Information regarding the sponsor's financial condition similarly would 
be required to the extent that there is a material risk that the 
financial condition could have a material impact on its ability to 
comply with the provisions relating to the repurchase obligations for 
those assets or otherwise materially impact the pool.
Request for Comment
     Is the proposed amendment requiring disclosure regarding 
amount of assets that were not repurchased appropriate? Should we also 
require, as proposed, disclosure of the percentage of that amount that 
was not then repurchased or replaced by the sponsor or 20% originator? 
Should we also, as proposed, require disclosure whether an opinion of a 
third party not affiliated with the obligated party had been furnished 
to the trustee that confirms that the assets that were not repurchased 
or replaced did not violate a representation or warranty?
     Would requiring this disclosure, as proposed, have the 
unintended consequence of incentivizing sponsors (who may want to put 
an asset back to an originator) or trustees to demand that originators 
repurchase assets in situations where that might not be required under 
the transaction agreements? If so, how should we address this?
     Should we also require disclosure of the percentage of 
assets that have been repurchased by a 20% originator or the sponsor?
     Should disclosure be required regarding demands to 
repurchase in the last three years, as proposed? Should the timeframe 
be different (e.g., one year, two years, four years, or five years)?
     Are there parties other than 20% originators or sponsors 
that may have a repurchase obligation under the transaction agreements 
for breach of the representations and warranties? If so, should similar 
disclosure about these parties be required?
     With regard to the requirement to disclose the financial 
condition of originators and sponsors, rather than add disclosure 
requirements to Item 1104 and Item 1110, should we expand the 
definition of significant obligor to incorporate the obligated party 
that is required to repurchase assets for breach of a representation or 
warranty? How should we revise Item 1112 for this purpose?
     Are the proposed amendments relating to disclosure of the 
financial condition of the obligated party appropriate? Should we 
specify further when disclosure of the financial condition would be 
required such as a certain level of financial concentration? If so, 
what should that level be? Should we require financial information 
about 20% originators and sponsors for other circumstances? Should we 
require financial information for 20% originators and sponsors for all 
securitizations?
     Should our disclosure requirements be consistent with 
existing thresholds (i.e., when the originator has originated 20% or 
more of the assets) for when disclosure relating to an originator is 
required? Should we instead require disclosure of the proposed items 
for any originator required to be identified? Should we require 
disclosure of the proposed items for originators of more than ten 
percent of the assets?
     Are there other situations where we should require 
financial information? For instance, should we always require 
disclosure of financial information of all servicers and all sponsors? 
If so, should we require audited financial statements?
3. Economic Interest in the Transaction
    As described in Section III.B.3.a. above, as a condition to shelf 
eligibility, we are proposing that the sponsor retain

[[Page 23383]]

an economic interest in the transaction. Item 1103(a)(3)(i) of 
Regulation AB \360\ currently requires disclosure of the classes of 
securities offered by the prospectus and any class of securities issued 
in the same transaction or residual or equity interests in the 
transaction that are not being offered by the prospectus.
---------------------------------------------------------------------------

    \360\ 17 CFR 229.1103(a)(3)(i).
---------------------------------------------------------------------------

    We believe that information regarding the sponsor's, a servicer's 
\361\ or a 20% originator's continuing interest in the pool assets is 
important to ABS investors, and we are proposing to expand our 
requirements in that regard. Specifically, we are proposing to revise 
Items 1104, 1108 and 1110 to require disclosure regarding the 
sponsor's, a servicer's or a 20% originator's interest retained in the 
transaction, including amount and nature of that interest.\362\ Unlike 
current Item 1104, which requires a description of the sponsor's 
material roles and responsibilities in the securitization, the new 
disclosure requirements would further specify that disclosure relating 
to the interest retained in the transaction would be required. The 
information would be required for both shelf and other offerings. If 
any sponsor is retaining an interest pursuant to the shelf eligibility 
requirements, as proposed above,\363\ the interest and its amount and 
scope would need to be clearly delineated in the prospectus that is 
contained in the registration statement.\364\ If the offering is being 
registered on Form SF-1, we are proposing to require that the issuer 
provide clear disclosure that the sponsor is not required by law to 
retain any interest in the securities and may sell any interest 
initially retained at any time.
---------------------------------------------------------------------------

    \361\ Servicers will sometimes hold an interest in tranches or 
second liens, and investors have expressed concern relating to those 
interests. See, e.g., comment letter from the California Public 
Employees' Retirement System on the FDIC Securitization Proposal, 
available at http://www.fdic.gov/regulations/laws/federal/2010/10comAD55.html.
    \362\ For example, if the originator has retained a portion of 
each tranche of the securitization, then disclosure regarding each 
amount retained for each tranche would be required.
    \363\ See Section II.B.3.a. above.
    \364\ This information is also required by proposed General 
Instruction I.B.1(a) of Form SF-3.
---------------------------------------------------------------------------

Request for Comment

     Is our proposed disclosure requirement relating to 
retained economic interest appropriate? Is there any additional 
information that would aid investors' analysis?
     Should we instead require disclosure of whether the 
sponsor has retained any interest in the securitization?
     Should we require, as proposed, disclosure that the 
sponsor is not required by law to retain any risk in the securities and 
may sell any interest initially retained at any time for any offering 
registered on Form SF-1?
4. Servicer
    The definition of servicer in Item 1108 is a principles-based 
definition. An entity falls within the definition of servicer if it is 
responsible for the management or collection of the pool assets or 
making allocations or distributions to holders, regardless of the 
entity's title. Item 1108(b)(2) of Regulation AB \365\ requires a 
detailed discussion in the prospectus of the servicer's experience in, 
and procedures for, the servicing function it will perform in the 
current transaction for assets of the type included in the current 
transaction.\366\ This item also requires disclosure of information or 
factors related to the servicer that may be material to an analysis of 
the servicing of the assets.
---------------------------------------------------------------------------

    \365\ 17 CFR 229.1108(b)(2).
    \366\ Item 1108 also requires a general discussion of the 
servicer's experience in servicing assets of any type.
---------------------------------------------------------------------------

    While we are not proposing any changes to Item 1108(b)(2) at this 
time, the staff believes that application of this requirement has not 
been consistent among issuers, and therefore we believe it is 
appropriate to emphasize how this requirement applies. Item 1122 
requires that the servicer assess its compliance with specified 
criteria and that a registered public accounting firm issue an 
attestation report on the party's assessment of compliance with the 
applicable servicing criteria. The reports and the compliance statement 
are required to be filed as an exhibit to Form 10-K. We believe that 
Item 1108(b)(2) requires disclosure of any material instances of 
noncompliance noted in the assessment or attestation reports that are 
required by Item 1122 or the servicer compliance statement that is 
required by Item 1123. In addition, the prospectus should also provide 
disclosure of any steps taken to remedy the noncompliance disclosed and 
the current status of those steps.

Request for Comment

     Are there any changes we should make to Item 1108(b)(2) to 
clarify what disclosure should be included?
     Item 1108(b)(4) \367\ requires information regarding the 
servicers' financial condition to the extent there is a material risk 
that the effect on one or more aspects of servicing resulting from such 
financial condition could have a material impact on pool performance or 
performance of the securities. Should we revise this requirement?
---------------------------------------------------------------------------

    \367\ 17 CFR 229.1108(b)(4).
---------------------------------------------------------------------------

     For example, should we require financial statements or 
other financial information be provided with respect to the servicer in 
all asset-backed transactions, regardless of whether there is a 
material risk that servicing resulting from the financial condition 
could have a material impact on pool performance or performance of the 
securities? If the servicing function is divided among different 
unaffiliated parties, should disclosure of a servicer's financial 
statements depend on how much of the pool a servicer is servicing? What 
about a special servicer? Should we take into account any other 
considerations?
     If we revise our rules to specifically require servicer 
financial statements in all cases, how should the rules apply if the 
registration statement or offering prospectus contemplates a change in 
servicer soon after the offering is complete? In that situation, which 
servicer's financial statements should be required--the original 
servicer, the new servicer, or both? \368\
---------------------------------------------------------------------------

    \368\ If there has been a change in servicer, Item 6.02 of Form 
8-K requires that when a new servicer contemplated by Item 
1108(a)(2) of Regulation AB has been appointed, the date the event 
occurred and circumstances surrounding the change of servicer must 
be provided. We remind issuers that a Form 8-K containing such 
disclosure is required to be filed even where the offering 
prospectus has indicated that the sponsor is only temporarily acting 
as the servicer and that a new servicer will replace the sponsor.
---------------------------------------------------------------------------

D. Prospectus Summary

    Under our current rules, a prospectus summary should briefly 
highlight the material terms of the transaction, including an overview 
of the material characteristics of the asset pool.\369\ However, we 
believe that summary disclosures in ABS prospectuses currently may not 
adequately highlight the material characteristics, including material 
risks, particular to the ABS being offered. Instead, the prospectuses 
often summarize metrics that are common to all securitizations of a 
particular asset class. For instance, under current practice, a 
prospectus summary related to an offering of securities backed by 
residential mortgages typically only includes common metrics such as 
the number, averages and ranges of common pool characteristics such as 
principal balances, interest rates, credit scores and loan to value. 
Other material characteristics of pool assets, however, typically are 
not highlighted, such as statistics regarding whether the loans in the 
asset pool were originated under

[[Page 23384]]

various underwriting or origination programs, whether loans were 
underwritten as exceptions to the underwriting or origination programs, 
or whether the loans in the pool have been modified. We believe these 
types of statistics could be summarized by broad category on the basis 
of the underwriting program, type of exception or modification, but 
historically, this type of information has not been included.
---------------------------------------------------------------------------

    \369\ See Item 1103 of Regulation AB.
---------------------------------------------------------------------------

    We believe that the summary disclosures should be improved to 
include this information, which is among the most significant for 
investors. Accordingly, we are proposing a new instruction to Item 
1103(a)(2) of Regulation AB \370\ to clarify the summary disclosure 
requirements. Specifically, the proposed new provision would instruct 
issuers to provide statistical information regarding the types of 
underwriting or origination programs, exceptions to underwriting or 
origination criteria and, if applicable, modifications made to the pool 
assets after origination.
---------------------------------------------------------------------------

    \370\ 17 CFR 229.1103(a)(2).
---------------------------------------------------------------------------

Request for Comment

     Is our proposed instruction to require summary statistical 
information regarding the types of underwriting or origination 
programs, exceptions to underwriting and origination criteria and, if 
applicable, modifications made to the pool assets after origination 
appropriate?
     Should we specify line item disclosure requirements for 
the summary section? If so, are the pool characteristics identified in 
the proposed new instruction appropriate? Would those characteristics 
be common across all asset classes, or only apply to a specific asset 
class?
     Are there other features of the transaction that we should 
specify must be disclosed in the summary?

E. Static Pool Information

    When we adopted Regulation AB, we included the requirement to 
disclose static pool information with respect to prior securitized 
pools of the sponsor for the same asset class in the prospectus that is 
part of the registration statement if the information is material to 
the transaction. Static pool information indicates how the performance 
of groups, or ``static pools'' of assets, such as those originated at 
different intervals, are performing over time. By presenting 
comparisons between originations at similar points in the assets' 
lives, static pool data allows detection of patterns that may not be 
evident from overall portfolio numbers and thus may reveal a more 
informative picture of material elements of portfolio performance and 
risk. In the 2004 ABS Adopting Release, we noted that the development 
of static pool information was an increasingly valuable tool in 
analyzing performance.\371\
---------------------------------------------------------------------------

    \371\ See Section III.B.4. of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    Under Rule 312 of Regulation S-T, asset-backed issuers are 
permitted, but not required, to post the static pool information 
required by Item 1105 on an Internet Web site, rather than file the 
information with the prospectus on EDGAR. As long as certain conditions 
are met, the information provided on the Web site pursuant to Rule 312 
is deemed to be part of the prospectus included in the registration 
statement. Rule 312 was adopted in 2004 as a temporary accommodation in 
response to comments received concerning the significant amount of 
statistical information that would be difficult to file electronically 
on EDGAR as it existed at the time and the difficulty for investors to 
use the information in that format. At the time, we were persuaded by 
commenters that a web-based approach might allow for the provision of 
the required information in a more efficient, dynamic and useful format 
than was currently feasible on the EDGAR system.\372\ At the same time, 
we explained that we continued to believe that, at some point, for 
future transactions, the information should also be submitted to the 
Commission in some fashion, provided this would not result in investors 
not receiving the information in the form they have requested. We also 
explained that we were directing our staff to consult with the EDGAR 
contractor, EDGAR filing agents, issuers, investors and other market 
participants to consider how static pool information could be filed 
with the Commission in a cost-effective manner without undue burden or 
expense while still allowing issuers to provide the information in a 
desirable format.\373\
---------------------------------------------------------------------------

    \372\ See, e.g., Letters of ABA; ASF; Auto Group; BMA; 
Citigroup; JPMorganChase; NYCBA; and TMCC on Asset-Backed 
Securities, Release No. 33-8419 (May 3, 2004) [69 FR 26650] (the 
``2004 ABS Proposing Release'').
    \373\ See Section III.B.4.b. of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    On October 19, 2009, we proposed to extend the temporary filing 
accommodation until December 31, 2010 so that the staff could continue 
to explore whether a filing mechanism for static pool information on 
EDGAR would be feasible.\374\ In that release we solicited comments 
about current practice and potential alternatives for providing static 
pool disclosure that we will discuss below. On December 15, 2009, we 
adopted the proposed one-year extension.\375\
---------------------------------------------------------------------------

    \374\ Extension of Filing Accommodation for Static Pool 
Information in Filings With Respect to Asset-Backed Securities, 
Release No. 33-9074 (Oct. 19, 2009) [74 FR 54767] (the ``Static Pool 
Extension Proposing Release'').
    \375\ Extension of Filing Accommodation for Static Pool 
Information in Filings With Respect to Asset-Backed Securities, 
Release No. 33-9087 (Dec. 15, 2009) [74 FR 67812] (the ``Static-Pool 
Extension Adopting Release'').
---------------------------------------------------------------------------

    We now are proposing changes to Item 1105 seeking to provide 
greater transparency and comparability with respect to static pool 
disclosure. We also are proposing to repeal our temporary Web site 
accommodation for static pool disclosure. These proposed changes to 
Rule 312 would allow issuers to make filings on EDGAR in Portable 
Document Format (PDF).\376\
---------------------------------------------------------------------------

    \376\ Portable Document Format (PDF) is a file format created by 
Adobe Systems in 1993 for document exchange. PDF captures formatting 
information from a variety of desktop publishing applications, 
making it possible to send formatted documents and have them appear 
on the recipient's monitor or printer for free as they were 
intended. To view a file in PDF format, you need Adobe Reader, an 
application distributed by Adobe Systems.
---------------------------------------------------------------------------

1. Disclosure Required
    We are proposing revisions to the static pool disclosure 
requirement designed to increase clarity, transparency and 
comparability. Some of our proposals apply to all issuers, and some 
apply only to amortizing asset pools and not revolving asset master 
trusts. Since adoption of Regulation AB, we have observed that static 
pool information provided by asset-backed issuers may vary greatly 
within the same asset class. Variations exist not only with regard to 
the type or categories of information disclosed, but also with the 
manner in which it is disclosed. As a result, static pool information 
between different sponsors has not necessarily been comparable, which 
reduces its value to investors. For example, some issuers of 
residential mortgage-backed securities provide a one-page graphical 
static pool presentation, while others present several hundred pages of 
distribution data for prior securitized pools on their Web site, making 
it difficult to determine which prior securitizations were most similar 
to the securities being offered.
    Static pool information is required to the extent the information 
is material. In the 2004 ABS Adopting Release, we

[[Page 23385]]

emphasized that in all instances information is required only if 
material for the particular asset class, sponsor or asset pool 
involved; disclosure for groups or factors that would not be material 
is not required. We continue to believe that it is appropriate not to 
exclude particular asset classes or transactions from the requirements 
in their entirety. While keeping this general approach, we believe 
there are ways, nevertheless, to make the static pool information more 
comparable and facilitate analysis of the information. By requiring 
issuers to file this information on EDGAR, we do not want to discourage 
issuers from providing granular data on their Web sites for investors 
to analyze. We believe that clear summaries and explanation complement 
the statistical data and allow investors to more easily evaluate 
material information. To address these concerns, we are proposing to 
amend our static pool disclosure requirement in several ways to enhance 
clarity, transparency and comparability. Our proposals cover static 
pool information for all classes of assets and specific requirements 
for amortizing trusts.
    First, we are proposing to amend Item 1105 to require narrative 
disclosure describing the static pool information presented. For 
example, for a pool of RMBS, the disclosure would note the number of 
assets, types of mortgages (e.g., conventional, home equity, Alt-A, 
etc.) and the number of loans that were exceptions to standardized 
underwriting criteria. We believe appropriate explanatory information 
should introduce the characteristics of the static pool. A brief 
snapshot of the static pool presented would provide investors with 
context in which to evaluate the information without sophisticated data 
analysis tools. We do not intend for this requirement to cause issuers 
to repeat the underlying static pool disclosure; rather the requirement 
would serve as a clear and brief introduction of the disclosure.
    Second, we are proposing to require that issuers describe the 
methodology used in determining or calculating the characteristics and 
describe any terms or abbreviations used. Such a requirement would help 
investors ascertain whether calculations of terms are comparable across 
issuers. For example, a description of the method used to calculate the 
loan-to-value ratio could assist investors compare this information 
across different issuers.
    Third, we are proposing to require a description of how the assets 
in the static pool differ from the pool assets underlying the 
securities being offered. Again, we believe that a clear and concise 
description of these differences would provide investors with context 
in which to evaluate the information without sophisticated data 
analysis tools.
    Finally, if an issuer does not include static pool information or 
includes disclosure that is intended to serve as alternative static 
pool information, we are proposing to amend Item 1105(c) to require 
additional disclosure. As we explained in the 2004 ABS Adopting 
Release, we did not adopt line-item disclosure requirements for static 
pool information; however, we noted there may be instances where 
failure to provide static pool information would make the data that is 
presented misleading.\377\ It is not always obvious why one issuer does 
not provide static pool information or provides alternative disclosure 
in lieu of such information, while another issuer within the same asset 
classes does provide the information. Under our proposal, issuers would 
be required to explain why they have not included static pool 
disclosure or why they have provided alternative information. We do not 
intend for issuers to explain why each of their static pool disclosure 
points differ from their competitors. However, we believe basic 
information about the issuer's approach to static pool disclosure would 
promote transparency and help investors place the disclosure in 
context.
---------------------------------------------------------------------------

    \377\ For example, for a pool with a material concentration of 
seasoned assets, disclosure of static pool data about the pool 
itself may be necessary depending on whether such data would reveal 
a trend or pattern concerning one or more elements of pool 
performance and risk that is material and not evident from data 
relating to asset performance otherwise presented and such omission 
makes the information presented misleading. See, e.g., Securities 
Act Rule 408; Securities Act Sections 11, 12(a)(2) and 17(a); 
Exchange Act Section 10(b); Exchange Act Rule 10b-5; and Exchange 
Act Rule 12b-20.
---------------------------------------------------------------------------

2. Amortizing Asset Pools
    We are proposing additional changes to the static pool disclosure 
requirements for amortizing asset pools. While the staff has previously 
noted that the static pool presentation should be governed by the 
general principles of materiality rather than a specific requirement in 
Regulation AB,\378\ we are concerned that the inconsistency of 
presentation for delinquencies across issuers within the same asset 
class has resulted in a lack of clarity and comparability. Accordingly, 
we are proposing to add an instruction to Item 1105(a)(3)(ii) to 
require the static pool information related to delinquencies and losses 
be presented in accordance with the guidelines outlined in Item 1100(b) 
for amortizing asset pools. Item 1100(b) requires that information be 
presented in a certain manner--for example, it requires that 
information regarding delinquency be presented in 30-day increments 
through the point that assets are written off or charged off as 
uncollectable. Because information regarding delinquencies and losses, 
such as number of accounts, dollar amount and percentage of pool, 
should already be collected in order to report under other Regulation 
AB item requirements,\379\ we believe it should not be overly 
burdensome for issuers to provide this information, and we believe that 
static pool disclosure would be improved with this consistent approach.
---------------------------------------------------------------------------

    \378\ Item 1105 states that static pool information, including 
static pool information regarding delinquencies, is required unless 
it is not material. As a result, the presentation of static pool 
information is governed by general principles of materiality and the 
requirements of Item 1105 and not the requirements of Item 1100(b). 
Regulation AB Interpretation No. 5.03 in SEC Division of Corporation 
Finance Manual of Publicly Available Telephone Interpretations.
    \379\ Item 1111(c) of Regulation AB would require presentation 
of delinquency in accordance with Item 1100(b).
---------------------------------------------------------------------------

    We also are proposing to amend Item 1105(a)(3)(iv) to require 
graphical presentation of delinquency, losses and prepayments for 
amortizing asset pools. We believe many asset-backed issuers already 
provide graphical illustrations of their static pool data. Depending on 
the volume and the type of data provided, the static pool data can be 
difficult to analyze without the use of sophisticated data analysis 
tools. Static pool information is important for analyzing trends within 
a sponsor's program by comparing originations at similar points in the 
asset's lives. In the 2004 ABS Adopting Release, we encouraged issuers 
to present information in tables or graphs if doing so would aid in the 
understanding of the data, such as in the sections describing the 
transfer of the assets, flow of funds, servicing responsibilities, pool 
asset composition, and periodic performance information including 
delinquencies.\380\ Static pool disclosure has emerged as another 
disclosure area where graphical presentation appears to be important 
for an investor's understanding of the overall disclosure. Presentation 
of the data in this fashion better allows the detection of patterns 
that may not be evident from overall portfolio numbers and may reveal a 
more informative picture of material elements of portfolio performance 
and

[[Page 23386]]

risk. Given the wide range of information provided by sponsors of the 
same asset class, we believe that graphical presentation will provide a 
more useful snapshot of the underlying granular information. We are 
proposing to require delinquency, loss and prepayments as specific line 
item requirements because we believe those are material characteristics 
applicable across all asset classes and structures and would promote 
transparency and comparability across issuances by the same sponsor and 
across sponsors. Although not required by our proposal, we also 
encourage graphical presentation of any other material terms.
---------------------------------------------------------------------------

    \380\ See Items 1100(b), 1107(h), 1108(a)(1), 1111, 1113(a)(2) 
and 1121(a) of Regulation AB. [17 CFR 229.1100(b), 1107(h), 
1108(a)(1), 1111, 1113(a)(2) and 1121(a)].
---------------------------------------------------------------------------

3. Revolving Asset Master Trusts
    Other than our proposals discussed above intended to apply to all 
issuers of asset classes and structures, we are not proposing specific 
changes to the static pool disclosure framework for revolving asset 
master trusts. However, we would like to highlight two areas concerning 
static pool data and these issuers. First, a practice has developed 
among revolving asset master trust issuers to aggregate the static pool 
data in tables or a graphical illustration. We believe this approach 
facilitates investor understanding and we encourage issuers to continue 
this practice.
    Second, as we discuss above, we propose changes to the way static 
pool delinquency information would be reported for amortizing asset 
pools. For revolving master asset trusts, however, our rules provide a 
different approach for presenting static pool delinquency 
disclosure.\381\ Commenters on the 2004 ABS Proposing Release argued 
there could be even more concerns about the ``static'' nature of the 
pool for these transaction structures due to changes in the master 
trust revolving asset pool over time and the relationship between the 
sponsor's retained portfolio or other securitized pools previously 
established by the sponsor and the master trust asset pool.\382\ In 
response to these comments, additional incremental performance 
information based on asset age, or origination year, for the revolving 
asset pool in the master trust was adopted as an appropriate starting 
point. As we discussed in the 2004 ABS Adopting Release, this starting 
point allows an investor to distinguish performance of newer accounts 
comprising the master trust pool from those of more seasoned 
accounts.\383\ Because the static pool disclosure requirement for 
master trusts is different from amortizing pools, we are not proposing 
changes to require that static pool information for revolving asset 
master trusts be provided in accordance with Item 1100(b) of Regulation 
AB. Furthermore, if our proposed amendments to Item 1121(b)(9) are 
adopted, all issuers, including revolving master trusts, would have to 
present delinquency and loss information in accordance with Item 
1100(b) to satisfy the proposed periodic reporting requirement.\384\ 
Therefore, we believe that investors would receive continuing 
performance data on the master trust pool, similar to the static pool 
data provided to investors in amortizing asset pools, because revolving 
asset master trust registrants would continuously report delinquency, 
prepayment and loss information on the pool assets through periodic 
reporting on Form 10-D.
---------------------------------------------------------------------------

    \381\ 17 CFR 229.1105(b).
    \382\ See, e.g., comment letter from ASF.
    \383\ See Section III.B.4.a.ii. of the 2004 ABS Adopting 
Release.
    \384\ See our proposal to revise Item 1121(b)(9) discussed in 
Section V.A.
---------------------------------------------------------------------------

Request for Comment

     Should we adopt the changes to Item 1105 for all types of 
issuers (instead of only amortizing asset pools, as proposed) to 
require narrative disclosure of the static pool information presented, 
require the methodology used in determining or calculating the 
characteristics, and terms, and a description of how the assets in the 
static pool differ from the pool assets underlying the securities being 
offered? Would these changes help investors evaluate static pool data?
     Should we require all issuers to provide static pool data, 
whether or not material?
     Should static pool delinquency and loss information for 
amortizing asset pools be required to be presented in accordance with 
the standards in Item 1100(b)? If not, why not? Consistent with 
1100(b), should delinquencies be presented through charge-off or some 
other shorter period of time?
     We are proposing to require graphical presentation of 
delinquency, losses and prepayments for amortizing asset pools. Is this 
appropriate? Should we also require graphical presentation for other 
specific characteristics? Should we require graphical presentation of 
static pool information for revolving asset master trusts?
     Should we require that static pool delinquency and loss 
information for revolving asset master trusts be presented in 
accordance with the standards in Item 1100(b)? If so, please also 
explain why the same information would not be reported by the 
registrant on a periodic basis on Form 10-D.
     Should static pool data be required in an offering if 
there is an ongoing reporting requirement of asset-level data 
applicable to other pools of the sponsor of the same asset class? Would 
static pool data be informative even if there is an ongoing duty to 
report? How would we address issuers registered on Form SF-1 that are 
not required to provide ongoing information?
     Should revolving asset master trusts continue to use a 
different starting point for their static pool disclosure? Should we 
consider any other changes to the static pool requirement for revolving 
asset master trusts? If so, why? Are there other starting points more 
appropriate for other asset classes or structures? Should we require 
asset specific static pool data?
     Should we specify that issuers of ABS backed by credit 
cards and charge cards need to provide static pool disclosure of 
delinquencies, monthly payment rates and losses by both vintage 
origination year and by credit score? \385\ Would it be useful for 
investors? Why or why not?
---------------------------------------------------------------------------

    \385\ See e.g., Appendix A, Attachment IV of the MetLife FDIC 
Letter.
---------------------------------------------------------------------------

     Typically, ABS backed by dealer floorplan receivables are 
structured as revolving asset master trusts. Some do not appear to 
present static pool disclosure for revolving asset master trusts in the 
manner specified in Item 1105(b). Should we provide an alternative 
starting point for revolving asset master trusts backed by dealer 
floorplans? If so, why?
     Are there other changes we should make to the static pool 
disclosure requirement to make the information more useful and 
comparable across issuers?
4. Filing Static Pool Data
    We are proposing to require all static pool information be filed on 
EDGAR by amending Rule 312 of Regulation S-T. We are also proposing to 
permit static pool disclosure to be filed on EDGAR in PDF format as an 
official filing.\386\ As noted above, currently Rule 312 permits but 
does not require an asset-backed issuer to post the static pool 
information required by Item 1105 on an Internet Web site, rather than 
file the information with the prospectus on EDGAR, if certain 
conditions are met. Since the adoption of Rule 312 in December 2004, 
technological advances and expanded use of the Internet have enabled 
the Commission to adopt additional rules incorporating electronic

[[Page 23387]]

communications. The Commission continues to recognize that, in certain 
circumstances and under certain conditions, the Internet can present a 
cost-effective alternative or supplement to traditional disclosure 
methods.\387\
---------------------------------------------------------------------------

    \386\ Currently, filers may submit documents on EDGAR in PDF 
format, however such documents are unofficial copies. See Rule 104 
of Regulation S-T [17 CFR 232.104].
    \387\ See, e.g., Internet Availability of Proxy Materials, 
Release No. 34-55146 (Jan. 22, 2007) [72 FR 4148] (adopting release 
for voluntary E-Proxy rules) and Internet Availability of Proxy 
Materials, Release No. 34-52926 (Dec. 8, 2005) [70 FR 74598] 
(proposing release for voluntary E-Proxy rules). See also Enhanced 
Disclosure and New Prospectus Delivery Option for Registered Open-
End Management Investment Companies, Release No. 33-8998 (Jan. 13, 
2009) [74 FR 4546] at Section III.A.4.c (adopting Item 11(g)(2) of 
Form N-1A under the Investment Company Act of 1940 which allows 
exchange-traded funds to provide premium/discount information on a 
Web site rather than in a prospectus or annual report) and Section 
VI.B.1 of the Offering Reform Release (adopting ``access equals 
delivery'' model for final prospectus delivery).
---------------------------------------------------------------------------

    As discussed above, we extended Rule 312 until December 31, 2010 so 
that the staff could continue to explore whether a filing mechanism for 
static pool information on EDGAR would be feasible. We received three 
comment letters to the Static Pool Extension Proposing Release that 
addressed the proposed extension.\388\ Two commenters supported the 
extension. One of these commenters expressed a strong preference among 
both its issuer and investor members for Web-based presentation of 
static pool information due to its efficiency, utility and 
effectiveness and the current lack of an adequate filing 
alternative.\389\ The other commenter expressed its belief that the 
accommodation has been highly successful and of great value to 
investors.\390\ A third commenter that did not support the extension 
believed that the Commission should require structured disclosure using 
an industry standard computer language.\391\
---------------------------------------------------------------------------

    \388\ The public comments we received are available online at 
http://www.sec.gov/comments/s7-23-09/s72309.shtml.
    \389\ See letter from the American Securitization Forum 
(``ASF'').
    \390\ See letter from the Committee on Federal Regulation of 
Securities and the Committee on Securitization and Structured 
Finance of the Section of Business Law of the American Bar 
Association (the ``ABA Committees'').
    \391\ See letter from Paul Wilkinson.
---------------------------------------------------------------------------

    For the reasons discussed below, we continue to believe it is 
preferable to have the disclosure filed with the Commission on EDGAR, 
and we are proposing to permit as an alternative to ASCII or HTML that 
the static pool information could be filed as a PDF. Filing on EDGAR 
would preserve continuous access to the information if a Web site is 
not maintained, for example, due to distress in the market or if the 
sponsor ceases operations.\392\
---------------------------------------------------------------------------

    \392\ Rule 312 of Regulation S-T [17 CFR 232.312] currently 
requires that the static pool information remain posted on an 
unrestricted Web site free of charge for a period of not less than 
five years. The registrant has to retain all versions of the 
information provided on the Web site for a period of not less than 
five years. The corresponding undertaking makes clear that 
information provided on the Web site pursuant to Rule 312 is deemed 
to be part of the prospectus included in the registration statement. 
As we indicated in the 2004 ABS Adopting Release, if the conditions 
of Rule 312 are satisfied, then the information will be deemed to be 
part of the prospectus included in the registration statement and 
thus subject to all liability provisions applicable to prospectuses 
and registration statements, including Section 11 of the Securities 
Act.Section III.B.4.b. of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    In addition, filing the disclosure on EDGAR will ensure that the 
data provided at the time of each offering is preserved. Some issuers 
have used the same Web site to centralize static pool data as well as 
ongoing performance data for their prior securitized pools. In the case 
of static pool data, updating without indicating or preserving data 
delivered at the time of each offering makes it difficult to determine 
what material was part of the prospectus.\393\ While we do not want to 
discourage issuers from providing updated information, we believe it is 
important to be able to identify which information was provided at the 
time of the offering. Requiring filing on EDGAR would address that 
concern.
---------------------------------------------------------------------------

    \393\ When we adopted Rule 312, we attempted to address this 
concern by requiring the registrant to indicate whether any changes 
or updates have been made.
---------------------------------------------------------------------------

    We also note that most of the static pool information posted on the 
Web sites has been provided in PDF format. In response to the 
Regulation AB Proposing Release, commenters argued that a Web site-
based approach could provide greater dynamic functionality and utility 
both for the ability of issuers to present the information and the 
ability of investors to access and analyze the information, including 
interactive facilities for organizing and viewing the information.\394\ 
While we encourage issuers to provide the data on their Web sites so 
that investors may take advantage of those capabilities, we believe it 
should be filed on EDGAR to centralize and preserve the disclosure 
provided at the time of the offering. Instead, we are proposing to 
permit the information be filed on EDGAR in PDF as an official filing. 
Providing the information on EDGAR also would address the concern of 
providing a single place for investors to retrieve all information for 
the offering.
---------------------------------------------------------------------------

    \394\ See, e.g., letters of ABA, ASF, AutoGroup, BMA, Citigroup, 
JPMorganChase, NYCBA, and TMCC on the 2004 ABS Proposing Release.
---------------------------------------------------------------------------

    We received comment at the time of the Static Pool Extension 
release that much of the information for prior securitized pools or the 
sponsor's portfolio would be similar from one transaction to the next, 
and a Web site would provide flexibility to allow the information to be 
presented in one place for multiple prospectuses, therefore, reducing 
the burdens of repeating the data for each prospectus.\395\ However, we 
believe our proposal to require filing static pool disclosure on EDGAR 
will not pose a burden on issuers because, as we noted above, most 
issuers already provide static pool disclosure as PDF documents on 
their Web sites. And, as is the case today, our rules would allow 
incorporation by reference of previously filed disclosure into the 
prospectus for the related issuance.\396\ Therefore, we are proposing 
to revise Rule 312 to remove the temporary accommodation set to expire 
on December 31, 2010 for asset-backed issuers to post the static pool 
information required by Item 1105 on an Internet Web site under 
conditions set forth in Regulation AB.
---------------------------------------------------------------------------

    \395\ See letter from ASF received on Static Pool Extension 
Release.
    \396\ See Instructions to proposed Forms SF-1 and SF-3. See also 
Item 10(d) of Regulation S-K (17 CFR 229.10(d)), Rule 303 of 
Regulation S-T (17 CFR 232.303), Rule 411 of Regulation C (17 CFR 
230.411), and Rules 12b-23 and 12b-32 under the Exchange Act (17 CFR 
240.12b-23 and 17 CFR 240.12b-32).
---------------------------------------------------------------------------

    In addition, in lieu of providing the static pool information in 
the form of prospectus or in the prospectus for the offering, we are 
proposing to allow issuers to file the disclosure on Form 8-K and 
incorporate it by reference. In the prospectus, issuers would need to 
identify the Form or report on which the static information was filed 
by including the CIK number, file number and the date on which the 
static pool information was filed. We believe that this accommodation 
would allow more flexibility for issuers to provide static pool 
information and would allow users to easily search and locate static 
pool disclosure on EDGAR. Such information would be filed with the Form 
8-K on the same date that the form of prospectus is required to be 
filed under proposed new Rule 424(h) and incorporated by reference into 
the prospectus. We are proposing to amend Form 8-K and Item 601 to add 
a new item requirement that would identify filings made to include 
static pool information.

Request for Comment

     Would our proposal to allow static pool data to be filed 
in PDF on EDGAR accommodate the interests of market participants? Would 
another format be more appropriate? What should we consider in adopting 
a format? What

[[Page 23388]]

should we do in the interim? What format would provide the easiest way 
for users to search and find static pool data on EDGAR?
     Could PDF documents be prepared in a way that would 
facilitate conversion of data into a useable format? We solicit comment 
as to whether some other format would be an appropriate method to file 
static pool data on EDGAR for all market participants. Would the data 
need to be tagged? If so, what would be the appropriate tagging?
     Are there any other changes we should consider making to 
Rule 312 of Regulation S-T?
     We are proposing to allow, but not require, registrants to 
file static pool information on Form 8-K and incorporate it by 
reference into the prospectus, in lieu of filing it in the prospectus. 
Is this accommodation appropriate? Should we instead require that all 
static pool disclosure be filed in the prospectus?

F. Exhibit Filing Requirements

    In the 2004 ABS Adopting Release, we stated that, consistent with 
Item 601 of Regulation S-K, governing documents and material agreements 
for an ABS offering such as the pooling and servicing agreement,\397\ 
the indenture and related documents must be filed as an exhibit.\398\ 
Item 1100(f) of Regulation AB allows ABS issuers to file agreements or 
other documents as exhibits on Form 8-K and, in the case of offerings 
on Form S-3, incorporate the exhibits by reference instead of filing a 
post-effective amendment. In the staff's experience with the filing of 
these documents, ABS issuers have delayed filing such material 
agreements with the Commission until several days or even weeks after 
the offering of securities off of a shelf registration statement.
---------------------------------------------------------------------------

    \397\ We stated that the management or administration agreement 
for the issuing entity also must be filed in addition to describing 
their material terms in the prospectus. See Section III.B.3.c of the 
2004 ABS Adopting Release.
    \398\ See Sections III.A.3.b, III.B.3.c. and III.B.3.d of the 
2004 ABS Adopting Release. Also, issuers are reminded that any 
attachments or schedules to an exhibit which is required to be filed 
pursuant to Item 601 of Regulation S-K must also be filed with the 
Commission.
---------------------------------------------------------------------------

    These transaction agreements and other documents provide important 
information on the terms of the transactions, representations and 
warranties about the assets, servicing terms, and many other rights 
that would be material to an investor. As noted above, investors have 
expressed concerns regarding the timeliness of information in ABS 
offerings, and we believe that the information in the exhibits is an 
important part of the overall information package to investors. We are 
proposing to revise Item 1100(f) of Regulation AB to explicitly state 
that the exhibits filed with respect to an ABS offering registered on 
Form SF-3 must be on file and made part of the registration statement 
at the latest by the date the final prospectus is required to be filed 
pursuant to Rule 424.\399\ ABS shelf offerings were designed to mirror 
non-shelf offerings in terms of filing exhibits and final prospectuses. 
All exhibits to Form S-1 must be filed by the time of effectiveness. 
Consistent with these requirements, under our proposed amendments, 
exhibits must be on file by the date of filing the final prospectus, 
upon which a new effective date for the registration statement is 
triggered.\400\
---------------------------------------------------------------------------

    \399\ Finalized agreements at the time of the offering may be 
filed in preliminary form as provided by Instruction 1 to Item 601 
of Regulation S-K. The filing requirement for an exhibit (other than 
opinions and consents) may be satisfied by filing the final form of 
the document to be used; the final form must be complete, except 
that prices, signatures and similar matters may be omitted. Such 
exhibits may not be incorporated by reference into any subsequent 
filing made with the Commission. See Elimination of Certain Pricing 
Amendments and Revision of Prospectus Filing Procedures, Release No. 
33-6714 (June 5, 1987) [52 FR 21252].
    \400\ We note that this filing date will be after the time of 
sale of the security for purposes of Rule 159 and Securities Act 
Section 12(a)(2). The documents should be fully described in the 
prospectus because information conveyed to the investor after the 
time of sale will not be taken into account for purposes of Section 
12(a)(2) of the Securities Act. See Rule 159.
---------------------------------------------------------------------------

Request for Comment

     Is our proposed amendment to Item 1100(f) appropriate? Is 
there any reason that exhibits to the registration statement could not 
be filed by the time the final prospectus is required to be filed under 
Rule 424?
     Do investors need the complete exhibits sooner? Is it 
appropriate instead to require filing at the time of filing the Rule 
424(h) filing? Could issuers satisfy such a requirement? Should a draft 
of each material agreement be required to be filed at that time if the 
final agreement is not available then?

G. Other Disclosure Requirements That Rely on Credit Ratings

    Items 1112 and 1114 of Regulation AB require the disclosure of 
certain financial information regarding significant obligors of an 
asset pool and significant credit enhancement providers relating to a 
class of asset-backed securities. An instruction to Item 1112(b) 
provides that no financial information regarding a significant obligor, 
however, is required if the obligations of the significant obligor, as 
they relate to the pool assets, are backed by the full faith and credit 
of a foreign government and the pool assets are securities that are 
rated investment grade by an NRSRO.\401\ Item 1114 of Regulation AB 
contains a similar instruction that relieves an issuer of the 
obligation to provide financial information when the obligations of the 
credit enhancement provider are backed by a foreign government and the 
enhancement provider has an investment grade rating.\402\ Under both 
Items 1112 and 1114, to the extent that pool assets are not investment 
grade securities, information required by paragraph (5) of Schedule B 
of the Securities Act may be provided in lieu of the required financial 
information.\403\
---------------------------------------------------------------------------

    \401\ Instruction 2 to Item 1112(b) of Regulation AB [17 CFR 
229.1112(b)].
    \402\ Instruction 3 to Item 1114 [17 CFR 230.1114].
    \403\ Paragraph 5 of Schedule B requires disclosure of three 
years of the issuer's receipts and expenditures classified by 
purpose in such detail and form as the Commission prescribes.
---------------------------------------------------------------------------

    In the 2008 Proposing Release, we proposed to revise Item 1112 and 
Item 1114 of Regulation AB to remove references to credit ratings.\404\ 
We proposed to revise the instructions to these items so that 
exceptions based on investment grade ratings to the requirements of 
Items 1112 and 1114 of Regulation AB would no longer apply, and 
information required by paragraph (5) of Schedule B would be required 
in all situations when the obligations of a significant obligor are 
backed by the full faith and credit of a foreign government. We 
received one comment on the proposed change that supported the 
amendments, although the commenter noted its general opposition to the 
2008 shelf eligibility proposals for ABS offerings.\405\
---------------------------------------------------------------------------

    \404\ See Section II.B.4.c of the 2008 Proposing Release.
    \405\ See comment letter from ASF.
---------------------------------------------------------------------------

    We are proposing again to eliminate the exceptions based on 
investment grade ratings. We are not aware of any benchmark comparable 
to an investment grade rating here, and we continue to believe the 
information would be readily available and therefore the proposed 
change would not impose substantial costs or burdens to an ABS issuer. 
We believe that these changes are consistent with our revisions to 
eliminate ratings from the shelf eligibility criteria for asset-backed 
issuers.

Request for Comment

     Is it appropriate to require the information about foreign 
government issuers, even if their securities are rated

[[Page 23389]]

investment grade, as proposed? Is there a different way to replace 
investment grade ratings in Items 1112 and 1114 of Regulation AB?
     Would the proposed change impose undue burdens on issuers?
     Would the disclosure be useful to investors?

IV. Definition of an Asset-Backed Security

    As part of our effort to provide more timely and detailed 
disclosure regarding the pool assets to investors, we are proposing 
revisions to the Regulation AB definition of an asset-backed security. 
Currently, a security must meet the definition of an ``asset-backed 
security'' under Regulation AB \406\ in order to utilize the disclosure 
requirements of Regulation AB and be eligible for shelf registration on 
Form S-3.\407\ Prior to 2004, an ``asset-backed security'' was defined 
only for purposes of Form S-3 eligibility. In 2004, the Commission 
incorporated the basic definition of an ``asset-backed security'' from 
Form S-3 into Regulation AB. This definition requires, among other 
things, that the security be primarily serviced by the cash flows of a 
discrete pool of assets.\408\
---------------------------------------------------------------------------

    \406\ See Item 1101(c) of Regulation AB.
    \407\ See General Instruction I.B.5 of Form S-3 and Item 1100 of 
Regulation AB.
    \408\ See Item 1101(c).
---------------------------------------------------------------------------

    In the 2004 ABS Adopting Release, we noted that the definition of 
``asset-backed security'' outlines the parameters for the types of 
securities that are appropriate for the alternate disclosure and 
regulatory regime provided by Regulation AB.\409\ We also noted that 
the further a security deviates from the core purpose of the 
definition, the more acute the concerns, which include concerns 
regarding the sufficiency of disclosure to investors, are that the 
security should not be treated in the same way as other securities that 
meet the definition.\410\ If a security does not meet the definition 
under Regulation AB, the offering may still be registered with the 
Commission on Form S-1. As noted in the 2004 ABS Adopting Release, the 
staff has worked with issuers offering structured securities outside 
the Regulation AB definition of an asset-backed security to develop 
appropriate disclosures under our regulations for such securities.\411\
---------------------------------------------------------------------------

    \409\ See Section III.A.2.a of the 2004 ABS Adopting Release.
    \410\ See id.
    \411\ See Section III.A.2.a of the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    A core principle of the Regulation AB definition of an asset-backed 
security is that the security is backed by a discrete pool of assets 
that by their terms convert into cash, with a general absence of active 
pool management. However, in response to commenters and previous staff 
interpretation, we adopted certain exceptions to the ``discrete pool'' 
requirement in the definition of asset-backed security to accommodate 
master trusts, prefunding periods, and revolving periods.\412\ Based on 
our experience with the definition, we are concerned that pools that 
are not sufficiently developed at the time of an offering to fit within 
the ABS disclosure regime may, nonetheless, qualify for ABS treatment, 
which may result in investors not receiving appropriate information 
about the securities being offered.\413\ Consequently, we are proposing 
amendments to these exceptions to address these concerns. We believe 
that our proposals would restrict deviations from the discrete pool of 
assets requirements without substantially changing market 
practice.\414\
---------------------------------------------------------------------------

    \412\ See Item 1101(c)(3).
    \413\ Issuers will also need to consider Rule 3a-7 under the 
Investment Company Act or other applicable exclusions under the Act. 
The changes we propose today to the definition of ABS in Regulation 
AB would not in and of themselves change the analysis under the 
Investment Company Act. As such, securities that would not meet the 
Regulation AB definition of ABS may be registered on Form S-1.
    \414\ See fn. 418, 420 and 423 below.
---------------------------------------------------------------------------

    First, we are proposing to carve back the availability of the 
exceptions to the discrete pool requirement. We are proposing to amend 
the master trust exception for securities that are not backed by assets 
that arise out of revolving accounts.\415\ Under the existing 
requirement, securitizations that are not backed by such revolving 
account assets--for example, mortgages--qualify for an exception from 
the discrete pool requirement of the definition of an asset-backed 
security. As a result, additional assets that are non-revolving can be 
added to the pool of assets backing all the securities issued by the 
master trust in connection with subsequent offerings of securities. 
While we do not believe that it is important to repeal the 
accommodations for revolving assets under Regulation AB, we also do not 
believe that there is a similar need to accommodate an exception to the 
discrete pool requirement for offerings backed by non-revolving assets. 
In light of concerns, which we have noted above, about sufficient 
disclosure about the pool assets, we are proposing to revise the 
definition of an asset-backed security to restrict the use of 
Regulation AB for master trust issuers backed by non-revolving assets. 
Under our proposed revision, if the master trust is not supported by 
assets arising out of revolving accounts, the securitization would no 
longer qualify for the exception.\416\ We believe that it is 
appropriate to carve back on the expansion of the definition of an 
asset-backed security that was provided in 2004 \417\ so that investors 
have sufficient information relating to the pool assets.\418\
---------------------------------------------------------------------------

    \415\ See discussion of issuers that utilize master trust 
structures in Section II.C. above.
    \416\ Some stranded cost securitizations are set up as a series 
trust or a master trust. As explained in the 2004 ABS Adopting 
Release, series trusts do not meet the definition of an asset-backed 
security under Item 1101(c) of Regulation AB. Under our proposed 
change to the master trust exception, a stranded cost securitization 
set up as master trust would not be able to issue securities using 
registration statements filed on Forms SF-1 or SF-3. However, if a 
stranded cost securitization is structured as a stand alone trust, 
then such securitization structure should meet the definition of an 
asset-backed security.
    \417\ See 2004 ABS Adopting Release.
    \418\ We are aware of only four issuers backed by non-revolving 
assets that utilize the master trust structure. Some issuers of ABS 
backed by mortgages originated in the United Kingdom structured as 
master trusts would not qualify for the exception from the 
definition of ABS, because the underlying mortgages would not be 
revolving in nature. Under our proposal, such structures would still 
be able to register transactions on Form S-1. Such sponsors would 
also be able to structure their ABS as stand-alone trusts. See Fitch 
Ratings Report ``Masters of the House--A Review of UK RMBS Master 
Trusts'', June 8, 2005 (noting that large prime mortgage lenders 
have preferred the master trust structure over the pass-through 
mechanism used by other UK RMBS issuers in, for example, buy-to-let 
and non-conforming markets, as the master trust structure allows for 
larger transactions)]. See Jennifer Hughes, MBS Market Reopens in 
Old Style, Financial Times, October 28, 2009 (noting that because 
new loans are added to the existing collateral pool when new bonds 
are issued, the performance statistics of the older loans are 
diluted by the new loans). See also Jennifer Hughes, Concern Over 
Mortgage Master Trusts, Financial Times, October 28, 2009 (noting 
difficulties with analyzing master trusts because the pool of loans 
backing the bonds is constantly changing).
---------------------------------------------------------------------------

    Second, we are proposing to limit further the number of years for 
revolving periods of non-revolving assets. The current provision allows 
the offering to contemplate a revolving period where cash flows from 
the pool assets may be used to acquire additional pool assets, 
provided, that for securities backed by non-revolving assets, 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.\419\ We are 
proposing to reduce the permissible duration of the revolving period 
from three years to one year.\420\ While we have not experienced

[[Page 23390]]

problems with the use of this feature to date, we believe that a one-
year revolving period limit would help to better ensure that investors 
have sufficient information about their securities by limiting the 
amount of time that assets may be added to the pool.
---------------------------------------------------------------------------

    \419\ See Item 1101(c)(3)(iii).
    \420\ We believe that currently the revolving period exception 
to the discrete pool requirement is not widely used in standalone 
amortizing trust structures. Based on staff review, we believe only 
a few issuers which have registered with the Commission have used a 
revolving period of more than one year.
---------------------------------------------------------------------------

    Third, we are proposing to decrease the limit on the amount of 
prefunding permitted by the prefunding exception to the discrete pool 
requirement. During prefunding periods, pool assets may be added within 
a specified period of time after the issuance of the asset-backed 
securities using a portion of the offering proceeds. Under the existing 
requirement, the amount of prefunding may not exceed 50% of the 
offering proceeds, or, in the case of master trusts, 50% of the 
aggregate principal balance of the total asset pool whose cash flows 
support the asset-backed securities.\421\ We propose to lower this 
ceiling to 10% of the offering proceeds or, for master trusts, 10% of 
the aggregate principal balance of the total asset pool whose cash 
flows support the asset-backed securities.\422\ We believe that the 
combination of shortening the revolving period and lowering the ceiling 
of prefunding, as proposed, should better align the offerings that use 
these features with our goal of maintaining the integrity of the 
discrete pool requirement in offerings that use these features, 
consistent with investor demand for more meaningful asset-level 
data.\423\
---------------------------------------------------------------------------

    \421\ Item 1101(c)(3)(ii).
    \422\ A current report on Form 8-K would be required to be filed 
when additions to the pool are made, even if contemplated in the 
registration statement, as proposed.
    \423\ Based on staff review, we believe that use of prefunding 
accounts is generally limited to select sponsors, approximately 25% 
or less of the principal balance or proceeds are set aside for 
prefunding and the prefunding period generally extends for 
approximately one year.
---------------------------------------------------------------------------

Requests for Comment

     Is the proposed revision relating to master trusts not 
backed by revolving account assets appropriate? Are there any asset 
classes or types of ABS issuers that would be excluded from the revised 
definition of an asset-backed security that should not be?
     Is it appropriate for ABS structured as master trusts that 
are backed by non-revolving accounts to register on S-1? How would 
existing and prospective investors be able to analyze the pool if it is 
constantly changing? Please be specific in your response.
     Is 10% the appropriate ceiling for the amount of 
permissible prefunding? Should that amount be higher (e.g., 20%, 30%, 
40%), lower (e.g., five percent), or disallowed altogether under the 
definition of an asset-backed security? Under the existing definition, 
the duration of the prefunding period is limited to one year from the 
date of issuance of the asset-backed securities. Should the one-year 
limitation be shortened?
     Is the one-year permissible length of the revolving period 
for non-revolving assets, as proposed, the appropriate amount of time? 
Should the permissible length be a different amount of time (e.g., two 
years)? Should any other amendments be made to the allowance for 
revolving periods?

V. Exchange Act Reporting Proposals

A. Distribution Reports on Form 10-D

    We are proposing to revise General Instruction C.3. of Exchange Act 
Form 10-D. The instruction provides that if information required by an 
Item has been previously reported, the Form 10-D does not need to 
repeat the information.\424\ Because information that is previously 
reported may relate to a different issuer from the issuer to which the 
report relates, such information may be difficult to locate, and 
therefore, we believe a clear reference to the location of the 
previously reported information should be provided in the Form 10-
D.\425\ We are proposing to amend Form 10-D to require disclosure of a 
reference to the Central Index Key number, file number and date of the 
previously reported information.
---------------------------------------------------------------------------

    \424\ The term ``previously reported'' is defined in Exchange 
Act Rule 12b-2 (17 CFR 240.12b-2).
    \425\ For instance, in the case of master trusts, Item 3 of Form 
10-D requires disclosure of information related to the sales of 
securities backed by the same pool or issuing entity during the 
reporting period, regardless of whether the transaction is 
registered. Because the information regarding registered offerings 
of securities backed by the same pool would have been previously 
reported by the filing of a prospectus pursuant to Rule 424, no 
additional report regarding the issuances would be required on Form 
10-D. The staff has observed, however, that because the information 
has been previously reported, no disclosure appears under this item. 
Thus, it was unclear whether no disclosure was provided because no 
issuances occurred, or because the information had been previously 
reported, and also it may not be clear to investors or other market 
participants how to locate the information.
---------------------------------------------------------------------------

    We also are proposing to add a new requirement to Item 1121 of 
Regulation AB to address concerns about the activities of parties 
obligated to repurchase assets for breach of a representation or 
warranty in declining trustee or investor demands to repurchase assets 
from the pool for a possible breach of a representation or 
warranty.\426\ Under this proposed new item requirement, for the assets 
in the pool backing securities covered by the distribution report, the 
report would be required to contain disclosure relating to the amount 
of repurchase demands made of the obligated party during the period 
covered by this report for the assets in the pool of securities covered 
by this report.\427\ This new item requirement would require disclosure 
of any demands made of the obligated party in the period covered by the 
report to repurchase the assets in the pool backing the securities due 
to a breach in the representations and warranties concerning the pool 
assets as provided in the transaction agreements. This disclosure would 
include the percentage of that amount that was not then repurchased or 
replaced by the originator. Of those assets that were not then 
repurchased or replaced, we would require disclosure whether an opinion 
of a third party not affiliated with the obligated party had been 
furnished to the trustee that confirms that the assets did not violate 
a representation or warranty.
---------------------------------------------------------------------------

    \426\ See proposed Item 6A in Part II of Form 10-D.
    \427\ See Section II.B.3.b. above.
---------------------------------------------------------------------------

    In addition, we are proposing to reverse our position for 
delinquency presentation in periodic reports. In the 2004 ABS Adopting 
Release, we stated that delinquency and loss information for the Form 
10-D reporting period, like the other listed items in Item 1121(a) of 
Regulation AB, is based on materiality, and not on Item 1100(b) of 
Regulation AB.\428\ Item 1100(b) outlines the minimum requirements for 
presenting historical delinquency and loss information, such as 
requiring delinquency experience be presented in 30 or 31 day 
increments, through the point that assets are written-off or charged-
off as uncollectible.\429\ Therefore, consistent with our efforts to 
standardize the disclosure across all ABS, we are proposing to add an 
instruction to Item 1121(a)(9) to provide pool-level disclosure in 
periodic reports in accordance with Item 1100(b) of Regulation AB.
---------------------------------------------------------------------------

    \428\ See fn. 477 of the 2004 ABS Adopting Release.
    \429\ See Item 1100(b)(1) of Regulation AB.
---------------------------------------------------------------------------

    Further, we are proposing to revise the cover page of the Form 10-D 
to include the name and phone number of the person to contact in 
connection with the filing. This information would assist the staff in 
its review of asset-backed filings.\430\
---------------------------------------------------------------------------

    \430\ Issuers are also encouraged to provide the name and phone 
number of the outside attorney or other contact in accompanying 
correspondence to their reports on Form 10-K.

---------------------------------------------------------------------------

[[Page 23391]]

Request for Comment

     Should we amend, as proposed, Form 10-D to require 
disclosure of a reference to the Central Index Key number, file number 
and date of the previously reported information?
     Should we amend, as proposed, Item 1121 to require 
disclosure regarding the amount of repurchase demands made of the 
obligated party during the period covered by the report for the assets 
in the pool of securities covered by the report? Should we require, as 
proposed, disclosure regarding the percentage of those assets that were 
subject to a repurchase demand that were not repurchased? Should we 
also require, as proposed, disclosure whether an opinion of a third 
party not affiliated with the obligated party had been furnished to the 
trustee that confirms that the assets that were not repurchased or 
replaced did not violate a representation or warranty.
     Should we add, as proposed, an instruction to Item 
1121(a)(9) to provide pool-level disclosure in periodic reports in 
accordance with Item 1100(b) of Regulation AB?
     Should we specify the format for reports on Form 10-D? 
Should we specify line items that issuers must disclose in order to 
meet the requirements in current Item 1121 of Regulation AB (e.g., 
disclosure of sources and uses of monthly cash flows, changes in asset 
pool balance from the beginning to the end of the reporting period)? 
For instance, in the case of a credit card master trust, should we 
specify line item disclosure for changes in the assets of the trust 
(e.g., beginning balance, amount of account additions, amount of 
accounts withdrawn, amounts collected, gross charge-offs, and ending 
balance)? \431\
---------------------------------------------------------------------------

    \431\ See e.g., Appendix A, Attachment III. of the MetLife FDIC 
Letter.
---------------------------------------------------------------------------

B. Servicer's Assessment of Compliance With Servicing Criteria

    The Form 10-K report of an asset-backed issuer is required to 
contain, among other things, an assessment of compliance with servicing 
criteria that is set forth in Item 1122 of Regulation AB \432\ by each 
party participating in the servicing function.\433\ The servicer's 
assessment is filed as an exhibit to the report, and the body of the 
Form 10-K report must also contain disclosure regarding material 
instances of non-compliance with servicing criteria.\434\ In order to 
provide enhanced information regarding instances of non-compliance with 
servicing criteria with respect to the offering to which the report 
relates, including information on steps taken to address non-
compliance, we are proposing to expand the disclosure required to be 
contained in the body of the Form 10-K. We are also proposing to codify 
certain staff positions with respect to the servicer's assessment, as 
we believe codifying these positions will make them more transparent 
and readily available to the public.
---------------------------------------------------------------------------

    \432\ 17 CFR 229.1122.
    \433\ Exchange Act Rules 13a-18(b) and 15d-18(b) [17 CFR 
240.13a-18(b) and 17 CFR 240.15d-18(b)] and Item 1122 of Regulation 
AB. Item 1122 of Regulation AB defines ``a party participating in 
the servicing function'' as any entity (e.g., master servicer, 
primary servicers, trustees) that is performing activities that 
address the criteria in paragraph (d) of this section, unless such 
entity's activities relate only to 5% or less of the pool assets. 
See Instruction 2 to Item 1122. For purposes of this discussion, we 
refer to the party that is required to provide a servicer's 
assessment as the ``servicer.''
    \434\ See Item 1122(c) of Regulation AB. Item 1122 requires an 
assessment of compliance with servicing criteria exactly as set 
forth in Item 1122(d); the criteria cannot be modified. If the 
servicer's process differs from one or more of the criteria, then 
the servicer must disclose that it is not in compliance with those 
criteria.
---------------------------------------------------------------------------

    A particular servicer may provide servicing for several asset-
backed issuers that may not be related. As discussed in the 2004 ABS 
Adopting Release and in an instruction to Item 1122, the servicer's 
assessment is required to be made at the platform level,\435\ which 
means the servicer's assessment should be made with respect to all 
asset-backed securities transactions involving the asserting party that 
are backed by assets of the type backing the asset-backed securities 
covered by the Form 10-K report.\436\ Typically, one servicer's 
assessment relating to several issuers backed by the same type of 
assets will be filed as an exhibit to each of the issuers' Forms 10-K. 
Therefore, it may not be clear whether the asset-backed securities 
covered in the Form 10-K report may have been impacted by the material 
instance of non-compliance.
---------------------------------------------------------------------------

    \435\ See Section III.D.7.c of the 2004 ABS Adopting Release. In 
contrast, the servicer's compliance statement under Item 1123 of 
Regulation AB which must be included in a Form 10-K report relates 
to the specific asset pool for the securitization that is covered by 
the Form 10-K. Thus, an instance of non-compliance that is not 
material to the servicer's platform would still need to be disclosed 
in the servicer's compliance statement under Item 1123 if the 
instance of non-compliance is material to the servicing of the 
specific asset pool covered by the report. Further, the issuer is 
required to disclose a known instance of noncompliance that is 
material to the asset pool in its Exchange Act reports. See the 
Division of Corporation Finance's Manual of Publicly Available 
Interpretations on Regulation AB and Related Rules, Interpretation 
17.05.
    \436\ See also Instruction 1 to Item 1122 (stating that if 
certain servicing criteria are not applicable to the asserting party 
based on the activities it performs with respect to asset-backed 
securities transactions taken as a whole involving such party and 
that are backed by the same asset type backing the class of asset-
backed securities, the inapplicability of the criteria must be 
disclosed in that asserting party's and the related registered 
public accounting firm's reports).
---------------------------------------------------------------------------

    In order to elicit disclosure regarding the material instances of 
non-compliance with respect to the particular securities to which the 
Form 10-K report relates, we are proposing to require that, along with 
disclosure of material instances of noncompliance with servicing 
criteria, the body of the annual report also disclose whether the 
identified instance of noncompliance involved the servicing of the 
assets backing the asset-backed securities covered in the particular 
Form 10-K report.\437\
---------------------------------------------------------------------------

    \437\ While some information about instances of non-compliance 
may also be required by Item 1123 of Regulation AB to be provided, 
because of the differences in the definition of servicer between 
Item 1122 and Item 1123, we believe that Item 1123 does not cover 
the same information that our proposed revision to Item 1122 would 
cover.
---------------------------------------------------------------------------

    We are also proposing to require that the body of the annual report 
discuss any steps taken to remedy a material instance of noncompliance 
previously identified by an asserting party for its activities made on 
a platform level. This disclosure would be required whether or not the 
instance of non-compliance involved the servicing of assets backing the 
securities covered in the particular Form 10-K. We believe that if a 
material instance of non-compliance exists at the platform level, 
investors should know whether any steps have been taken to remedy the 
material instance of non-compliance.
    We also are proposing to codify certain staff positions issued by 
the Division of Corporation Finance relating to the servicer's 
assessment requirement, with some modification. First, we are proposing 
to codify a staff interpretation relating to aggregation and conveyance 
of information between a servicer and another party (who may also be a 
servicer for purposes of the servicer's assessment requirement). In the 
fulfillment of its duties as set forth in transaction agreements, a 
servicer will often provide information to another party. Such 
information conveyed is generated by a servicing activity that falls 
under a particular criterion in Item 1122(d). Likewise, the second 
servicer may use the information in a servicing activity that falls 
under a particular criterion in Item 1122(d). While the conveyance of 
information to another party is not explicitly contained in any of the 
criterion in Item 1122(d), the staff in the Division of Corporation 
Finance has taken the position that the accurate conveyance of the 
information is part of the same servicing criterion

[[Page 23392]]

under which the activity that generated the information is 
assessed.\438\
---------------------------------------------------------------------------

    \438\ See the Division of Corporation Finance's Manual of 
Publicly Available Interpretations on Regulation AB and Related 
Rules, Interpretation 11.03. According to the interpretation, the 
following example demonstrates how the position should be applied:
    For example, if Servicer A is responsible for administering the 
assets of the pool and passing along the aggregated information 
about the assets in the pool to Servicer B, and Servicer B is 
responsible for calculating the waterfall or preparing and filing 
the Exchange Act reports with that information, Servicer A's 
activity is assessed under Item 1122(d)(4). In addition to assessing 
Servicer A's maintenance of the records and other activities, this 
Item requires assessment of Servicer A's aggregation and conveyance 
of such information to Servicer B. If instead of aggregating the 
individual asset information, Servicer A conveys it un-aggregated, 
then Servicer B must include its own aggregation of the individual 
asset data in Servicer B's assessment of calculating the waterfall 
or preparing and filing Exchange Act reports.
---------------------------------------------------------------------------

    We are now proposing to codify the staff's interpretation; however, 
unlike the staff's position that the conveyance of the information is 
part of the same servicing criterion under which the activity that 
generated the information is assessed, we are proposing to add a new 
servicing criterion to Item 1122. This new criterion, as proposed,\439\ 
would state that if information obtained in the course of duty is 
required by any party or parties in the transaction in order to 
complete their duties under the transaction agreements, the aggregation 
of such information, as applicable, is mathematically accurate and the 
information conveyed accurately reflects the information that was 
obtained. Any servicer that is responsible for either aggregation or 
conveyance of information should assess whether there are any instances 
of noncompliance with respect to such activities that should be 
reported under the proposed criteria. We are proposing a new criterion 
because we believe that a separate criterion for the accurate 
aggregation and conveyance of information to other parties would better 
elicit disclosure regarding a servicer's compliance with its duties.
---------------------------------------------------------------------------

    \439\ See proposed Item 1122(d)(1)(v) of Regulation AB.
---------------------------------------------------------------------------

    In a publicly available telephone interpretation,\440\ the staff 
explained that the platform for reporting purposes should not be 
artificially designed, but rather, it should mirror the actual 
servicing practices of the servicer. However, the staff also noted that 
if in the conduct of servicing the transactions, the servicer has made 
divisions in its servicing function by geographic locations or among 
separate computer systems, the servicer may take these factors into 
account in determining the platform for reporting purposes. Absent 
changes in circumstances such as a merger between services, we expect 
that the groupings of transactions included in a platform would remain 
constant from period to period. Also, if the servicer includes in its 
platform less than all of the transactions backed by the same asset 
type that it services, we expect a description of the scope of the 
platform would be included in a servicer's report submitted pursuant to 
Item 1122.
---------------------------------------------------------------------------

    \440\ See the Division of Corporation Finance's Manual of 
Publicly Available Interpretations on Regulation AB and Related 
Rules, Interpretation 17.03.
---------------------------------------------------------------------------

    We are proposing to codify these interpretations relating to the 
scope of the Item 1122 servicer's assessment in an instruction to Item 
1122. The proposed instruction also states that the servicer's 
assessment should cover, except if disclosure is provided as required 
below, all asset-backed securities transactions involving such party 
and that are backed by the same asset type backing the class of asset-
backed securities which are the subject of the Commission filing. The 
proposed instruction states that the servicer may take into account 
divisions among transactions that are consistent with the servicer's 
actual practices. However, if the servicer includes in its platform 
less than all of the transactions backed by the same asset type that it 
services, the proposed instruction provides that a description of the 
scope of the platform should be included in the servicer's assessment.

Request for Comment

     Would additional disclosure in the body of the Form 10-K 
as to whether the identified instance of noncompliance involved the 
servicing of the assets backing the asset-backed securities covered in 
the particular Form 10-K report, as we are proposing to require, 
provide investors with meaningful additional disclosure that is not 
already covered by the existing requirements? Would the proposed 
requirement to disclose any steps taken to remedy the previously 
identified instances of noncompliance provide helpful information to 
investors?
     Should we, as proposed, add a separate criterion 
addressing the accurate aggregation and conveyance of information by 
one servicer to another party who must use the information in the 
performance of its duties? Would it be better not to add the criterion 
but instead revise Item 1122 to provide, similar to the staff's 
position, that accurate conveyance of the information is part of the 
same servicing criterion under which the activity that generated the 
information is assessed? Should timeliness of conveyance of this 
information also be included as part of the proposed servicing 
criterion?
     Should we codify prior staff interpretations relating to 
the scope of Item 1122 by adding the proposed instruction? Does the 
proposed instruction to Item 1122 reflect current servicer's practices? 
Do servicers conduct servicing in any ways different from what is 
contemplated in the proposed instruction?

C. Form 8-K

1. Item 6.05
    Item 6.05 of Form 8-K \441\ applies to asset-backed securities 
offerings registered on Form S-3 and, if our proposed amendments are 
adopted, will apply to offerings registered on Form SF-3. Under the 
existing item requirement, if any material pool characteristic of the 
actual asset pool at the time of issuance of the securities differs by 
five percent or more (other than as a result of the pool assets 
converting to cash in accordance with their terms) from the description 
of the asset pool in the prospectus filed for the offering pursuant to 
Securities Act Rule 424, the issuer must provide certain disclosure 
regarding the actual asset pool, such as that required by Item 1111 and 
1112 of Regulation AB.
---------------------------------------------------------------------------

    \441\ 17 CFR 249.308.
---------------------------------------------------------------------------

    In light of the new requirements regarding asset-level disclosure, 
which reflect the significance of the composition of the assets, we are 
proposing to revise Item 6.05 of Form 8-K to require that the issuer 
file a current report with disclosure pursuant to Item 1111 and Item 
1112 if any material pool characteristic of the actual asset pool at 
the time of issuance of the asset-backed securities differs by one 
percent or more from the description of the asset pool in the 
prospectus filed for the offering pursuant to Securities Act Rule 424 
(other than as a result of the pool assets converting into cash in 
accordance with their terms). We believe that changes below one percent 
are likely de minimis changes. We believe that except for the assets 
acquired through prefunding, the assets of the pool underlying the 
securities should be set and described in the prospectus. For shelf 
offerings, much of this information would already be provided by means 
of the Rule 424(h) filing. We remind issuers that information about 
significant changes in pool asset composition provided to an investor 
after the sale may not have been adequately conveyed at the time of

[[Page 23393]]

sale for the purpose of Securities Act Rule 159.\442\
---------------------------------------------------------------------------

    \442\ See fn. 87 above.
---------------------------------------------------------------------------

    The item, as proposed to be revised, also requires a description of 
the changes that were made to the asset pool, including the number of 
assets substituted or added to the asset pool.\443\ In some 
transactions, the pooling and servicing agreement may provide for 
investments of cash collections and reserve funds in ``eligible'' or 
``permitted'' investments.\444\ However, even though investments of 
cash collections are contemplated at the time of the offering, the 
investment of cash collections and reserve funds may be a material 
change to the asset pool. Consequently, disclosure of the change would 
be required under Item 6.05 of Form 8-K.
---------------------------------------------------------------------------

    \443\ In addition, we are proposing to require that asset data 
files be included as an exhibit on the same date of the filing of an 
Item 6.05 Form 8-K. See proposed Item 6.06 of Form 8-K.
    \444\ If those instruments are securities, they must be 
registered or exempt from registration as provided in Securities Act 
Rule 190. See Section III.a.1.e.v. and fn. 277 above.
---------------------------------------------------------------------------

Request for Comment

     Should we revise Item 6.05 of Form 8-K as proposed? Is 1% 
an appropriate threshold to trigger disclosure on Form 8-K? Should it 
be higher or lower such as 0.5% or 2%?
     Is the language for the proposed item appropriate?
     Should we also require, as proposed, a description of the 
changes to the asset pool?
     Should we provide by rule that changes in pool assets of 
more than 10% (or some other amount) from the description of the asset 
pool in the prospectus filed pursuant to Rule 424 must be conveyed to 
investors for purposes of Rule 159?
     How often would ABS issuers cross the 1% threshold? We 
propose, above, to eliminate the current exception to the shelf 
eligibility condition that requires timely filing of an Item 6.05 Form 
8-K. Is there a risk that pool assets may change by more than 1% 
without the sponsor being aware soon enough that an issuing entity has 
crossed this threshold in order to be able to comply with the shelf 
eligibility criteria, as proposed to be revised? If so, how should we 
address that risk while still providing incentive for timely 
compliance?
2. Change in Sponsor's Interest in the Securities
    We are proposing to add a new item to require the filing of a Form 
8-K to describe any material change in the sponsor's interest in the 
securities. Under this Item, a Form 8-K would be required to be filed 
if there is a material change in the sponsor's interest in the 
securities. We believe that such disclosure would assist an investor in 
monitoring the sponsor's interest in the securities, including its 
retention of risk in connection with the proposed shelf eligibility 
requirements discussed above. Under the proposal, the report on Form 8-
K would be required to include disclosure of the amount of change in 
interest and a description of the sponsor's resulting interest in the 
transaction.

Request for Comment

     Should we require, as proposed, the issuer to file a Form 
8-K if there is a material change in the sponsor's interest in the 
securities? Should we provide a quantitative measure for the trigger 
for disclosure on Form 8-K? For example, should we require the filing 
of a Form 8-K if the sponsor's interest has changed by 1%, 5% or 10%?
     Is the proposed disclosure that would be required to be 
provided on Form 8-K appropriate? Would other types of disclosure 
provide more useful information for investors?
     Should we also require the issuer to file a Form 8-K if an 
originator's interest in the securities has changed? If such a 
requirement were adopted, what would be the costs of monitoring an 
originator's interest?
     Should we instead require that the issuer file a report 
each fiscal quarter that discloses the scope of the sponsor's interest 
in the securities as of a particular date? If so, what date should that 
be?

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

    We are proposing amendments to make it easier for interested 
parties to locate the depositor's registration statement and periodic 
reports associated with a particular offering and information related 
to the sponsor of the offering. Currently, ABS offerings with a 
particular file number may be associated with a registration statement 
with a different file number. Further, Forms 8-K for ABS offerings may 
be filed under the depositor file number, making it difficult to track 
material for the related offering with only the information provided in 
the Form 8-K. In order to facilitate the ability of investors to find 
information that is filed on EDGAR relating to the depositor, the 
issuing entity and the sponsor more easily, we are proposing to require 
that the cover pages of registration statements on Form SF-1 and Form 
SF-3 include the CIK number of the depositor, and if applicable, the 
CIK number of the sponsor.\445\ We are also proposing to require that 
the cover pages of the Form 10-D, Form 10-K, and Form 8-K for ABS 
issuers include the CIK number of the depositor and of the issuing 
entity, and if applicable, the CIK number of the sponsor.
---------------------------------------------------------------------------

    \445\ See proposed revision to Item 1102(a) of Regulation AB.
---------------------------------------------------------------------------

Request for Comment

     Should we require, as proposed, CIK numbers for the 
depositor, the issuing entity, and the sponsor (if applicable) on the 
cover pages of Forms 10-K, 10-D and 8-K for ABS issuers? Should we 
require, as proposed, CIK numbers for the depositor and the sponsor (if 
applicable) on the cover pages of proposed Forms SF-1 and SF-3?
     Are there any other changes we should make to the forms to 
make it easier to locate materials related to an ABS offering or ABS 
issuer?

VI. Privately-Issued Structured Finance Products

    We are proposing significant revisions to the safe harbors for 
exempt offerings and resales of asset-backed securities. In the U.S., 
all CDO issuances have taken place in the private exempt markets. An 
offering of CDOs in the private market typically is a two-step process 
involving an exempt private sale by the issuer to one or more initial 
purchaser or purchasers \446\ under Section 4(2) of the Securities Act 
\447\ immediately followed by a private resale by the initial purchaser 
or purchasers to eligible investors made in reliance on the Securities 
Act Rule 144A safe harbor.\448\ In addition, while it may not be 
typically used in the private market for structured finance products, 
Rule 506 \449\ of Regulation D \450\ provides any issuer, regardless of 
the type of security it issues, a safe harbor for the Section 4(2) 
private offering exemption from Securities Act registration.
---------------------------------------------------------------------------

    \446\ The initial purchaser is typically a registered broker-
dealer.
    \447\ 15 U.S.C. 77d(2). Section 4(2) provides an exemption from 
registration for transactions by an issuer not involving any public 
offering.
    \448\ See Guy Lander, U.S. Securities Law for International 
Financial Transactions and Capital Markets, Second Edition, (Eliot 
J. Katz et al. eds., 2nd ed., Thomson West 2005)(noting that 
``[t]ogether, Section 4(2) and Rule 144A, in effect, permit 
`underwritten' private placements'').
    \449\ 17 CFR 230.506.
    \450\ 17 CFR 230.501 through 230.508.
---------------------------------------------------------------------------

    Securitization in the private, unregistered market played a 
significant role in the financial crisis. In particular, the CDO market 
has been cited as

[[Page 23394]]

central to the crisis.\451\ While the CDO market comprised a large part 
of the capital market at the time of the financial crisis,\452\ many 
have asserted that the lack of information about CDOs and other 
structured securities in the private market exacerbated the harm to 
investors and the markets as a whole during the financial crisis.\453\ 
In addition, other market participants and regulators did not have 
access to important information about this significant component of the 
capital markets.\454\ Further, the costs of information asymmetry for 
ABS issuances can differ significantly from those incurred in the 
issuances of most other securities. Asset-backed securities are issued 
by single purpose issuers whose only business purpose is holding 
financial assets and may involve numerous parties that participate in 
the chain of securitization (i.e., originator, sponsor, servicer, 
etc.). Thus, unlike the securities of other companies where information 
needed to value the securities might be able to be gleaned from a 
review of basic summary information and discussions with management, 
information about the assets and the parties in the securitization 
chain facilitates an understanding of the valuation of asset-backed 
securities. To address these concerns, we are proposing revisions 
relating to Rule 144A offerings of structured finance products and Rule 
506 of Regulation D to provide for specific disclosures for private 
offerings of structured finance products, as well as additional public 
information about private structured finance products offerings 
conducted in reliance upon these safe harbors.
---------------------------------------------------------------------------

    \451\ See the 2008 CRMPG III Report (noting that many of these 
securities were high-risk complex financial instruments that were 
not understood by investors), at 53, and Gillian Tett, Fools Gold 
(2009). See also the PWG March 2008 Report, at 9 (discussing 
subprime mortgages and the write-down of AAA-rated and super-senior 
tranches of CDOs as contributing factors to the financial crisis).
    \452\ In 2005, worldwide CDO issuance exceeded $250 billion. 
See, e.g., Securities Industry and Financial Markets Association, 
``Global CDO Issuance Data,'' available at http://www.sifma.org/research/research.aspx?ID=10806. According to information that the 
staff has compiled from AB Alert, available at www.ABAlert.com, and 
SDC, U.S. issued Rule 144A offerings of asset-backed securities 
totaled approximately $200 billion in 2005 and $160 billion in 2006.
    \453\ See the 2008 CRMPG III Report, at 53 (noting that lack of 
comprehension of CDOs by market participants resulted in the display 
of price depreciation and volatility far in excess of levels 
previously associated with comparably rated securities, causing both 
a collapse of confidence in a very broad range of structured product 
ratings and a collapse in liquidity for such products). See also the 
Turner Review, at 16 (describing CDOs and CDO squared as opaque).
    \454\ See testimony of Joseph Mason, ``Hearing on the Role of 
Credit Rating Agencies In the Structured Finance Market,'' Before 
the Subcommittee on Capital Markets, Insurance, and Government 
Sponsored Enterprises, Committee on Financial Services United States 
House of Representatives (Sept. 27, 2007) (proposing a resolution to 
information asymmetry for structured finance investments, including 
CDOs, by changing the manner in which information is gathered by 
accountants and regulators and disseminated to market participants 
by ratings agencies and markets). See also Anna Katherine Barnett-
Hart, The Story of the CDO Market Meltdown: An Empirical Analysis, 
(Mar. 19, 2009) (discussing mis-rating of CDOs and failure of all 
market participants, from investment banks to hedge funds, to 
understand risk of CDOs) at 3, 40.
---------------------------------------------------------------------------

    We acknowledge that the steps we are proposing to take in the 
private placement market are significant. We recognize that structured 
finance products issuers may conduct offerings in reliance on a 
statutory exemption under the Securities Act without seeking the safe 
harbor provided by Rule 506 of Regulation D or without representing 
that the securities are eligible for sale under Rule 144A.\455\ As a 
result, our proposed amendments to the safe harbors would not apply to 
these offerings, and as such, may not fully address the concerns we 
seek to address in all securitization transactions.
---------------------------------------------------------------------------

    \455\ For example, we understand that asset-backed commercial 
paper is often sold in reliance on the private placement statutory 
exemption and the so-called Section ``4(1-\1/2\)'' exemption for 
private resales rather than the safe harbors provided under Rule 506 
of Regulation D or Rule 144A.
---------------------------------------------------------------------------

A. Rule 144A and Regulation D

    We adopted Securities Act Rule 144A \456\ in 1990.\457\ The rule 
provides a safe harbor for a reseller of securities from being deemed 
an underwriter within the meaning of Sections 2(a)(11) and 4(1) of the 
Securities Act for the offer and sale of non-exchange listed securities 
to ``qualified institutional buyers'' (QIBs), as defined in Rule 144A. 
The Rule 144A safe harbor can be claimed only by persons other than the 
issuer. The safe harbor has been utilized to develop a private market 
for collateralized debt obligations and other asset-backed securities 
\458\ that may not meet the definition of an asset-backed security 
under Regulation AB, and, therefore, are not eligible for the 
particularized regulation regime of Regulation AB.\459\
---------------------------------------------------------------------------

    \456\ 17 CFR 230.144A.
    \457\ See the Rule 144A Adopting Release.
    \458\ For example, a vast majority of resecuritizations of real 
estate mortgage conduits, known as ``Re-Remics,'' are offered 
through resales made in reliance on Rule 144A safe harbor. See 
Deloitte's Speaking of Securitization, ``The Re-Remic Phenomenon'' 
(June 2009), at 2.
    \459\ Many CDOs do not meet the ``discrete pool of assets'' 
component of the Regulation AB definition of an asset-backed 
security because CDOs permit the active management of the assets for 
a period of time (e.g., five years), a component which is 
inconsistent with the principle set forth in Item 1101(c). Also, 
other structured products like synthetic securities do not meet the 
definition of an asset-backed security under Regulation AB. See 
Section III.A.2.a. of the 2004 ABS Adopting Release. In addition, 
actively-managed CDOs and issuers that offer synthetic securities 
generally do not meet the requirements of Rule 3a-7 under the 
Investment Company Act and typically rely on one of the private 
investment company exclusions under that Act. See fn. 39 above.
---------------------------------------------------------------------------

    One condition of the Rule 144A safe harbor requires the issuer to 
provide the security holder or a prospective purchaser designated by 
the security holder, certain information relating to the issuer, which 
is required to be reasonably current in relation to the date of resale 
under the rule.\460\ To satisfy the rule, the information must be 
provided upon the security holder's request, or the prospective 
purchaser must have received such information at or prior to the time 
of sale, upon the prospective purchaser's request to the security 
holder or issuer. In the original adopting release for Rule 144A, we 
noted that this condition had been proposed in response to commenters' 
concerns regarding the lack of available information about issuers in 
the exempted transaction.\461\
---------------------------------------------------------------------------

    \460\ 17 CFR 230.144A(d)(4).
    \461\ See Section II.D. of the Rule 144A Adopting Release.
---------------------------------------------------------------------------

    This information requirement in Rule 144A delineates the type of 
information that should be provided by corporate issuers.\462\ However, 
there is no discussion in the text of the rule regarding the type of 
information that is required for ABS offerings. In the original 
adopting release for Rule 144A, we stated that the information 
requirements in Rule 144A with respect to asset-backed issuers require, 
``basic, material information concerning the structure of the 
securities and distributions thereon, the nature, performance and 
servicing of the assets supporting the securities, and any credit 
mechanism associated with the securities.'' \463\ Under these 
requirements, purchasers of asset-backed securities in Rule 144A 
transactions may receive only a minimal

[[Page 23395]]

amount of information about their investment.
---------------------------------------------------------------------------

    \462\ In particular, the holder or prospective purchaser should 
be provided with: a statement of the nature of the issuer's business 
and the products and services that it offers, the issuer's most 
recent balance sheet and profit and loss and retained earnings 
statements, and similar financial statements for the part of the two 
preceding fiscal years as the issuer has been in operation. See 17 
CFR 230.144A(d)(4)(i). The rule also explains how the issuer's 
financial statements and other information could be presumed to be 
``reasonably current.'' See 17 CFR 230.144A(d)(4)(ii).
    \463\ See Section II.D. of the Rule 144A Adopting Release.
---------------------------------------------------------------------------

    Under the existing provisions in Regulation D, when the issuer 
sells securities in reliance on Rule 506 to a purchaser that is not an 
``accredited investor,'' as defined in Regulation D, an issuer must 
furnish information akin to what is required in a registration 
statement on Form S-1.\464\ The prescribed information, however, need 
not be provided to a purchaser that is an accredited investor. Except 
for a few types of ABS, we believe that investors in privately issued 
asset-backed securities typically would qualify as accredited 
investors, and therefore, issuers would not be required to provide the 
prescribed information to them in order rely on Rule 506 of Regulation 
D for the sale of the securities. Thus, if an ABS issuer were to rely 
on Rule 506 of Regulation D for the sale of its securities, purchasers 
in the offering may receive only a minimal amount of information 
regarding the securities, though they may request the information that 
they desire.
---------------------------------------------------------------------------

    \464\ See Rule 502(b)(2) of Regulation D.
---------------------------------------------------------------------------

B. Proposed Information Requirements for Structured Finance Products

1. General
    In order to address concerns about the lack of information 
available to investors in the private markets for structured finance 
products, we are proposing amendments to our safe harbors and new 
related rules regarding the information that must be made available to 
investors in privately-issued asset-backed securities. In summary, we 
are proposing to:
     Require that, in order for a reseller of a ``structured 
finance product'' to sell a security in reliance on Rule 144A, or in 
order for an issuer of a ``structured finance product'' to sell a 
security in reliance on Rule 506 of Regulation D:
    [cir] The underlying transaction agreement for the securities must 
grant to purchasers, holders of the securities (or prospective 
purchasers designated by the holder) the right to obtain from the 
issuer of such securities the information, upon request, that would be 
required if the transaction were registered under the Securities Act 
and such ongoing information as would be required by Section 15(d) of 
the Exchange Act if the issuer were required to file reports under that 
section; and
    [cir] The issuer must represent that it will provide such 
information.
     Conform the informational requirement of Securities Act 
Rule 144 \465\ to the above revisions; and
---------------------------------------------------------------------------

    \465\ 17 CFR 230.144.
---------------------------------------------------------------------------

     Add a new Securities Act rule that would require a 
structured finance product issuer that had represented and covenanted 
to provide information as proposed to be required by Rule 144, Rule 
144A and Rule 506 of Regulation D to provide such information, upon 
request.
2. Application of Proposals
    Our proposals would apply to a ``structured finance product,'' 
which would be more broadly defined than the Regulation AB Item 1101(c) 
definition of ``asset-backed security'' in order to reflect the wide 
range of securitization products that are sold in the private markets. 
In addition to traditional ``asset-backed securities,'' the proposed 
definition of ``structured finance product'' would cover:
     A synthetic asset-backed security; or
     A fixed-income or other security collateralized by any 
pool of self-liquidating financial assets, such as loans, leases, 
mortgages, and secured or unsecured receivables that entitles its 
holder to receive payments that depend on the cash flow from the 
assets--including:
    [cir] An asset-backed security as used in Item 1101(c) of 
Regulation AB (Sec.  229.1101(c));
    [cir] A collateralized mortgage obligation;
    [cir] A collateralized debt obligation;
    [cir] A collateralized bond obligation;
    [cir] A collateralized debt obligation of asset-backed securities;
    [cir] A collateralized debt obligation of collateralized debt 
obligations; or
    [cir] A security that at the time of the offering is commonly known 
as an asset-backed security or a structured finance product.\466\
---------------------------------------------------------------------------

    \466\ This proposed definition is based in part, on the 
definition of asset-backed security used in the Financial Industry 
Regulatory Authority (FINRA's) proposal to designate asset-backed 
securities as eligible for Trade Reporting and Compliance Engine, 
the vehicle developed by FINRA to facilitate the mandatory reporting 
of over the counter secondary market transactions. See Notice of 
Filing of Amendment No. 1 and Order Granting Accelerated Approval of 
a Proposed Rule Change, as modified by Amendment No. 1 Thereto, to 
Require the Reporting of Transactions in Asset-Backed Securities to 
TRACE, Release No. 34-61566 (Feb. 22, 2010)(release approving the 
rule change that would require the reporting of trading in asset-
backed securities to TRACE). Our proposed definition provides some 
more specificity on the defining characteristics of a structured 
finance product and, unlike the FINRA proposed definition, includes 
a security that is commonly known at the time of the offering as an 
asset-backed security or a structured finance product.
---------------------------------------------------------------------------

    We believe that the enumerated characteristics in our proposed 
definition generally distinguish structured finance products from other 
types of securities. This proposed definition of structured finance 
product would encompass certain managed asset-backed securities (where 
a manager is appointed and paid fees to make changes to the collateral 
or a referenced portfolio). In this proposed definition, there would be 
no requirement of a discrete pool of assets so as to include CDOs, 
which are typically managed for some period of time.\467\
---------------------------------------------------------------------------

    \467\ We also believe that any residual tranche of the 
instrument would be included in the proposed definition. Asset-
backed commercial paper is also covered in this definition.
---------------------------------------------------------------------------

3. Information Requirements
    We are proposing to condition the safe harbors of Rule 144A and 
Rule 506 of Regulation D on a requirement that, if the securities 
offered or sold are structured finance products, an underlying 
transaction agreement (such as an indenture or servicing agreement) 
must contain a provision requiring the issuer to provide specified 
information to any purchaser (and also, in the case of Rule 144A, any 
security holder or prospective purchaser designated by the security 
holder).\468\ Also, the issuer must represent that it will provide such 
information upon request. For securities to be eligible for resale 
under Rule 144A, we would require that an underlying transaction 
agreement grant any initial purchaser, any security holder or any 
prospective purchaser designated by a security holder the right to 
obtain from the issuer promptly, upon the request of the purchaser or 
security holder, information as would be required if the offering were 
registered on Form S-1 or Form SF-1 under the Securities Act and any 
ongoing information regarding the

[[Page 23396]]

securities that would be required by Section 15(d) of the Exchange Act 
if the issuer were required to file reports under that section. For an 
offering made in reliance on Rule 506 of Regulation D, we would require 
that an underlying transaction agreement contain a provision granting 
any purchaser in the Rule 506 offering the right to obtain from the 
issuer promptly, upon the purchaser's request, information that would 
be required if the offering were registered on Form S-1 or Form SF-1 
under the Securities Act.
---------------------------------------------------------------------------

    \468\ In the original adopting release for Rule 144A, we stated 
that with respect to mortgage- or other asset-backed securities, 
since the servicer or trustee, on behalf of the trust or other legal 
entity, has title to the assets of the trust, they would be deemed 
to be the ``issuer'' for purposes of the information requirement in 
Rule 144A. In a no-action letter, the staff later explained that 
this language ``was not intended in any way to cause the analysis of 
issuer status under the federal securities laws to be any different 
for privately placed mortgage-backed or asset-backed securities than 
public offerings of such securities'' but ``intended only to 
identify the party from whom the holder and a prospective purchaser 
designated by the holder must have the right to obtain the 
information about the securities and underlying asset pools of the 
limited purpose financial entity.'' See letter from the Division of 
Corporation Finance to Kutak Rock & Campbell (Nov. 29, 1990). While 
we recognize that the servicer or trustee would typically be the 
party that delivers information to security holders (or prospective 
purchasers), we intend for our proposed amendment to apply to an 
issuer of structured finance products (i.e., the depositor as it 
relates to the issuing entity), consistent with the definition of 
issuer in Securities Act Rule 191 for ABS purposes.
---------------------------------------------------------------------------

    The specific disclosure that would need to be provided to satisfy 
this condition would vary depending on the type of security offered. 
For an offering of structured finance products where the securities 
meet the Regulation AB definition of an asset-backed security, the 
disclosure requirements of Form SF-1 would apply. For offerings of 
structured finance products where the securities fall outside the 
Regulation AB definition, the requirements of Form S-1 would apply. In 
the latter case, the issuer would be required to provide information 
required under Regulation AB regarding the assets and parties as well 
as additional information required under Regulation S-K.\469\ For a 
managed CDO offering, we would expect disclosure regarding the asset 
and collateral managers, including fees and related party transaction 
information, their objectives and strategies, any interest that they 
have retained in the transaction or underlying assets, and 
substitution, reinvestment and management parameters. For a synthetic 
CDO offering, we would expect, among other things, disclosure of the 
differences between the spreads on synthetic assets and the market 
prices for the assets, the process for obtaining the credit default 
swap or other synthetic assets, and the internal rate of return to 
equity if that was a consideration in the structuring of the 
transaction.
---------------------------------------------------------------------------

    \469\ See Section III.A.2.a of the 2004 ABS Adopting Release 
(discussing structured securities that do not meet the Regulation AB 
definition of an asset-backed security and noting ``[d]epending on 
the structure of the transaction and the terms of the securities, 
some disclosure aspects of Regulation AB may be applicable, but 
aspects from the traditional disclosure regime also may be 
applicable. In some instances, a third approach might be more 
appropriate''). Material information that is required by Regulation 
S-K would be required but not all of the item requirements in 
Regulation S-K may be applicable to the issuer.
---------------------------------------------------------------------------

4. Proposed Rule 144 Revisions
    In addition, we are proposing to revise Securities Act Rule 144. 
Rule 144 creates a safe harbor for the sale of securities under the 
exemption set forth in Section 4(1) of the Securities Act. One of the 
conditions of Rule 144 requires the availability of adequate current 
public information with respect to the issuer of the securities (``the 
current public information requirement''). This current public 
information requirement is only at issue if the seller who is relying 
on Rule 144 is an affiliate of the issuer.\470\ Under Rule 144, 
affiliates of non-reporting companies may resell securities in reliance 
on the rule only after the securities have been held for at least one 
year after purchase and if certain conditions are met, including the 
current public information requirement.
---------------------------------------------------------------------------

    \470\ See Revisions to Rule 144 and Rule 145 to Shorten Holding 
Period for Affiliates and Non-Affiliates, Release No. 33-8813 (June 
20, 1997)[72 FR 36822](adopting release shortening holding period 
and amending other Rule 144 conditions). Prior to 2007, non-
affiliates of the issuer relying on the rule for the resale of 
securities were subject to the current public information 
requirement after holding the securities for one year. Since 2007, 
non-affiliates of a non-reporting issuer who satisfy a one-year 
holding period requirement are no longer required to comply as a 
condition to reliance on Rule 144 with the current public 
information requirement.
---------------------------------------------------------------------------

    We are proposing to revise the current public information 
requirement in Rule 144 for non-reporting issuers of structured finance 
products. If the securities are structured finance products, and the 
issuer of the securities is not subject to the reporting requirements 
of Section 13 or 15(d) of Exchange Act, then in order to satisfy the 
current public information requirement, two conditions must be 
satisfied. First, the underlying transaction agreement of the issuer 
must grant any purchaser, any security holder and any prospective 
purchaser of the securities designated by the holder the right to 
obtain, upon request of the purchaser or security holder, information 
that would be required if the offering were registered on Form S-1 or 
Form SF-1 under the Securities Act and any ongoing information 
regarding the securities that would be required by Section 15(d) of the 
Exchange Act, if the issuer were required to file reports under that 
section. Second, the issuer must have represented that it would provide 
such information to the purchaser, security holder, or prospective 
purchaser, upon request of the purchaser or security holder.
5. New Rule 192 of the Securities Act
    We are proposing new Rule 192 to require an issuer of privately-
issued structured finance products to provide, upon the investors' 
request, information as would be required if the transaction were 
registered (or ongoing information). If an issuer of structured finance 
products has represented and covenanted to provide such offering 
information in order to rely on Rule 506 of Regulation D or has 
represented and covenanted to provide both offering or ongoing 
information pursuant to the proposed new provision of Rule 144A or Rule 
144, then the issuer must provide such information, upon request of the 
purchaser or security holder. Recent events have shown the importance 
of structured finance product issuers complying with a representation 
to provide initial and ongoing information to security holders and 
prospective purchasers.\471\ In making investment decisions, ABS 
investors should be able to rely on the continued availability of 
information to themselves and prospective purchasers as a prophylactic 
measure against the possibility of fraud. Indeed, failure to provide 
such information upon request may constitute a fraud in the offer of 
securities.\472\ Thus, the Commission could bring an enforcement action 
under this rule against an issuer that failed to provide the required 
information.
---------------------------------------------------------------------------

    \471\ See Gary Gorton, Slapped in the Face by the Invisible 
Hand: Banking and the Panic of 2007, May 9, 2009, prepared for the 
Federal Reserve Bank of Atlanta's 2009 Financial Markets Conference: 
Financial Innovation and Crisis (noting that at a crucial point in 
the financial crisis, lack of information regarding some securities 
greatly exacerbated the situation).
    \472\ Securities Act Section 17(a) contains the general 
antifraud prohibitions applicable in the offer or sale of 
securities. In particular, Section 17(a)(3) (15 U.S.C. 77q(a)(3)) 
states that it shall be unlawful for any person in the offer or sale 
of any securities or any security-based swap agreement by the use of 
any means or instruments of transportation or communication in 
interstate commerce or by use of the mails, directly or indirectly 
to engage in any transaction, practice, or course of business which 
operates or would operate as a fraud or deceit upon the purchaser. 
The Supreme Court has held that Section 17(a)(3) does not require a 
finding of scienter. Aaron v. SEC, 446 U.S. 680 (1980).
---------------------------------------------------------------------------

    The obligation to provide information under proposed new Rule 192 
would not be a condition of the Rule 144, Rule 144A, or Regulation D 
safe harbors. As proposed new conditions of the safe harbors for 
structured finance products, the underlying transaction agreements must 
contain the specified representations and covenants to provide 
information. If the issuer does not include the representation and 
covenant, it would have failed to satisfy the safe harbor and may not 
be entitled to the exemption under Sections 4(1) or 4(2), as 
applicable. If, on the other hand, the transaction agreements contain 
the representation and covenant but the issuer fails to provide, for 
example,

[[Page 23397]]

some of the information to a security holder or prospective purchaser, 
upon their request, that failure, in and of itself, would not mean the 
conditions of the safe harbor would not have been met. We have concerns 
that a potential claim arising under Section 5 of the Securities Act 
may not be the appropriate remedy under these circumstances but believe 
it appropriate that there be regulatory consequences. Investors should 
nevertheless be able to take appropriate action under those transaction 
agreements regarding the provision of information and the Commission 
could bring an action for violation of Rule 192.

Request for Comment

     We recognize that our proposals would impose significant 
changes to the existing requirements in the safe harbors for private 
offers, sales and resales of structured finance products, and we 
request comment on all aspects of our proposed approach. This will be 
the first time, for example, that we would require an undertaking to 
provide information to accredited investors as a condition to the safe 
harbor in Rule 506 of Regulation D, and the first time we would require 
an undertaking to provide such specific information to QIBs in Rule 
144A transactions. While we recognize that the proposals may impose 
substantial additional requirements on ABS issuers in the private 
market, we believe that, if adopted, these proposals would help to 
provide needed transparency in the private markets for structured 
finance products. As a practical matter, how feasible will an exempt 
private offering be in light of the requirements? Is the rationale 
offered for distinguishing ABS from other securities for purposes of 
our proposal appropriate?
     We request comment on the proposed definition of 
``structured finance products'' for purposes of our proposed revisions 
to Rule 144A, Regulation D and other rules. Is the proposed definition 
appropriate? Should other types of securities be included that are not 
included? Should any types of included securities not be?
     Is it appropriate to require, as proposed, that as a 
condition of Rule 144A, the transaction agreements contain a provision 
that would require an issuer of structured finance products to provide 
to investors promptly, upon investors' request, such information that 
would be required if the offering were registered on Forms S-1 or SF-1 
and any ongoing information regarding the securities as would be 
required by Section 15(d) of the Exchange Act if the issuer were 
required to file reports under that section? Is it appropriate to 
require, as proposed, the same requirement as a condition of Rule 506 
of Regulation D for sales to accredited investors?
     Should we require instead that, as a condition of Rule 
144A, issuers make the required information (both offering and ongoing 
information) available at all times, rather than only upon investor's 
request? Could an issuer, for example, be required to post the 
information on a password-protected Web site?
     Is new Rule 192 appropriate? Should we require, as a 
matter of federal securities law, that an issuer of structured finance 
products that has represented and covenanted to provide information 
pursuant to the safe harbors under Rule 144A, Regulation D, or Rule 144 
provide such information?
     Should we provide more specificity in the rules covering 
what disclosure would be required to be provided? If so, what types of 
disclosure should we specifically require? Should the required 
disclosures differ by type of security? If so, in what way?
     Are our proposals with respect to ongoing information 
regarding the securities appropriate? Is there any reason that we 
should not require structured finance product issuers that utilize the 
safe harbors to comply with the proposed requirements for ongoing 
information?
     Is our proposed approach of requiring the transaction 
agreements to contain a provision requiring the issuer to provide 
information upon request appropriate? Should we instead condition the 
availability of the safe harbors of Rule 144A and Regulation D on the 
actual provision of the information if the securities sold are 
structured finance products? Would that approach have a chilling effect 
on the private markets if not providing some of the information 
required under our revised rule might raise the possibility of a 
Section 5 violation, with the resultant rescission right under Section 
12(a)(1)? If so, should we address that potential concern by providing 
that no failure to provide information as required solely under such a 
provision of Rule 144A would result in a loss of the safe harbor for 
purposes of Section 12(a)(1) liability as long as the other conditions 
of Rule 144A are satisfied and basic material information concerning 
the securities is provided, including information regarding the 
structure of the securities, distributions on the securities, nature, 
performance and servicing of the assets, and any credit enhancements? 
Such an approach would be designed to enable the Commission to bring an 
action, if appropriate, based on Section 5 if the required information 
were not provided while limiting litigation by a purchaser seeking to 
rescind the transaction to situations where there was a significant 
failure to provide basic information. By contrast, is it necessary or 
appropriate to rely on the possibility of a rescission right to foster 
compliance with the proposed information requirements?
     Are our proposed amendments to Rule 506 of Regulation D 
appropriate? Should we require, as proposed, that information regarding 
structured finance products be provided to any purchaser, regardless of 
whether the purchaser meets the definition of an accredited investor?
     Should our proposed conditions apply to offerings made 
pursuant to Rule 505, which are made under the Securities Act Section 
3(b) exemption from registration rather than Section 4(2)? How likely 
would it be for issuers of structured finance products to conduct Rule 
505 offerings?
     Instead of amending Rule 506, should we adopt a new 
Regulation D safe harbor just for structured finance products? Since it 
appears that issuers of structured finance products have relied on the 
statutory private placement exemption rather than Regulation D, would 
such a safe harbor be used?
     Even if there was not extensive use of Regulation D for 
private offerings of structured finance products, is it necessary or 
appropriate for us to amend Rule 506 of Regulation D, as proposed, in 
order to forestall potential future problems in the private markets for 
structured finance products?
     Is our proposed amendment to Rule 144 appropriate?
     As proposed, the revisions to Rule 144A, Regulation D and 
Rule 144 require that the underlying transaction agreement include a 
provision that the issuer provide information to investors upon 
request. Should we revise the requirement to provide that the servicer, 
collateral administrator or some other party provides the information?
     The proposed revisions to Rule 144A, Regulation D, and 
Rule 144 also require that the issuer represent that prescribed 
information would be provided to investors. Is the proposal 
appropriate?
     Would the proposed rule revisions provide investors and 
market participants with sufficient transparency regarding private 
sales of structured finance products? Would additional or other 
requirements promote greater transparency? For example, should we make 
the safe harbors, such as Rule 144A, unavailable

[[Page 23398]]

for offerings of structured finance products? Would this result in 
structured finance products being offered and sold in registered 
transactions, or in private transactions without the benefit of the 
safe harbor? Would a new safe harbor for private ABS offerings designed 
to make information available to investors and the market (e.g., a 
limited public offering exemption) be a more appropriate approach?
     The proposed amendments would have the effect of treating 
offers and sales in reliance on safe harbors substantially similar to 
public ones in terms of the relevant disclosure requirements. Is this 
appropriate? Why or why not? To what extent and in what way should our 
regulatory regime account for the nature of the investors (e.g., 
accredited investors and QIBs) who participate in private offerings? 
What would the impact be on the securitization market if offerings of 
ABS in reliance on the safe harbors were subject to the disclosure 
requirements that we propose?
     Should we address private resales of ABS outside of our 
safe harbors by interpreting the definition of ``underwriter'' for 
purposes of the statutory exemptions to include any sales of asset-
backed securities where information that would be required in the 
registered context is not provided? Why or why not? Would doing so 
prevent issuers from engaging in transactions that are not subject to 
the proposed requirements by using a statutory exemption (and not the 
safe harbors) for the unregistered sale of asset-backed securities?
     To the extent we adopt the proposed changes to Rule 144A 
or Regulation D, we request comment on whether issuers of structured 
finance products would be more likely to sell such products outside the 
United States in reliance on the safe harbor provided by Regulation S 
\473\ under the Securities Act. Should we adopt similar changes under 
Regulation S as we are proposing for Rule 144A and Regulation D to 
cover sales of structured finance products outside the United States? 
Are there any extra or special considerations relating to offshore 
sales of structured finance products that are different from 
considerations under Rule 144A and Regulation D that we should take 
into account in considering adopting similar changes under Regulation 
S?
---------------------------------------------------------------------------

    \473\ 17 CFR 230.901 et seq.
---------------------------------------------------------------------------

     In order to facilitate unsolicited ratings in unregistered 
transactions, should we require that the issuer also provide 
information to an NRSRO if the rating agency intends to rate the 
security?
     Are there other disclosure approaches that would better 
satisfy the objectives we have identified? For example, should we 
require more targeted disclosures in private placements? Should we give 
issuers or investors other options for addressing issues in the ABS 
private market? If so, how? Should all asset classes be treated the 
same?

C. Notice of Initial Placement of Securities Eligible for Sale Under 
Rule 144A and Revisions to Form D

    In light of the role that privately-issued structured finance 
products play in our capital markets and concerns raised by the lack of 
transparency in the private market, we also believe it is important to 
implement rules that will provide information to us and to the markets 
at large about sales of structured finance products in the private 
markets. Consequently, we are proposing to require that a notice of an 
initial placement of structured finance products be filed with the 
Commission.
    Form D \474\ is the official notice of an offering of securities 
made without registration under the Securities Act in reliance on an 
exemption provided by Regulation D.\475\ While Form D is not a 
condition to the availability of the Regulation D exemption, Rule 507 
\476\ of Regulation D disqualifies an issuer from using a Regulation D 
exemption in the future if it has been enjoined by the court for 
violating the Regulation D provision that requires the filing of Form 
D. Form D serves an important data collection objective, among other 
things.\477\ On February 27, 2008, we adopted changes to mandate the 
electronic filing of the form and to revise the form.\478\ Currently, 
there is no such notice filing requirement for offerings made in 
reliance on Rule 144A.
---------------------------------------------------------------------------

    \474\ 17 CFR 239.500.
    \475\ See Rule 503 of Regulation D [17 CFR 230.503].
    \476\ 17 CFR 230.507.
    \477\ In Electronic Filing and Revision of Form D, Release No. 
33-8891 (Feb. 6, 2008) [73 FR 10592], we noted that previous 
statements on Form D have suggested that, at the federal regulatory 
level, Form D filings serve both to collect data for use in the 
Commission's rulemaking efforts and for the enforcement of the 
federal securities laws, including enforcement of the exemptions in 
Regulation D. See Section I.A of Release No. 33-8891.
    \478\ See id.
---------------------------------------------------------------------------

    We are proposing to require a notice of the offering to be filed 
with the Commission for the initial placement of structured finance 
products that are represented as eligible for resale under Rule 144A. 
The notice would include information regarding major participants in 
the securitization, the date of the offering and initial sale, the type 
of securities being offered, the basic structure of the securitization, 
the assets in the underlying pool, and the principal amount of the 
securities being offered. Like Form D, the notice would be required to 
be filed in XML tagged format.\479\
---------------------------------------------------------------------------

    \479\ Similarly, filers submit Form D online through the 
Commission's EDGAR system, which stores the information in tagged 
format.
---------------------------------------------------------------------------

    The notice would also provide that in submitting the notice, the 
issuer is undertaking to furnish the offering materials relating to the 
securities to the Commission upon written request. We also are 
proposing to add an amendment to Rule 30-1 of the Commission's Rules of 
General Organization to provide delegated authority to the Director of 
the Division of Corporation Finance to request information that the 
issuer would be required to undertake to provide to the Commission upon 
request. This proposed amendment to Rule 30-1 would also apply to the 
existing undertaking in Form D and provide the Director of the Division 
of Corporation Finance the authority to request information from 
issuers of structured finance products that file Form D.
    This notice, which we are proposing to call Form 144A-SF,\480\ 
would be signed by the issuer and filed with the Commission no later 
than 15 calendar days after the first sale of securities in the 
offering, unless the end of that period falls on a Saturday, Sunday or 
holiday, in which case the due date would be the first business day 
following such period. This timeframe is based on the current timeframe 
for filing a Form D. Similar to Form D, the Form 144A-SF notice 
requirement is not proposed to be a condition of the availability of 
the Rule 144A safe harbor. However, in light of the importance of this 
information, we are proposing to provide that if an issuer has failed 
to file Form 144A-SF, then Rule 144A will not be available for 
subsequent resales of newly issued structured finance products of the 
issuer or affiliates of the issuer.
---------------------------------------------------------------------------

    \480\ See proposed 17 CFR 239.144A.
---------------------------------------------------------------------------

    Also similar to Form D, hardship exemptions in Regulation S-T would 
be unavailable to Form 144A-SF.\481\ We believe that issuers should 
have access to the Internet and be able to file this notice within 15 
calendar days after the first sale of securities in the offering (i.e.

[[Page 23399]]

the initial placement of securities), as proposed. We also believe 
hardship exemptions should not be available for Form 144A-SF because of 
the relative ease of filing, the limited value of paper filings and the 
utility of a uniform, comprehensive database.
---------------------------------------------------------------------------

    \481\ We are proposing to amend Rules 201 and 202 of Regulation 
S-T to make the hardship exemptions unavailable to proposed Form 
144A-SF.
---------------------------------------------------------------------------

    We also are proposing to amend Form D to collect the same 
information that we are proposing to require to be provided in proposed 
Form 144A-SF. Further, we are proposing to add a checkbox to Form D 
that would indicate if the issuer is offering or selling structured 
finance products.\482\
---------------------------------------------------------------------------

    \482\ In order to better organize the information in Form D in 
light of these changes, we also are proposing to re-order the items 
in Form D.
---------------------------------------------------------------------------

Request for Comment

     Is our proposal to require a notice of the initial 
placement of structured finance products that may be resold in reliance 
on Rule 144A appropriate?
     Instead of, or in addition to, a notice, should we require 
that the offering circular be filed? If we require that the offering 
circular be filed, should the filing be with the Commission on a non-
public basis? Should it be made available to the public? If so, when 
should it be made public (e.g., immediately or after some period of 
time)? If it were made public, would there be any general solicitation 
concerns? If so, how should we address them?
     Should proposed Form 144A-SF be required to be filed, as 
proposed, in XML tagged format? Similar to Form D, should we provide a 
Web site page where issuers can submit directly to EDGAR the 
information required by Form 144A-SF, which would automatically tag the 
information that is delivered? Would issuers of structured finance 
products benefit from such a webpage?
     Are the items of information that are proposed to be 
required in proposed Form 144A-SF appropriate? Are there other items 
that are useful and should be required to be provided on proposed Form 
144A-SF? Are there particular ways that these items should be required 
to be tagged?
     Should the Rule 144A safe harbor be conditioned on the 
filing of this notice, or is it better to require the notice separate 
from the conditions of the Rule 144A safe harbor, as proposed? Is our 
proposal relating to the consequences for failure to file the notice 
appropriate?
     Should we require the filing of proposed Form 144A-SF 
sooner than proposed (e.g., three or four business days from the date 
of first sale) or should we provide issuers with more time for filing 
the notice (e.g., 20 calendar days from the date of first sale)? Should 
we provide a hardship exemption for filing proposed Form 144A-SF, or is 
our proposal to make the hardship exemptions unavailable appropriate?
     Should we revise Form D, as proposed? Are the proposed 
revisions to Form D appropriate?
     Should we also adopt changes under Regulation S to require 
a notice of sales of ABS that are to be sold in reliance on that safe 
harbor, similar to the proposed requirement under Rule 144A? Are there 
any extra or special considerations relating to offshore sales of 
structured finance products that are different from considerations 
under Rule 144A that we should take into account in considering 
adopting a similar filing requirement under Regulation S?

VII. Codification of Staff Interpretations Relating to Securities Act 
Registration

    We also are proposing to codify certain staff positions relating to 
the registration of asset-backed securities. These codifications should 
simplify our rules by making these positions more transparent and 
readily available to the public.

A. Fee Requirements for Collateral Certificates or Special Units of 
Beneficial Interest

    In some ABS transactions backed by auto leases, the auto leases and 
car titles are originated in the name of a separate trust to avoid the 
administrative expenses of retitling the physical property underlying 
the leases.\483\ The separate trust will issue to the issuing entity 
for the asset-backed security a collateral certificate, often called a 
``special unit of beneficial interest'' (SUBI). The issuing entity will 
then issue the asset-backed securities backed by the SUBI certificate.
---------------------------------------------------------------------------

    \483\ See also discussion of these types of transactions in 
Section III.A.2.c of the 2004 ABS Adopting Release and John Arnholz 
and Edward E. Gainor, Offerings of Asset-Backed Securities, Aspen 
Publishers (2008 Supplement), at Sec.  2.03[B].
---------------------------------------------------------------------------

    Rule 190 governs the registration requirements for underlying 
securities of an asset securitization. Rule 190(c) provides that if the 
asset pool for the asset-backed securities includes a pool asset 
representing an interest in or the right to the payments or cash flows 
of another asset pool, then that pool asset is not considered an 
``underlying security'' that must be registered in accordance with the 
other provisions in Rule 190 if certain conditions are met. These 
conditions are:
     Both the issuing entity for the asset-backed securities 
and the entity issuing the pool asset were established under the 
direction of the same sponsor and depositor;
     The pool asset is created solely to satisfy legal 
requirements or otherwise facilitate the structuring of the asset-
backed securities transaction;
     The pool asset is not part of a scheme to evade 
registration or the requirements of Rule 190; and
     The pool asset is held by the issuing entity and is a part 
of the asset pool for the asset-backed securities.\484\
---------------------------------------------------------------------------

    \484\ See 17 CFR 230.190(c). Rule 190(c) provides for the 
conditions in which an asset-backed issuer is not required to 
register a pool asset representing an interest in or the right to 
the payments or cash flows of another asset.
---------------------------------------------------------------------------

    In a publicly available telephone interpretation, the staff has 
advised that the offer and sale of the collateral certificate or SUBI 
involved in asset-backed transactions must also be registered (along 
with the securities themselves).\485\ However, the staff has advised 
that, if the collateral certificate or SUBI meets the requirements of 
Rule 190(c) of the Securities Act, no additional registration fee for 
the offering of the collateral certificates or SUBIs should be 
required.\486\ We are proposing to codify the staff's positions in this 
respect in Rule 190 and Rule 457 under the Securities Act,\487\ which 
relates to the computation of Securities Act registration fees. Under 
the proposed amendment to Rule 190, notwithstanding other provisions, 
if the pool assets for the asset-backed securities are collateral 
certificates or SUBIs, those collateral certificates or SUBIs must be 
registered concurrently with the registration of the asset-backed 
securities.\488\ Pursuant to the proposed revision to Rule 457, where 
the securities to be offered are collateral certificates or SUBIs 
underlying asset-backed securities which are being registered 
concurrently, no separate fee for the certificates or SUBIs will be 
payable.\489\
---------------------------------------------------------------------------

    \485\ See Interpretation 13.01 of the Division's Manual of 
Publicly Available Interpretations on Regulation AB and Related 
Rules.
    \486\ See id.
    \487\ 17 CFR 230.457.
    \488\ See proposed revision to Rule 190(c).
    \489\ See proposed paragraph (s) to Rule 457.
---------------------------------------------------------------------------

B. Incorporating by Reference Subsequently Filed Periodic Reports

    Currently, the prospectus for an offering of securities registered 
on Form S-3 is required to incorporate by reference all subsequently 
filed periodic and other reports filed under Exchange

[[Page 23400]]

Act Sections 13(a) and 15(d) \490\ prior to the termination of the 
offering.\491\ For corporate issuers, information regarding the issuer 
that is allowed to be omitted from the registration statement is made 
available through the Exchange Act reports.
---------------------------------------------------------------------------

    \490\ 15 U.S.C. 78m and 15 U.S.C. 28o.
    \491\ See Item 12(b) of Form S-3.
---------------------------------------------------------------------------

    With respect to asset-backed issuers, information filed with a 
current report on Form 8-K \492\ prior to the termination of the 
offering would often be important to incorporate into the prospectus. 
For example, disclosure under Item 6.05 of Form 8-K may provide 
information regarding a change in the composition of the pool assets. 
However, the staff has previously noted that asset-backed issuers 
should not be required to incorporate information filed with their Form 
10-D or Form 10-K \493\ reports into the prospectus.\494\
---------------------------------------------------------------------------

    \492\ 17 CFR 249.308.
    \493\ 17 CFR 249.312 and 17 CFR 249.310.
    \494\ See Interpretation 15.02 of the Division's Manual of 
Publicly Available Interpretations on Regulation AB and Related 
Rules. The staff noted that the 2004 ABS Adopting Release noted that 
asset-backed issuers are required to incorporate by reference its 
Exchange Act reports only if the requirement is applicable. See 
chart in Section III.A.3.a of the Adopting Release.
---------------------------------------------------------------------------

    We are proposing to codify in proposed Form SF-3 the staff's 
position regarding incorporation by reference of subsequently filed 
Exchange Act reports for offerings of asset-backed securities. Because, 
except for issuers that utilize master trust structures, the Form 10-D 
and Form 10-K that is filed prior to the termination of the offering is 
generally for a different ABS issuer than the ABS issuer that has filed 
the prospectus (even though the issuers are affiliated), Form 10-D and 
Form 10-K reports may not be relevant to asset-backed offering that is 
the subject of the prospectus. Thus, under the proposed codification, 
rather than state that all reports subsequently filed by the registrant 
pursuant to Sections 13(a), 13(c), 14 or 15(d) of the Exchange Act, 
prior to the termination of the offering shall be deemed to be 
incorporated by reference into the prospectus, the registration 
statement may, alternatively, state that all current reports on Form 8-
K filed by the registrant pursuant to 13(a), 13(c), 14 or 15(d) of the 
Exchange Act, prior to the termination of the offering shall be deemed 
to be incorporated by reference into the prospectus.\495\
---------------------------------------------------------------------------

    \495\ See proposed Item 11(b) of proposed Form SF-3.
---------------------------------------------------------------------------

Request for Comment

     Should we codify the above staff positions?
     Should we make any changes to the staff positions? For 
example, should we require master trust issuers to state that all 
Exchange Act reports subsequently filed by the registrant shall be 
deemed to be incorporated by reference into the prospectus rather allow 
them to incorporate by reference only Form 8-K?
     Should we revise any of the positions we are proposing to 
be codified? Does the proposed language in any of the codifications 
modify, or create an ambiguity that we should revise?

VIII. Transition Period

    We are considering the appropriate timing for implementation of the 
proposals, if adopted. Because sponsors of asset securitizations 
typically are large issuers,\496\ we preliminarily believe that a 
tiered approach to implementation based on size of the sponsor would 
not be appropriate for asset-backed issuers. We believe that some of 
our proposed amendments, including asset-level and data tagging 
requirements, may initially impose significant burdens on sponsors and 
originators as they adjust to the new requirements. This could include 
changes to how information relating to the pool assets is collected and 
disseminated to various parties along the chain of securitization. 
While we believe that compliance dates should not extend past a year 
after adoption of the new rules, we request that commenters provide 
input about feasible dates for implementation of the proposed 
amendments. We currently anticipate that, if adopted, the new and 
amended rules, including the proposed asset-level information 
requirements and the changes with respect to privately-issued asset-
backed securities, would apply to asset-backed securities that are 
issued after the implementation date of the new requirements.\497\
---------------------------------------------------------------------------

    \496\ See Section XIV below.
    \497\ Thus, resecuritizations after the implementation date 
would be subject to the new requirements, regardless of whether 
issuance of underlying securities predates the implementation date.
---------------------------------------------------------------------------

Request for Comment

     Should implementation of any proposals be phased-in? If 
so, explain why and provide a reasonable timeframe for a phase-in 
(e.g., six months, one or two years)?
     Should implementation be based on a tiered approach that 
relates to a characteristic other than the size of the sponsor? Is 
there any reason to structure implementation around asset class of the 
securities?

IX. General Request for Comments

    We request comment on the specific issues we discuss in this 
release, and on any other approaches or issues that we should consider 
in connection with the proposed amendments. We seek comment from any 
interested persons, including investors, asset-backed issuers, 
sponsors, originators, servicers, trustees, disseminators of EDGAR 
data, industry analysts, EDGAR filing agents, and any other members of 
the public.

X. Paperwork Reduction Act

A. Background

    Certain provisions of the proposed rule amendments contain 
``collection of information'' requirements within the meaning of the 
Paperwork Reduction Act of 1995 (PRA).\498\ The Commission is 
submitting these proposed amendments and proposed rules to the Office 
of Management and Budget (OMB) for review in accordance with the 
PRA.\499\ An agency may not conduct or sponsor, and a person is not 
required to comply with, a collection of information unless it displays 
a currently valid control number. The titles for the collections of 
information are: \500\
---------------------------------------------------------------------------

    \498\ 44 U.S.C. 3501 et seq.
    \499\ 44 U.S.C. 3507(d) and 5 CFR 1320.11.
    \500\ The paperwork burden from Regulation S-K is imposed 
through the forms that are subject to the requirements in those 
regulations and is reflected in the analysis of those forms. To 
avoid a Paperwork Reduction Act inventory reflecting duplicative 
burdens and for administrative convenience, we assign a one-hour 
burden to Regulation S-K.
---------------------------------------------------------------------------

    (1) ``Form S-1'' (OMB Control No. 3235-0065);
    (2) ``Form S-3'' (OMB Control No. 3235-0073);
    (3) ``Form 10-K'' (OMB Control No. 3235-0063);
    (4) ``Form 10-D'' (OMB Control No. 3235-0604);
    (5) ``Form 8-K'' (OMB Control No. 3235-0288);
    (6) ``Regulation S-K'' (OMB Control No. 3235-0071);
    (7) ``Regulation S-T'' (OMB Control No. 3235-0424);
    (8) ``Form D'' (OMB Control No. 3235-0076);
    (9) ``Form SF-1 (a proposed new collection of information);
    (10) ``Form SF-3 (a proposed new collection of information);
    (11) ``Asset Data File'' (a proposed new collection of 
information);
    (12) ``Waterfall Computer Program'' (a proposed new collection of 
information).
    (13) ``Form 144A-SF'' (a proposed new collection of information); 
and
    (14) ``Privately-Issued Structured Finance Product Disclosure'' (a

[[Page 23401]]

proposed new collection of information).
    The regulations and forms listed in Nos. 1 through 8 were adopted 
under the Securities Act and the Exchange Act and set forth the 
disclosure requirements for registration statements and periodic and 
current reports filed with respect to asset-backed securities and other 
types of securities to inform investors. Regulation S-T specifies the 
requirements that govern the submission of electronic documents. Form D 
is filed by issuers as a notice of sales without registration under the 
Securities Act based on the claim of an exemption under Regulation D of 
the Securities Act.
    The regulations and forms listed in Nos. 9 through 14 are newly 
proposed collections of information under the Securities Act and 
Exchange Act. Form SF-1 and Form SF-3, if adopted, would represent the 
new registration forms for offerings of asset-backed securities, as 
defined in Item 1101(c) of Regulation AB. Form SF-3 would represent the 
registration form for offerings that meet certain shelf eligibility 
conditions and can be offered on a delayed basis under Rule 415. Form 
SF-1 would represent the registration forms for other asset-backed 
offerings. Asset Data File and Waterfall Computer Program are proposed 
new collections of information that would relate to the regulations and 
proposed new forms for asset-backed issuers under the Securities Act 
and Exchange Act that set forth certain disclosure requirements for 
registration statements and periodic and current reports for asset-
backed issuers. Under the requirements, an asset-backed issuer would be 
required to submit to the Commission specified, tagged information on 
assets in the pool underlying the securities and a computer program 
that gives effect to the flow of funds or ``waterfall'' provisions of 
the transaction agreements. Form 144A-SF would represent a new notice 
requirement for certain offerings made in connection with the safe 
harbor provided in Rule 144A. Finally, Privately-Issued Structured 
Finance Product Disclosure is the disclosure that issuers would be 
required to agree to provide to investors when an ABS issuer sells 
securities that are eligible for resale under the Rule 144A safe harbor 
or when an ABS issuer sells securities in reliance on the Regulation D 
safe harbor.
    Compliance with the proposed amendments would be mandatory except 
that the amendments that would impose collection of information 
requirements on privately-issued structured finance products would only 
be required if the issuer is relying on the safe harbors to which those 
collection of information requirements relate. Responses to the 
information collections would not be kept confidential and there would 
be no mandatory retention period for proposed collections of 
information.

B. Revisions to PRA Reporting and Cost Burden Estimates

    Our PRA burden estimates for each of the existing collections of 
information, except for Form 10-D, are based on an average of the time 
and cost incurred by all types of public companies, not just ABS 
issuers, to prepare a particular collection of information. Form 10-D 
is a form that is only prepared and filed by ABS issuers. In 2004, we 
codified requirements for ABS issuers in these regulations and forms, 
recognizing that the information relevant to asset-backed securities 
differs substantially from that relevant to other securities.
    Our PRA burden estimates for the proposed amendments are based on 
information that we receive on entities assigned to Standard Industrial 
Classification Code 6189, the code used with respect to asset-backed 
securities, as well as information from outside data sources.\501\ When 
possible, we base our estimates on an average of the data that we have 
available for years 2004, 2005, 2006, 2007, 2008, and 2009. In some 
cases, our estimates for the number of asset-backed issuers that file 
Form 10-D with the Commission are based on an average of the number of 
ABS offerings in 2006, 2007, 2008, and 2009.\502\
---------------------------------------------------------------------------

    \501\ We rely on two outside sources of ABS issuance data. We 
use the ABS issuance data from Asset-Backed Alert on the initial 
terms of offerings, and we supplement that data with information 
from Securities Data Corporation (SDC).
    \502\ Form 10-D was not implemented until 2006. Before 
implementation of Form 10-D, asset-backed issuers often filed their 
distribution reports under cover of Form 8-K.
---------------------------------------------------------------------------

1. Form S-3 and Form SF-3
    Our current PRA burden estimate for Form S-3 is 236,959 annual 
burden hours. This estimate is based on the assumption that most 
disclosures required of the issuer are incorporated by reference from 
separately filed Exchange Act reports. However, because an Exchange Act 
reporting history is not a condition for Form S-3 eligibility for ABS, 
ABS issuers using Form S-3 often must present all of the relevant 
disclosure in the registration statement rather than incorporate 
relevant disclosure by reference. Thus, our current burden estimate for 
ABS issuers using Form S-3 under existing requirements is similar to 
our current burden estimate for ABS issuers using Form S-1. During 2004 
through 2009, we received an average of 99 Form S-3 filings annually 
related to asset-backed securities.
    We are proposing to move the requirements for asset-backed issuers 
into new forms that would be solely for the registration by offerings 
of asset-backed securities. Under our proposal, proposed Form SF-3 
would be the ABS shelf equivalent form of existing Form S-3. For 
purposes of our calculations, we estimate that the proposals relating 
to shelf eligibility and new shelf procedures would cause a 10% 
movement in the number of filers (i.e., a decrease of ten registration 
statements) out of the shelf system due to the new requirements of risk 
retention and ongoing reporting for shelf registration 
eligibility.\503\ On the other hand, we estimate the number of shelf 
registration statements for ABS issuers would increase by five as a 
result of the proposed elimination of base and supplement prospectuses 
for these issuers.\504\ Thus, we estimate that the number of shelf 
registration statements will decrease by five altogether. Accordingly, 
we estimate that the proposals would cause a decrease of 99 ABS filings 
on Form S-3 and a corresponding number of 94 Form SF-3s filed 
annually.\505\
---------------------------------------------------------------------------

    \503\ We calculated the decrease of ten Form SF-3s by 
multiplying the average number of Form S-3s filed (99) by 10 
percent.
    \504\ Based on staff reviews, we believe it is very unusual to 
see ABS registration statements with multiple unrelated collateral 
types such as auto loans and student loans. There are occasionally 
multiple related collateral types such as HELOCs, subprime mortgages 
and Alt A mortgages in ABS registration statements.
    \505\ This is based on the number of registration statements for 
ABS issuers filed on Form S-3 and the two changes due to our rule 
proposal.
---------------------------------------------------------------------------

    In 2004, we estimated that an ABS issuer, under the 2004 
amendments, would take an average of 1,250 hours to prepare a Form S-3 
to register ABS.\506\ For registration statements, we estimate that 25% 
of the burden of preparation is carried by the company internally and 
that 75% of the burden is carried by outside professionals retained by 
the registrant at an average cost of $400 per hour.\507\ In this 
release, we are proposing new and revised disclosure requirements for 
ABS issuers that if adopted, would be a cost to filing on Form SF-3.
---------------------------------------------------------------------------

    \506\ See 2004 ABS Adopting Release and 2004 ABS Proposing 
Release.
    \507\ See, e.g., Credit Ratings Disclosure, Release No. 33-9070 
(Oct. 7, 2009) [74 FR 53086].
---------------------------------------------------------------------------

    We are proposing a significant new disclosure requirement that the 
issuer provide asset-level information for each of the assets in the 
underlying pool.

[[Page 23402]]

Credit card ABS issuers would be required to provide grouped asset 
data. Another new disclosure requirement would be the filing of a 
waterfall computer program that gives effect to the waterfall 
provisions of the transaction. For purposes of the PRA, we are 
including the costs relating to providing this disclosure on the assets 
in the estimate for our newly proposed collection of information 
entitled ``Asset Data File.'' We are also including the costs related 
to the filing of the waterfall computer program as a separate 
collection of information, as discussed in the section below entitled 
``Waterfall Computer Program.'' We are also proposing some additional 
disclosure requirements that may impose some additional costs to ABS 
issuers with respect to registration statements.
    If the proposals are adopted, we estimate that the incremental 
burden for ABS issuers to complete the disclosure requirements in Form 
SF-3, prepare the information, and file it with the Commission would be 
100 burden hours per response on Form SF-3. As a result, we estimate 
that each Form SF-3 would take approximately 1,350 hours to complete 
and file.\508\ We estimate the total internal burden for Form SF-3 to 
be 31,725 hours and the total related professional costs to be 
$38,070,000.\509\ This would result in a corresponding decrease in Form 
S-3 burden hours of 30,937.5 and $37,125,000 in professional 
costs.\510\
---------------------------------------------------------------------------

    \508\ The total burden hours to file Form SF-3 are calculated by 
adding the existing burden hours of 1,250 that we estimate for Form 
S-3 and the incremental burden of 100 hours imposed by our proposals 
for a total of 1,350 total burden hours.
    \509\ To calculate these values, we first multiply the total 
burden hours per Form SF-3 (1,350) by the number of Form SF-3s 
expected under the proposal (94), resulting in 126,900 total burden 
hours. Then, we allocate 25 percent of these hours to internal 
burden, resulting in 31,725 hours. We allocate the remaining 75 
percent of the total burden hours to related professional costs and 
use a rate of $400 per hour to calculate the external professional 
costs of $38,070,000.
    \510\ To calculate these values, we first multiply the total 
burden hours per Form S-3 (1,250) by the average number of Form S-3s 
over the period 2004-2009 (99), resulting in 123,750 total burden 
hours. Then, we allocate 25 percent of these hours to internal 
burden, resulting in 30,937.5 hours. We allocate the remaining 75 
percent of the total burden hours to related professional costs and 
use a rate of $400 per hour to calculate the external professional 
costs of $37,125,000.
---------------------------------------------------------------------------

2. Form S-1 and Form SF-1
    We are proposing to move the requirements for asset-backed issuers 
into new forms that would be solely for the registration of asset-
backed issuers. Proposed Form SF-1 would be the non-shelf equivalent 
form of existing Form S-1 under our proposal. As noted above, for 
purposes of our calculation, we estimate that the new proposals for 
shelf eligibility and new shelf procedures would cause small movement 
in the number of filers from the shelf system to the non-shelf system. 
For purposes of the PRA, we estimate three ABS issuers will move from 
the shelf system to the non-shelf system of proposed Form SF-1.\511\ 
From 2004 through 2009, an average of four Form S-1s were filed 
annually by ABS issuers. Correspondingly, we estimate that the number 
of filings on Form SF-1 will be seven, which is the sum of the four 
average filings per year and the estimated incremental three filings 
from shelf to Form SF-1.
---------------------------------------------------------------------------

    \511\ We estimate in the section above that the proposals 
relating to shelf eligibility and new shelf procedures would cause a 
ten percent movement in the number of filers out of the shelf 
system. We assume, for the purposes of our PRA estimates, that the 
other filers that do not move to Form SF-1 would utilize the private 
markets or offshore offerings for offerings of ABS.
---------------------------------------------------------------------------

    For ABS filings on Form S-1, we have used the same estimate of 
burden per response that we used for Form S-3, because the disclosures 
in both filings are similar.\512\ Even under the proposals, the 
disclosures would continue to be similar for shelf registration 
statements and non-shelf registration statements. The burden for the 
proposed requirements for the asset data file and the waterfall 
computer program to be filed as exhibits to Form SF-1 are included in 
the newly proposed collections of information discussed below rather 
than in this section for Form SF-1. Thus, we estimate that an ABS Form 
SF-1 filing will impose an incremental burden of 100 hours per 
response, which is equal to the incremental burden to file Form SF-3. 
We estimate the total number of hours to prepare and file each Form SF-
1 at 1,350, the total annual burden for the issuer at 2,362.5 hours and 
added costs for professional expenses at $2,835,000.\513\ This would 
result in a corresponding decrease in Form S-1 burden hours of 1,250 
and $1,500,000 in professional costs.\514\
---------------------------------------------------------------------------

    \512\ See Section IV.B.2 of the 2004 ABS Proposing Release.
    \513\ The total burden hours to file Form SF-1 are calculated by 
adding the existing burden hours of 1,250 and the incremental burden 
of 100 hours imposed by our proposals for a total of 1,350 hours. To 
calculate the annual internal and external costs, we first multiply 
the total burden hours per Form SF-1 (1,350) by the number of Form 
SF-1s expected under the proposal (7), resulting in 9,450 total 
burden hours. Then, we allocate 25 percent of these hours to 
internal burden, resulting in 2,363.5 hours. We allocate the 
remaining 75 percent of the total burden hours to related 
professional costs and use a rate of $400 per hour to calculate the 
external professional costs of $2,835,000.
    \514\ To calculate these values, we first multiply the total 
burden hours per Form S-1 (1,250) by the average number of Form S-1s 
filed during 2004-2009 (4), resulting in 5,000 total burden hours. 
Then, we allocate 25 percent of these hours to internal burden, 
resulting in 1,250 hours. We allocate the remaining 75 percent of 
the total burden hours to related professional costs and use a rate 
of $400 per hour to calculate the external professional costs of 
$1,500,000.
---------------------------------------------------------------------------

3. Form 10-K
    The ongoing periodic and current reporting requirements applicable 
to operating companies differ substantially from the reporting that is 
most relevant to investors in asset-backed securities. For asset-backed 
issuers, in addition to a limited menu of Form 10-K disclosure items, 
the issuer must file a servicer compliance statement, a servicer's 
assessment of compliance with servicing criteria, and an attestation of 
an independent public accountant as exhibits to the Form 10-K.
    One of our proposed ABS shelf eligibility conditions (i.e., 
criteria that must be met in order to be eligible to register ABS on 
Form SF-3) would require the issuer to undertake to file Exchange Act 
reports as long as non-affiliates hold any of its securities that were 
sold in registered transactions. Except for master trust issuers, the 
requirement to file Form 10-K for ABS issuers is typically suspended 
after the year of initial issuance because the issuer has fewer than 
300 security holders of record.\515\ Therefore, the incremental impact 
to the number of Forms 10-K filed by ABS issuers would increase each 
year after the proposal is adopted by the number of ABS shelf 
offerings. The yearly average of ABS registered shelf offerings with 
the Commission over the period from 2004 to 2009 was 929.\516\ In the 
first year after implementation, we use 958, which is the average 
number of all offerings over 2004-2009, as an estimate for the number 
of Forms 10-K we expect to receive. In the second year after 
implementation, we increase our estimate of the number of Forms 10-K 
expected by 929 to a total of 1,887. In the third year after 
implementation, the addition of another 929 brings the total to 2,817. 
The average number of Forms 10-K over three years would, therefore, be 
1,887. As a result, for PRA purposes, we estimate an increase in Form 
10-K filings of 929 filings.
---------------------------------------------------------------------------

    \515\ See Exchange Act Section 15(d).
    \516\ The 929 ABS registered shelf offerings is 97 percent of 
the average yearly number of ABS offerings from 2004 through 2009.
---------------------------------------------------------------------------

    We estimate that, for Exchange Act reports, 75% of the burden of 
preparation is carried by the company internally and that 25% of the 
burden is carried by outside professionals retained by the registrant 
at an average

[[Page 23403]]

cost of $400 per hour. In 2004, we estimated that 120 hours would be 
needed to complete and file a Form 10-K for an ABS issuer. We estimate 
that our proposals relating to Form 10-K would not increase the 
estimate for the time needed to complete and file Form 10-K for an ABS 
issuer.
    However, our proposed amendments may have a limited impact on the 
preparation of Form 10-K for the sponsor of the ABS issuer, if the 
sponsor is a company that is required to report under the Exchange Act. 
Though we are not proposing changes to Form 10-K disclosure 
requirements for sponsors, our proposals may impact the work that 
sponsors would have to do to disclose in their Form 10-K the securities 
they are required to hold as a result of the proposals and the 
investments they make to manage risks associated with the new 
requirements. We estimate that our proposals will cause an increase in 
the number of hours the sponsor will incur to prepare, review and file 
Form 10-K by 10 hours. From 2004 to 2009, the number of unique ABS 
sponsors was 343, for an average of 57 unique sponsors per year. 
Therefore, we estimate that, for PRA purposes, the total annual 
increase in the number of hours to prepare, review, and file Form 10-K 
would be 112,050.\517\ We allocate 75% of those hours (84,038 hours) to 
internal burden and the remaining 25% to external costs totaling 
$11,205,000 using a rate of $400 per hour.
---------------------------------------------------------------------------

    \517\ The 112,050 total burden hours are calculated by adding 
the impact on ABS issuers, which equals 929 incremental Forms 10-K 
times 120 burden hours per filing, and the impact on sponsors of ABS 
issuers, which equals 57 sponsors times 10 incremental burden hours.
---------------------------------------------------------------------------

4. Form 10-D
    In 2004, we adopted Form 10-D as a new form for only asset-backed 
issuers. This form is filed within 15 days of each required 
distribution date on the asset-backed securities, as specified in the 
governing documents for such securities. The form contains periodic 
distribution and pool performance information. We have derived an 
estimate of the number of Form 10-Ds filed by registered ABS issuers 
using the average annual number of ABS registered offerings completed 
over the period 2004-2009.\518\ The average over those years was 958 
offerings annually.
---------------------------------------------------------------------------

    \518\ Even though we adopted Form 10-D in 2004 and its 
implementation was not effective until 2006, we use the longer time 
period of 2004-2009 to match the years used for our estimate of the 
expected Form 10-Ks to be filed.
---------------------------------------------------------------------------

    As discussed above, we are proposing to require, as a condition to 
shelf eligibility, an undertaking from the issuer that it will continue 
to file Exchange Act reports as long as non-affiliates hold any of its 
securities that were sold in registered transactions. As with the Form 
10-K, we believe that our proposals would result in an increase in the 
number of Form 10-Ds filed. Except for master trust issuers, the 
requirement to file Form 10-D for ABS issuers is typically suspended 
after the year of initial issuance because the issuer has fewer than 
300 security holders of record.\519\ Therefore, the incremental impact 
to the number of Forms 10-D filed by ABS issuers would increase each 
year after the proposal is adopted by the number of ABS shelf offerings 
older than one year where any of its securities are held by non-
affiliates. From 2004 to 2009, the yearly average of ABS registered 
shelf offerings filed with the Commission was 929.\520\ Since Form 10-D 
is required on a periodic basis based on the distribution schedule of 
the security, we estimate the total number of Form 10-Ds filed in the 
first year after implementation to be 5,748.\521\ In the second year 
after implementation, we increase our estimate of the number of Forms 
10-D expected by 5,576 for a total of 11,324.\522\ In the third year 
after implementation, the addition of another 5,576 brings the total to 
16,899. The average number of Forms 10-D over three years would, 
therefore, be 11,324. Therefore, for PRA purposes, we estimate an 
increase in Form 10-D filings of 5,576 filings.
---------------------------------------------------------------------------

    \519\ See Exchange Act Section 15(d).
    \520\ The 929 ABS registered shelf offerings is 97 percent of 
the average yearly number of ABS offerings from 2004 through 2009.
    \521\ We are estimating that the number of Forms 10-D per year 
would be a multiple of six times the number of offerings per year 
(958) for a total of 5,748 Form 10-D filings per year. Different 
types of asset-backed securities have different distribution 
periods, and the Form 10-D is filed each distribution period. We 
derived the multiplier of six by comparing the number of Forms 10-D 
that have been filed since 2006 with the number of Forms 10-K (which 
are only required to be filed once a year) that have been filed.
    \522\ We calculate the incremental number of Forms 10-D by 
multiplying our previous estimate of 929 shelf offerings per year by 
our estimate of six Forms 10-D filed per offering for a total of 
5,576 filings per year.
---------------------------------------------------------------------------

    In 2004, we estimated that it would take 30 hours to complete and 
file Form 10-D.\523\ As discussed below, we are proposing to add asset-
level disclosure requirements that relate to ongoing performance of the 
assets to the requirements of Form 10-D. For credit card ABS issuers, 
we are proposing to add to Form 10-D a requirement that such issuers 
provide grouped asset data. Those proposed requirements are included in 
our estimate of the asset-level disclosure collection of information 
requirements, as discussed below in the section entitled ``Asset Data 
File.'' We believe that our other proposed revisions to Form 10-D would 
not increase the burden hours for the form. Therefore, we estimate that 
the total annual increase in the number of hours to prepare, review, 
and file Form 10-D would be 167,280.\524\ We allocate 75% of those 
hours (125,460 hours) to internal burden and the remaining 25% to 
external costs totaling $16,728,000 using a rate of $400 per hour.
---------------------------------------------------------------------------

    \523\ See the 2004 ABS Adopting Release.
    \524\ The burden hours are calculated by multiplying 5,576 
incremental Forms 10-D by the 30 burden hours required to complete 
the form for a total of 167,280 hours.
---------------------------------------------------------------------------

5. Form 8-K
    Our current PRA estimate for Form 8-K is based on the use of the 
report to disclose the occurrence of certain defined reportable events, 
some of which are applicable to asset-backed securities.
    The number of ABS issuers filing Form 8-Ks on an annual basis may 
be affected by our proposal to require an ABS issuer that wishes to be 
shelf-eligible to undertake to file Exchange Act reports on an ongoing 
basis. In addition, our proposal to revise existing Item 6.05 of Form 
8-K, which currently requires disclosure for any change in the actual 
asset pool over five percent from the description in the prospectus, by 
instead requiring an ABS issuer to instead provide information for any 
change equal to or greater than one percent in the asset pool from the 
prospectus description, may lead to an increase of Form 8-K 
filings.\525\ We are also proposing to add a requirement that the 
sponsor provide disclosure on Form 8-K for a material change in its 
interest in the transaction.\526\
---------------------------------------------------------------------------

    \525\ Our estimate here does not include an increase that would 
result in filing Item 6.06 or Item 6.07 Forms 8-K which are instead 
included in our burden estimate for the newly proposed collection of 
information requirements for asset-level data and the waterfall 
computer program.
    \526\ See existing Item 6.03 of Form 8-K.
---------------------------------------------------------------------------

    In 2004, we estimated that the new items added to Form 8-K to 
address ABS disclosure would cause an increase of two reports on Form 
8-K per ABS issuer per year.\527\ We estimate that our proposals would 
cause an increase of 1.5 reports on Form 8-K per ABS issuer per year, 
or a total of approximately 1,437 additional reports per year.\528\
---------------------------------------------------------------------------

    \527\ See 2004 ABS Adopting Release.
    \528\ The number of ABS offerings is based on the average number 
of ABS deals issued annually over 2004 through 2009.
---------------------------------------------------------------------------

    In 2004, we estimated that an average ABS issuer would spend about 
five

[[Page 23404]]

hours completing the form.\529\ We estimate that the average burden for 
the disclosure per Form 8-K would remain relatively the same. 
Accordingly, we estimate the total annual increase in the number of 
hours to prepare, review, and file Form 8-K would be 7,185, with 75% of 
those hours (5,389) allocated to internal burden and the remaining 25% 
allocated to external costs of $718,500 using a rate of $400 per 
hour.\530\
---------------------------------------------------------------------------

    \529\ See 2004 ABS Adopting Release.
    \530\ The total burden hours are calculated by multiplying the 
expected number of Form 8-K reports per year (1,437) times the 
estimated hours per filing (5) for a total of 7,185. Then, we 
allocate 75 percent of these hours to internal burden, resulting in 
5,389 hours. We allocate the remaining 25 percent of the total 
burden hours to related professional costs and use a rate of $400 
per hour to calculate the external professional costs of $718,500.
---------------------------------------------------------------------------

6. Regulation S-K and Regulation S-T
    Regulation S-K, which includes the item requirements in Regulation 
AB, contains the requirements for disclosure that an issuer must 
provide in filings under both the Securities Act and the Exchange Act. 
As noted above, Regulation S-T contains the requirements that govern 
the electronic submission of documents. In 2004, we noted that the 
collection of information requirements associated with Regulation S-K 
as it applies to ABS issuers are included in Form S-1, Form S-3, Form 
10-K and Form 8-K. We assign one burden hour to Regulation S-K for 
administrative convenience to reflect that the changes to the 
regulation did not impose a direct burden on companies.\531\
---------------------------------------------------------------------------

    \531\ See 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    The proposed changes would make revisions to Regulation S-K and 
Regulation S-T. The collection of information requirements, however, 
are reflected in the burden hours estimated for the various Securities 
Act and Exchange Act forms related to ABS issuers. The rules in 
Regulation S-K and Regulation S-T do not impose any separate burden. 
Consistent with historical practice, we have retained an estimate of 
one burden hour each to Regulation S-T and Regulation S-K for 
administrative convenience.
7. Asset Data File
    This new collection of information corresponds to asset data file 
information requirements that we are proposing to add to proposed Form 
SF-1, proposed Form SF-3, Form 10-D, and Form 8-K. They would be 
required to appear in exhibits to these forms. Our proposed standard 
definitions for asset-level information are similar to, and in part 
based on, other standards that have been developed by the industry, 
such as those developed under ASF's Project RESTART and those developed 
by the CRE Finance Council (formerly CMSA). These proposed standard 
definitions employ widely used metrics relating to asset-level 
information and, based on discussions with the industry, we believe 
that much of asset-level information may already be available for 
collection, although the format of such information may not be the one 
that we propose to require. We also believe that first year 
implementation costs may be much more significant than ongoing 
implementation costs.
    An ABS issuer filing on proposed Form SF-1 or proposed Form SF-3 
would be required to provide this new information. For the most part, 
this new information would be provided at the time that the newly 
proposed Rule 424(h) filing is required to be filed, at the time the 
final prospectus is required to be filed, and after there are certain 
changes to the pool, such as the substitution or addition of assets. 
Certain information would be required to be filed on an ongoing basis. 
We believe the information is currently available to the ABS issuer but 
additional time and expense will be involved in including the 
information in registration statements in the format that we are 
proposing.
    The requirements are tailored by asset class. All asset classes 
except credit card receivables and stranded costs are required to 
provide asset-level information on each asset in the pool. Information 
relating to the performance of the assets would be required to be filed 
on an ongoing basis. Credit card ABS issuers would be required to 
provide grouped asset data, both at the time of securitization and on 
an ongoing basis. The grouped asset data could be incorporated by 
reference (from a previously filed Form 10-D).
    We believe that the costs of implementation would include software 
costs, costs to tag the required data, costs of maintaining the 
required information, and costs of filing. The number of unique ABS 
sponsors over 2004-2009 was 343, for an average of 57 unique sponsors 
per year. We estimate that there are 10 unique sponsors of credit card 
securitizations over a three-year period (or three unique sponsors per 
year). We base our burden estimates for this collection of information 
on the assumption that most of the costs of implementation of the 
proposed asset-level data filing requirements would be incurred before 
the sponsor files its first asset-level data filing in compliance with 
the proposed rules. Because asset-backed issuers are currently required 
by Regulation AB to file pool-level information on the assets in the 
underlying pool,\532\ we assume, for purposes of our PRA estimates, 
that much of the information that is required to be provided by the new 
disclosure requirements should be accessible from existing sponsor data 
systems.
---------------------------------------------------------------------------

    \532\ Also, some registered issuers may be providing asset-level 
information to investors, although such information is not 
standardized.
---------------------------------------------------------------------------

    Because of the number of fields involved, our estimates for the 
proposed asset-level requirements are based on EDGAR data on RMBS and 
CMBS issuers. We estimate that, for purposes of the PRA burden estimate 
for the asset-level disclosure requirements, approximately two percent 
of the proposed asset-level data fields that are required at the time 
of securitization and approximately two percent of the asset-level data 
fields that are required on an ongoing basis would require the sponsor 
to adjust its systems and procedures for collecting information on each 
asset. We estimate that, for purposes of an initial filing of asset-
level information at the time of securitization, a sponsor would be 
required to expend at least 18 minutes for each item where adjustments 
must be made for each asset in a pool. We estimate that an RMBS sponsor 
would incur a one-time setup cost for the initial filing of 3,194 hours 
to adjust its existing systems to provide the required information at 
the time of securitization for each asset in the initial filing, 86 
hours for a CMBS sponsor, and 2,010 hours for a credit card receivables 
sponsor.\533\ After a sponsor has made the necessary adjustments to its 
systems and after an initial filing of asset-level data has been made, 
we estimate that subsequent filings for asset-level data will take 
approximately ten hours to prepare, review, and file. For credit card 
ABS sponsors, grouped asset data may be incorporated by reference, as 
proposed, and therefore, we are not including additional costs for

[[Page 23405]]

subsequent filings by a credit card master trust.
---------------------------------------------------------------------------

    \533\ For RMBS and CMBS issuers, this is based on an average 
pool size for RMBS of 3,317 assets and an average pool size for CMBS 
of 165 assets and also includes ten hours for tagging and filing the 
required asset-level disclosure. Because we believe that the 
information that is required by the proposed grouped asset data 
requirement would be information that a credit card ABS sponsor 
already collects in its existing systems, we believe the initial 
set-up costs for a sponsor would not include expenses necessary to 
adjust systems to collect new information. However, a sponsor may 
expend some additional effort for other adjustments due to the 
requirement and therefore, we estimate that the initial filing of 
grouped asset data would require 2000 hours for a credit card ABS 
sponsor, plus an added ten hours for tagging and filing the 
information.
---------------------------------------------------------------------------

    Similarly, we estimate that for purposes of an initial filing of 
asset-level ongoing information, a sponsor would be required to expend 
at least 18 minutes for each item where adjustments must be made for 
each asset in a pool. We estimate that an RMBS sponsor would incur a 
one-time set-up cost of 3,811 hours to adjust its existing systems to 
provide the required ongoing information for each asset in the initial 
filing, 92 hours for a CMBS sponsor, while a credit card receivables 
sponsor would not incur additional setup costs for ongoing 
information.\534\ After a sponsor has made the necessary adjustments to 
its systems in connection with the proposed rule and, after an initial 
filing of asset-level ongoing information has been made, we estimate 
that subsequent filings for asset-level ongoing information by a 
sponsor will take approximately ten hours to prepare, review, and file. 
We estimate that filings of grouped asset data for credit card ABS 
issuers would take approximately ten hours to prepare, review and file.
---------------------------------------------------------------------------

    \534\ For RMBS and CMBS issuers, this is based on an average 
pool size for RMBS of 3,317 assets and an average pool size for CMBS 
of 165 assets and also includes ten hours for tagging and filing the 
required asset-level disclosure. We do not believe that sponsors 
credit card receivables would incur additional setup costs for 
filing grouped asset data information on an ongoing basis since the 
information that is filed on an ongoing basis is the same 
information that is required at the time of securitization.
---------------------------------------------------------------------------

    Based on the number of loans that may be securitized in a 
particular offering and the asset-level requirements for each of the 
asset classes, and the number of offerings for each of the asset 
classes, we estimate that the total annual burden hours for preparing, 
tagging and filing asset-level disclosure or grouped asset data at the 
time of securitization will be 151,368.\535\ We allocate 25% of those 
hours (37,842.04) to internal burden hours for all ABS issuers and 75% 
of the hours to out-of pocket expenses for software consulting and 
filing agent costs at a rate of $250 per hour totaling $28,381,527.95. 
We estimate that the average annual hours for preparing, tagging and 
filing asset-level disclosure or grouped asset data on an ongoing basis 
with the Form 10-D will be 207,009 hours for all ABS issuers.\536\ We 
allocated 75% of those hours (155,256.5 hours) to internal burden hours 
and 25% of those hours for out-of-pocket expenses for software 
consulting and filing agent costs at a rate of $250 per hour totaling 
$12,938,042.83. Thus, we estimate the total annual incremental burden 
for the asset-level disclosure requirements or grouped asset data at 
193,098.6 hours \537\ and the added total amount of out-pocket expenses 
for software and filing agent costs at $41,319,570.78.\538\
---------------------------------------------------------------------------

    \535\ We apportion the burden according to the proportion of 
offerings in each asset class using the following asset classes: (1) 
CMBS, (2) Credit Cards, (3) RMBS and other. We believe that using 
the RMBS estimates to represent the burden for other asset classes 
offers a conservative burden estimate because of the number of data 
items necessary for RMBS. To calculate the proportions, we divide 
the average number of offerings per year for each asset class (79 
for credit cards, 43 for CMBS, and 836 for RMBS or other asset 
classes) by the average number of offerings for all asset classes 
(958).
    \536\ Again, we apportion the burden according to the proportion 
of offerings in each asset class using the following asset classes: 
(1) CMBS, (2) Credit Cards, (3) RMBS and other. We believe that 
using the RMBS estimates to represent the burden for other asset 
classes offers a conservative burden estimate because of the number 
of data items necessary for RMBS. To calculate the proportions, we 
divide the average number of offerings per year for each asset class 
(79 for credit cards, 43 for CMBS, and 836 for RMBS or other asset 
classes) by the average number of offerings for all asset classes 
(958).
    \537\ 193,098.6 = 37,842.04 + 155,256.5.
    \538\ $41,319,570.78 = $28,381,527.95 + $12,938,042.83.
---------------------------------------------------------------------------

8. Waterfall Computer Program
    While the proposed requirement that ABS issuers file machine-
readable computer code detailing the waterfall of the ABS securities 
issued would be a new collection of information, we believe issuers 
already produce such a code to structure the ABS deal. However, issuers 
would bear the costs of converting the code that they typically create 
into code that meets our proposed requirements. We believe that a 
substantial portion of those costs will be incurred for each sponsor at 
the time of implementation of the rule to set up mechanisms to convert 
the typical program used for waterfall purposes.
    Some examples of the need for such mechanisms are: (i) Waterfall 
programs written in languages not directly portable to Python that will 
have to be adapted to the Python language, (ii) code within the 
waterfall program that is not required by the rule or necessary for 
investors to use and understand the waterfall may need to be removed or 
adapted for the program to run as required by the rule, (iii) and 
additional functionality of the program, such as a user interface to 
input assumptions or to input the asset data file, not currently used 
by sponsors will have to be incorporated. We estimate that issuers will 
incur a one-time setup cost of 672 hours to create such mechanisms to 
meet this filing requirement.\539\ Additionally, we estimate a two-hour 
burden at the time of filing for each ABS deal for which a waterfall 
program is required to be filed to verify that the mechanisms worked 
properly and that the program meets the requirements of the rule.
---------------------------------------------------------------------------

    \539\ The value of 672 hours for setup costs is based on staff 
experience and is calculated using an estimate of two computer 
programmers for two months, which equals 21 days per month times two 
employees times two months times eight hours per day.
---------------------------------------------------------------------------

    As noted above, the number of unique ABS sponsors over 2004-2009 
was 343, for an average of 57 unique sponsors per year. Therefore, we 
estimate that it would take a total of 38,304 hours for ABS issuers to 
set up the mechanisms to file the waterfall computer program.\540\ We 
allocate 25 percent of these hours (9,576 hours) to internal burden for 
all sponsors. For the remaining 75 percent of these hours (28,728 
hours), we use an estimate of $250 per hour for the costs of computer 
programmers to derive an external cost of $7,182,000.\541\
---------------------------------------------------------------------------

    \540\ The burden of 38,304 hours to set up mechanisms to file 
the waterfall program is calculated by multiplying the average 
number of unique sponsors (57) by the estimated set up hours per 
sponsor (672).
    \541\ Multiplying the 28,728 external cost hours by the $250 per 
hour estimate results in the external cost of $7,182,000.
---------------------------------------------------------------------------

    The yearly burden at the time of filing for each deal is estimated 
to be 1,916 hours.\542\ For PRA purposes we allocate 25% of these hours 
(479 hours) to internal burden hours and 75% for out-of-pocket expenses 
for professional costs totaling $574,800 using a rate of $400 per hour. 
Therefore, the total internal burden hours are 10,055 and the total 
external costs are $7,756,800.\543\
---------------------------------------------------------------------------

    \542\ Multiplying the average number of ABS issues per year 
(958) by the burden hours at the time of filing each deal (2.0) 
results in 1,916 hours.
    \543\ We sum the internal burden hours from setup of the 
waterfall code mechanisms (9,576) and the per-offering internal 
filing burden hours (479) to get the total internal burden of 
10,055. The total external cost of $7,756,800 is calculated by 
adding the cost from setup ($7,182,000) and the cost from filing 
each waterfall at the time of offering ($574,800).
---------------------------------------------------------------------------

9. Form 144A-SF and Form D
    Form 144A-SF is a new collection of information that would cover 
the notice of sales of asset-backed securities that would be required 
under the proposed revisions to Rule 144A. This notice would contain 
information related to major participants in the securitization, the 
date of the offering, the type of securities offered, the basic 
structure of the securitization and the principal amount of the 
securities offered. Over the period 2004-2009, the annual

[[Page 23406]]

average number of Rule 144A ABS offerings was 716.\544\
---------------------------------------------------------------------------

    \544\ This is based on ABS issuance data from Asset-Backed Alert 
and information from Securities Data Corporation (SDC).
---------------------------------------------------------------------------

    We believe that the burden assigned to Form 144A-SF should reflect 
the cost of preparing the notice and the cost of filing the notice. We 
estimate that preparing, tagging, and filing the Form 144A-SF will 
require approximately 2.0 hours per response. Using the annual average 
of 716 Rule 144A offerings, the total burden hours equals 1,432. We 
allocate 25% as a burden to the seller and 75% as costs of counsel 
utilized for the preparation and filing of the form. Therefore, the 
incremental annual impact of Form 144A-SF will be 358 hours and 
$429,600 in professional costs using an hourly rate of $400.
    Form D is an existing collection of information under the PRA. Form 
D is a notice of sales for offerings made under Regulation D. 
Currently, we estimate that the burden hours of Form D to be 
approximately 4.0 hours per response, of which one hour is borne 
internally and three hours are borne externally. Under the proposal, 
Form D would be revised to collect, in addition to the information that 
the form currently collects, the same information as proposed Form 
144A-SF when filed in connection with an ABS offering. We are aware of 
only one Form D filed for an ABS offering in 2009.\545\ Thus, we 
believe that the change to this collection of information should be 
very small. For PRA purposes, we estimate that the Form D filing burden 
would not increase. Therefore, we continue to estimate that the burden 
hours for Form D will be 4.0 hours.
---------------------------------------------------------------------------

    \545\ We believe typically private offerings of ABS are 
conducted pursuant to Section 4(2) of the Securities Act without 
reliance on the safe harbor of Regulation D and are followed by 
resale(s) of the securities in reliance on Rule 144A.
---------------------------------------------------------------------------

10. Privately-Issued Structured Finance Product Disclosure
    This new collection of information relates to proposed disclosure 
requirements for structured finance product issuers that wish to take 
advantage of the safe harbors provided by Rule 144A, Regulation D and 
Rule 144. Under the proposed amendments, such issuers would be required 
to provide the purchaser or prospective purchaser with the same 
information that would be required if the offering were registered with 
the Commission. Some of the information that is required for registered 
offerings, we believe, is being provided to investors who purchase 
structured finance products in the private markets.\546\ For purposes 
of the PRA, we are assuming that the hours that private structured 
finance product issuers expend to provide information to investors are 
approximately the same hours that would be required to prepare 
information in the registered context. Therefore, our estimate for this 
new collection of information will be based on the incremental costs 
that the proposed amendments in this release would include. Although 
information for a private ABS issuer is not required to be filed with 
the Commission, the cost of preparing such information should be 
relatively the same as the estimated burdens for preparing and filing 
information required in the registered context. We estimate that it 
will take approximately 300 hours per offering to prepare additional 
offering information that would be required under the proposed 
amendments. This is based on the incremental cost of the proposed 
amendments to ABS issuers that register their offerings with the 
Commission, along with the cost estimates for the asset data file that 
would be filed at the time of securitization and the waterfall computer 
program that we are proposing to require be filed for each ABS 
offering. Under our proposal, ABS issuers that relied on the safe 
harbors would be required to provide the same ongoing information that 
would be required in registered offerings. We estimate that it will 
take an issuer approximately 18 hours to complete a distribution report 
accompanied by asset-level and grouped asset data ongoing information 
for the distribution period. This is based on the incremental costs of 
providing Form 10-K, Form 10-D, and Form 8-K reports, which would 
comprise of the cost estimates for the asset data file that is required 
to be filed on an ongoing basis, as proposed.
---------------------------------------------------------------------------

    \546\ Because of the lack of transparency in the private 
structured finance product market, we do not have estimates 
regarding the amount of information and completion time that a 
typical private structured finance product issuer will need in order 
to provide investors offering and ongoing information nor estimates 
of the cost of such information. As discussed below, we are 
requesting comment on this information.
---------------------------------------------------------------------------

    As noted above, the average number of private offerings of ABS per 
year pursuant to Rule 144A over the period 2004-2009 was 716. Based on 
that number, we estimate an average number of 8,592 ongoing reports 
containing distribution information and ongoing asset data file 
information would be provided to investors each year,\547\ and a total 
of 716 annual reports that would be provided to investors each year. 
Therefore, at the time of securitization, we estimate that the proposed 
collection of information will impose a total annual burden of 214,791 
hours,\548\ with 25% of the cost borne internally (53,698 hours) and 
the remainder of hours paid to outside professionals or software 
consulting and programming costs ($48,328,318).\549\ For information 
that is provided on an ongoing basis, we estimate that the proposed 
collection of information will impose a total annual burden of 157,067 
hours,\550\ with 75% of the cost borne internally (117,800 hours) and 
the remainder paid to outside professionals or software consulting 
costs ($9,816,658).\551\ Thus, the total estimate for internal burden 
hours is 171,498,\552\ and the total estimate for outside costs is 
$58,144,976.\553\
---------------------------------------------------------------------------

    \547\ This is based on an average number of such ongoing reports 
that we estimate private structured finance product issuers would 
provide to investors over the three years after implementation. 
Consistent with our estimates in the registered context, we estimate 
that issuers would provide such ongoing reports at a multiple of six 
times the number of offerings per year.
    \548\ We calculate the total annual burden of 214,791 hours by 
multiplying the expected number of filings per year (716) times the 
burden hours per securitization filing (300).
    \549\ We estimate that hours related to providing asset-level 
information and the waterfall computer program is allocated to 
software consulting or other labor costs ($22,621,125) at a cost of 
$250 per hour and hours related to providing other types of 
information is allocated to costs of outside professionals 
($21,480,000) at a cost of $400 per hour.
    \550\ We calculate the total annual burden of 157,067 hours by 
adding the total number of hours we believe it would take to provide 
ongoing asset-level information (18 hours*8,592 reports).
    \551\ We estimate that hours relating to asset-level information 
paid to software consultants or other labor costs would be paid at 
cost of $250 per hour.
    \552\ 171,498 = 53,698 + 117,800.
    \553\ $58,144,976 = $9,816,658 + $48,328,318.
---------------------------------------------------------------------------

11. Summary of Proposed Changes to Annual Burden Compliance in 
Collection of Information
    Table 1 illustrates the changes in annual compliance burden in the 
collection of information in hours and costs for existing reports and 
registration statements and for the proposed new registration 
statements for asset-backed issuers. Below, the asset data file is 
annotated as ``Asset Data,'' the waterfall computer formula is 
annotated as ``WCP'', and privately-issued structured-finance 
disclosure is annotated as ``P-SF.'' Bracketed numbers indicate a 
decrease in the estimate.

[[Page 23407]]



------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                                                                                   Decrease or
                                                                Current annual     Proposed     Current burden    Decrease or       Proposed         Current       increase in       Proposed
                             Form                                  responses        annual           hours        increase in     burden hours    professional     professional    professional
                                                                                   responses                      burden hours                        costs           costs            costs
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
S-3...........................................................           2,065           1,966         236,959       [30,937.5]       206,021.5     284,350,500     [37,125,000]     247,225,500
S-1...........................................................           1,168           1,164         242,360        [2,362.5]       239,997.5     290,832,000      [1,500,000]     289,332,000
SF-3..........................................................  ..............              94  ..............          31,725           31,725  ..............      38,070,000       38,070,000
SF-1..........................................................  ..............               7  ..............         2,362.5          2,362.5  ..............       2,835,000        2,835,000
10-K..........................................................          13,545          14,474      21,337,939          84,038       21,421,971   2,845,058,500      11,205,000    2,856,263,500
10-D..........................................................          10,000          15,576         225,000         125,460          350,460      30,000,000      16,728,000       46,728,000
8-K...........................................................         115,795         117,232         493,436           5,389          498,825      54,212,000         718,500       54,871,500
Asset Data....................................................  ..............          16,534  ..............         193,099          193,099  ..............      41,319,571       41,319,571
WCP...........................................................  ..............             958  ..............          10,055           10,055  ..............       7,756,800        7,756,800
D.............................................................          25,000          25,000         100,000  ...............         100,000      30,000,000  ...............      30,000,000
144A-SF.......................................................  ..............             716  ..............             358              358  ..............         429,600          429,600
P-SF..........................................................  ..............           9,308  ..............         171,498          171,498  ..............      58,144,976       58,144,976
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

12. Solicitation of Comments
    We request comments in order to evaluate: (1) Whether the proposed 
collection of information is necessary for the proper performance of 
the functions of the agency, including whether the information would 
have practical utility; (2) the accuracy of our estimate of the burden 
of the proposed collection of information; (3) whether there are ways 
to enhance the quality, utility, and clarity of the information to be 
collected; and (4) whether there are ways to minimize the burden of the 
collection of information on those who are to respond, including 
through the use of automated collection techniques or other forms of 
information technology.\554\ We also specifically request comment 
regarding:
---------------------------------------------------------------------------

    \554\ We request comment pursuant to 44 U.S.C. 3506(c)(2)(B).
---------------------------------------------------------------------------

     Whether and to what extent the proposed shelf eligibility 
requirements would cause a movement in filers that are currently 
eligible for shelf registration on Form S-3 out of shelf registration 
on proposed Form SF-3;
     For all types of asset classes that are subject to the 
proposed asset level data requirements, the cost of adjusting the 
sponsor's systems to meet the proposed requirements and the cost of 
preparing, tagging, and filing the information; and
     For credit card ABS issuers, whether any grouped asset 
data proposed to be required is not currently collected on existing 
sponsors' systems and what are the costs of preparing, tagging and 
filing such grouped asset data at the time of securitization and on an 
ongoing basis;
     To what extent the proposals to require more information 
relating to sales of privately-issued structured finance products in 
reliance on certain safe harbors would increase the number of hours 
that issuers of such securities already expend in providing information 
to investors.

Any member of the public may direct to us any comments concerning the 
accuracy of these burden estimates and any suggestions for reducing 
these burdens. Persons submitting comments on the collection of 
information requirements should direct the comments to the Office of 
Management and Budget, Attention: Desk Officer for the Securities and 
Exchange Commission, Office of Information and Regulatory Affairs, 
Washington, DC 20503, and should send a copy to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090, with reference to File No. S7-08-10. 
Requests for materials submitted to OMB by the Commission with regard 
to these collections of information should be in writing, refer to File 
No. S7-08-10, and be submitted to the Securities and Exchange 
Commission, Records Management, Office of Filings and Information 
Services, 100 F Street, NE., Washington, DC 20549. OMB is required to 
make a decision concerning the collection of information between 30 and 
60 days after publication of this release. Consequently, a comment to 
OMB is best assured of having its full effect if OMB receives it within 
30 days of publication.

XI. Benefit-Cost Analysis

A. Background

    The proposed amendments to our regulations and forms for asset-
backed securities relate to the offering process, disclosure and 
reporting requirements for these securities. We also are proposing 
amendments to safe harbor rules for exempt offerings and resales to 
require additional disclosure by ABS issuers. In this section, we 
examine the benefits and costs of our proposed rules in each of these 
areas. We request that commenters provide their views along with 
supporting data as to the benefits and costs of the proposed 
amendments.
    First, we are proposing to revise shelf registration for ABS 
issuers and create new registration forms that would be applicable only 
to ABS offerings. Under the proposals, for ABS issuers that wish to 
register their offerings on a shelf basis, for offerings to be 
conducted after the shelf registration statement is effective, 
transaction-specific information relating to each offering of 
securities must be filed with the Commission at least five business 
days ahead of the first sale in the offering. We also are proposing to 
replace the existing shelf eligibility requirement that the securities 
must be investment grade rated by an NRSRO with alternate requirements. 
Instead of the investment grade ratings requirement, the following 
would be required for any offering off the shelf registration 
statement:
     The sponsor must retain a portion of each tranche of the 
securities sold in the offering, net of hedging and on an ongoing 
basis;
     The chief executive officer of the depositor must certify 
that the securitized assets backing the issue have characteristics that 
provide a reasonable basis to believe that they will produce, taking 
into account internal credit enhancements, cash flows at times and in 
amounts necessary to service any payments of the securities as 
described in the prospectus;
     The pooling and servicing agreement must contain a 
provision that would require third party review for assets that were 
not repurchased or replaced by an obligated party after being put back 
for breach of a representation or warranty; and
     The ABS issuer must undertake to file Exchange Act reports 
so long as non-affiliates of the depositor hold any of the issuer's 
securities sold in registered transactions.

We also are proposing to eliminate the exception from the 48-hour 
preliminary prospectus delivery requirement for ABS adopted in 2004 
under Exchange Act 15c2-8(b), such that in connection with all 
issuances of ABS, regardless of whether the issuer has previously been 
required to file reports pursuant to Sections 13(a) or 15(d) of the 
Exchange

[[Page 23408]]

Act, or exempted from the reporting requirements by Section 12(h) of 
the Exchange Act, broker-dealers would be subject to the 48-hour 
preliminary prospectus delivery requirement. Further, we are proposing 
several revisions to enhance the disclosures made by asset-backed 
issuers in prospectuses and Exchange Act reports. For most asset 
classes, we are proposing to require information regarding each asset 
in the pool in addition to the existing requirements relating to pool-
level disclosures. Issuers of ABS backed by credit card receivables 
would be required to provide grouped asset data. This information would 
be provided according to standardized definitions and filed with the 
Commission in XML. In addition, we are proposing to require that ABS 
issuers file a computer program on EDGAR that gives effect to the flow 
of funds, or ``waterfall,'' of the transaction. This computer program 
would be required to provide users with the ability to input the asset 
data file and other assumptions.
    We also are proposing revisions to our disclosure requirements for 
ABS issuers that would require, among other things:
     Additional information on exception loans;
     Enhanced static pool disclosure;
     Disclosure regarding the loans that were put back to the 
originator or sponsor for repurchase;
     Additional information regarding an originator, including 
its interest in the securitization and, to the extent there is material 
risk that the financial condition of the originator could have a 
material impact on the origination of the originator's assets in the 
pool or on its ability to comply with provisions relating to the 
repurchase obligations for assets, its financial condition;
     Additional information regarding a sponsor, including its 
interest in the securitization and, to the extent there is a material 
risk that the financial condition could have a material impact on its 
ability to comply with the provisions relating to the repurchase 
obligations for assets or otherwise materially impact the pool, its 
financial condition;
     A description of the standards in the pooling and 
servicing agreement for modifying the terms of the underlying assets;
     A statement whether the pooling and servicing agreement 
contains a fraud representation; and
     The description of the flow of funds in a single place in 
the prospectus.

We also are proposing revisions to the definition of an asset-backed 
security to further restrict the type of security that may be sold 
under the framework set forth in Regulation AB. While securities that 
do not meet the proposed definition may still be registered with the 
Commission, an issuer may need to provide additional disclosure 
regarding the securities and consider issues that are not contemplated 
by Regulation AB. We are proposing to limit the amount of prefunding 
accounts and revolving periods that may be utilized under the 
definition, and we are proposing to exclude master trusts that are 
backed by non-revolving assets (e.g., mortgages) from the definition.
    We also address privately-issued structured finance products in our 
proposals. In order to foster additional transparency in the exempt 
securitization markets, we propose to require the issuer to agree to 
provide additional disclosure to the investor for any resale made under 
the Rule 144A safe harbor or offering under the Regulation D safe 
harbor. We also are proposing to amend the current public information 
requirement in Rule 144 to require that, in order to satisfy that 
requirement, in the case of a non-reporting ABS issuer, the issuer must 
agree to provide additional disclosure to the investor. In addition, we 
propose to require that the issuer file with the Commission a notice of 
the sales for the initial placement of securities that are to be sold 
under Rule 144A that provides basic information on the sale and a 
description of the securities sold.

B. Benefits

    The proposed amendments are designed to increase investor 
protection by improving the disclosure and offering process of asset-
backed securities, and thereby enhancing the transparency of the 
securitization market. This should result in an increase in investors' 
understanding of the underlying pool of assets.
    In 2009, there were 87 registered ABS offerings as compared to 
1,306 in 2004.\555\ The market for securitized assets has suffered 
dramatically, in part due to the perception of inadequacies in the 
disclosure and transparency of the underlying pool of assets in the 
securitization process.\556\ Securitization is a large component of 
borrowing and lending, which can benefit borrowers by lowering borrower 
costs.\557\
---------------------------------------------------------------------------

    \555\ This is based on data from Asset-Backed Alert and 
information from Securities Data Corporation.
    \556\ See, e.g., Group of Thirty, Financial Reform: A Framework 
for Financial Stability (Jan. 15, 2009).
    \557\ U.S. Securities and Exchange Commission, U.S. Department 
of Treasury, Congressional Budget Office and U.S. Small Business 
Administration, An Interagency Report: Developing a Secondary Market 
For Small Business Loans (August 1994), available at http://www.cbo.gov/doc.cfm?index=5013&type=0.
---------------------------------------------------------------------------

1. Securities Act Registration
    The lack of time to adequately consider deal-specific information 
in an offering has been a longstanding concern of ABS investors, as 
discussed in the 2004 Adopting Release.\558\ Based on our experience 
with the financial crisis, we continue to have concerns regarding the 
lack of time for investors to analyze asset-backed securities. By 
requiring that information about the specific offering be filed at 
least five business days before first sale, we seek to provide 
investors with the benefit of additional time to value and assess the 
issuance.
---------------------------------------------------------------------------

    \558\ See fn. 174 above.
---------------------------------------------------------------------------

    Unlike other types of securities, the payments on asset-backed 
securities primarily depend on the credit quality of the assets in the 
underlying pool. Each offering of asset-backed securities involves a 
new set of assets, which requires investment analysis to be done anew. 
Our proposal to require an issuer to file a form of preliminary 
prospectus at least five business days ahead of first sale seeks to 
give investors additional time to review offering documents without 
unduly burdening issuers.\559\ We believe that this additional time 
will benefit investors by increasing their ability to assess an 
offering and to perform a better analysis of information provided by 
the parties to the securitization. This in turn should lead to better 
investment decisions.
---------------------------------------------------------------------------

    \559\ We are also proposing to repeal the exception for asset-
backed securities from the 48-hour preliminary prospectus delivery 
requirement in Rule 15c2-8(b). The 48-hour preliminary prospectus 
delivery requirement would apply to all ABS issuers, including those 
exempted from the requirement to file reports pursuant to section 
12(h) of the Exchange Act.
---------------------------------------------------------------------------

    We believe that investment grade credit ratings may no longer be an 
appropriate criterion for use as a shelf eligibility requirement for 
ABS.\560\ In addition to promoting independent analysis, we believe 
that replacing investment grade ratings requirement for shelf 
eligibility conditions for ABS offerings would reduce the appearance 
that the Commission has placed an imprimatur on credit ratings.
---------------------------------------------------------------------------

    \560\ See Liz Rappaport and Serena Ng, ``Credit Ratings Now 
Optional,'' Wall Street Journal, Oct. 29, 2009 (noting sales of 
bonds and structuring of complex securities without credit ratings).
---------------------------------------------------------------------------

    Our proposed risk retention requirement for shelf-registration 
eligibility is aimed at better aligning the incentives of an ABS 
sponsor with those of investors. By doing so, risk retention provides 
investors with an assurance that the quality and characteristics of the 
underlying assets are consistent

[[Page 23409]]

with the disclosures and representations of the sponsor. The proposed 
risk-retention requirement may also make it more likely that sponsors 
select assets of higher quality for the pool than they would have, 
absent the requirement. Thus, although we do not believe that risk 
retention would result in only investment-grade ABS being shelf-
registered, we do nonetheless consider it an appropriate partial 
replacement for the existing shelf eligibility condition that ABS have 
investment-grade rating.
    We are proposing to require the sponsor to retain five percent of 
each tranche, net of hedging and on an ongoing basis. Spreading the 
sponsor's economic interest across all tranches evenly is designed to 
better address the overall risk assessment and quality of the entire 
offering rather than only aspects that relate to a specific tranche. 
Risk retention in the amount of five percent of a tranche is aimed at 
increasing alignment of incentives of transaction participants in 
securitizations that will in turn lead to better performing securities 
without placing an undue burden on issuers.
    We note that our proposal only mandates the minimum amount of risk 
that the issuer is required to retain to have access to shelf 
registration. A sponsor may voluntarily retain an amount in a tranche 
greater than that required by our proposed requirement, which could 
alter the alignment in incentives between the sponsor and the investor.
    We also are proposing that, in the case of revolving exposures, a 
sponsor can meet the risk retention requirement by retaining the 
originator's interest of not less than five percent. This is proposed 
to accommodate the special structure of revolving asset master trusts. 
For example, credit card ABS issuers already retain a seller's 
percentage that is equivalent to a portion of the pool.\561\ Allowing 
an alternative to the proposed vertical slice requirement for these 
particular ABS sponsors would benefit investors by allowing incentive 
alignment aimed at achieving better quality assets to be compatible 
with the nature of revolving assets.
---------------------------------------------------------------------------

    \561\ The originator's interest, also known as the ``seller's 
interest,'' also may serve an additional function of absorbing 
seasonal fluctuations in credit card receivables balance. See Fitch 
IBCA, ABCs of Credit Card ABS, July 17, 1998; Federal Deposit 
Insurance Corporation, Manual on Credit Card ABS, available at 
http://www.fdic.gov/regulations/examinations/credit_card_securitization/.
---------------------------------------------------------------------------

    Requiring the sponsor to meet the risk retention condition rather 
than the originator may provide benefits to both originators and 
investors. We are aware that smaller originators may not have the 
resources to retain such risks. In addition, by not placing the 
requirement on originators, these institutions could have greater 
capital resources available to make loans which could ultimately 
benefit borrowers and financial systems as a whole. We are also aware 
that implementing an originator-based risk retention requirement would 
be difficult in a securitization involving multiple originators and may 
unnecessarily increase the cost of such securitizations.
    We believe that our proposal requiring the pooling and servicing 
agreement or other governing document for an ABS shelf transaction to 
contain a provision that requires third party loan review of loans that 
are not repurchased or replaced by the originator after being put back 
because of a breach in a representation or warranty should strengthen 
the enforcement mechanisms surrounding representations and warranties 
for shelf transactions. ABS investors have expressed concerns with the 
integrity and enforceability of bargained-for contractual provisions in 
underlying transaction documents ABS offerings.\562\ By requiring that 
the third party be unaffiliated, investors can be better assured that 
the opinion as to whether a representation and warranty has been 
breached is impartial. This requirement, which strengthens enforcement 
mechanisms of representations and warranties, should incentivize 
obligated parties to better consider the characteristics and quality of 
the assets underlying the securities, making it an appropriate partial 
replacement for the existing shelf eligibility requirement that 
requires the securities to have an investment grade rating.
---------------------------------------------------------------------------

    \562\ See fn. 131 and accompanying text.
---------------------------------------------------------------------------

    We believe our proposal to require a certification by the 
depositor's chief executive officer will focus the certifier on the 
transaction and the disclosure. Such certification should enhance 
investors' confidence in the securitization. We believe that a 
certification may cause these officials to review more carefully the 
disclosure, and in this case the transaction, and to participate more 
extensively in the oversight of the transaction making it an 
appropriate partial replacement for the existing shelf requirement 
relating to investment grade ratings.
    Under Section 15(d) of the Exchange Act, investors in most asset-
backed securities may not receive ongoing reporting pursuant to the 
Act, as most ABS issuers may have less than 300 record holders. Given 
recent history, we believe ongoing reporting for ABS is important even 
if the number of holders is low.\563\ Our proposal to require that the 
issuer in an ABS shelf offering undertake to file Exchange Act reports 
would provide investors with ongoing access to information. Although 
some issuers already provide ongoing information to investors pursuant 
to transaction agreement provisions, we believe that our requirements 
and the undertaking would impose greater discipline on issuers to 
provide such information and thereby provide further transparency for 
investors, especially when combined with the proposed loan level 
disclosure requirements. Investors would benefit from greater 
transparency on the continuing performance, composition and disposition 
of assets which can be used to evaluate both their investment as well 
as the performance of sponsors and originators.
---------------------------------------------------------------------------

    \563\ See the Committee on Capital Markets Regulation Financial 
Crisis Report, at 152-153.
---------------------------------------------------------------------------

2. Disclosure
    We believe that the proposed requirements for asset-level 
disclosures in XML format and with standardized data definitions will 
benefit investors in several important ways. First, such required 
disclosures should reduce investors' cost of information production by 
reducing duplicative efforts on their part to gather such data on their 
own or purchase it through data intermediaries. Although some ABS 
issuers currently provide asset-level data to investors, this is not 
the case across all asset classes. For example, issuers of certain 
asset classes, such as credit card receivables, dealer floorplans or 
equipment loans, typically do not consistently provide asset-level 
information. As discussed in further detail below, we are proposing an 
exemption from the asset-level disclosure requirement for a few asset 
classes. We are unaware of any publicly available data standards for 
asset classes other than mortgage-backed securities and currently there 
is no mandatory requirement that issuers follow any of these standards 
for reporting to investors in asset-backed securities.\564\ For the ABS 
offerings of asset classes that fall within our proposed requirement, 
our proposal seeks to provide investors with consistent and equal 
access to asset-level information.
---------------------------------------------------------------------------

    \564\ See discussion in Section III.A.1. above.
---------------------------------------------------------------------------

    We believe that requiring the asset-level disclosures in XML format 
and utilizing standardized definitions of material loan, obligor, and 
collateral characteristics will further benefit investors. The machine-
readable format should lower the cost of information processing, and 
the standardized

[[Page 23410]]

definitions should increase comparability of information across 
issuers. Currently, one sponsor's use of a term in asset-level 
information may differ from another sponsor's use. For example, 
``reduced documentation'' may not have the same meaning from one 
sponsor to another or from one originator to another. The XML format 
that is proposed to be required, along with the utilization of 
standardized definitions, should allow issuers to provide investors 
with asset-level information in an immediately usable format. Investors 
could promptly download and input this information into software tools 
for analysis of the assets in the underlying pool and pricing of the 
asset-backed securities.
    This process will be further aided by the proposed requirement to 
provide a programming language representation of the ABS waterfall, 
which we refer to as the waterfall computer program requirement. This 
is intended to benefit investors by facilitating their ability to run 
simulations of expected cash flows under different prepayment, loss and 
loss-given-default assumptions, while obtaining the full benefit of the 
loan-level data that we are proposing to require. Requiring the filing 
of a programming language representation of the waterfall will provide 
information about the terms of the securities to investors in a form 
they can readily use for computerized valuation methods of ABS. This 
will make more relevant information available to investors and allow 
them to make better-informed investment choices.
    The proposal should eliminate the transaction costs for single 
institutional investors individually to script the waterfall provisions 
into a programming language representation. This should reduce some of 
the information asymmetry between the sponsor and a prospective 
investor that arises because the sponsor, as the person creating the 
contractual cash flows has access to a programming language 
representation of the waterfall, a necessary element of ABS valuation 
using computer simulations of security performance, at the time of the 
initial public offering, and the investor does not.
    Asset-level data in easy to use format and accompanied by the 
waterfall computer program will likely improve investors' ability to 
conduct independent analysis and reduce their reliance on credit 
ratings. With usable information on the composition of the asset pool, 
investors can evaluate the sponsor's disclosed characteristics of the 
pool. This, in turn, will allow them not only to price the issue more 
efficiently but to evaluate the investment potential of the issue 
better. Indeed, there is some evidence that a major benefit of asset-
level disclosure, and more specifically borrower-characteristics 
disclosure, is an ability to price ABS more accurately.\565\ In 
addition, if asset-level data reduces investors' uncertainty about the 
composition of the asset pool, investors should be willing to pay 
higher prices for the security.\566\ We believe that the proposed 
grouped asset data requirement applicable to credit cards ABS issuers 
offers benefits similar to that of the proposed asset-level data 
requirements.
---------------------------------------------------------------------------

    \565\ See Joshua Rosner, ``Securitization: Taming the Wild 
West,'' in Roosevelt Institute, Make Markets be Markets (Mar. 3, 
2010) at 77 (stating that ``In order to accurately price securities, 
investors need timely loan-level information on the assets backing 
each deal''). See also Paul Bennett, Richard Peach, Stavros 
Peristiani, ``How Much Mortgage Pool Information Do Investors 
Need?,'' The Journal of Fixed Income, June 2001, Vol. 11, No. 1, at 
8-15.
    \566\ Information uncertainty tends to increase credit spreads. 
Yu (2005) and Sengupta (1998) show that the cost of bond financing 
increases as the borrowing firm's accounting reports become less 
informative. Yu, F., ``Accounting Transparency and the Term 
Structure of Credit Spreads,'' Journal of Financial Economics (2005) 
at 75, 53-84. Sengupta, P., ``Corporate Disclosure Quality and the 
Cost of Debt,'' Accounting Review (1998) at 73, 459-474. G[uuml]ntay 
and Hackbarth (2006) find that higher dispersion of analysts' 
forecasts is associated with significantly higher bond spreads. 
G[uuml]ntay, L. and D. Hackbarth, ``Corporate Bond Credit Spreads 
and Forecast Dispersion,'' working paper: Washington University--St. 
Louis (2006). Thompson and Vaz (1990) document that credit-rating 
agency disagreements on a firm's credit rating also widens bond 
credit spreads even after controlling for the firm's default risk. 
Thompson, G. R. and P. Vaz, ``Dual Bond Ratings: A Test of the 
Certification Function of Rating Agencies,'' Financial Review (1990) 
at 25, 457-471. Finally, Wittenberg-Moerman (2007) documents that 
loan rates are higher for firms with higher bid-ask spreads on loans 
traded in the secondary market. Wittenberg-Moerman, Regina, ``The 
Impact of Information Asymmetry on Debt Pricing and Maturity,'' 
working paper: The Wharton School, University of Pennsylvania 
(2007).
---------------------------------------------------------------------------

    We also are proposing to require asset-level disclosure be provided 
on an ongoing basis. Ongoing disclosure of asset-level information 
should encourage better monitoring of the security by investors and 
other market participants. Such information would be useful for 
tracking the performance of the assets, as well as an assessment of 
performance of the originator, sponsor, or servicer. This would allow 
investors to continue their independent analysis of the asset-backed 
securities rather than rely on NRSRO credit ratings to alert them of 
changes in the ABS risk-return profile.
    Our proposed asset-level information requirements, notably, are 
tailored by asset class. We have taken under consideration situations 
in which the amount of asset-level disclosure would be too voluminous, 
or investors are unlikely to find such disclosure meaningful. We have 
decided to modify these requirements or not impose them at all, if they 
do not appear to justify the compliance costs imposed on issuers. For 
example, instead of asset-level information, we propose to require that 
issuers of ABS backed by credit card receivables provide grouped asset 
data. Such issuers will be required to disclose information on the 
assets in the underlying pool by grouping these assets into different 
combinations of standardized pool characteristics. Similarly, we 
believe that the potential costs of requiring issuers of stranded-costs 
ABS to provide asset-level disclosures would not justify the benefits, 
so we are not proposing to require such disclosures.\567\
---------------------------------------------------------------------------

    \567\ See Sections III.A.1.b.iv and III.A.2.b above.
---------------------------------------------------------------------------

    Our proposed enhancements to pool-level disclosure are intended to 
help elicit important information in areas that became problematic in 
the recent financial crisis, such as with respect to exception loans. 
We also are proposing to amend the definition of an asset-backed 
security to further restrict the type of securities that may utilize 
the framework provided in Regulation AB. We believe that the 
restrictions on exceptions to the discrete pool requirement of an 
asset-backed security benefits investors by maintaining the integrity 
of the discrete pool requirement and is consistent with investor demand 
for more meaningful asset-level data. Our proposed revisions to Item 
6.05 of Form 8-K would require that issuers file a current report and 
provide pool information when there is a one percent or greater change 
in a material pool characteristic of the asset pool. These revisions to 
the rules, we believe, assist in closing existing gaps by which the 
asset pool composition could be changed significantly or without 
necessary accompanying disclosure. Investors will be able to evaluate 
the consequences of asset pool composition changes in order to 
determine the continuing suitability of the investment.
    Certain of the proposed disclosure requirements should benefit 
investors by helping them to more easily and effectively assess the 
structure of the ABS transaction and the parties involved. For example, 
where assets have been put back to an originator or sponsor in the 
offering in the last three years and those assets have not been 
repurchased or replaced, we are proposing to require disclosure of the 
number of those assets that have not been repurchased or replaced. 
Similarly,

[[Page 23411]]

disclosure on the originator's and sponsor's financial condition where 
material, as provided in the proposal, should benefit investors by 
allowing them to assess whether the condition of the originator or 
sponsor may have bearing on their ability to make payments relating to 
their repurchase obligations. Our proposed requirement relating to 
disclosure of a fraud representation in the transaction documents would 
allow an investor to consider the existence of the representation (or 
lack thereof) in making an investment decision. Finally, our proposed 
disclosure requirement relating to the originator's and sponsor's 
interest in the securitization program, including risk retention, would 
allow an investor to better consider the incentive structure and other 
possible risks relating to such party.
    We also have several proposals relating to the presentation of 
information in the prospectus for ABS offerings, including our proposal 
on the flow of funds, our proposal eliminating the use of a base 
prospectus and accompanying prospectus supplement, and our proposed 
revisions to the static pool information requirements. Through such 
proposals, we seek to improve the presentation of information in ABS 
offering materials, which may be unwieldy and contain duplicative 
disclosure, jargon or discussion inapplicable to the specific 
transaction at hand. These proposed revisions aim to facilitate more 
ready access to the information for investors and other market 
participants.
    In addition, in coordination with the expiration of the temporary 
accommodation in Rule 312 allowing ABS issuers to file static pool 
information on an Internet Web site, issuers would need to file static 
pool information with the Commission. We are proposing to permit that 
such information be filed in PDF format. Implementation of the 
requirement to file static pool information on EDGAR addresses concerns 
relating to the maintenance of Web sites and the presentation of static 
pool information while our proposal to allow issuers to file such 
information in PDF format would allow this disclosure to be provided to 
investors in an easy to read format.
3. Privately-Issued Structured Finance Products
    Many ABS and similar structured finance products are offered and 
resold in reliance on the Rule 144A safe harbor.\568\ Rule 144A is a 
safe harbor from being deemed an underwriter within the meaning of 
Sections 2(a)(11) and 4(1) of the Securities Act for the resale of 
securities to qualified institutional buyers. Many of the types of 
asset-backed securities that caused significant concern in the 
financial crisis included securities that are typically sold in private 
transactions.\569\ Our proposal to require more disclosure for 
privately-issued structured finance products are designed to provide 
investors in such securities, which can have complex incentive 
structures among various parties and whose valuation is dependent on an 
understanding of the assets in the underlying pool, with better 
information than they currently receive.
---------------------------------------------------------------------------

    \568\ See, e.g., SEC Staff Report, ``Enhancing Disclosure in the 
Mortgage-Backed Securities Markets,'' (Jan. 2003), available at 
http://www.sec.gov/news/studies/mortgagebacked.htm (noting that 
almost all private-label MBS that are not sold pursuant to a 
registration statement are sold in the 144A market).
    \569\ See discussion in Section VI. above.
---------------------------------------------------------------------------

    Our proposal to require a notice of sales for the initial placement 
of securities to be sold in reliance on Rule 144A, we believe, would 
improve transparency in the asset-backed securitization market. This 
notice could in turn help regulators with monitoring developments in 
the securitization market and determining whether future rulemaking or 
other actions with regard to asset-backed securities may be necessary. 
This notice could also have the additional benefit of supporting the 
Commission's efforts to enforce the federal securities laws relating to 
asset-backed securities. The items proposed to be added to Form D for 
asset-backed issuers would have similar benefits to the extent ABS 
issuers rely on Rule 506 of Regulation D.

C. Costs

    Our proposals for asset-backed securities are designed to improve 
disclosure to ABS investors but would impose costs on ABS issuers and 
other participants in the chain of securitization in various ways. The 
proposals to revise shelf registration and to replace the investment 
grade ratings requirement for shelf eligibility would impose additional 
costs on ABS issuers offering securities through shelf registration. 
Sponsors of shelf registered issuers would also incur direct costs, as 
a result of the proposed risk retention shelf eligibility condition 
that would require the sponsor to retain and maintain five percent of 
each tranche, or, in the case of revolving assets, five percent of the 
pool.
    Some of the proposed disclosure requirements refine existing 
disclosure requirements; however the proposal to require standardized 
asset-level information or grouped asset data and to provide a 
computerized program of the issue's waterfall are new disclosure 
requirements, and thus issuers would be required to incur additional 
costs to which they were previously not subject. Our proposals relating 
to the disclosure by privately-issued structured finance product 
issuers would impose additional costs on such issuers seeking to rely 
on certain regulatory safe harbors.
1. Securities Act Registration
    The proposed requirement to file a form of preliminary prospectus 
at least five business days before the date of first sale and the 
proposed requirement that brokers deliver a preliminary prospectus 48 
hours ahead of sale would require that issuers provide information to 
investors earlier in the process than is currently the case. During 
that period, issuers may be exposed to the risk of changing market 
conditions; however, such uncertainty is similar to that faced by other 
issuers of underwritten initial public offerings of debt whose final 
offer prices are not set for weeks or months after filing.
    The two methods to satisfy the risk retention shelf eligibility 
condition that we are proposing to allow for shelf eligibility may 
increase costs of securitization to sponsors. We note, however, if 
issuers find the cost of risk retention too high, ABS offerings could 
be registered without being subject to a risk retention requirement, as 
long as such offerings are registered on proposed Form SF-1. For 
purposes of PRA analysis, we estimate the total movement out of the 
shelf registration system to be 10% of the current number of shelf 
offerings, although not all of this movement is estimated to move to 
proposed Form SF-1 and some may move to private markets.
    We also note that the risk retention shelf eligibility condition 
may impact the risk management process of a sponsor. Some financial 
institutions are impacted through requirements to hold capital against 
the risk to which they are exposed, which would put them at a 
disadvantage to other institutions. Reserving capital for risk 
retention reduces the amount of funds available for lending which will 
increase a borrower's cost of funds. Any such reduction in lending 
capacity suffered by the ABS issuer may be passed through to the 
financial institution's investors and customers as a cost of the 
securitization process.

[[Page 23412]]

    In addition, as we noted in our PRA estimates, while we are not 
imposing additional disclosure requirements for the Form 10-K for 
sponsors, they may incur some additional costs in preparing their 
annual reports in determining the impact of the required risk retention 
on their disclosure. We estimate, for purposes of the PRA, that 
sponsors will need an additional 10 hours to prepare their Form 10-K 
filings at a total cost of $2,500 per sponsor.\570\
---------------------------------------------------------------------------

    \570\ This estimate is based on the estimated total burden hours 
of the amendments associated with the schedules and forms that would 
include the new disclosure, an assumed 75%/25% split of the burden 
hours between internal staff and external professionals with respect 
to proxy and information statements, an assumed 25%/75% split of the 
burden hours between internal staff and external professionals with 
respect to registration statements, and an hourly rate of $200 for 
internal staff time and $400 for external professionals.
---------------------------------------------------------------------------

    Also, under our proposed shelf eligibility conditions, issuers in 
shelf registrations would be subject to additional costs of hiring a 
third party to review assets that have been put back to an obligated 
party, usually the sponsor or originator, for breach of the 
representation and warranties. Additionally, the value of these 
opinions is dependent on investors' perception of the expertise of the 
entity providing the opinion. This proposed shelf eligibility condition 
also might create incentives for originators or sponsors to agree to 
repurchase or replace assets that have been put back to them even in 
cases where these assets were not in breach. Under our proposals, ABS 
offerings that are shelf registered would be required to include a 
certification signed by the depositor's chief executive officer 
regarding the characteristics of the assets, which will impose some 
additional disclosure burden.
    Our proposed shelf eligibility condition to require ABS issuers to 
undertake to file Exchange Act reports would also impose certain costs 
on ABS issuers on shelf. The Exchange Act reporting requirements for 
ABS issuers take into account existing reporting obligations to 
investors required under ABS transaction agreements. Many ABS 
transaction agreements contemplate continued reporting to investors, 
but those reports, while provided to investors, are not required to be 
filed if the issuer has suspended its Exchange Act reporting 
obligation. Because our proposal would require the issuers to undertake 
to file reports with the Commission, an ABS issuer registered on shelf 
would include additional costs to file ongoing information with the 
Commission. Certain types of asset-backed securities, such as ABS 
backed by credit cards, continue to issue securities backed by the same 
pool, and thus are required to continue to report on an ongoing basis, 
and thus would not incur additional costs as a result of the proposed 
amendments. Other asset-backed securities are exchange-listed and are 
subject to the reporting requirements of Section 12(b) of the Exchange 
Act, and thus our proposal would not impose additional costs of them. 
We estimate in the PRA that the incremental cost of the proposed 
changes relating to Exchange Act reporting is $71,628,900.\571\
---------------------------------------------------------------------------

    \571\ This amount is calculated using the increases in burden 
hours for Form 10-K, Form 10-D, and Form 8-K from the PRA. We 
allocate 75% of these hours to issuer internal costs at a rate of 
$200 per hour and 25% to professional costs at a rate of $400 per 
hour.
---------------------------------------------------------------------------

    These proposed shelf eligibility conditions would replace, in part, 
the prior reliance on investment grade ratings as a condition for shelf 
eligibility. A potential cost of this substitution is that investors 
may incorrectly believe that these requirements are an indication that 
shelf registrations are, effectively, investment grade offers. Under 
the proposed requirements, securitizations would be eligible for shelf 
registration if they meet the rule's requirements regardless of their 
credit rating, which may or may not be investment grade.
    The costs associated with both the shelf registration requirements 
and asset-level disclosures detailed above could be passed down the 
chain of securitization. If the market is much more concentrated at the 
sponsor level than at the originator level, sponsors may be able to 
pass on to originators some of the costs of our proposals. Originators 
could, in turn, pass some of these costs onto borrowers, although their 
ability to do so might be constrained by competition from non-
securitizing lenders.
2. Disclosure
    Although some issuers currently provide asset-level information, 
this is not a consistent practice across all issuers.\572\ Our 
proposals to require disclosure of asset-level information are designed 
to provide, investors with equal access to such information with 
certain exceptions discussed below. This will lead to additional costs 
being imposed on sponsors to compile and report asset-level data. As 
noted in the PRA, we estimate that it will cost issuers $79,939,291 to 
compile and report asset-level information.\573\
---------------------------------------------------------------------------

    \572\ For example, CMBS issuers frequently provide loan-level 
information in accordance with industry standards. See fn. 224 above 
and accompanying text. RMBS issuers sometimes file loan-level 
mortgage schedules with the Commission or provide loan-level 
information to rating agencies. See, e.g., ``Moody's Proposes 
Enhancements to Non-Prime RMBS Securitization,'' Structured Finance 
Special Report,'' Sept. 25, 2008. It is suggested that certain of 
the issuers of securities backed by auto loans provide loan-level 
information. See ``S&P's Auto Loan-Level Model Enhances 
Understanding of Loss Performance,'' Structured Finance, available 
at http://www.vehiclefinanceconference.com/pdf/handout5.pdf.
    \573\ The dollar cost of $42,619,856.5 is calculated by 
multiplying 110,086.5 internal burden hours by $200 per hour for 
internal costs and then adding $20,602,562.5.
---------------------------------------------------------------------------

    Where we believe individual asset-level disclosures would be overly 
burdensome and of little utility to investors, we are proposing to 
require less granular disclosures or no disclosures altogether. For 
instance, credit-card ABS are backed by millions of accounts. For this 
ABS class, asset-level disclosures likely would produce an overwhelming 
amount of data, which we believe would not be useful for investors. 
Thus, we are proposing that issuers of ABS backed by credit and charge 
card receivables provide information on the assets in the underlying 
pool grouped along specified standardized dimensions. Based on similar 
considerations, we propose to exclude from the required asset-level 
disclosures issuers of ABS backed by stranded costs.
    Our proposed standard definitions for asset-level information are 
similar to, and in part based on, other standards that have been 
developed by the industry, such as those developed under ASF's Project 
RESTART or those developed by CRE Finance Council. Because these 
proposed standard definitions employ widely used metrics for asset-
level information, we also believe that these standards should be 
similar to other standards used for reporting purposes, including the 
mortgage metrics that national banks and thrifts must provide to the 
Office of Comptroller of the Currency and the Office of Thrift 
Supervision.\574\ To the extent that there are differences between 
standards on the same information, additional costs would be imposed on 
issuers and servicers to track the differences between one standard and 
another. Further, servicers may incur some costs in monitoring their 
compliance with servicing criteria and requirements under the servicing 
agreement with respect to reports on asset-level information.
---------------------------------------------------------------------------

    \574\ See OCC Press Release NR 2008-24, ``OCC to Require Data 
from Large Bank Mortgage Servicers,'' February 29, 2008 and Letter 
to National Bank Mortgage Servicers dated February 29, 2008.
---------------------------------------------------------------------------

    Under the proposed requirements, issuers of ABS would be subject to 
additional ongoing asset-level or

[[Page 23413]]

grouped asset disclosure requirements. Because we believe the 
information required already should be available, we do not expect 
significant increase in information gathering costs. However, we do 
believe that the costs discussed above of reconciling variable 
definitions, tagging required asset data and filing information with 
the Commission will be incurred in the process of continued 
reporting.\575\ For purposes of our PRA analysis, we estimate that 
after the sponsor has incurred initial setup costs and after it has 
made its first filing, ongoing asset-level disclosure requirements 
would impose an additional cost of 10 burden hours per filing, which is 
equivalent to $2,125.\576\
---------------------------------------------------------------------------

    \575\ We note that the CRE Finance Council is now requiring that 
asset-level information for commercial mortgage-backed securities be 
provided in XML. See CRE Finance Council Investor Reporting Package 
x 6.0 Preliminary Exposure Draft 1, Jan. 1, 2009, available 
at http://www.crefc.org/. In this regard, issuers of commercial 
mortgage-backed securities may already be subject to the costs of 
XML data tagging.
    \576\ We allocate 75% of the hours to issuer internal costs at a 
rate of $200 per hour and 25% to professional costs at a rate of 
$250 per hour.
---------------------------------------------------------------------------

    The proposed requirements for asset data disclosure might have 
important implications for originators' ability to remain competitive 
and retain their lending market share. Once detailed data on borrower 
characteristics matched to loan terms becomes publicly available in XML 
format, a disclosing originator's competitors may be able to more 
easily infer its loan pricing model and might use the data to increase 
their own market share at the disclosing originator's expense. This may 
have an adverse impact on the profitability of credit institutions that 
choose to securitize some of the credit they extend.
    Disclosures about an originator's or a sponsor's refusal to 
repurchase or replace assets put back to them for breach of 
representations and warranties (as well as the proposed third party 
opinion shelf eligibility condition, as noted above) might create 
incentives for originators to agree to repurchase or replace such 
assets even in cases where these assets were not in breach. If 
investors regard such disclosures as indicative of a willingness to 
comply with representations and warranties in the future, then 
originators or sponsors might try to preserve their reputation by 
taking back assets even when they do not have to do so. This might 
create an incentive for sponsors and possibly trustees to ask for 
repurchase or replacement of poorly performing assets that represent no 
breach of representations or warranties.
    The proposed requirement to provide a programming language 
representation of the waterfall computer program would facilitate the 
ability of ABS investors to meaningfully use the asset data disclosed 
by the ABS issuer at the time of the public offering and with the 
monthly or other periodical distribution reports on Form 10-D filed 
with the Commission. We believe that the sponsor of an ABS generally 
will have in its possession at the time of the public offering a 
representation in computer programming language of the waterfall. 
However, additional time and expense will be involved in filing this 
computer programming language as source code on EDGAR concurrently with 
the filing of the Rule 424 prospectus, as the waterfall computer 
program may have to be subjected to additional review before it is 
filed with the Commission. We are proposing to exempt issuers of 
offerings backed by stranded costs from the proposed requirement, as 
they are not required to provide asset-level information under the 
proposal. As discussed in the PRA section, we believe that initial 
startup costs for preparing waterfall computer program for ABS would be 
approximately 672 burden hours per sponsor at a cost of $159,600.\577\ 
Also in our PRA analysis, we estimate the ongoing costs associated with 
converting the waterfall computer program to the necessary format to be 
two hours per securitization, which equals $700.\578\
---------------------------------------------------------------------------

    \577\ To calculate the total dollar costs, we allocate 25% of 
these hours to issuer internal costs at a rate of $200 per hour and 
75% to computer programmer costs at a rate of $250 per hour.
    \578\ To calculate the total dollar costs, we allocated 25% of 
these hours to issuer internal costs at a rate of $200 per hour and 
75% of outside professional costs at a rate of $400 per hour.
---------------------------------------------------------------------------

    The asset data and waterfall computer program disclosure 
requirements might impose costs on entities other than the 
securitization participants. Making such information available to the 
public for free may adversely impact the business model of firms 
currently selling such information to investors. If waterfall formulas 
are available to investors free of charge, in program form, investors 
may face a reduced incentive to purchase existing products that provide 
essentially the same service.
    Sponsors may face costs in addition to the initial and ongoing 
mechanical costs of waterfall preparation. Increased product 
transparency may reduce some effects of product complexity, potentially 
enabling investors to more accurately value securities. The resulting 
price transparency may place new constraints on sponsors' latitude in 
pricing the products, potentially lowering the profitability of 
bringing ABS to market.
    Rating agencies may also face costs related to implementation of 
the waterfall computer program requirement. To the extent that rating 
agency analysis has served as a proxy, for some investors, for in-depth 
modeling, investors may rely less on this analysis as a result of being 
more readily able to perform their own calculations, potentially on an 
automated basis.
    We believe that our proposals to amend the discrete pool exception 
in the Regulation AB definition of an asset-backed security, for the 
most part, only carve back on outlier structures and should result in 
little cost to asset-backed issuers.\579\ Our proposed revisions to the 
Regulation AB definition of an asset-backed security should be minimal, 
and, if adopted, a security that does not meet the new Regulation AB 
definition of an asset-backed security could still register with the 
Commission as long as additional, suitable disclosure is provided 
regarding the offering, the securities and transaction parties.
---------------------------------------------------------------------------

    \579\ We are aware of only four issuers backed by non-revolving 
assets that utilize the master trust structure. Based on staff 
review, we believe that use of prefunding accounts is generally 
limited to select sponsors, approximately 25 percent or less of the 
principal balance or proceeds are set aside for prefunding for those 
select sponsors, and the prefunding period in those cases generally 
extends for approximately one year. In addition, we believe that 
revolving periods are not widely used across asset classes or by 
stand-alone amortizing trust structures.
---------------------------------------------------------------------------

    We note that our proposals to revise the pool-level information 
requirements and information requirements on originators and sponsors 
further refine the disclosure requirements rather than impose 
significant burdens, which is why we expect no material increase in 
compliance costs. Our proposal to eliminate the base prospectus and 
prospectus supplement format for ABS issuers may cause a small increase 
in the number of registration statements filed with the Commission and 
a corresponding increase in the cost to issuers to prepare and file 
such registration statements. In addition, this proposal and our 
proposal to require the filing of a post-effective amendment for 
additional structural features or credit enhancements could increase 
some compliance costs for ABS issuers. However, we believe that our 
proposal to allow ABS issuers to use a ``pay-as-you-go'' registration 
system for each offering would offset some of those costs by providing 
ABS issuers with greater flexibility that would improve the

[[Page 23414]]

utility of shelf registration, increase efficiency and thereby 
ultimately reduce costs for issuers.
3. Privately-Issued Structured Finance Products
    The costs of complying with the shelf registration requirements may 
make alternate offering mechanisms, such as private placements or 
exempt offerings more attractive. To improve investor protection in 
these types of offerings, our proposed regulations would give investors 
the right to obtain the same level of disclosure as required in a 
registered Form S-1 or proposed Form SF-1 offering (and ongoing 
information that would be required if the issuer were subject to 
Exchange Act reporting obligations) when sales are made in reliance on 
Rule 506 of Regulation D or resales are made in reliance on Rule 144A. 
We also are proposing to require that transaction agreements contain a 
provision by which the issuer promises and represents to provide this 
disclosure to investors and prospective purchasers upon request.
    While the costs to implementing this new information requirement 
may be significant to ABS issuers, we believe that such costs are 
justified in light of the role that privately-placed issued ABS played 
in the financial crisis. We believe that the recent financial crisis 
exposed deficiencies in the information available about CDOs and other 
privately-issued structured finance products.\580\ Not only does it 
appear that these instruments were not well understood by investors, 
but market participants and regulators did not have access to important 
information about this significant component of the capital 
markets.\581\ We also recognize that the additional proposed 
requirements that would be imposed on issuers who wish to rely on the 
safe harbors may possibly result in changes in the number of ABS 
offerings and increased use of offshore ABS offerings. For purposes of 
PRA analysis, we estimate for that total annual number of internal 
burden hours that would be imposed by the proposed amendments is 
171,498 hours, while the total annual external cost estimate is be 
$58,144,976.
---------------------------------------------------------------------------

    \580\ See the 2008 CRMPG III Report, at 53.
    \581\ See testimony of Joseph Mason, ``Hearing on the Role of 
Credit Rating Agencies In the Structured Finance Market,'' Before 
the Subcommittee on Capital Markets, Insurance, and Government 
Sponsored Enterprises, Committee on Financial Services United States 
House of Representatives (Sept. 27, 2007) (proposing a resolution to 
information asymmetry for structured finance investments, including 
CDOs, through changing the manner in which information is gathered 
by accountants and regulators and disseminated to market 
participants by ratings agencies and markets). See also Anna 
Katherine Barnett-Hart, ``The Story of the CDO Market Meltdown: An 
Empirical Analysis'' (Mar. 19, 2009) (discussing mis-rating of CDOs 
and failure of all market participants, from investment banks to 
hedge funds, to understand risk of CDOs) at 3, 40.
---------------------------------------------------------------------------

    We believe that costs of the proposed requirement that issuers file 
a notice of sales for the initial placement of securities to be sold in 
reliance on Rule 144A should be minimal. In addition, we are proposing 
to add disclosure requirements specific to ABS issuers to Form D. For 
purposes of PRA, we estimate that proposed requirement on issuers to 
file Form 144A-SF would take approximately two hours per response per 
year at a total dollar cost of $700.\582\ For purposes of the PRA, the 
added requirements to Form D would not increase the current four-hour 
estimate for completing the form.
---------------------------------------------------------------------------

    \582\ We allocate 25% of the hours to issuer internal costs at a 
rate of $200 per hour and 75% to professional costs at a rate of 
$400 per hour.
---------------------------------------------------------------------------

D. Request for Comment

    We seek comments and empirical data on all aspects of this Benefit-
Cost Analysis including identification and quantification of any 
additional costs and benefits. Specifically, we ask the following:
     Would the required risk retention threshold for shelf 
eligibility be overly burdensome on issuers? If yes, please provide 
both qualitative and quantitative information to support your position.
     How does the proposed level of risk retention for shelf 
eligibility differ from current industry standards?
     Are there other more cost-effective ways we can 
accommodate issuer practices with respect to risk retention in order to 
lower overall costs without jeopardizing interest alignment?
     Who will bear the costs of the risk retention shelf 
eligibility condition? How would the proposed risk retention shelf 
eligibility condition impact borrowers?
     Would the proposed risk retention shelf eligibility 
condition impose costs in addition to those identified above, such as 
costs arising from systems changes and restructuring business practices 
to account for the new risk retention requirements?
     Are the cost estimates per ABS issuance estimated by the 
Commission in line with industry's expectations?
     Would these proposals affect originators by making 
publicly available asset data that makes it possible to infer their 
loan pricing model? Is it possible to quantify or mitigate such 
effects?
     Do you believe that the proposed disclosure requirements 
will impose costs on other market participants, including firms that 
currently provide asset-level data information and waterfall computer 
code for a fee?
     Do the proposed disclosure requirements strike an 
appropriate balance in requiring sufficient pool-level information? Do 
you believe that providing more pool-level information will affect 
investors' willingness to analyze the individual assets comprising the 
pool? If so, what might be the consequences of such an outcome?
     Are our estimates for costs of disclosing and tagging 
asset data file appropriate?
     What type of burden would the proposed waterfall computer 
program requirement impose on ABS issuers? What is the magnitude of 
that burden?
     What are the costs of our proposal to require that more 
information be disclosed to the investor when a sale is made in 
reliance on the Rule 144A or Regulation D safe harbors? Are those costs 
justified by the benefits provided by the proposals?

XII. Consideration of Burden on Competition and Promotion of 
Efficiency, Competition and Capital Formation

    Section 23(a) of the Exchange Act \583\ requires the Commission, 
when making rules and regulations under the Exchange Act, to consider 
the impact a new rule would have on competition. Section 23(a)(2) 
prohibits the Commission from adopting any rule that would impose a 
burden on competition not necessary or appropriate in furtherance of 
the purposes of the Exchange Act. Section 2(b) of the Securities Act 
\584\ and Section 3(f) of the Exchange Act \585\ require the 
Commission, when engaging in rulemaking that requires it to consider 
whether an action is necessary or appropriate in the public interest, 
to consider, in addition to the protection of investors, whether the 
action would promote efficiency, competition, and capital formation. 
Below, we address these issues for each of the proposed substantive 
changes to ABS offerings.
---------------------------------------------------------------------------

    \583\ 15 U.S.C. 78w(a).
    \584\ 15 U.S.C. 77b(b).
    \585\ 15 U.S.C. 78c(f).
---------------------------------------------------------------------------

A. Shelf Registration Requirements

1. Risk Retention
    The impact of our proposed shelf eligibility condition to require 
that issuers retain a certain amount of risk in each tranche of the 
securitization is similar to the existing regulations imposed by the 
EU. Under EU

[[Page 23415]]

regulations, certain investing institutions may not hold a position in 
asset-backed securities unless the sponsor or originator agrees to 
retain a certain amount of the exposures in the securitization. Because 
the EU- and the U.S.-issued shelf registered ABS (which had comprised 
most of the publicly offered ABS market) would then have comparable 
risk retention features, our proposed shelf eligibility condition 
should not cause a reduction in U.S. competitiveness from the status 
quo that existed prior to the current EU regulations.
    Risk retention may have the additional effect on capital adequacy 
for those issuers who are subject to the regulatory capital 
requirements. The risk retention requirement may put sponsors subject 
to regulatory capital requirements at a competitive disadvantage with 
those who are not.
    In addition, we recognize that some issuers may not wish to retain 
risk and requiring those issuers to retain risk in order to conduct a 
shelf offering could reduce the investment alternatives available to 
investors. Therefore, our proposal would allow an issuer to register an 
offering on proposed Form SF-1 without retaining risk. The tradeoff 
facing the issuer is that offers on proposed Form SF-1 would likely 
have a longer wait before being able to go to market, for instance 
possibly waiting for the registration statement to be declared 
effective for 60 to 90 days compared to five business days for the 
proposed revised shelf registration procedures. The amount of time in 
non-shelf registration is greater than that of shelf offerings in order 
to allow the Commission staff the ability to review and comment on the 
filing and give investors additional time to consider the issue and 
make a better informed investment decision. These features of our 
proposal could have the pro-competitive effect of providing more 
alternatives to issuers. Alternatively, some or all issuers could 
decide that registration is not an acceptable alternative, which could 
result in fewer alternatives for investors.
    The proposed risk retention shelf eligibility condition promotes 
capital formation and efficiency by improving the alignment of 
sponsors' interest with that of investors. This could result in an 
allocation of capital to the most productive uses and lead to gains in 
overall economic efficiency.
2. Representations and Warranties in Pooling and Servicing Agreements
    One of the problems in the ABS market that was highlighted during 
the financial crisis is the inability to efficiently enforce 
contractual provisions and unilateral modification of those ABS 
provisions. Our proposed ABS shelf eligibility condition relating to 
the representations and warranties stated in a pooling and servicing 
agreement promotes a better understanding of the enforceability of 
those representations and warranties. As a result, investors should 
have greater certainty and transparency about the consequences of 
breaches of the representations and warranties. With respect to shelf 
offerings of ABS, all other things equal, this proposal is 
competitively neutral.
3. Depositor's Chief Executive Officer Certification
    Our ABS shelf eligibility condition that the chief executive 
officer of the depositor certify that to his or her knowledge the 
assets have characteristics that provide a reasonable basis to believe 
that the underlying pool of assets will produce cash flows at times and 
in amounts necessary to service payments on the securities as described 
in the prospectus promotes capital formation by providing investors in 
shelf offerings with additional assurance that the sponsor has 
performed the necessary evaluation of the underlying assets and this 
evaluation is consistent with the disclosure provided in the 
prospectus.
4. Ongoing Exchange Act Reporting
    Our proposals would require that issuers of ABS using shelf 
registration provide ongoing Exchange Act reporting. We believe that 
this will promote both efficiency and capital formation by making 
information useful for monitoring and assessing the performance of both 
the assets and the sponsor available to investors and the markets in 
general. More public information on an ongoing basis should assist 
investors to make better informed decisions on how to allocate capital, 
and should promote allocational efficiency by enabling investors to 
better match their preferences for risk and return.
5. Eliminate Ratings Requirement
    We propose to eliminate the current ABS shelf eligibility condition 
that relies on the ratings provided by an NRSRO. Our proposal, however, 
does not prohibit an investor from using a credit rating in its 
investment decision in an offering under a shelf registration statement 
if they should find this information useful. Rather, we would be 
eliminating the reference to credit ratings in our rules in order to 
reduce the likelihood of undue reliance and remove the appearance of an 
imprimatur that such references may create. This is designed to 
decrease the appearance that we sanction the use of ratings over 
investor analysis in an investment decision. We believe that doing so 
promotes investor protection by reducing the possibility that our rules 
encourage investors to rely unduly on ratings \586\ rather than conduct 
their own analysis of the securities. If the proposals are adopted, 
investors may still utilize ratings. It is also possible that ABS 
sponsors will continue to have their offerings rated. Even if ratings 
agencies see a decline in their business due to this regulation and 
other information being made available by sponsors, we believe that the 
benefits of the proposals would justify these potential indirect costs. 
The proposals provide an efficient means of assessing the quality and 
character of ABS shelf offerings, which thus would not impose a burden 
on competition.
---------------------------------------------------------------------------

    \586\ In other recent actions, we have addressed significant 
issues relating to the credit ratings process by an NRSO, seeking to 
improve the transparency relating to ratings shopping, methodologies 
of rating the securities. See Amendments to Rules for Nationally 
Recognized Statistical Rating Organizations, Release No. 34-61050 
(Nov. 23, 2009); Credit Ratings Disclosure, Release No. 33-9070 
(Oct. 7, 2009) [74 FR 53086]; Proposed Rules for Nationally 
Recognized Statistical Rating Organizations, Release No. 34-61051 
(Nov. 23, 2009)[74 FR 63866].
---------------------------------------------------------------------------

B. Five-Business Day Filing and Prospectus Delivery Requirements

    In the case of shelf registration, once the registration statement 
is effective, we are effectively proposing to increase the time that 
issuers are required to provide information about the offering from no 
minimum to at least five business days before first sale in the 
offering off the shelf. This additional time is designed to provide 
investors with additional time to analyze and understand the risk 
profile of the securities being offered and to make more informed and 
better investment decisions that will improve pricing efficiency, and 
should assist investors to make better informed decisions on how to 
allocate capital.
    Our proposal to require brokers to provide investors with a 
preliminary prospectus at least 48 hours before confirmations are sent 
would apply to all registered ABS offerings, regardless of whether they 
are made under a shelf registration statement. Given that each ABS 
offering requires a consideration of new and different assets, we 
propose to treat ABS offerings in this regard similarly to any other 
initial public offering of securities. Because all registered ABS 
offerings will have the

[[Page 23416]]

same requirement, this proposal is competitively neutral with respect 
to all public issuers.

C. Disclosure

    As a result of the financial crisis and subsequent events, the 
market for securitized assets has suffered dramatically due, in part, 
to the recession, lower housing prices and increased consumer debt 
load--but also because of perceived problems in the securitization 
process that affected investors' willingness to participate in these 
issues. Increased transparency of the underlying assets is valuable 
because it provides better information that should allow the market to 
price these products more accurately. Greater disclosure should give 
investors better tools to evaluate the underlying assets and to 
determine whether or not to invest in the instrument and at what price. 
By doing so, the Commission intends to promote efficient capital 
allocation. Consequently, each of these regulations, described 
individually below, should provide the following:
     Productive efficiency: The underwriter and sponsor are in 
the best position to be the lowest cost providers of the loan level 
information that we are proposing. Making such information available 
will reduce the amount of investor and third party research that is 
repetitive. Requiring that this data be easily machine-readable will 
allow parties to perform, at relatively low cost, larger scale analysis 
than now occurs.
     Allocational efficiency: Investors will be better able to 
match their risk/return preferences with ABS issues having the same 
risk return profile;
     Capital formation: Better disclosure should increase 
demand for these securities that will then be used to increase capital 
formation.\587\
---------------------------------------------------------------------------

    \587\ Indeed, this was the original motivation for the 
Securities Act of 1933 and the Securities Exchange Act of 1934. 
Investing had all but ceased in the Great Depression. The conceptual 
framework for these laws was that increased disclosure would promote 
ethical behavior in the securities industry leading to greater 
investor confidence leading, in turn, to more investment and capital 
formation. Revitalization of the securitization market through 
additional disclosure has also been espoused by others. See, e.g., 
Ralph Atkins and David Oakley, ``Disclosure move aims to revive ABS 
market,'' Financial Times, May 17, 2009 (European Central Bank 
pushing for an increase in the amount of information that has to be 
disclosed about asset-backed securities as part of efforts to revive 
ABS market and encourage investors that have been deterred for lack 
of transparency in the market to buy asset-backed securities) and 
European Central Bank, Public consultation on the provision of ABS 
loan-level information in the Eurosystem collateral framework, 
available at http://www.ecb.int/paym/cons/previous/html/abs.en.html.
---------------------------------------------------------------------------

    We note that some of our proposals refine rules to provide 
investors with a better understanding of the offering, the transaction 
parties, or the material characteristics of the pool assets, including 
the underwriting of the assets. These proposals do not significantly 
change the framework that exists under our current rules for asset-
backed securities.
1. Asset Data File and Waterfall Computer Program
    Under our proposed asset-level disclosure requirements, issuers 
would be required to provide certain standardized information on each 
asset that is in the pool underlying the securities, or on standardized 
groupings in the case of credit card receivables. Such information 
would not only be required at the time of securitization but also on an 
ongoing basis. This should be an efficiency-enhancing requirement 
because issuers and underwriters have ready access to the asset-level 
information that we propose be provided; consequently, the information 
will be publicized by the lowest cost provider. As evidence that this 
is not an onerous burden, some issuers already provide much of the 
information to investors (although such information is not 
standardized). Nonetheless, where we believe the costs in providing 
this information may not be justified in light of the limited benefit 
to investors and with consequent potentially negative effects on 
efficiency, competition and/or capital formation, we are proposing to 
exclude those issuers from the asset-level requirements, or, in the 
case of credit card ABS issuers, to modify the approach. Asset data 
file information requirements are proposed to be applied equally to 
shelf eligible and non-shelf eligible offerings alike, thus applying 
the burdens equally to all publicly offered ABS issuers.
    As described in the Benefit-Cost section above, the proposed asset-
level disclosure requirements are likely to increase competition in 
lending markets by making information more cheaply available. Large 
datasets of loan-level information on credit terms and borrower 
characteristics are now available--but often at a considerable cost to 
subscribers and with incomplete information for some mortgage 
originators of the loans in the underlying pool. The data can be used 
to reverse engineer an originator's lending strategy in general or 
loan-pricing model in particular. Such information can be used by 
lenders to compete more effectively and even more generally can lower 
barriers to entry into geographic or product lending markets. By making 
this information more cheaply available, small loan originators may 
have access in the future to data that only the larger institutions 
could afford. As such, the provision of this data will be pro-
competitive in lending markets.
    We are mindful that forced disclosure of detailed information may 
create disincentives for innovation. At the present time, however, 
asset-level data are sometimes available from third party vendors for a 
price. Consequently, there should be little incremental effect on 
innovation from our proposed disclosure requirement.
    We expect that the proposed asset-level and waterfall-computer-
program disclosure requirements may negatively impact the profitability 
of providers of similar information and products currently being 
marketed. If the individual-asset data and cash-flow generating code 
are available free of charge, investors will no longer have the 
incentive to purchase similar products from third party vendors. Thus, 
some data vendor product market share may be negatively impacted by our 
requirements. However, the free availability of this data could give 
rise to new products from third party vendors who will offer data 
analyses, data analysis services and even user software to process the 
data that has features absent from the proposed waterfall computer 
program requirement.
    Our proposals should benefit consumers because, first, the same 
information will be available at lower cost than is now the case and, 
second, we expect to see innovations in information processing and 
delivery to provide insights to investors that may now be prohibitive.
2. Pay-As-You-Go Registration and Revisions to Registration Process
    Some of our proposals are directed at the format and presentation 
in which information is provided to investors to facilitate analysis of 
offering materials and, thus, promote more efficient capital formation 
through greater understanding of ABS. For example, we propose to 
eliminate the base prospectus and prospectus supplement format for 
disclosure. We believe that this should significantly improve 
disclosure for investors. While we acknowledge that the proposal may 
increase costs for issuers by increasing the number of registration 
statements that must be filed, our proposal to allow a ``pay-as-you-
go'' registration system for ABS issuers should help to offset those 
costs and thereby improve efficiency for ABS issuers.

[[Page 23417]]

3. Restrictions on Use of Regulation AB
    Part of our proposed changes would change the definition of an 
asset-backed security to restrict the types of structures that could be 
utilized under the Regulation AB framework. The proposed revisions 
should impact only a few offerings. Inasmuch as this is basically 
delineating the securities that are not suitable for the Regulation AB 
framework, this action does not significantly change the status quo and 
therefore has no effect on efficiency, competition and capital 
formation.

D. Safe Harbors for Privately-Issued Structured Finance Products

    We also note that some of our changes to registered offerings of 
ABS may make alternate offering mechanisms, such as private placements 
or exempt offerings more attractive. We are proposing to revise our 
rules relating to offers and sales made in reliance on Rule 506 of 
Regulation D and resales made in reliance on Rule 144A to give the 
investors the right to obtain the same level of disclosure as required 
in a registered Form S-1 or proposed Form SF-1 offerings. This in turn 
may make offers and sales pursuant to Section 4(2) of the Securities 
Act or resales pursuant to so-called Section 4(1-\1/2\) more attractive 
to issuers. We think this will promote efficiency by bringing 
transparency to formerly opaque private structured finance product 
market, particular for CDOs and similar products.

E. Combined Effect of Proposals

    If sponsors/issuers bear the costs discussed above, this could put 
private-label RMBS sponsors/issuers at further disadvantage relative to 
government sponsored enterprises \588\ whose RMBS are exempt from SEC 
registration (e.g., Freddie Mac, Fannie Mae and Ginnie Mae). Increasing 
the costs of securitization may give a competitive advantage to 
residential mortgage originators who can securitize through government 
sponsored enterprises and may increase the cost of non-conforming loans 
to borrowers. Such GSEs are not required to disclose loan-level 
information and/or commit to the requirements of SEC registration. If 
the proposed costs are sufficiently high relative to the resulting 
benefits of these regulations to investors, originators could receive a 
better price from selling conforming loans to these agencies as opposed 
to private conduits, thus increasing the competitive advantage of GSEs. 
In addition, the better selling price of conforming loans to GSEs could 
adversely affect originators' incentives to underwrite non-conforming 
loans, since these cannot be securitized through GSEs. The combined 
effect might be a reduction in the number of assets available for 
securitization by non-GSE ABS issuers and could provide GSEs with 
greater market power at the expense of conforming loan lenders and non-
conforming borrowers. We believe that to the extent the consideration 
of risk and return makes non-GSE more attractive than GSEs, this 
competitive advantage could be reduced.
---------------------------------------------------------------------------

    \588\ Ambrose, B. and W., Arthur (2002), ``Measuring Potential 
GSE Funding Advantages,'' The Journal of Real Estate Finance & 
Economics, Vol. 25, No. 2; Passmore, W. (2005), ``The GSE Implicit 
Subsidy and the Value of Government Ambiguity,'' REAL ESTATE 
ECONOMICS, Vol. 33, No. 3, at 465-486.
---------------------------------------------------------------------------

    In summary, taken together the proposed amendments to our 
regulations and forms on asset-backed securities are designed to 
improve investor protection, reduce the likelihood of undue reliance on 
ratings, and increase transparency to market participants. We believe 
that the proposals also would improve investors' confidence in asset-
backed securities and help recovery in the ABS market with attendant 
positive effects on efficiency, competition and capital formation.
    We request comment on our proposed amendments. We request comment 
on whether our proposals would promote efficiency, competition, and 
capital formation. Commenters are requested to provide empirical data 
and other factual support for their views, if possible. We also request 
comment on whether our proposed changes to Exchange Act Rule 15c2-8(b), 
the disclosure requirements and Exchange Act forms would impose a 
burden on competition not necessary or appropriate in furtherance of 
the purposes of the Exchange Act.

XIII. Small Business Regulatory Enforcement Fairness Act

    For purposes of the Small Business Regulatory Enforcement Fairness 
Act of 1996,\589\ a rule is ``major'' if it has resulted, or is likely 
to result in:
---------------------------------------------------------------------------

    \589\ Public Law 104-121, Title II, 110 Stat. 857 (1996).
---------------------------------------------------------------------------

     An annual effect on the U.S. economy of $100 million or 
more;
     A major increase in costs or prices for consumers or 
individual industries; or
     Significant adverse effects on competition, investment, or 
innovation.

We request comment on whether our proposed amendments would be a 
``major rule'' for purposes of the Small Business Regulatory 
Enforcement Fairness Act. We solicit comment and empirical data on:
     The potential effect on the U.S. economy on an annual 
basis;
     Any potential increase in costs or prices for consumers or 
individual industries; and
     Any potential effect on competition, investment, or 
innovation.

XIV. Regulatory Flexibility Act Certification

    The Commission hereby certifies pursuant to 5 U.S.C. 605(b) that 
the proposals contained in this release, if adopted, would not have a 
significant economic impact on a substantial number of small entities. 
The proposals relate to the registration, disclosure and reporting 
requirements for asset-backed securities under the Securities Act and 
the Exchange Act. Securities Act Rule 157 \590\ and Exchange Act Rule 
0-10(a) \591\ defines an issuer, other than an investment company, to 
be a ``small business'' or ``small organization'' if it had total 
assets of $5 million or less on the last day of its most recent fiscal 
year. As the depositor and issuing entity are most often limited 
purpose entities in an ABS transaction, we focused on the sponsor in 
analyzing the potential impact of the proposals under the Regulatory 
Flexibility Act. Based on our data, we only found one sponsor that 
could meet the definition of a small broker-dealer for purposes of the 
Regulatory Flexibility Act.\592\ Accordingly, the Commission does not 
believe that the proposals, if adopted, would have a significant 
economic impact on a substantial number of small entities.
---------------------------------------------------------------------------

    \590\ 17 CFR 230.157.
    \591\ 17 CFR 240.0-10(a).
    \592\ This is based on data from Asset-Backed Alert.
---------------------------------------------------------------------------

XV. Statutory Authority and Text of Proposed Rule and Form Amendments

    We are proposing the new rules, forms and amendments contained in 
this document under the authority set forth in Sections 4, 5, 6, 7, 8, 
10, 17(a), 19(a), and 28 of the Securities Act, Sections 10, 12, 13, 
14, 15, 23(a), 35A and 36 of the Exchange Act, and Section 319 \593\ of 
the Trust Indenture Act.\594\
---------------------------------------------------------------------------

    \593\ 15 U.S.C. 77sss.
    \594\ 15 U.S.C. 77aaa et. seq.
---------------------------------------------------------------------------

List of Subjects in 17 CFR Parts 200, 229, 230, 232, 239, 240, 243 
and 249

    Advertising, Reporting and recordkeeping requirements, Securities.

    For the reasons set out above, Title 17, Chapter II of the Code of 
Federal Regulations is proposed to be amended as follows:

[[Page 23418]]

PART 200--ORGANIZATION; CONDUCT AND ETHICS; AND INFORMATION 
REQUESTS

    1. The authority citation for Part 200 Subpart A continues to read 
in part as follows:


    Authority: 15 U.S.C. 77o, 77s, 77sss, 78d, 78d-1, 78d-2, 78w, 78 
ll(d), 78mm, 80a-37, 80b-11, and 7202, unless otherwise noted.
    Sections 200.27 and 200.30-6 are also issued under 15 U.S.C. 
77e, 77f, 77g, 77h, 77j, 77q, 77u, 78e, 78g, 78h, 78i, 78k, 78m, 
78o, 78o-4, 78q, 78q-1, 78t-1, 78u, 77hhh, 77uuu, 80a-41, 80b-5, and 
80b-9.
    Section 200.30-1 is also issued under 15 U.S.C. 77f, 77g, 77h, 
77j, 78c(b) 78l, 78m, 78n, 78 o(d).
    Section 200.30-3 is also issued under 15 U.S.C. 78b, 78d, 78f, 
78k-1, 78q, 78s, and 78eee.
    Section 200.30-5 is also issued under 15 U.S.C. 77f, 77g, 77h, 
77j, 78c(b), 78l, 78m, 78n, 78o(d), 80a-8, 80a-20, 80a-24, 80a-29, 
80b-3, 80b-4.

    2. Amend Sec.  200.30-1 by adding paragraph (a)(11) to read as 
follows:


Sec.  200.30-1  Delegation of authority to Director of Division of 
Corporation Finance.

* * * * *
    (a) * * *
    (11) To request materials from issuers as required to be furnished 
to the Commission, upon written request, pursuant to Form D (referenced 
in Sec.  239.500 of this chapter) and Form 144A-SF (referenced in Sec.  
239.144A of this chapter).
* * * * *

PART 229--STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES 
ACT OF 1933, SECURITIES EXCHANGE ACT OF 1934 AND ENERGY POLICY AND 
CONSERVATION ACT OF 1975--REGULATION S-K

    3. The authority citation for part 229 continues to read in part as 
follows:

    Authority:  15 U.S.C. 77e, 77f, 77g, 77h, 77j, 77k, 77s, 77z-2, 
77z-3, 77aa(25), 77aa(26), 77ddd, 77eee, 77ggg, 77hhh, 777iii, 
77jjj, 77nnn, 77sss, 78c, 78i, 78j, 78l, 78m, 78n, 78o, 78u-5, 78w, 
78ll, 78mm, 80a-8, 80a-9, 80a-20, 80a-29, 80a-30, 80a-31(c), 80a-37, 
80a-38(a), 80a-39, 80b-11, and 7201 et seq.; and 18 U.S.C. 1350, 
unless otherwise noted.
* * * * *
    4. Amend Sec.  229.512 by:
    a. In paragraph (a)(1)(iii)(B) by adding the phrase ``, Form SF-3 
(Sec.  239.45 of this chapter)'' immediately after the phrase, ``Form 
S-3 (Sec.  239.13 of this chapter)'';
    b. In paragraph (a)(1)(iii)(C) by revising the phrase ``on Form S-1 
(Sec.  239.11 of this chapter) or Form S-3 (Sec.  239.13 of this 
chapter)'' to read ``Form SF-1 (Sec.  239.44 of this chapter) or Form 
SF-3 (Sec.  239.45 of this chapter)'';
    c. Adding paragraphs (a)(5)(iii) and (a)(7); and
    d. Removing paragraph (l).
    The additions read as follows:


Sec.  229.512  (Item 512) Undertakings.

    (a) * * *
    (5) * * *
    (iii) If the registrant is relying on Rule 430D (Sec.  230.430D of 
this chapter):
    (A) Each prospectus filed by the registrant pursuant to Rule 
424(b)(3) and Rule 424(h) (Sec.  230.424(b)(3) and Sec.  230.424(h) of 
this chapter) shall be deemed to be part of the registration statement 
as of the date the filed prospectus was deemed part of and included in 
the registration statement; and
    (B) Each prospectus required to be filed pursuant to Rule 
424(b)(2), (b)(5), or (b)(7) (Sec.  230.424(b)(2), (b)(5), or (b)(7) of 
this chapter) as part of a registration statement in reliance on Rule 
430D relating to an offering made pursuant to Rule 415(a)(1) (vii) 
(Sec.  230.415(a)(1) (vii) of this chapter) for the purpose of 
providing the information required by section 10(a) of the Securities 
Act of 1933 shall be deemed to be part of and included in the 
registration statement as of the earlier of the date such form of 
prospectus is first used after effectiveness or the date of the first 
contract of sale of securities in the offering described in the 
prospectus. As provided in Rule 430D, for liability purposes of the 
issuer and any person that is at that date an underwriter, such date 
shall be deemed to be a new effective date of the registration 
statement relating to the securities in the registration statement to 
which that prospectus relates, and the offering of such securities at 
that time shall be deemed to be the initial bona fide offering thereof. 
Provided, however, that no statement made in a registration statement 
or prospectus that is part of the registration statement or made in a 
document incorporated or deemed incorporated by reference into the 
registration statement or prospectus that is part of the registration 
statement will, as to a purchaser with a time of contract of sale prior 
to such effective date, supersede or modify any statement that was made 
in the registration statement or prospectus that was part of the 
registration statement or made in any such document immediately prior 
to such effective date; or
* * * * *
    (7) If the offering is registered on Form SF-3 (Sec.  239.45) and 
the registrant is relying on Rule 430D (Sec.  230.430D of this 
chapter):
    (i) With respect to any offering of securities to file 
substantially all the information previously omitted from the 
prospectus filed as part of an effective registration statement in 
reliance on Rule 430D (Sec.  230.430D) except for the omission of 
information with respect to the offering price, underwriting discounts 
or commissions, discounts or commissions to dealers, amount of proceeds 
or other matters dependent upon the offering price in accordance with 
Rule 424(h) (Sec.  230.424(h)); and
    (ii) To file reports for each offering that is registered on Form 
SF-3 as would be required by Section 15(d) of the Exchange Act and the 
rules thereunder if the issuer were required to report under that 
section as long as non-affiliates of the depositor hold any of the 
issuer's securities that were sold in registered transactions and 
provide disclosure in the prospectus that is filed as part of the 
registration statement that the registrant has undertaken to, and will, 
file with the Commission reports as would be required by Section 15(d) 
of the Exchange Act and the rules thereunder.
* * * * *
    5. Amend Sec.  229.601 by:
    a. Revising the exhibit table in paragraph (a);
    b. Adding paragraph (b)(36); and
    c. Adding paragraphs (b)(102) through (b)(106).
    The revision and additions read as follows:


Sec.  229.601  Item 601. Exhibits.

    (a) * * *

EXHIBIT TABLE

* * * * *

                                                                      Exhibit Table
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                       Securities Act Forms                                         Exchange Act Forms
                                 -----------------------------------------------------------------------------------------------------------------------
                                                                    S-4                                     F-4             8-K
                                    S-1     S-3    SF-1    SF-3     \1\     S-8    S-11     F-1     F-3     \1\     10      \2\    10-D    10-Q    10-K
--------------------------------------------------------------------------------------------------------------------------------------------------------
(1) Underwriting agreement......       X       X       X       X       X      --       X       X       X       X      --       X      --      --      --

[[Page 23419]]

 
(2) Plan of acquisition,               X       X       X       X       X      --       X       X       X       X       X       X      --       X       X
 reorganization, arrangement,
 liquidation or succession......
(3) (i) Articles of                    X      --       X       X       X      --       X       X      --       X       X       X       X       X       X
 incorporation..................
(ii) Bylaws.....................       X      --       X       X       X      --       X       X      --       X       X       X       X       X       X
(4) Instruments defining the           X       X       X       X       X       X       X       X       X       X       X       X       X       X       X
 rights of security holders,
 including indentures...........
(5) Opinion re legality.........       X       X       X       X       X       X       X       X       X       X      --      --      --      --      --
(6) [Reserved]..................     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A
(7) Correspondence from an            --      --      --      --      --      --      --      --      --      --      --       X      --      --      --
 independent accountant
 regarding non-reliance on a
 previously issued audit report
 or completed interim review....
(8) Opinion re tax matters......       X       X       X       X       X      --       X       X       X       X      --      --      --      --      --
(9) Voting trust agreement......       X      --      --      --       X      --       X       X      --       X       X      --      --      --       X
(10) Material contracts.........       X      --       X       X       X      --       X       X      --       X       X      --       X       X       X
(11) Statement re computation of       X      --      --      --       X      --       X       X      --       X       X      --      --       X       X
 per share earnings.............
(12) Statements re computation         X       X      --      --       X      --       X       X      --       X       X      --      --      --       X
 of ratios......................
(13) Annual report to security        --      --      --      --       X      --      --      --      --      --      --      --      --      --       X
 holders, Form 10-Q or quarterly
 report to security holders \3\.
(14) Code of Ethics.............  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......       X      --  ......       X
(15) Letter re unaudited interim       X       X      --      --       X       X       X       X       X       X      --      --      --       X      --
 financial information..........
(16) Letter re change in               X      --      --      --       X      --       X      --      --      --       X       X      --      --       X
 certifying accountant \4\......
(17) Correspondence on departure      --      --      --      --      --      --      --      --      --      --      --       X      --      --      --
 of director....................
(18) Letter re change in              --      --      --      --      --      --      --      --      --      --      --      --      --       X       X
 accounting principles..........
(19) Report furnished to              --      --      --      --      --      --      --      --      --      --      --      --      --       X      --
 security holders...............
(20) Other documents or               --      --      --      --      --      --      --      --      --      --      --       X      --      --      --
 statements to security holders.
(21) Subsidiaries of the               X      --       X       X       X      --       X       X      --       X       X      --      --      --       X
 registrant.....................
(22) Published report regarding       --      --      --      --      --      --      --      --      --      --      --      --       X       X       X
 matters submitted to vote of
 security holders...............
(23) Consents of experts and           X       X       X       X       X       X       X       X       X       X      --    \5\X    \5\X    \5\X    \5\X
 counsel........................
(24) Power of attorney..........       X       X       X       X       X       X       X       X       X       X       X       X      --       X       X
(25) Statement of eligibility of       X       X       X       X       X      --      --       X       X       X      --      --      --      --      --
 trustee........................
(26) Invitation for competitive        X       X       X       X       X      --      --       X       X       X      --      --      --      --      --
 bids...........................
(27) through (30) [Reserved]....  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......
(31) (i) Rule 13a-14(a)/15d-          --      --      --      --      --      --      --      --      --      --      --      --      --       X       X
 14(a)..........................
Certifications (ii) Rule 13a-14/  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......  ......      --       X
 15d-14 Certifications..........
(32) Section 1350 Certifications      --      --      --      --      --      --      --      --      --      --      --      --      --       X       X
 \6\............................
(33) Report on assessment of          --      --      --      --      --      --      --      --      --      --      --      --      --      --       X
 compliance with servicing
 criteria for asset-backed
 issuers........................
(34) Attestation report on            --      --      --      --      --      --      --      --      --      --      --      --      --      --       X
 assessment of compliance with
 servicing criteria for asset-
 backed securities..............
(35) Servicer compliance              --      --      --      --      --      --      --      --      --      --      --      --      --      --       X
 statement......................
(36) Depositor Certification for      --      --      --       X      --      --      --      --      --      --      --      --      --      --      --
 shelf offerings of asset-backed
 securities.....................
(36) through (98) [Reserved]....     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A     N/A
(99) Additional exhibits........       X       X       X       X       X       X       X       X       X       X       X       X       X       X       X
(100) XBRL-Related Documents....  ......  ......      --      --  ......  ......  ......  ......  ......  ......       X       X  ......       X       X
(101) Interactive Data File.....       X       X      --      --       X      --       X       X       X       X      --       X      --       X       X
(102) Asset Data File...........      --      --       X       X      --      --      --      --      --      --      --       X       X      --      --
(103) Asset Related Documents...      --      --       X       X      --      --      --      --      --      --      --       X       X      --      --
(104) Waterfall Computer Program      --      --       X       X      --      --      --      --      --      --      --       X       X      --      --
(105) Waterfall Computer Program      --      --       X       X      --      --      --      --      --      --      --       X       X      --      --
 Related Documents..............
(106) Static Pool PDF...........      --      --       X       X      --      --      --      --      --      --      --       X      --      --      --
--------------------------------------------------------------------------------------------------------------------------------------------------------


[[Page 23420]]

    (b) * * *
    (36) Depositor certification for shelf offerings of asset-backed 
securities. For any offering of asset-backed securities (as defined in 
Sec.  229.1101) made on a delayed basis under Sec.  230.415(a)(1)(vii), 
provide the certification required by General Instruction I.B.iii. of 
Form SF-3 (referenced in Sec.  239.45) exactly as set forth below:

Certification

    I, [identify the certifying individual,] certify that:
    1. To my knowledge, the securitized assets backing the issue have 
characteristics that provide a reasonable basis to believe that they 
will produce, taking into account internal credit enhancements, cash 
flows at times and in amounts necessary to service any payments of the 
securities as described in the prospectus; and
    2. I have reviewed the prospectus and the necessary documents for 
this certification.

Date:------------------------------------------------------------------

-----------------------------------------------------------------------
[Signature]

-----------------------------------------------------------------------
[Title]

    The certification should be signed by the chief executive officer 
of the depositor, as required by General Instruction I.B.1(c) of Form 
SF-3.
* * * * *
    (102) Asset Data File. An Asset Data File (as defined in Sec.  
232.11 of this chapter) pursuant to, with respect to any registration 
statement on Form SF-1 (Sec.  239.44) or Form SF-3 (Sec.  239.45), 
Items 1111(h) and 1111(i) (Sec.  229.1111(h) and 229.1111(i) of this 
chapter) or, with respect to any distribution report on Form 10-D, Item 
1121(d) and 1121(e) (Sec.  229.1121(d) and 229.1121(e) of this 
chapter).
    (103) Asset Related Documents. (i) If a registrant includes other 
data points in the Asset Data File filed pursuant to (102) of this 
subparagraph, in addition to those required by Schedule L of Regulation 
AB (Sec.  229.1111A of this chapter), Schedule L-D of Regulation AB 
(Sec.  229.1121A of this chapter), or Schedule CC of Regulation AB 
(Sec.  229.1111B of this chapter), a document identifying and setting 
forth the definitions and formulas for each of those additional data 
points and the related tagged data.
    (ii) A document setting forth, in reasonable detail other 
explanatory disclosure regarding the asset-level data file filed 
pursuant to (102) of this paragraph,
    (104) Waterfall Computer Program. A Waterfall Computer Program as 
defined in Item 1113(h) of Regulation AB (Sec.  229.1113(h) of this 
chapter) filed pursuant to, with respect to any registration statement 
on Form SF-1 (Sec.  239.44) or Form SF-3 (Sec.  239.45), Item 1113(h) 
of Regulation AB (Sec.  229.1113(h) of this chapter).
    (105) Waterfall Computer Program Related Documents. If a registrant 
includes additional program functionality in the Waterfall Computer 
Program filed pursuant to (104) of this subparagraph, in addition to 
that required by Item 1113(h) of Regulation AB (Sec.  229.1113(h) of 
this chapter), a document identifying and setting forth in reasonable 
detail the additional program functionality.
    (106) Static Pool. If not included in the prospectus, static pool 
disclosure as required by Item 1105 of Regulation AB (Sec.  229.1105 of 
this chapter).
* * * * *
    6. Amend Sec.  229.1100 by revising paragraph (f) and adding 
paragraph (g) to read as follows:


Sec.  229.1100  (Item 1100) General.

* * * * *
    (f) Filing of required exhibits. Where agreements or other 
documents in this Regulation AB are specified to be filed as exhibits 
to a Securities Act registration statement, such final agreements or 
other documents, if applicable, may be incorporated by reference as an 
exhibit to the registration statement, such as by filing a Form 8-K in 
the case of offerings registered on Form SF-3 (Sec.  239.45 of this 
chapter). They must, however, be filed and made part of the 
registration statement at the latest by the date the final prospectus 
is required to be filed under Securities Act Rule 424 (Sec.  230.424 of 
this chapter).
    (g) Presentation of flow of funds on the transaction. Provide 
information on the flow of funds in the transaction, as required in 
Item 1113 of Regulation AB, including any related definitions of terms, 
in one location in the prospectus.
    7. Amend Sec.  229.1101 by:
    a. Revising paragraph (c)(3)(i);
    b. Revising the references to ``50%'' in paragraphs (c)(3)(ii)(A) 
and (B) to read ``10%''; and
    c. Revising the phrase ``three years'' in paragraph (c)(3)(iii) 
introductory text to read ``one year''.
    The revision reads as follows:


Sec.  229.1101  (Item 1101) Definitions.

* * * * *
    (c) * * *
    (3) * * *
    (i) 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, provided, however, that the securities 
are backed by receivables or other financial assets that arise under 
revolving accounts. Such offering 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.
* * * * *
    8. Amend Sec.  229.1102 by revising paragraph (a) to read as 
follows:


Sec.  229.1102  (Item 1102) Forepart of registration statement and 
outside cover page of the prospectus.

* * * * *
    (a) Identify the sponsor, the depositor and the issuing entity (if 
known). Such identifying information should include a Central Index Key 
number for the depositor and the issuing entity, and if applicable, the 
sponsor.
* * * * *
    9. Amend Sec.  229.1103 by adding an instruction after paragraph 
(a)(2) to read as follows:


Sec.  229.1103  (Item 1103) Transaction summary and risk factors.

* * * * *
    (a) * * *
    (2) * * *
    Instruction to Item 1103(a)(2). What is required is summary 
disclosure tailored to the particular asset pool backing the asset-
backed securities. While the material characteristics will vary 
depending on the nature of the pool assets, summary disclosure may 
include, among other things, statistical information of: The types of 
underwriting or origination programs, exceptions to underwriting or 
origination criteria and, if applicable, modifications made to the pool 
assets after origination.
* * * * *
    10. Amend Sec.  229.1104 by adding new paragraphs (e) and (f) to 
read as follows:


Sec.  229.1104  (Item 1104) Sponsors.

* * * * *
    (e) Describe any interest that the sponsor has retained in the 
transaction, including amount and nature of that interest. If the 
offering is registered on Form SF-1 (Sec.  239.44), provide disclosure 
(if applicable) that the sponsor is not required by law to retain any 
interest in the securities and may sell any interest initially retained 
at any time.
    (f) If the sponsor is required to repurchase or replace any asset 
for

[[Page 23421]]

breach of a representation and warranty pursuant to the transaction 
agreements, provide the following information:
    (1) On a pool by pool basis, the amount, if material, of the 
publicly securitized assets originated or sold by the sponsor that were 
the subject of a demand to repurchase or replace for breach of the 
representations and warranties concerning the pool assets that has been 
made in the prior three years pursuant to the transaction agreements. 
Provide the percentage of that amount that were not then repurchased or 
replaced by the sponsor. Of those assets that were not then repurchased 
or replaced, disclose whether an opinion of a third party not 
affiliated with the sponsor had been furnished to the trustee that 
confirms that the assets did not violate a representation or warranty.
    (2) The sponsor's financial condition to the extent that there is a 
material risk that the financial condition could have a material impact 
on its ability to comply with the provisions relating to the repurchase 
obligations for those assets or otherwise materially impact the pool.
    11. Amend Sec.  229.1105 by:
    a. Adding introductory text;
    b. Revising paragraph (a)(3)(ii);
    c. Adding an instruction to paragraph (a)(3)(ii);
    d. Adding new paragraph (a)(3)(iv); and
    e. Revising paragraph (c).
    The revisions and additions read as follows:


Sec.  229.1105  (Item 1105) Static pool information.

    Describe the static pool information presented. Provide appropriate 
introductory and explanatory information to introduce the 
characteristics, the methodology used in determining or calculating the 
characteristics and any terms or abbreviations used. Include a 
description of how the static pool differs from the pool underlying the 
securities being offered. In addition to a narrative description, the 
static pool information should be presented graphically if doing so 
would aid in understanding.
    (a) * * *
    (3) * * *
    (ii) Present delinquency, cumulative loss and prepayment data for 
each prior securitized pool or vintage origination year, as applicable, 
over the life of the prior securitized pool or vintage origination 
year. The most recent periodic increment for the data must be as of a 
date no later than 135 days after the date of first use of the 
prospectus.
    Instruction to Item 1105(a)(3)(ii). Refer to Item 1100(b) of this 
Regulation AB for presentation of historical delinquency and loss 
information.
* * * * *
    (iv) Provide graphical illustration of delinquencies, prepayments 
and losses for each prior securitized pool or by vintage origination 
year regarding originations or purchases by the sponsor, as applicable 
for that asset type.
* * * * *
    (c) If the information that would otherwise be required by 
paragraph (a)(1), (a)(2) or (b) of this section is not material, but 
alternative static pool information would provide material disclosure, 
provide such alternative information instead. Similarly, information 
contemplated by paragraph (a)(1), (a)(2) or (b) of this section 
regarding a party or parties other than the sponsor may be provided in 
addition to or in lieu of such information regarding the sponsor if 
appropriate to provide material disclosure. In addition, provide other 
explanatory disclosure, including why alternative disclosure is being 
provided and explain the absence of any static pool information 
contemplated by paragraphs (a)(1), (a)(2) or (b) of this section, as 
applicable.
* * * * *
    12. Amend Sec.  229.1106 by adding paragraph (d) to read as 
follows:


Sec.  229.1106  (Item 1106) Depositors.

* * * * *
    (d) Any failure in the last year of an issuing entity established 
by the depositor or any affiliate of the depositor to file or file in a 
timely manner an Exchange Act report that was required either by rule 
or by virtue an undertaking pursuant to Item 512 of Regulation S-K (17 
CFR 229.512).
    13. Amend Sec.  229.1108 by:
    a. Revising in paragraph (a)(3) the phrase ``(c) and (d)'' to read 
``(c), (d), and (e)'';
    b. Removing paragraph (c)(6);
    c. Redesignating paragraphs (c)(7) and (c)(8) as paragraphs (c)(6) 
and (c)(7); and
    d. Adding paragraph (e).
    New paragraph (e) reads as follows:


Sec.  229.1108  (Item 1108) Servicers.

* * * * *
    (e) Describe any interest that the servicer has retained in the 
transaction, including amount and nature of that interest.
    14. Amend Sec.  229.1110 by:
    a. Revising paragraph (a);
    b. Adding paragraph (b)(3); and
    c. Adding paragraph (c).
    The revision and additions read as follows:


Sec.  229.1110  (Item 1110) Originators.

    (a) Identify any originator or group of affiliated originators, 
apart from the sponsor or its affiliates, provided, however, 
identification of an originator is not required if such originator has 
originated, or is expected to originate, less than 10% of the pool 
assets and the cumulative amount of originated assets by parties other 
than the sponsor (or its affiliates) comprises less than 10% of the 
total pool assets.
    (b) * * *
    (3) Describe any interest that the originator has retained in the 
transaction, including amount and nature of that interest.
    (c) For any originator identified under paragraph (b) of this 
section, if such originator is required to repurchase or replace a pool 
asset for breach of a representation and warranty pursuant to the 
transaction agreements, provide the following information:
    (1) On a pool by pool basis, the amount, if material, of the 
publicly securitized assets originated or sold by the originator that 
were the subject of a demand to repurchase or replace for breach of the 
representations and warranties concerning the pool assets that has been 
made in the prior three years pursuant to the transaction agreements. 
Provide the percentage of that amount that were not then repurchased or 
replaced by the originator. Of those assets that were not then 
repurchased or replaced, disclose whether an opinion of a third party 
not affiliated with the originator had been furnished to the trustee 
that confirms that the assets did not violate the representations and 
warranties.
    (2) The originator's financial condition to the extent that there 
is a material risk that the financial condition could have a material 
impact on the origination of the originator's assets in the pool or on 
its ability to comply with the provisions relating to the repurchase 
obligations for those assets.
    15. Amend Sec.  229.1111 by:
    a. Revising paragraph (a)(3);
    b. Redesignating paragraphs (a)(5) and (a)(6) and Instruction to 
Item 1111(a)(6) as paragraphs (a)(6) and (a)(7) and Instruction to Item 
1111(a)(7);
    c. Adding new paragraph (a)(5);
    d. Revising paragraph (e); and
    e. Adding paragraphs (h) and (i).
    The additions and revisions read as follows:


Sec.  229.1111  (Item 1111) Pool assets.

* * * * *
    (a) * * *
    (3) A description of the solicitation, credit-granting or 
underwriting criteria used to originate or purchase the pool

[[Page 23422]]

assets, including any changes in such criteria and the extent to which 
such policies and criteria are or could be overridden. Disclosure on 
the underwriting of assets that deviate from the disclosed criteria 
must be accompanied by data on the amount and characteristics of those 
assets that did not meet the disclosed standards. If disclosure is 
provided regarding compensating or other factors, if any, that were 
used to determine that those assets should be included in the pool, 
despite not having met the disclosed underwriting standards, describe 
those factors and provide data on the amount of assets in the pool that 
are represented as meeting those factors and the amount of assets that 
do not meet those factors.
* * * * *
    (5) The steps undertaken by the originator to verify the 
information used in the solicitation, credit-granting or underwriting 
of the pool assets.
* * * * *
    (e) Representations and warranties and modification provisions 
relating to the pool assets. Provide the following information:
    (1) Representations and warranties. (i) Summarize any 
representations and warranties made concerning the pool assets by the 
sponsor, transferor, originator or other party to the transaction, and 
describe briefly the remedies available if those representations and 
warranties are breached, such as repurchase obligations.
    (ii) Describe any representation and warranty relating to fraud in 
the origination of the assets. If none, so state.
    (2) Modification provisions. Describe any provisions in the 
transaction agreements governing the modification of the terms of any 
asset, including how modification may affect cash flows from the assets 
or to the securities.
* * * * *
    (h) Asset-level information. Provide asset-level information for 
each asset in the pool in a manner specified in Schedule L (Sec.  
229.1111A). This paragraph (h) does not apply to issuers of asset-
backed securities backed primarily by receivables due on credit cards, 
charge cards or stranded costs. State in the prospectus that the 
information provided in response to this subparagraph and Schedule L is 
provided as a machine-readable data file filed with the Securities and 
Exchange Commission on its Web site at www.sec.gov. Identify the CIK 
and file number.
    (1) If the information is part of a prospectus filed with a 
registration statement on Form SF-1 (Sec.  239.44) or in accordance 
with Rule 424(h) (Sec.  230.424(h)), provide the information as of a 
measurement date, unless otherwise specified. For purposes of this 
subparagraph, the measurement date is a date designated by the 
registrant that is as recent as practicable.
    (2) If the information is part of a final prospectus meeting the 
requirements of section 10(a) of the Securities Act (15 U.S.C. 
77j(a)(a)) filed in accordance with Rule 424(b) (Sec.  230.424(b)), 
provide the information as of the cut-off date as specified in the 
instruments governing the transaction (i.e., the date on and after 
which collections on the pool assets accrue for the benefit of the 
asset-backed security holders).
    (3) If the information is part of a report filed on Form 8-K 
(referenced in Sec.  249.308) in accordance with Item 6.05, provide the 
information as of the cut-off date as specified in the instruments 
governing the transaction, unless otherwise specified.
    (i) Credit card pool information. If the asset-backed securities 
are backed primarily by receivables due on credit cards or charge 
cards, provide the information for the underlying pool in a manner 
specified in Schedule CC (Sec.  229.1111B). State in the prospectus 
that the information provided in response to this subparagraph and 
Schedule CC is provided as a machine-readable data file filed with the 
Securities and Exchange Commission on its website at www.sec.gov. 
Identify the CIK of the issuer and file number.
    (1) If the information is part of a prospectus filed in accordance 
with Rule 424(h) (Sec.  230.424(h)), or if the information is part of a 
final prospectus meeting the requirements of section 10(a) of the 
Securities Act (15 U.S.C. 77j(a)(a)) filed in accordance with Rule 
424(b) (Sec.  230.424(b)), provide the information as of a measurement 
date. Identify the measurement date in the prospectus. For purposes of 
this paragraph, the measurement date is a date designated by the 
registrant that is as recent as practicable.
    (2) If the information is part of a report filed on Form 8-K 
(referenced in Sec.  249.308) in accordance with Item 6.05, provide the 
information as of a measurement date.
    16. Add Sec.  229.1111A to read as follows:


Sec.  229.1111A  (Item 1111A) Asset-level information.

Schedule L

    Note A. Submit the disclosures as an Asset Data File (as defined 
in Sec.  232.11 of this chapter) in the format required by the EDGAR 
Filer Manual. See Rule 301 of Regulation S-T (Sec.  232.301 of this 
chapter).
    Instruction. The following definitions apply to the terms used 
in this schedule unless otherwise specified:
    MI. Mortgage insurance.
    Underwritten. The amount of revenues or expenses adjusted based 
on a number of assumptions made by the mortgage originator or 
seller.
    Item 1. General. Provide the following data for each asset in 
the asset pool:
    (a) Information related to the asset. (1) Asset number type. 
Identify the source of the asset number used to specifically 
identify each asset in the pool.
    Instruction to Item 1(a)(1). Asset number types that will 
satisfy the requirements of this subparagraph may be generated by 
organizations such as CUSIP Global Services (CUSIP), the American 
Securitization Forum (ASF Universal Link) or MERS (Mortgage 
Identification Number); by the registrant; or by using the 
convention ``[CIK number]--[Sequential asset number]''.
    (2) Asset number. Provide the unique ID number of the asset.
    Instruction to Item 1(a)(2). The asset number should be the same 
number that will be used to identify the asset for all reports that 
would be required of an issuer under Sections 13(a) or 15(d) of the 
Exchange Act.
    (3) Asset group number. For structures with multiple collateral 
groups, indicate the collateral group number in which the asset 
falls.
    (4) Originator. Identify the name or MERS organization number of 
the originator entity. If the asset is a security, identify the name 
of the issuer.
    (5) Origination date. Provide the date of asset origination. For 
revolving asset master trusts, provide the origination date of the 
receivable that will be added to the asset pool.
    (6) Original asset amount. Indicate the dollar amount of the 
asset at the time of origination.
    (7) Original asset term. Indicate the initial number of months 
between asset origination and the asset maturity date.
    (8) Asset maturity date. Indicate the month and year in which 
the final payment on the asset is scheduled to be made.
    (9) Original amortization term. Indicate the number of months in 
which the asset would be retired if the amortizing principal and 
interest payment were to be paid each month.
    (10) Original interest rate. Provide the rate of interest at the 
time of origination of the asset.
    (11) Interest type. Indicate whether the interest rate 
calculation method is simple or actuarial.
    (12) Amortization type. Indicate whether the interest rate on 
the asset is fixed or adjustable.
    (13) Original interest only term. Indicate the number of months 
in which the obligor is permitted to pay only interest on the asset.
    (14) First payment date. Provide the date of the first scheduled 
payment.
    (15) Primary servicer. Identify the name or MERS organization 
number of the entity that services or will have the right to service 
the asset.

[[Page 23423]]

    (16) Servicing fee--percentage. If the servicing fee is based on 
a percentage, indicate the percentage of monthly servicing fee paid 
to all servicers as a percentage of the Original Contract Amount.
    (17) Servicing fee--flat-dollar. If the servicing fee is based 
on a flat-dollar amount, indicate the monthly servicing fee paid to 
all servicers as a dollar amount.
    (18) Servicing advance methodology. Indicate the code that 
describes the manner in which principal and/or interest are to be 
advanced by the servicer.
    (19) Defined underwriting indicator. Indicate yes or no whether 
the loan or asset was made as an exception to a defined and/or 
standardized set of underwriting criteria.
    (20) Measurement date. The date the loan or asset-level data is 
provided in accordance with Item 1111(h)(1) of Regulation AB (Sec.  
229.1111(h)(1)).
    (b) Updated information as of the cut-off date. (1) Cut-off 
date. Indicate the date on and after which collections on the pool 
assets accrue for the benefit of the asset-backed security holders.
    (2) Current asset balance. Indicate the outstanding principal 
balance of the asset as of the cut-off date.
    (3) Current interest rate. Indicate the interest rate in effect 
on the asset as of the cut-off date.
    (4) Current payment amount due. Indicate the next total payment 
due to be collected.
    (5) Current delinquency status. Indicate the number of days the 
obligor is delinquent as determined by the governing transaction 
agreement.
    (6) Number of days payment is past due. If an obligor has not 
made the full scheduled payment, indicate the number of days between 
the scheduled payment date and the cut-off date.
    (7) Current payment status. Indicate the number of payments the 
obligor is past due as of the cut-off date. A payment is considered 
past due if it has not been received by the end of the day 
immediately preceding the next due date.
    (8) Remaining term to maturity. Indicate the number of months 
between the cut-off date and the asset maturity date.
    Item 2. Residential mortgages. If the asset pool contains 
residential mortgages, provide the following data for each loan in 
the asset pool:
    (a) Information related to the loan.
    (1) Loan purpose. Specify the code which describes the purpose 
of the loan.
    (2) Lien position. Indicate the code that describes the lien 
position for the loan.
    (3) Prepayment penalty indicator. Indicate yes or no as to 
whether the obligor is subject to prepayment penalties.
    (4) Negative amortization indicator. Indicate yes or no as to 
whether the loan allows negative amortization.
    (5) Mortgage modification indicator. Indicate yes or no as to 
whether the loan has been modified.
    (6) Mortgage insurance requirement indicator. Indicate yes or no 
as to whether the mortgage insurance is or was required as a 
condition for originating the loan.
    (7) Balloon indicator. Indicate yes or no as to whether the loan 
documents require a lump-sum payment of principal at maturity.
    (8) Cash out amount. Provide the amount of cash the obligor will 
receive at the closing of the loan on a refinance transaction.
    (9) Broker. Indicate yes or no as to whether a broker originated 
or was involved in the origination of the loan.
    (10) Channel. Specify the code that describes the source from 
which the Issuer obtained the loan.
    (11) NMLS loan originator number. Specify the National Mortgage 
License System registration number of the loan originator.
    (12) NMLS loan origination company number. Specify the National 
Mortgage License System registration number of the company that 
originated the loan.
    (13) Buy down period. Indicate the total number of months during 
which any buy down is in effect, representing the accumulation of 
all buy down periods.
    (14) Interest paid through date. Provide the date through which 
interest is paid with the current payment, which is the effective 
date from which interest will be calculated for the application of 
the next payment.
    (15) Loan delinquency advance days count. Indicate the number of 
days after which a servicer can stop advancing funds on a delinquent 
loan.
    (16) Junior mortgage balance. For first mortgages with 
subordinate liens at the time of origination, provide the amount of 
the combined balance of the subordinate liens.
    (17) Information related to junior liens. If the loan is not a 
first mortgage, provide the following additional information for 
each non-first mortgage:
    (i) Senior loan amount(s). For non-first mortgages, provide the 
total amount of the balances of all associated senior mortgages at 
the time of origination of the subordinate lien.
    (ii) Loan type of most senior lien. For non-first mortgages, 
indicate the code that describes the loan type of the first 
mortgage.
    (iii) Hybrid period of most senior lien. For non-first mortgages 
where the associated first mortgage is a hybrid ARM, provide the 
number of months remaining in the initial fixed interest rate period 
for the first mortgage.
    (iv) Negative amortization limit of most senior lien. For non-
first mortgages where the associated first mortgage features 
negative amortization, indicate the negative amortization limit of 
the mortgage as a percentage of the original unpaid principal 
balance.
    (v) Origination date of most senior lien. For non-first 
mortgages, provide the origination date of the associated first 
mortgage.
    (18) Information related to ARMs. If the loan is an ARM, provide 
the following additional information for each loan:
    (i) ARM index. Specify the code that describes the index on 
which an adjustable interest rate is based.
    (ii) ARM margin. Indicate the number of percentage points that 
is added to the current index value to establish the new note rate 
at each interest rate adjustment date.
    (iii) Fully indexed interest rate. Indicate the fully indexed 
interest rate.
    (iv) Initial fixed rate period for hybrid ARM. If the interest 
rate is initially fixed for a period of time, indicate the number of 
months between the first payment date of the mortgage and the first 
interest rate adjustment date.
    (v) Initial interest rate decrease. Indicate the maximum 
percentage by which the mortgage note rate may decrease at the first 
interest rate adjustment date.
    (vi) Initial interest rate increase. Indicate the maximum 
percentage by which the mortgage note rate may increase at the first 
interest rate adjustment date.
    (vii) Index lookback. Provide the number of days prior to an 
interest rate effective date used to determine the appropriate index 
rate.
    (viii) Subsequent interest rate reset period. Indicate the 
number of months between subsequent rate adjustments.
    (ix) Lifetime rate ceiling. Indicate the percentage of the 
maximum interest rate that can be in effect during the life of the 
loan.
    (x) Lifetime rate floor. Indicate the percentage of the minimum 
interest rate that can be in effect during the life of the loan.
    (xi) Next adjustment date. Provide the next scheduled date on 
which the mortgage note rate adjusts.
    (xii) Subsequent interest rate decrease. Provide the maximum 
percentage by which the interest rate may decrease at each rate 
adjustment date after the initial adjustment.
    (xiii) Subsequent interest rate increase. Provide the maximum 
percentage by which the interest rate may increase at each rate 
adjustment date after the initial adjustment.
    (xiv) Subsequent payment reset period. Indicate the number of 
months between payment adjustments after the first interest rate 
adjustment date.
    (xv) ARM round indicator. Indicate the code that describes 
whether an adjusted interest rate is rounded to the next higher 
adjustable rate mortgage round factor, to the next lower round 
factor, or to the nearest round factor.
    (xvi) ARM round percentage. Indicate the percentage to which an 
adjusted interest rate is to be rounded.
    (xvii) Option ARM indicator. Indicate yes or no as to whether 
the loan is an Option ARM.
    (xviii) Payment method after recast. Specify the code that 
describes the means of computing the lowest monthly payment 
available to the obligor after recast.
    (xix) Initial minimum payment. Provide the amount of the initial 
minimum payment the obligor is permitted to make.
    (xx) Convertible indicator. Indicate yes or no as to whether the 
obligor of the loan has an option to convert an adjustable interest 
rate to a fixed interest rate during a specified conversion window.
    (xxi) HELOC indicator. Indicate yes or no as to whether the loan 
is a Home Equity Line of Credit (HELOC).
    (xxii) HELOC draw period. Indicate the original maximum number 
of months during which the obligor may draw funds against the HELOC 
account.
    (19) Information related to prepayment penalties. If the obligor 
is subject to prepayment penalties, provide the following additional 
information for each loan:
    (i) Prepayment penalty calculation. Specify the code that 
describes the method for calculating the prepayment penalty for the 
loan.

[[Page 23424]]

    (ii) Prepayment penalty type. Specify the code that describes 
the type of prepayment penalty.
    (iii) Prepayment penalty total term. Provide the total number of 
months that the prepayment penalty may be in effect.
    (20) Information related to negative amortization. If the loan 
allows for negative amortization, provide the following additional 
information for each loan:
    (i) Negative amortization limit. Specify the maximum dollar 
amount of negative amortization that is allowed before it is 
required to recalculate the fully amortizing payment based on the 
new loan balance.
    (ii) Initial negative amortization recast period. Indicate the 
number of months in which negative amortization is allowed.
    (iii) Subsequent negative amortization recast period. Indicate 
the number of months after which the payment is required to recast 
after the first recast period.
    (iv) Current negative amortization balance amount. Provide the 
amount of the current negative amortization balance accumulated.
    (v) Initial fixed payment period. Indicate the number of months 
after the origination of the loan during which the payment is fixed.
    (vi) Initial periodic payment cap. Indicate the maximum 
percentage by which a payment can change (increase or decrease) in 
the first period.
    (vii) Subsequent periodic payment cap. Indicate the maximum 
percentage by which a payment can change (increase or decrease) in 
one period after the initial cap.
    (viii) Initial minimum payment reset period. Provide the maximum 
number of months an obligor can initially pay the minimum payment 
before a new minimum payment is determined.
    (ix) Subsequent minimum payment reset period. Provide the 
maximum number of months an obligor can pay the minimum payment 
before a new minimum payment is determined after the initial period.
    (x) Current minimum payment. Provide the amount of current 
minimum payment.
    (21) Information related to modifications. If the loan has been 
modified, provide information related to the most recent 
modification.
    (i) Number of modifications. Provide the number of times that 
the loan has been modified.
    (ii) Loan modification event type. Specify the code that 
describes the type of action that has modified the loan terms.
    (iii) Loan modification effective date. Provide the date on 
which the modification of the loan has gone into effect.
    (iv) Updated DTI (front-end). Provide the updated front-end DTI 
ratio, calculated by dividing the total monthly housing expense by 
total monthly income.
    (v) Updated DTI (back-end). Provide the updated back-end DTI 
ratio, calculated by dividing the total monthly debt expense by the 
total monthly income.
    (vi) Modification effective payment date. Indicate the date of 
the first payment due after the loan modification.
    (vii) Total capitalized amount. Provide the amount added to the 
principal balance of a loan due to the modification.
    (viii) Total deferred amount. Provide the deferred amount that 
is non-interest bearing.
    (ix) Pre-modification interest rate. Provide the most recent 
scheduled interest rate preceding the Modification Effective Payment 
Date.
    (x) Pre-modification principal and interest payment. Provide the 
most recent scheduled total principal and interest payment amount 
preceding the Modification Effective Payment Date.
    (xi) Forgiven principal amount. Provide the total amount of all 
principal balance reductions as a result of loan modification over 
the life of the loan.
    (xii) Forgiven interest amount. Provide the total amount of all 
interest forgiven as a result of loan modification over the life of 
the loan.
    (b) Information related to the property.
    (1) Geographic location. Specify the location of the property by 
providing the Metropolitan Statistical Area, Micropolitan 
Statistical Area, or Metropolitan Division, as applicable.
    (2) Occupancy status. Specify the code that describes the 
property occupancy status.
    (3) Sales price. Provide the negotiated price of a given 
property between the buyer and seller.
    (4) Property type. Specify the code that describes the type of 
property that secures the loan.
    (5) Original appraised property value. Provide the appraised 
value amount of the property used to approve the loan.
    (6) Original property valuation type. Specify the code that 
describes the method by which the property value was reported at the 
time of underwriting.
    (7) Original property valuation date. Specify the date on which 
the original property value was reported.
    (8) Original automated valuation model (AVM) model name. Provide 
the code that indicates the name of the AVM model if an AVM was used 
to determine the original property valuation.
    (9) Original AVM confidence score. Provide the confidence score 
presented on the AVM report of the original property value.
    (10) Most recent property value. If an additional property 
valuation was obtained after the Original Appraised Property Value, 
provide the most recent property value.
    (11) Most recent property valuation type. Specify the code that 
describes the method by which the Most Recent Property Value was 
reported.
    (12) Most recent property valuation date. Specify the date on 
which the Most recent property value was reported.
    (13) Most recent AVM model name. Provide the code indicating the 
name of the AVM model if an AVM was used to determine the most 
recent property value.
    (14) Most recent AVM confidence score. Provide the confidence 
score presented on the AVM report of the most recent property value.
    (15) Original combined loan-to-value (CLTV). Provide the ratio 
obtained by dividing the amount of all known outstanding mortgage 
liens on a property at origination by the lesser of the original 
appraised property value or the sales price.
    (16) Original loan-to-value (LTV). Provide the ratio obtained by 
dividing the amount of the original mortgage loan at origination by 
the lesser of the original appraised property value or the sales 
price.
    (17) LTV calculation date. Provide the date on which the LTV was 
calculated.
    (18) Original pledged assets. If the obligor pledged financial 
assets to the lender instead of making a down payment, provide the 
total value of assets pledged as collateral for the loan at the time 
of origination.
    (19) Information related to manufactured homes. If loans in the 
pool are collateralized by manufactured homes, provide the following 
additional information:
    (i) Real estate interest. Indicate the code that describes the 
real estate interest of the property on which the manufactured home 
is situated.
    (ii) Community ownership structure. If the manufactured home is 
situated in a community, specify the code that describes the 
ownership of the community.
    (iii) Year of manufacture. Indicate the year in which the home 
was manufactured.
    (iv) HUD code compliance indicator. Indicate yes or no as to 
whether the home was constructed in accordance with the 1976 HUD 
code.
    (v) Gross manufacturer's invoice price. Provide the total amount 
that appears on the manufacturer's invoice of the home.
    (vi) LTI (loan-to-invoice) gross. Provide the ratio of the loan 
amount divided by the gross manufacturer's invoice price.
    (vii) Net manufacturer's invoice price. Provide the amount of 
the gross manufacturer's invoice price minus intangible costs, 
including: Transportation, association, on-site setup, service, and 
warranty costs, taxes, dealer incentives, and other fees.
    (viii) LTI (Net). Provide the ratio of the loan amount divided 
by the net manufacturer's invoice price.
    (ix) Manufacturer name. Provide the name of the manufacturer of 
the subject property.
    (x) Model name. Provide the model name of the subject property.
    (xi) Down payment source. Indicate the code that describes the 
source of the down payment.
    (xii) Community/related party lender indicator. Indicate the 
code describing whether the loan was made by the community owner, an 
affiliate of the community owner or the owner of the real estate 
upon which the collateral is located.
    (xiii) Chattel indicator. Specify the code indicating whether 
the secured property is classified as chattel or real estate.
    (c) Information related to the obligor.
    (1) Obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the obligor.
    (2) Obligor credit score. Provide the standardized credit score 
of the obligor. If the credit score type is FICO, skip to Item 
2(c)(3).
    (3) Obligor FICO score. If the obligor credit score type is 
FICO, provide the standardized FICO credit score of the obligor.
    (4) Co-obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the co-obligor.
    (5) Co-obligor credit score. Provide the standardized credit 
score of the co-obligor. If the credit score type is FICO, skip to 
Item 2(c)(6).

[[Page 23425]]

    (6) Co-obligor FICO score. Provide the standardized FICO credit 
score of the co-obligor.
    (7) Obligor income verification level. Indicate the code 
describing the extent to which the obligor's income has been 
verified.
    (8) Co-obligor income verification. Indicate the code describing 
the extent to which the co-obligor's income has been verified.
    (9) Obligor employment verification. Indicate the code 
describing the extent to which the obligor's employment has been 
verified.
    (10) Co-obligor employment verification. Indicate the code 
describing the extent to which the co-obligor's employment has been 
verified.
    (11) Obligor asset verification. Indicate the code describing 
the extent to which the obligor's assets used to qualify the loan 
have been verified.
    (12) Co-obligor asset verification. Indicate the code describing 
the extent to which the co-obligor's assets used to qualify the loan 
have been verified.
    (13) Liquid/cash reserves. Provide the dollar amount of 
remaining verified liquid assets after the close of the mortgage.
    (14) Number of mortgaged properties. Provide the number of 
properties owned by the obligor that currently secure mortgage 
loans.
    (15) Monthly debt. Provide the dollar amount of the aggregate 
monthly payment due on other debt of the obligor.
    (16) Originator DTI. Provide the total debt to income ratio used 
by the originator to qualify the loan.
    (17) Qualification method. Specify the code that describes type 
of mortgage payment used to qualify the obligor for the loan.
    (18) Percentage of down payment from obligor own Funds. Provide 
the percentage of down payment from obligor own funds other than any 
gift or borrowed funds.
    (19) Number of obligors. Indicate the number of obligors who are 
obligated to repay the mortgage note.
    (20) Self-employment flag. Indicate whether the obligor is self-
employed.
    (21) Current other monthly payment. Provide the total amount per 
month of all payments pertaining to the subject property other than 
principal and interest.
    (22) Length of employment: Obligor. Provide the number of 
complete months of service with the obligor's current employer as of 
the origination date.
    (23) Length of employment: Co-obligor. Provide the number of 
complete months of service with the co-obligor's current employer as 
of the origination date.
    (24) Months bankruptcy. Provide the number of months since any 
obligor was discharged from bankruptcy.
    (25) Months foreclosure. If the obligor has directly or 
indirectly been obligated on any loan that resulted in foreclosure, 
provide the number of months since the foreclosure date.
    (26) Obligor wage income. Provide the dollar amount per month of 
income associated with the obligor's employment.
    (27) Co-obligor wage income. Provide the dollar amount per month 
of income associated with the co-obligor's employment.
    (28) Obligor other income. Provide the dollar amount of the 
obligor's monthly income other than Obligor Wage Income.
    (29) Co-obligor other income. Provide the dollar amount of the 
co-obligor's monthly income other than co-obligor wage income.
    (30) All obligor wage income. Provide the monthly income of all 
obligors derived from employment.
    (31) All obligor total income. Provide the monthly income of all 
obligors.
    (d) Information related to mortgage insurance. If mortgage 
insurance is required on the mortgage, provide the following 
additional information:
    (1) Mortgage insurance company name. Provide the name of the 
entity providing mortgage insurance for the loan.
    (2) Mortgage insurance coverage. Indicate the percentage of 
mortgage insurance coverage obtained.
    (3) Mortgage insurance obtainer. Specify the code that describes 
the party that paid for the mortgage insurance: The obligor, the 
lender, or others.
    (4) Pool insurance company. Provide the name of the pool 
insurance provider.
    (5) Pool insurance stop loss percent. Provide the aggregate 
amount that the pool insurance company will pay, calculated as a 
percentage of the pool balance.
    (6) Mortgage insurance certificate number. Provide the number 
assigned to the individual loan by the mortgage insurance company.
    (7) Mortgage insurance coverage plan type. Specify the code that 
describes coverage category of mortgage insurance applicable to the 
loan.
    Item 3. Commercial mortgages. If the asset pool contains 
commercial mortgages, provide the following data for each loan in 
the asset pool:
    (a) Information related to the loan.
    (1) Lien position. Indicate the code that describes the lien 
position for the loan.
    (2) Loan structure. Indicate the code that describes the type of 
loan structure including the seniority of participated mortgage loan 
components. The code relates to loan within securitization.
    (3) Current remaining term. Provide the number of months until 
the earlier of the scheduled loan maturity or the current 
hyperamortizing date.
    (4) Payment type. Indicate the code that describes the type or 
method of payment for a loan.
    (5) Periodic principal and interest payment. Provide the total 
amount of principal and interest due on the loan in effect as of the 
closing date of the transaction.
    (6) Payment frequency. Indicate the code that describes the 
frequency mortgage loan payments are required to be made.
    (7) Number of properties. Provide the current number of 
properties which serve as mortgage collateral for the loan.
    (8) Grace days allowed. Provide the number of days after a 
mortgage payment is due in which the lender will not require a late 
payment charge in accordance with the loan documents. Does not 
include penalties associated with default interest.
    (9) Current hyper-amortizing date. Provide the current 
anticipated repayment date, after which principal and interest may 
amortize at an accelerated rate, and/or interest expense to 
mortgagor increases substantially as per the loan documents.
    (10) Interest only indicator. Indicate yes or no as to whether 
or not this is a loan for which scheduled interest only is payable, 
whether for a temporary basis or until the full loan balance is due.
    (11) Balloon indicator. Indicate yes or no as to whether the 
loan documents require a lump-sum payment of principal at maturity.
    (12) Prepayment penalty indicator. Indicate yes or no as to 
whether the obligor is subject to prepayment penalties.
    (13) Negative amortization indicator. Indicate yes or no whether 
negative amortization (interest shortage) amounts are permitted to 
be added back to the unpaid principal balance of the loan if monthly 
payments should fall below the true amortized amount.
    (14) Mortgage modification indicator. Indicate yes or no whether 
the loan has been modified.
    (15) Information related to ARMs. If the loan is an ARM, provide 
the following additional information for each loan:
    (i) ARM index. Specify the code that describes the index on 
which an adjustable interest rate is based.
    (ii) First rate adjustment date. Provide the date on which the 
first interest rate adjustment becomes effective.
    (iii) First payment adjustment date. Provide the date on which 
the first adjustment to the regular payment amount becomes effective 
(after the contribution/cut-off date).
    (iv) ARM margin. Indicate the number of percentage points that 
is added to the current index value to establish the new note rate 
at each interest rate adjustment date.
    (v) Lifetime rate ceiling. Indicate the percentage of the 
maximum interest rate that can be in effect during the life of the 
loan.
    (vi) Lifetime rate floor. Indicate the percentage of the minimum 
interest rate that can be in effect during the life of the loan.
    (vii) Periodic rate increase. Provide the maximum percentage the 
interest rate can increase from any period to the next.
    (viii) Periodic rate decrease. Provide the maximum percentage 
the interest rate can decrease from any period to the next.
    (ix) Periodic pay adjustment. Provide the maximum dollar amount 
the principal and interest constant can increase or decrease on any 
adjustment date.
    (x) Periodic pay adjustment. Provide the maximum percentage 
amount the principal and interest constant can increase or decrease 
from any period to the next.
    (xi) Rate reset frequency. Indicate the code describing the 
frequency which the periodic mortgage rate is reset due to an 
adjustment in the ARM index.
    (xii) Pay reset frequency. Indicate the code describing the 
frequency which the periodic mortgage payment will be adjusted.
    (xiii) Index look back. Provide the number of days prior to an 
interest rate adjustment effective date used to determine the 
appropriate index rate.
    (16) Information related to prepayment penalties. If the obligor 
is subject to

[[Page 23426]]

prepayment penalties, provide the following additional information 
for each loan:
    (i) Prepayment lock-out end date. Provide the effective date 
after which the lender allows prepayment of a loan.
    (ii) Yield maintenance end date. Provide the date after which 
yield maintenance prepayment penalties are no longer effective.
    (iii) Prepayment premium end date. Provide the effective date 
after which prepayment premiums are no longer effective.
    (17) Information related to negative amortization. If the loan 
allows for negative amortization, provide the following additional 
information for each loan:
    (i) Maximum negative amortization allowed (% of original 
balance). Provide the maximum percentage of the original loan 
balance that can be added to the original loan balance as the result 
of negative amortization.
    (ii) Maximum negative amortization allowed ($). Provide the 
maximum dollar amount of the original loan balance that can be added 
to the original loan balance as the result of negative amortization.
    (b) Information related to the property. Provide the following 
information for each of the properties that collateralizes a loan 
identified above.
    (1) Property name. Provide the name of the property which serves 
as mortgage collateral. If the property has been defeased, then 
populate with ``defeased.''
    (2) Geographic location. Specify the location of the property by 
providing the zip code.
    (3) Property type. Indicate the code that describes how the 
property is being used.
    (4) Net rentable square feet. Provide the net rentable square 
feet area of a property.
    (5) Number of units/beds/rooms. Provide the number of units/
beds/rooms of a property.
    (6) Year built. Provide the year that the property was built.
    (7) Valuation amount. The valuation amount of the property as of 
the valuation date.
    (8) Valuation source. Specify the code that identifies the 
source of the most recent property valuation.
    (9) Valuation date. The date the valuation amount was 
determined.
    (10) Physical occupancy. Provide the percentage of rentable 
space occupied by tenants. Should be derived from a rent roll or 
other document indicating occupancy.
    (11) Revenue. Provide the total underwritten revenue amount from 
all sources for a property.
    (12) Operating expenses. Provide the total underwritten 
operating expenses. Include real estate taxes, insurance, management 
fees, utilities, and repairs and maintenance.
    (13) Defeasance option start date. Provide the date when the 
defeasance option becomes available.
    (14) Net operating income. Provide the total underwritten 
revenues less total underwritten operating expenses prior to 
application of mortgage payments and capital items for all 
properties.
    (15) Net cash flow. Provide the total underwritten revenue less 
the total underwritten operating expenses and capital costs.
    (16) NOI/NCF indicator. Indicate the code that describes how net 
operating income and net cash flow were calculated.
    (17) DSCR (NOI). Provide the ratio of underwritten net operating 
income to debt service.
    (18) DSCR (NCF). Provide the ratio of underwritten net cash flow 
to debt service.
    (19) DSCR indicator. Indicate the code that describes how DSCR 
was calculated.
    (20) Largest tenant. Identify the tenant that leases the largest 
square feet of the property (based on the most recent annual lease 
rollover review).
    (21) Square feet of largest tenant. Provide total square feet 
leased by the largest tenant.
    (22) Lease expiration of largest tenant. Provide the date of 
lease expiration for the largest tenant.
    (23) Second largest tenant. Identify the tenant that leases the 
second largest square feet of the property (based on the most recent 
annual lease rollover review).
    (24) Square feet of second largest tenant. Provide total square 
feet leased by the second largest tenant.
    (25) Lease expiration of second largest tenant. Provide the date 
of lease expiration for the second largest tenant.
    (26) Third largest tenant. Identify the tenant that leases the 
third largest square feet of the property (based on the most recent 
annual lease rollover review).
    (27) Square feet of third largest tenant. Provide total square 
feet leased by the third largest tenant.
    (28) Lease expiration of third largest tenant. Provide the date 
of lease expiration for the third largest tenant.
    Item 4. Automobile loans. If the asset pool contains vehicle 
loans, provide the following data for each loan in the asset pool:
    (a) Information related to the loan.
    (1) Payment type. Specify the code indicating whether payments 
are required monthly or if a balloon payment is due.
    (2) Subvented. Indicate yes or no as to whether a form of 
subsidy is received on the loan, such as cash incentives or 
favorable financing for the buyer.
    (b) Information related to the property.
    (1) Geographic location of dealer. Provide the zip code of the 
originating dealer.
    (2) Vehicle manufacturer. Provide the name of the manufacturer 
of the vehicle.
    (3) Vehicle model. Provide the name of the model of the vehicle.
    (4) New or used. Indicate whether the vehicle financed is new or 
used.
    (5) Model year. Indicate the model year of the vehicle.
    (6) Vehicle type. Indicate the code describing the vehicle type.
    (7) Vehicle value. Indicate the value of the vehicle at the time 
of origination.
    (8) Source of vehicle value. Specify the code that describes the 
source of the vehicle value.
    (c) Information related to the obligor.
    (1) Obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the obligor.
    (2) Obligor credit score. Provide the standardized credit score 
of the obligor. If the credit score type is FICO, skip to Item 
4(c)(3).
    (3) Obligor FICO score. If the Obligor Credit Score Type is 
FICO, provide the standardized FICO credit score of the obligor.
    (4) Co-Obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the co-obligor.
    (5) Co-Obligor credit score. Provide the standardized credit 
score of the co-obligor. If the credit score type is FICO, skip to 
Item 4(c)(6).
    (6) Co-Obligor FICO score. Provide the standardized FICO credit 
score of the co-obligor.
    (7) Obligor income verification level. Indicate the code 
describing the extent to which the obligor's income has been 
verified.
    (8) Co-obligor income verification. Indicate the code describing 
the extent to which the co-obligor's income has been verified.
    (9) Obligor employment verification. Indicate the code 
describing the extent to which the obligor's employment has been 
verified.
    (10) Co-obligor employment verification. Indicate the code 
describing the extent to which the co-obligor's employment has been 
verified.
    (11) Obligor asset verification. Indicate the code describing 
the extent to which the obligor's assets used to qualify the loan 
have been verified.
    (12) Co-obligor asset verification. Indicate the code describing 
the extent to which the co-obligor's assets used to qualify the loan 
have been verified.
    (13) Length of employment: obligor. Provide the number of 
complete months of service with the obligor's current employer as of 
the origination date.
    (14) Length of employment: co-obligor. Provide the number of 
complete months of service with the co-obligor's current employer as 
of the origination date.
    (15) Obligor wage income. Provide the dollar amount per month of 
income associated with the obligor's employment.
    (16) Co-obligor wage income. Provide the dollar amount per month 
of income associated with the co-obligor's employment.
    (17) Obligor other income. Provide the dollar amount of the 
obligor's monthly income other than obligor wage income.
    (18) Co-obligor other income. Provide the dollar amount of the 
co-obligor's monthly income other than Co-obligor wage income.
    (19) All obligor wage income. Provide the monthly income of all 
obligors derived from employment.
    (20) All obligor total income. Provide the monthly income of all 
obligors.
    (21) Geographic location of obligor. Specify the location of the 
obligor by providing the Metropolitan Statistical Area, Micropolitan 
Statistical Area, or Metropolitan Division, as applicable.
    Item 5. Automobile leases. If the asset pool contains automobile 
leases, provide the following data for each lease in the asset pool:
    (a) Information related to the lease.
    (1) Payment type. Specify the code indicating whether payments 
are required monthly or if a balloon payment is due.
    (2) Subvented. Indicate yes or no as to whether a form of 
subsidy is received on the loan, such as cash incentives or 
favorable financing for the obligor.

[[Page 23427]]

    (b) Information related to the property.
    (1) Geographic location of the dealer. Provide the zip code of 
the originating dealer.
    (2) Vehicle manufacturer. Provide the name of the manufacturer 
of the vehicle.
    (3) Vehicle model. Provide the name of the model of the vehicle.
    (4) New or used. Indicate whether the vehicle financed is new or 
used.
    (5) Model year. Indicate the model year of the vehicle.
    (6) Vehicle type. Indicate code describing the vehicle type.
    (7) Vehicle value. Provide the dollar value of the vehicle at 
the time of origination.
    (8) Source of vehicle value. Specify the code that describes the 
source of the vehicle value.
    (9) Base residual value. Provide the residual value of the 
vehicle at the time of origination.
    (10) Source of base residual value. Specify the code that 
describes the source of the residual value.
    (c) Information related to the obligor.
    (1) Obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the obligor.
    (2) Obligor credit score. Provide the standardized credit score 
of the obligor. If the credit score type is FICO, skip to Item 
5(c)(3).
    (3) Obligor FICO score. If the obligor credit score type is 
FICO, provide the standardized FICO credit score of the obligor.
    (4) Co-obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the co-obligor.
    (5) Co-obligor credit score. Provide the standardized credit 
score of the co-obligor. If the credit score type is FICO, skip to 
Item 5(c)(6).
    (6) Co-obligor FICO Score. Provide the standardized FICO credit 
score of the co-obligor.
    (7) Obligor income verification level. Indicate the code 
describing the extent to which the obligor's income has been 
verified.
    (8) Co-obligor income verification. Indicate the code describing 
the extent to which the co-obligor's income has been verified.
    (9) Obligor employment verification. Indicate the code 
describing the extent to which the obligor's employment has been 
verified.
    (10) Co-obligor employment verification. Indicate the code 
describing the extent to which the co-obligor's employment has been 
verified.
    (11) Obligor asset verification. Indicate the code describing 
the extent to which the obligor's assets used to qualify the loan 
have been verified.
    (12) Co-obligor asset verification. Indicate the code describing 
the extent to which the co-obligor's assets used to qualify the loan 
have been verified.
    (13) Length of employment: obligor. Provide the number of 
complete months of service with the obligor's current employer as of 
the origination date.
    (14) Length of employment: co-obligor. Provide the number of 
complete months of service with the co-obligor's current employer as 
of the origination date.
    (15) Obligor wage income. Provide the dollar amount per month of 
income associated with the obligor's employment.
    (16) Co-obligor wage income. Provide the dollar amount per month 
of income associated with the co-obligor's employment.
    (17) Obligor other income. Provide the dollar amount of the 
obligor's monthly income other than obligor wage income.
    (18) Co-obligor other income. Provide the dollar amount of the 
co-obligor's monthly income other than co-obligor wage income.
    (19) All obligor wage income. Provide the monthly income of all 
obligors derived from employment.
    (20) All obligor total income. Provide the monthly income of all 
obligors.
    (21) Geographic location of obligor. Specify the location of the 
obligor by providing the Metropolitan Statistical Area, Micropolitan 
Statistical Area, or Metropolitan Division, as applicable.
    Item 6. Equipment loans. If the asset pool contains equipment 
loans, provide the following data for each loan in the asset pool:
    (a) Information related to the loan.
    (1) Payment frequency. Specify the code that describes the 
payment frequency on the loan.
    (b) Information related to the property.
    (1) Equipment type. Indicate the code that describes the 
equipment type.
    (2) New or used. Indicate whether the equipment financed is new 
or used.
    (c) Information related to the obligor.
    (1) Obligor industry. Indicate the code that describes the 
industry category of the obligor.
    (2) Geographic location of obligor. Provide the zip code of the 
obligor.
    Item 7. Equipment leases. If the asset pool contains equipment 
leases, provide the following data for each lease in the asset pool:
    (a) Information related to the lease.
    (1) Lease type. Indicate whether the lease is a true lease or a 
finance lease.
    (2) Payment frequency. Indicate the code that describes the 
payment frequency on the lease.
    (b) Information related to the property.
    (1) Equipment type. Indicate the code that describes the 
equipment type.
    (2) New or used. Indicate whether the equipment financed is new 
or used.
    (3) Residual value. Provide the residual value of the equipment 
at the time of origination. For operating leases, provide the value 
of the asset at the end of its useful economic life (i.e., 
``salvage'' or ``scrap value'').
    (4) Source of residual value. Specify the code that describes 
the source of the residual value.
    (c) Information related to the obligor.
    (1) Obligor industry. Indicate the code that describes the 
industry category of the obligor.
    (2) Geographic location of obligor. Provide the zip code of the 
obligor.
    Item 8. Student loans. If the asset pool contains student loans, 
provide the following data for each loan in the asset pool:
    (a) Information related to the loan.
    (1) Subsidized. Indicate whether the loan is subsidized or 
unsubsidized.
    (2) Repayment type. Indicate code that describes the type of 
loan repayment terms.
    (3) Year in repayment. If the loan is in repayment, indicate the 
number of years the loan has been in repayment.
    (4) Guarantee agency. Specify the name of the agency 
guaranteeing the loan.
    (5) Disbursement date. Indicate the date the loan was disbursed 
to the obligor.
    (b) Information related to the obligor.
    (1) Current obligor payment status. Indicate the code describing 
whether the obligor payment status is in-school, grace period, 
deferral, forbearance or repayment.
    (2) Geographic location of obligor. Provide the Metropolitan 
Statistical Area, Micropolitan Statistical Area, or Metropolitan 
Division, as applicable of the obligor.
    (3) School type. Indicate code describing the type of school or 
program.
    (c) Information about private student loans. If the loan was not 
issued under a federally funded program provide the following for 
each loan in the pool:
    (1) Obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the obligor.
    (2) Obligor credit score. Provide the standardized credit score 
of the obligor. If the credit score type is FICO, skip to Item 
8(c)(3).
    (3) Obligor FICO score. Provide the standardized FICO credit 
score of the obligor.
    (4) Co-obligor credit score type. Specify the type of the 
standardized credit score used to evaluate the co-obligor.
    (5) Co-obligor credit score. Provide the standardized credit 
score of the co-obligor. If the credit score type is FICO, skip to 
Item 8(c)(6).
    (6) Co-obligor FICO score. Provide the standardized credit score 
of the co-obligor.
    (7) Obligor income verification level. Indicate the code 
describing the extent to which the obligor's income has been 
verified.
    (8) Co-obligor income verification. Indicate the code describing 
the extent to which the co-obligor's income has been verified.
    (9) Obligor employment verification. Indicate the code 
describing the extent to which the obligor's employment has been 
verified.
    (10) Co-obligor employment verification. Indicate the code 
describing the extent to which the co-obligor's employment has been 
verified.
    (11) Obligor asset verification. Indicate the code describing 
the extent to which the obligor's assets used to qualify the loan 
have been verified.
    (12) Co-obligor asset verification. Indicate the code describing 
the extent to which the co-obligor's assets used to qualify the loan 
have been verified.
    (13) Length of employment: obligor. Provide the number of 
complete months of service with the obligor's current employer as of 
the origination date.
    (14) Length of employment: co-obligor. Provide the number of 
complete months of service with the co-obligor's current employer as 
of the origination date.
    (15) Obligor wage income. Provide the dollar amount per month of 
income associated with the obligor's employment.
    (16) Co-obligor wage income. Provide the dollar amount per month 
of income associated with the co-obligor's employment.
    (17) Obligor other income. Provide the dollar amount of the 
obligor's monthly income other than obligor wage income.

[[Page 23428]]

    (18) Co-obligor other income. Provide the dollar amount of the 
co-obligor's monthly income other than co-obligor wage income.
    (19) All obligor wage income. Provide the monthly income of all 
obligors derived from employment.
    (20) All obligor total income. Provide the monthly income of all 
obligors.
    Item 9. Floorplan financings. If the asset pool contains 
receivables arising from floorplan financings, provide the following 
data for each loan in the asset pool:
    (a) Information related to the loan.
    (1) Account origination date. Provide the date of account 
origination.
    (b) Information related to the property.
    (1) Product line. Indicate the code describing the type of 
inventory product line.
    (2) New or used. Indicate whether the collateral securing the 
loan is new or used.
    (c) Information related to the obligor.
    (1) Credit score type. Specify the type of the standardized 
credit score used to evaluate the obligor.
    (2) Credit score. Provide the standardized credit score of the 
obligor.
    (3) Geographic location of obligor. Provide the zip code of the 
obligor.
    (d) If the issuing entity is structured as a master trust that 
has previously issued securities, provide the information as 
required by Items 1 and 9 of Schedule L-D (Sec.  229.1121A) for 
assets that were part of the pool prior to the current offering.
    Item 10. Corporate debt. If the registrant's pool assets include 
corporate debt securities of another issuer, provide the following 
data for each security in the asset pool:
    (a) Title of underlying security. Specify the title of the 
underlying security.
    (b) Denomination. Give the minimum denomination of the 
underlying security.
    (c) Currency. Specify the currency of the underlying security.
    (d) Trustee. Specify the name of the trustee.
    (e) Underlying SEC file number. Specify the registration 
statement file number of the registration of the offer and sale of 
the underlying security.
    (f) Underlying CIK number. Specify the CIK number of the issuer 
of the underlying security.
    (g) Callable. Indicate whether the security is callable.
    (h) Payment frequency. Indicate the code describing the 
frequency of payments that will be made on the underlying security 
or agreement.
    (i) Zero Coupon indicator. Indicate yes or no as to whether an 
underlying security or agreement is interest bearing.
    Item 11. Resecuritizations.
    (a) If the registrant's pool assets include asset-backed 
securities of another issuer, provide the asset-level information as 
required by Item 9. Corporate Debt in this Schedule L.
    (b) Provide asset-level information as specified in this 
Schedule L and Item 1111(h) (Sec.  229.1111(h)) for the assets 
backing those securities.
* * * * *
    17. Add Sec.  229.1111B to read as follows:


Sec.  229.1111B  (Item 1111B) Grouped account data for credit card 
pools.

Schedule CC

    Note A. Submit the disclosures as an Asset Data File (as defined 
in Sec.  232.11 of this chapter) in the format required by the EDGAR 
Filer Manual. See Rule 301 of Regulation S-T (Sec.  232.301 of this 
chapter).
* * * * *
    Provide the information regarding the underlying asset pool 
required by paragraph (b) in all specified combinations of 
distributional groups for each pool characteristic specified in 
paragraph (a) below. Designate a grouped account data line number to 
each individual combination of distributional groups.
    (a) Distributional groups.
    (1) Credit score. If the credit score is FICO, provide each of 
the following credit score distributional groups: (1) less than 500; 
(2) 500-549; (3) 550-599; (4) 600-649; (5) 650-699; (6) 700-749; (7) 
750-799; (8) 800 and over; and (9) unknown.
    (2) Number of days past due. Provide each of the following 
number of days past due distributional groups: (1) current; (2) less 
than 30 days; (3) 30-59 days; (4) 60-89 days; (5) 90-119 days; (6) 
120-149 days; (7) 150-179 days; and (8) 180 days and over.
    (3) Account age. Provide each of the following account age 
distributional groups: (1) less than 12 months; (2) 12 to 24 months; 
(3) 24 to 36 months; (4) 36 to 48 months; (5) 48 to 60 months; and 
(6) over 60 months.
    (4) State. Provide the top 10 states for aggregate account 
balance. The remaining accounts should be grouped into the category 
``other.''
    (5) Adjustable rate index. Provide the following groups of bases 
for the adjustable rate indexes: (1) fixed; (2) prime; and (3) 
other.
    (b) Information required. Provide the following information for 
each combination of distributional groups specified in paragraph 
(a):
    (1) Aggregate credit limit. Provide the aggregate credit limit 
for all accounts included in each representative line.
    (2) Aggregate account balance. Provide the aggregate account 
balance for all accounts included in each representative line.
    (3) Number of accounts. Provide the total number of accounts 
included in each representative line.
    (4) Weighted average APR. Provide the weighted average annual 
percentage rate (APR) of all accounts included in each 
representative line.
    (5) Weighted average net APR. Provide the weighted average net 
annual percentage rate (APR) of all accounts included in each 
representative line. Weighted average net APR is the weighted 
average APR less servicing fees.
    Instruction. The table below illustrates how the distributional 
groups in paragraph (a) and the information requirements in 
paragraph (b) relate to each other. A single line, or ``grouped 
account data'' line should disclose the aggregate credit limit, 
aggregate account balance, number of accounts, weighted average APR 
and weighted average net coupon of the accounts that possess the 
multiple characteristics designated by that grouped account data 
line. The combination of all distributional groups should produce 
14,256 grouped account data lines representing composition of the 
entire underlying asset pool. For example, grouped account data line 
2 in the table below presents the information required by paragraph 
(b) by combining all the credit card accounts in the underlying pool 
that fall within the 500-549 credit score group, delinquency status 
of less than 30 days, account age of 12 to 24 months with obligors 
located in the state of Alabama, where the adjustable rate index is 
based on a floating percentage.

------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                                                  Aggregate    Aggregate    Number of     Weighted     Weighted
   Grouped  account data line       Credit Score      Days payment is      Account Age        Top 10 State     Adjustable  rate     credit      account      accounts     average      average
             number                                       past due                                                  index         Limit ($)   balance ($)  ()    APR (%)    net APR (%)
                                 (a)(1)............  (a)(2)...........  (a)(3)...........  (a)(4)...........  (a)(5)...........       (b)(1)       (b)(2)       (b)(3)       (b)(4)       (b)(5)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
1..............................  Less than 500.....  Current..........  Less than 12       AK...............  Fixed............  ...........  ...........  ...........  ...........
                                                                         months.
2..............................  500-549...........  < 30 days........  12-24 months.....  AL...............  Prime............  ...........  ...........  ...........  ...........  ...........
3..............................  550-599...........  30-59 days.......  24-36 months.....  AR...............  Other............  ...........  ...........  ...........  ...........  ...........
4..............................  600-649...........  60-89 days.......  36-48 months.....  AZ...............  Fixed............  ...........  ...........  ...........  ...........  ...........
5..............................  650-699...........  90-119 days......  48-60 months.....  CA...............  Prime............  ...........  ...........  ...........  ...........  ...........
6..............................  700-749...........  120-149 days.....  Over 60 months...  CO...............  Other............  ...........  ...........  ...........  ...........  ...........
7..............................  750-799...........  150-179 days.....  Less than 12       CT...............  Fixed............  ...........  ...........  ...........  ...........  ...........
                                                                         months.
8..............................  800 and over......  180+ days........  12-24 months.....  DE...............  Prime............  ...........  ...........  ...........  ...........  ...........
9..............................  Less than 500.....  < 30 days........  24-36 months.....  DC...............  Other............  ...........  ...........  ...........  ...........  ...........
10.............................  500-549...........  30-59 days.......  36-48 months.....  FL...............  Fixed............  ...........  ...........  ...........  ...........  ...........
11.............................  550-599...........  60-89 days.......  48-60 months.....  Other............  Prime............  ...........  ...........  ...........  ...........  ...........
12.............................  600-649...........  90-119 days......  Over 60 months...  AK...............  Other............  ...........  ...........  ...........  ...........  ...........

[[Page 23429]]

 
13.............................  650-699...........  120-149 days.....  Less than 12       AL...............  Fixed............  ...........  ...........  ...........  ...........  ...........
                                                                         months.
14.............................  700-749...........  150-179 days.....  12-24 months.....  AR...............  Prime............  ...........  ...........  ...........  ...........  ...........
15.............................  750-799...........  180+ days........  24-36 months.....  AZ...............  Other............  ...........  ...........  ...........  ...........  ...........
16.............................  800 and over......  Current..........  36-48 months.....  CA...............  Fixed............  ...........  ...........  ...........  ...........  ...........
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Sec.  229.1112  [Amended]

    18. Amend Sec.  229.1112 by:
    a. Removing Instruction 2 to Item 1112(b); and
    b. Redesignating Instructions 3 and 4 to Items 1112(b) as 
Instructions 2 and 3 to Item 1112(b).
    19. Amend Sec.  229.1113 by adding paragraph (h) as follows:


Sec.  229.1113  (Item 1113) Structure of the transaction.

* * * * *
    (h) Waterfall Computer Program. Provide a Waterfall Computer 
Program in the manner specified in Rule 314 of Regulation S-T (Sec.  
232.314). This paragraph (h) does not apply to issuers of asset-backed 
securities backed primarily by receivables due on stranded costs.
    (1) For purposes of this paragraph, a Waterfall Computer Program 
shall mean a computer program that:
    (i) Gives effect to the provisions in the transaction agreements 
that set forth the rules by which the funds available for payments or 
distributions to the holders of each class of securities, and each 
other person or account entitled to payments or distributions, from the 
pool assets, pool cash flows, credit enhancement or other support, and 
the timing and amount of such payments or distributions, are 
determined;
    (ii) Provides a user with the ability to programmatically input:
    (A) The user's own assumptions regarding the future performance and 
cash flows coming from the pool assets underlying the asset-backed 
security, including but not limited to assumptions about future 
interest rates, default rates, prepayment speeds, loss-given-default 
rates, and any other assumptions required to be described pursuant to 
Section 229.1113; and
    (B) The current state and performance of the pool assets underlying 
the asset-backed security by uploading directly into the computer 
program the initial XML-based Asset Data File (as defined in Sec.  
232.11 of this chapter) and any subsequent monthly updates to that 
file; and
    (iii) Produces a programmatic output, in machine-readable form, of 
all resulting cash flows associated with the asset-backed security, 
including the amount and timing of principal and interest payments 
payable or distributable to a holder of each class of securities, and 
each other person or account entitled to payments or distributions in 
connection with the securities, until the final legal maturity date as 
a function of the inputs described in paragraph (h)(1)(ii) of this 
section.
    Instruction: For purposes of this definition, the transaction 
agreement provisions that should be given effect to include, but are 
not limited to, any provisions setting forth the priorities of payments 
or distributions (and any contingencies affecting such priorities) to 
the holders of each class of securities and any other persons or 
accounts entitled to payments or distributions, and any related 
provisions necessary to determine the quantitative results of such 
provisions (including without limitation the provisions required to be 
described in Item 1113(b), Item 1113(c), Item 1113(d), and items (2)-
(4), (6), (7) and (9) of Item 1113(a)) .
    (2) Provide a sample expected output for each class of securities 
in the asset-backed transaction. The sample should be based on the 
Asset Data File (as defined in 232.11 of this chapter) filed pursuant 
to Item 1111(h)(1) and filed with the Waterfall Computer Program. The 
sample should disclose the sample input assumptions used to generate 
the expected output.
    (3) State in the prospectus that the information provided in 
response to this paragraph (h) is provided as a downloadable source 
code for a computer program in the Python programming language filed 
with the Securities and Exchange Commission on its Web site at 
www.sec.gov. Identify the CIK and file number of the filing.
    (4) File the Waterfall Computer Program as part of any prospectus 
filed in accordance with Rule 424(h) (Sec.  230.424(h)) or any final 
prospectus meeting the requirements of section 10(a) of the Securities 
Act (15 U.S.C. 77j(a)(a)) filed in accordance with Rule 424(b) (Sec.  
230.424(b)). The Waterfall Computer Program shall give effect to the 
transaction provisions as of the date of such filing.
    (5) With respect to a credit card master trust, file the Waterfall 
Computer Program in accordance with Item 6.07(b) of Form 8-K (Sec.  
249.308). The Waterfall Computer Program shall give effect to the 
transaction provisions as of the date of such filing.


Sec.  229.1114  [Amended]

    20. Amend Sec.  229.1114 by:
    a. Revising the heading for ``Instructions to Item 1114:'' to read 
``Instructions to Item 1114(b)'';
    b. Removing Instruction 3 to Item 1114(b); and
    c. Redesignating Instructions 4 and 5 to Item 1114(b) as 
Instructions 3 and 4 to Item 1114(b).
    21. Amend Sec.  229.1121 by revising paragraph (a)(9) and adding 
paragraphs (c), (d), and (e) to read as follows:


Sec.  229.1121  (Item 1121) Distribution and pool performance 
information.

    (a) * * *
    (9) Delinquency and loss information for the period. Refer to Item 
1100(b) of this Regulation AB for presentation of historical 
delinquency and loss information.
* * * * *
    (c) If the sponsor or an originator is required to repurchase or 
replace any of the pool assets for breach of a representation and 
warranty pursuant to the transaction agreements, provide the amount, if 
material, of the publicly securitized assets originated or sold by the 
obligor (i.e., the sponsor or the originator) that were the subject of 
a demand to repurchase or replace for breach of the representations and 
warranties concerning the pool assets that has been made in the period 
covered by the report pursuant to the transaction agreements. Also 
provide the percentage of that amount that were not then repurchased or 
replaced by the obligor. Of those assets that were not then repurchased 
or replaced, disclose whether an opinion of a third party not 
affiliated with the obligor had been furnished to the trustee that 
confirms that the assets did not violate the representations and 
warranties.

[[Page 23430]]

    (d) Asset-level performance information. Provide asset-level 
performance information for each asset in the pool in a manner 
specified in Schedule L-D (Sec.  229.1121A). This paragraph (d) does 
not apply to issuers of asset-backed securities backed primarily by 
receivables due on credit cards, charge cards or stranded costs. State 
in the report on Form 10-D that the information provided in response to 
this subparagraph and Schedule L-D is filed with the Securities and 
Exchange Commission as a machine readable data file on the Commission's 
Web site at www.sec.gov. Identify the CIK of the issuer and file 
number.
    (e) Grouped account data for credit card pools. If the asset-backed 
securities are backed primarily by receivables due on credit cards or 
charge cards, provide the information for the underlying pool in a 
manner specified in Schedule CC (Sec.  229.1111B). State in the report 
on Form 10-D that the information provided in response to this 
subparagraph and Schedule CC is filed with the Securities and Exchange 
Commission as a machine-readable data file on the Commission's Web site 
at www.sec.gov. Identify the CIK of the issuer and file number.
    22. Add Sec.  229.1121A to read as follows:


Sec.  229.1121A  Asset-level performance information.

Schedule L-D

    Note A. Submit the disclosures as an Asset Data File (as defined 
in Sec.  232.11 of this chapter) in the format required by the EDGAR 
Filer Manual. See Rule 301 of Regulation S-T (Sec.  232.301 of this 
chapter).
    Instruction. The following definitions apply to the terms used 
in this schedule unless otherwise specified:
    Debt service reduction. A modification of the terms of a loan 
resulting from a bankruptcy proceeding, such as a reduction of the 
amount of the monthly payment on the related mortgage loan.
    Deficient valuation. A bankruptcy proceeding whereby the 
bankruptcy court may establish the value of the mortgaged property 
at an amount less than the then-outstanding principal balance of the 
mortgage loan secured by the mortgaged property or may reduce the 
outstanding principal balance of a mortgage loan.
    FNMA. The Federal National Mortgage Association.
    HAMP. The federal Home-Affordable Modification Plan program.
    Underwritten. The amount of revenues or expenses adjusted based 
on a number of assumptions made by the mortgage originator or 
seller.
    Item 1. General. Provide the following data for each asset in 
the asset pool:
    (a) Asset number type. Identify the source of the asset number 
used to specifically identify each asset in the pool.
    (b) Asset number. Provide the unique ID number of the asset.
    Instruction to Item 1(b). The asset number should be the same 
number that was previously used to identify the asset in Schedule L 
(Sec.  229.1111A).
    (c) Asset group number. For structures with multiple collateral 
groups, indicate the collateral group number in which the asset 
falls.
    (d) Reporting period begin date. Specify the beginning date of 
the reporting period.
    (e) Reporting period end date. Specify the servicer cut-off date 
for the reporting period.
    (f) Activity during the reporting period.
    (1) Total actual amount paid. Indicate the total payment 
(including all escrows) paid to the servicer during the reporting 
period.
    (2) Actual interest paid. Indicate the amount of interest 
collected during the reporting period.
    (3) Actual principal paid. Indicate the amount of principal 
collected during the reporting period.
    (4) Actual other amounts paid. Indicate the total of any other 
amounts collected during the reporting period.
    (5) Other principal adjustments. Indicate any other amounts that 
would cause the principal balance of the loan to be decreased or 
increased during the reporting period.
    (6) Other interest adjustments. Indicate any unscheduled 
interest adjustments during the reporting period.
    (7) Current asset balance. Indicate the outstanding principal 
balance of the asset as of the servicer cut-off date.
    (8) Current scheduled asset balance. Indicate the scheduled 
principal balance of the asset as of the servicer cut-off date.
    (9) Current scheduled payment amount. Indicate the total payment 
amount that was scheduled to be collected for this reporting period 
(including all fees and escrows).
    (10) Current scheduled principal amount. Indicate the principal 
payment amount that was scheduled to be collected for this reporting 
period.
    (11) Current scheduled interest amount. Indicate the interest 
payment amount that was scheduled to be collected for this reporting 
period.
    (12) Current delinquency status. Indicate the number of days the 
obligor is delinquent as determined by the governing transaction 
agreement.
    (13) Number of days payment is past due. If an obligor has not 
made the full scheduled payment, indicate the number of days between 
the scheduled payment date and the reporting period end date.
    (14) Current payment status. Indicate the number of payments the 
obligor is past due as of the cut-off date.
    (15) Pay history. Provide the coded string of values that 
describes the payment performance of the asset over the most recent 
12 months.
    (16) Next due date. For loans that have not been paid-off, 
indicate the date on which the next payment is due on the asset.
    (17) Next interest rate. For loans that have not been paid-off, 
indicate the interest rate that is in effect as of the next 
scheduled remittance due to the investor.
    (18) Remaining term to maturity. For loans that have not been 
paid-off, indicate the number of months between the cut-off date and 
the asset maturity date.
    (g) Information related to servicing.
    (1) Current servicing fee--amount. Indicate the dollar amount of 
the fee earned by the current servicer for administering the loan 
for this reporting period.
    (2) Current servicer. Indicate the name or MERS organization 
number of the entity that currently services the asset.
    (3) Servicing transfer received date. If a loan's servicing has 
been transferred, provide the effective date of the servicing 
transfer.
    (4) Servicer advanced amount. If amounts were advanced by the 
servicer during the reporting period, specify the amount.
    (5) Cumulative outstanding advanced amount. Specify the 
outstanding cumulative amount advanced by the servicer.
    (6) Servicing advance methodology. Indicate the code that 
describes the manner in which principal and/or interest are to be 
advanced by the servicer.
    (7) Stop principal and interest advance date. Provide the first 
payment due date for which the servicer ceased advancing principal 
or interest.
    (8) Other loan-level servicing fee(s) retained by servicer. 
Provide the amount of all other fees earned by loan administrators 
that reduce the amount of funds remitted to the issuing entity 
(including subservicing, master servicing, trustee fees, etc).
    (9) Other assessed but uncollected servicer fees. Provide the 
cumulative amount of late charges and other fees that have been 
assessed by the servicer, but not paid by the obligor.
    (h) Modification indicator. Indicate yes or no whether the asset 
was modified from its original terms during the reporting period.
    (i) Repurchase indicator. Indicate yes or no whether the asset 
has been repurchased from the pool. If the asset has been 
repurchased, provide the following additional information.
    (1) Repurchase notice. Indicate yes or no whether a notice of 
repurchase has been received.
    (2) Repurchase date. Indicate the date the asset was 
repurchased.
    (3) Repurchaser. Specify the name of the repurchaser.
    (4) Repurchase reason. Indicate the code that describes the 
reason for the repurchase.
    (j) Liquidated indicator. Indicate yes or no whether the asset 
has been liquidated. An asset is considered liquidated if the 
related collateral has been sold or disposed, or if the asset has 
been charged-off in its entirety without realizing upon the 
collateral.
    (k) Charge-off indicator. Indicate yes or no as to whether the 
asset has been charged-off. The asset is charged-off when it will be 
treated as a loss or expense because payment is unlikely.
    (1) Charged-off principal amount. Specify the amount of 
uncollected principal charged-off.
    (2) Charged-off interest amount. Specify the amount of 
uncollected interest charged-off.
    (l) Information related to paid-off loans.
    (1) Paid-in-full indicator. Indicate yes or no whether the asset 
is paid in full.
    (2) Information related to prepayment penalties. If the obligor 
is subject to

[[Page 23431]]

prepayment penalties, provide the following additional information 
for each loan:
    (i) Pledged Prepayment Penalty Paid. Provide the total amount of 
the prepayment penalty that was collected from the obligor.
    (ii) Pledged prepayment penalty waived. Provide the total amount 
of the prepayment penalty that was incurred by the obligor, but not 
collected by the servicer.
    (iii) Reason for not collecting pledged prepayment penalty. 
Indicate the code that describes the reason that a prepayment 
penalty due from a borrower was not collected by the servicer.
    Item 2. Residential mortgages. If the asset pool contains 
residential mortgages, provide the following data for each loan in 
the asset pool:
    (a) Information related to delinquent loans.
    (1) Non-pay reason. Indicate the code that describes the reason 
for loan delinquency.
    (2) Non-pay status. Indicate the code that describes the 
delinquency status of the loan.
    (3) Reporting action code. Further indicate the code that 
defines the default/delinquent status of the loan.
    (b) Information related to ARMs. If the loan is an ARM, provide 
the following additional information for each loan:
    (1) Rate at next reset. Provide the interest rate that will be 
used to determine the next scheduled interest payment.
    (2) Next interest rate change date. Provide the next date that 
the note rate is scheduled to change.
    (3) Payment at next reset. Provide the principal and interest 
payment due after the next scheduled interest rate change.
    (4) Next payment change date. Provide the next date that the 
amount of scheduled principal and/or interest is scheduled to 
change.
    (5) Option ARM indicator. Indicate yes or no whether the loan is 
an Option ARM.
    (6) Exercised ARM conversion option indicator. Indicate yes or 
no whether the borrower exercised an option to convert an ARM loan 
to a fixed interest rate loan.
    (c) Information related to bankruptcy. For obligors who have 
filed for bankruptcy, provide the following additional information:
    (1) Bankruptcy file date. Provide the date on which the obligor 
filed for bankruptcy.
    (2) Bankruptcy case number. Provide the case number assigned by 
the court to the bankruptcy filing.
    (3) Post-petition due date. Provide the date on which the next 
payment is due under the terms of the bankruptcy plan.
    (4) Bankruptcy release reason. If the bankruptcy has been 
released, indicate the code that describes the reason for the 
release.
    (5) Bankruptcy release date. If the bankruptcy has been 
released, provide the date on which the loan was removed from 
bankruptcy as a result of dismissal, discharge, and/or the granting 
of a motion for relief.
    (6) Contractual due date. Provide the actual due date of the 
loan payment had bankruptcy not been filed.
    (7) Debt reaffirmed indicator. Indicate yes or no whether the 
obligor excluded this debt from the bankruptcy and reaffirmed the 
debt obligation.
    (8) Trustee pays all indicator. Indicate yes or no whether post-
petition payments are sent to the bankruptcy trustee by the obligor 
and then forwarded to the servicer by the trustee.
    (d) Loss mitigation type indicator. Indicate the code that 
describes the type of loss mitigation the servicer is pursuing with 
the borrower, loan, or property.
    (e) Information related to loan modifications.
    (1) Modification effective payment date. Provide the date of 
first payment due post modification.
    (2) Modification loan balance. Provide the loan balance as of 
modification effective payment date as reported on the modification 
documents.
    (3) Total capitalized amount. Provide the amount added to the 
principal balance of the loan pursuant to a loan modification.
    (4) Pre-modification interest (note) rate. Provide the scheduled 
interest rate of the loan immediately preceding the modification 
effective payment date--or if servicer is no longer advancing 
principal and interest, the interest rate that would be in effect if 
the loan were current.
    (5) Post-modification interest (note) rate. Provide the interest 
rate in effect as of the modification effective payment date.
    (6) Post-modification margin. Provide the margin as of the 
modification effective payment date. The margin is the number of 
percentage points added to the interest rate index to establish the 
new rate.
    (7) Pre-modification P&I payment. Provide the scheduled total 
principal and interest payment amount preceding the modification 
effective payment date--or if servicer is no longer advancing 
principal and interest, the interest rate that would be in effect if 
the loan were current.
    (8) Post-modification lifetime rate floor. Provide the minimum 
rate of interest that may be applied to an adjustable rate loan over 
the course of the loan's life (after modification).
    (9) Post-modification lifetime rate ceiling. Provide the maximum 
rate of interest that may be applied to an adjustable rate loan over 
the course of the loan's life (after modification).
    (10) Pre-modification initial interest rate decrease. Provide 
the maximum percentage by which the interest rate may adjust 
downward on the first interest rate adjustment date (prior to 
modification).
    (11) Post-modification initial interest rate decrease. Provide 
the maximum percentage by which the interest rate may adjust 
downward on the first interest rate adjustment date (after 
modification).
    (12) Pre-modification subsequent interest rate increase. Provide 
the maximum percentage increment by which the rate may adjust upward 
after the initial rate adjustment (prior to modification).
    (13) Post-modification subsequent interest rate increase. 
Provide the maximum percentage increment by which the rate may 
adjust upward after the initial rate adjustment (after 
modification).
    (14) Pre-modification payment cap. Provide the percentage value 
by which a payment may increase or decrease in one period (prior to 
modification).
    (15) Post-modification payment cap. Provide the percentage value 
by which a payment may increase or decrease in one period (after 
modification).
    (16) Post-modification principal and interest payment. Provide 
total principal and interest payment amount as of the modification 
effective payment date.
    (17) Pre-modification maturity date. Provide the loan's original 
maturity date (or, if the loan has been modified before, the 
maturity date in effect immediately preceding the most recent 
modification effective payment date).
    (18) Post-modification maturity date. Provide the loan's 
maturity date as of the modification effective payment date.
    (19) Pre-modification interest reset period (if changed). 
Provide the number of months of the original interest reset period 
of the loan.
    (20) Post-modification interest reset period (if changed). 
Provide the number of months of the interest reset period of the 
loan as of the modification effective payment date.
    (21) Pre-modification next interest rate change date. Provide 
the next interest reset date under the original terms of the loan 
(one month prior to new payment due date).
    (22) Post-modification next reset date. Provide the next 
interest reset date as of the modification effective payment date.
    (23) Modification front-end DTI. Provide the front-end DTI ratio 
(total monthly housing expense divided by monthly income) used to 
qualify the modification.
    (24) Income verification indicator. Indicate yes or no whether a 
transcript of tax return (received pursuant to the filing of IRS 
Form 4506-T) was obtained to corroborate modification front-end DTI 
(calculated using pay stubs, W-2s and/or CPA certified tax returns).
    (25) Modification back-end DTI. Provide the back-end DTI ratio 
(total monthly debt divided by monthly income) used to qualify the 
modification.
    (26) Pre-modification interest only term. Provide the number of 
months of the interest-only period prior to the modification 
effective payment date.
    (27) Post-modification interest only term. Provide the number of 
months of the interest-only period as of the modification effective 
payment date.
    (28) Post-modification balloon payment amount. Provide the new 
balloon payment amount due at maturity as a result of loan 
modification, not including deferred amounts.
    (29) Forgiven principal amount (cumulative). Provide the sum 
total of all principal balance reductions as a result of loan 
modification over the life of the deal.
    (30) Forgiven interest amount (cumulative). Provide the sum 
total of all interest incurred and forgiven as a result of loan 
modification over the life of the deal.
    (31) Forgiven principal amount (current period). Provide the 
total principal balance reduction as a result of loan modification 
during the current period.
    (32) Forgiven interest amount (current period). Provide the 
total gross interest forgiven as a result of loan modification 
during the current period.
    (33) Modified next payment adjust date. Provide the due date on 
which the next

[[Page 23432]]

payment adjustment is scheduled to occur for an ARM loan per the 
modification agreement.
    (34) Modified ARM indicator. If the loan is remaining an ARM 
loan, indicate whether the loan's existing ARM parameters are 
changing per the modification agreement.
    (35) Interest rate step indicator. Indicate whether the terms of 
the modification agreement call for the interest rate to step up 
over time.
    (36) Maximum future rate under step agreement. If the loan 
modification includes a step provision, provide the maximum interest 
rate to which the loan may step up.
    (37) Date of maximum rate. If the loan modification includes a 
step provision, provide the date on which the maximum interest rate 
will be reached.
    (38) Non-interest bearing principal deferred amount (current 
period). Provide the total amount of principal deferred (or 
forborne) by the modification that is not subject to interest 
accrual.
    (39) Non-interest bearing principal deferred amount (cumulative 
balance). Provide the total amount of principal deferred by the 
modification that is not subject to interest accrual.
    (40) Recovery of deferred principal (current period). Provide 
the amount of deferred principal collected from the obligor during 
the current period.
    (41) Non-interest bearing deferred interest and fees Amount 
(current period). Provide the total amount of interest and expenses 
deferred by the modification that is not subject to interest accrual 
during the current period.
    (42) Non-interest bearing deferred interest and fees amount 
(cumulative balance). Provide the total amount of interest and 
expenses deferred by the modification that is not subject to 
interest accrual.
    (43) Recovery of deferred interest and fees (current period). 
Provide the amount of deferred interest and fees collected from the 
obligor during the current period.
    (44) Forgiven non-principal and interest advances to be 
reimbursed by trust. Provide the total amount of expenses (including 
all escrow and corporate advances) that have been waived or forgiven 
by the servicer per the modification agreement reimbursable to the 
servicer pursuant to the terms of the transaction document. 
Corporate advances are amounts paid by the servicer which may 
include foreclosure expenses, attorney fees, bankruptcy fees, 
insurance, and so forth.
    (45) Reimbursable modification escrow and corporate advances 
(capitalized). Provide the total amount of escrow and corporate 
advances made by the servicer as of the time of the loan 
modification. Corporate advances are amounts paid by the servicer 
which may include foreclosure expenses, attorney fees, bankruptcy 
fees, insurance, and so forth.
    (46) Reimbursable modification servicing fee advances 
(capitalized). Provide the total amount of servicing fees for 
delinquent payments that has been advanced by the servicer at the 
time of the loan modification.
    (47) HAMP Indicator. Indicate yes or no whether the loan was 
modified under the terms of the Home-Affordable Modification Plan 
(HAMP). If so, provide the following additional information:
    (i) HAMP: Loan participation end date. Provide the date upon 
which the last principal and interest payment is due during the 60-
month participation of the U. S. Treasury and FNMA in the loan 
modification.
    (ii) HAMP: Loan modification incentive termination date. Provide 
the date upon which obligor participation in the program is 
terminated because the borrower has defaulted or redefaulted.
    (iii) HAMP: Obligor pay-for-performance success payments. 
Provide the amount paid to the servicer from U.S. Treasury/FNMA that 
reduces the principal balance of the interest bearing portion of the 
loan as the obligor stays current after modification.
    (iv) HAMP: One-time bonus incentive eligibility. Indicate yes or 
no whether the loan qualifies for the one-time bonus incentive 
payment of $1,500.00 payable to the mortgage holder subject to 
certain de minimis constraints.
    (v) HAMP: One-time bonus incentive amount. Indicate whether 
mortgage holder has or will receive $1,500 paid to mortgage holders 
for modifications made while a borrower is still current on mortgage 
payments.
    (vi) HAMP: Monthly payment reduction cost share. Provide the 
amount of the subsidized payment from Treasury/FNMA during the 
current period to reimburse the investor for one half of the cost of 
reducing the monthly payment from 38% to 31% Front-End DTI.
    (vii) HAMP: Administrative fees associated with participating in 
the program. Provide the amount of the fees incurred by the servicer 
while administering this program, as allowed by the governing 
documents with investors.
    (viii) HAMP: Current asset balance including deferred amount. 
Provide the sum amount of the current asset balance plus only the 
principal portion of the deferred amount.
    (ix) HAMP: Scheduled ending balance including deferred amount. 
Provide the sum amount of the current scheduled asset balance plus 
only the principal portion of the deferred amount.
    (x) HAMP: Home price depreciation payments. Provide the amount 
payable to mortgage holders to partially offset probable losses from 
home price declines.
    (f) Information related to forbearance or trial modification. If 
the type of loss mitigation is forbearance, provide the following 
additional information. A forbearance plan refers to a period during 
which either no payment or a payment amount less than the 
contractual obligation is required from the obligor. A trial 
modification refers to a temporary loan modification during which an 
obligor's application for a permanent loan modification is under 
evaluation.
    (1) Forbearance plan or trial modification start date. Provide 
the date on which a forbearance plan or trial modification started.
    (2) Forbearance plan or trial modification scheduled end date. 
Provide the date on which a forbearance plan or trial modification 
is scheduled to end.
    (g) Information related to repayment plan. If the type of loss 
mitigation is a repayment plan, provide the following additional 
information. A repayment plan refers to a period during which an 
obligor has agreed to make monthly mortgage payments greater than 
the contractual installment in an effort to bring a delinquent loan 
current.
    (1) Repayment plan start date. Provide the date on which a 
repayment plan started.
    (2) Repayment plan scheduled end date. Provide the date on which 
a repayment plan is scheduled to end.
    (3) Repayment plan violated date. Provide the date on which the 
obligor ceased complying with the terms of a repayment plan.
    (h) Deed-in-lieu date. If the type of loss mitigation is deed-
in-lieu, provide the date on which a title was transferred to the 
servicer pursuant to a deed-in-lieu-of-foreclosure arrangement. 
Deed-in-lieu refers to the transfer of title from an obligor to the 
lender to satisfy the mortgage debt and avoid foreclosure.
    (i) Short sale accepted offer amount. If the type of loss 
mitigation is short sale, provide the amount accepted for a short 
sale. Short Sale refers to the process in which a servicer works 
with a delinquent obligor to sell the property prior to the 
foreclosure sale.
    (j) Information related to loss mitigation exit. If the loan has 
exited loss mitigation efforts during the reporting period, provide 
the following addition information:
    (1) Loss mitigation exit date. Provide the date on which the 
servicer deems a loss mitigation effort to have ended.
    (2) Loss mitigation exit code. Indicate the code that describes 
the reason the loss mitigation effort ended.
    (k) Information related to loans in the foreclosure process.
    (1) Attorney referral date. Provide the date on which the loan 
was referred to a foreclosure attorney.
    (2) Date of first legal action. Provide the date on which legal 
foreclosure action was taken.
    (3) Expected foreclosure sale date. Provide the expected date if 
known on which the foreclosure sale will take place.
    (4) Foreclosure sale scheduled date. Provide the date on which 
the sale has been set to occur either by the court or Trustee.
    (5) Foreclosure sale date. Provide the date on which a 
foreclosure sale occurs.
    (6) Foreclosure delay reason. Indicate the code that describes 
the reason for delay within the foreclosure process.
    (7) Sale valid date. If state law provides for a period for 
confirmation, ratification, redemption or upset period, provide the 
date of the end of the period.
    (8) Foreclosure bid amount. Provide the amount bid by the 
servicer at the foreclosure sale.
    (9) Foreclosure exit date. If the loan exited foreclosure during 
the current period or first available subsequent period, provide the 
date on which the loan exited foreclosure.
    (10) Foreclosure exit reason. If the loan exited foreclosure 
during the current period or first available subsequent period, 
indicate the code that describes the reason the foreclosure 
proceeding ended.
    (11) Third-party sale proceeds. If the reason for the end of 
foreclosure proceeding

[[Page 23433]]

is third-party sale, provide the amount for which the property was 
sold.
    (12) Judgment date. In a judicial foreclosure state, if a 
judgment on the foreclosure has occurred, provide the date on which 
a court granted the judgment in favor of the creditor.
    (13) Publication date. Provide the date on which the publication 
of trustee's sale information is published in the appropriate venue.
    (14) NOI date. If a notice of intent (NOI) has been sent, 
provide the date on which the servicer sent the NOI correspondence 
to the obligor informing the obligor of the acceleration of the loan 
and pending initiation of foreclosure action.
    (l) Information related to REO. If the loan is REO, provide the 
following additional information. REO (Real Estate Owned) refers to 
property owned by a lender after an unsuccessful sale at a 
foreclosure auction.
    (1) Most recent REO list date. Provide the most recent listing 
date for the REO.
    (2) Most recent REO list price. Provide the amount of the 
current listing price for the REO.
    (3) Accepted REO offer amount. If a REO offer has been accepted, 
provide the amount accepted for the REO sale.
    (4) Accepted REO offer date. If a REO offer has been accepted, 
provide the date on which the REO sale amount was accepted.
    (5) REO original list date. Provide the original list date for 
the REO property.
    (6) REO original list price. Provide the amount of the original 
listing price for the REO.
    (7) Actual REO sale closing date. If a REO sale is closed, 
provide the date of the closing of the REO sale.
    (8) Gross liquidation proceeds. If a REO sale has closed, 
provide the gross amount due to the issuing entity as reported on 
line 420 of the HUD-1 settlement statement.
    (9) Net sales proceeds. If a REO sale has closed, provide the 
net proceeds received from the escrow closing (before servicer 
reimbursement).
    (10) Current monthly loss amount passed to issuing entity. 
Provide the cumulative loss amount passed through to the issuing 
entity during the current period, including subsequent loss 
adjustments and any forgiven principal as a result of a modification 
that is passed through to the issuing entity.
    (11) Cumulative total loss amount passed to issuing entity. 
Provide the loss amount passed through to the issuing entity to 
date, including any forgiven principal as a result of a modification 
that is passed through to the issuing entity.
    (12) Subsequent recovery amount. Provide the current period 
amount recovered subsequent to the initial gain/loss recognized at 
the time of liquidation.
    (13) Eviction start date. If an eviction process has begun, 
provide the date on which the servicer initiates eviction of the 
obligor.
    (14) Eviction completed date. If an eviction process has been 
completed, provide the date on which the court revoked legal 
possession of the property from the obligor.
    (15) REO exit date. If a loan exited REO during the current 
period or first available subsequent period, provide the date on 
which the loan exited REO status.
    (16) REO exit reason. If a loan exited REO during the current 
period or first available subsequent period, indicate the code that 
describes the reason the loan exited REO status.
    (m) Information related to losses.
    (1) Information related to loss claims.
    (i) Interest advanced. Provide the amount of interest advanced 
that is reimbursed to the servicer.
    (ii) UPB at liquidation. Provide the amount of actual unpaid 
principal balance (UPB) at the time of liquidation.
    (iii) Servicing fees claimed. Provide the amount of accrued 
servicing fees (claimed at time of servicer reimbursement after 
liquidation).
    (iv) Attorney fees claimed. Provide the amount of total attorney 
fees advanced by the servicer to be recovered (claimed at time of 
servicer reimbursement after liquidation).
    (v) Attorney cost claimed. Provide the amount of total attorney 
cost advanced by the servicer to be recovered (claimed at time of 
servicer reimbursement after liquidation).
    (vi) Property taxes claimed. Provide the amount of real property 
taxes advanced by the servicer to be recovered (claimed at time of 
servicer reimbursement after liquidation).
    (vii) Property maintenance. Provide the amount of total property 
maintenances such as lawn care, trash removal, snow removal, etc., 
(claimed at time of servicer reimbursement after liquidation).
    (viii) Insurance premiums claimed. Provide the amount of 
advances paid by the servicer for any type of insurance (claimed at 
time of servicer reimbursement after liquidation).
    (ix) Utility expenses claimed. Provide the amount of utilities 
advanced paid by the servicer (claimed at time of servicer 
reimbursement after liquidation).
    (x) Appraisals or BPO expenses claimed. Provide the amount of 
cost advanced by the servicer for appraisal and/or broker's 
professional opinion (BPO) expenses (claimed at time of servicer 
reimbursement after liquidation).
    (xi) Property inspection expenses claimed. Provide the amount of 
cost advanced by the servicer for property inspection expenses 
(claimed at time of servicer reimbursement after liquidation).
    (xii) Miscellaneous expenses claimed. Provide the amount of 
miscellaneous expenses advanced by the servicer that do not fit into 
any other category (claimed at time of servicer reimbursement after 
liquidation).
    (xiii) Pre-securitization servicing advances claimed. Provide 
the amount of unreimbursed advances by the servicer prior to the 
securitization of the deal (claimed at time of servicer 
reimbursement after liquidation).
    (xiv) REO management fees. If the loan is in REO, provide the 
amount of REO management fees (including auction fees).
    (xv) Cash for keys/cash for deed. Provide the amount of the 
payment to the obligor or tenants in exchange for vacating the 
property, or the payment to the obligor to accelerate a deed-in-lieu 
process or complete a redemption period.
    (xvi) Performance incentive fees. Provide the amount of payment 
to the servicer in exchange for carrying out a deed-in-lieu or short 
sale.
    (2) Information related to loss recoveries.
    (i) Positive escrow balance. Provide the amount of escrow 
balance at the time of loss claim (report only if positive).
    (ii) Suspense balance. Provide the total dollar amount held in 
suspense at the time of liquidation.
    (iii) Hazard claims proceeds. Provide the amount of hazard loss 
proceeds collected.
    (iv) Pool insurance claim proceeds. Provide the amount of pool 
claim proceeds collected.
    (v) Private mortgage insurance claim proceeds. Provide the 
amount of private mortgage insurance claim proceeds collected.
    (vi) Property tax refunds. Provide the amount of property tax 
refunds collected.
    (vii) Insurance refunds. Provide the amount of insurance premium 
refunds collected.
    (3) Bankruptcy loss amount. Provide the amount of any realized 
loss resulting from a deficient valuation or debt service reduction.
    (4) Special hazard loss amount. Provide the amount of any 
realized loss suffered by a mortgaged property that is classified as 
a special hazard in the governing documents.
    (n) Information related to mortgage insurance claims. If a 
mortgage insurance claim (MI claim) has been submitted to the 
primary mortgage insurance company for reimbursement, provide the 
following additional information:
    (1) MI claim filed date. Provide the date on which the servicer 
filed an MI claim.
    (2) MI claim amount. Provide the amount of the MI claim filed by 
the servicer.
    (3) MI paid date. If a MI claim has been paid, provide the date 
on which the MI company paid the MI claim.
    (4) MI claim paid amount. If a MI claim has been decided, 
provide the amount of the claim paid by the MI company.
    (5) MI claim denied/rescinded date. If a MI claim has been 
denied or rescinded, provide the final MI denial date after all 
servicer appeals.
    (6) Marketable title transferred to MI date. If the deed of a 
property has been sent to the MI company, provide the date of actual 
title conveyance to the MI company.
    Item 3. Commercial mortgages. If the asset pool contains 
commercial mortgages, also provide the following data for each asset 
in the asset pool:
    (a) Information related to the loan.
    (1) Current remaining term. Provide the number of months until 
the earlier of the scheduled loan maturity or the current hyper-
amortizing date.
    (2) Number of properties. Provide the current number of 
properties which serve as mortgage collateral for the loan.
    (3) Current hyper-amortizing date. Provide the current 
anticipated repayment date, after which principal and interest may 
amortize at an accelerated rate, and/or interest expense to 
mortgagor increases substantially as per the loan documents.
    (4) Information related to ARMs.
    (i) Rate at next reset. Provide the annualized gross interest 
rate that will be used to determine the next scheduled interest 
payment.

[[Page 23434]]

    (ii) Next interest rate change date. Provide the next date that 
the interest rate is scheduled to change.
    (iii) Payment at next reset. Provide the principal and interest 
payment due after the next scheduled interest rate change.
    (iv) Next payment change date. Provide the next date that the 
amount of scheduled principal and/or interest is scheduled to 
change.
    (2) Negative amortization/deferred interest capitalized amount. 
Indicate the amount for the current reporting period that represents 
negative amortization or deferred interest that is added to the 
principal balance.
    (i) Cumulative deferred interest. Indicate the cumulative 
deferred interest for the current and prior reporting cycles net of 
any deferred interest collected.
    (ii) Deferred interest collected. Indicate the amount of 
deferred interest collected in the current reporting period.
    (b) Workout strategy. Indicate the code that best describes the 
steps being taken to resolve the loan.
    (c) Information related to modifications.
    (1) Date of last modification. Provide the date of the most 
recent modification. A modification includes any material change to 
the loan documents.
    (2) Modification code. Indicate the code that describes the type 
of loan modification.
    (3) Modified note rate. Indicate the new initial interest rate 
(post-modification).
    (4) Modified payment amount. Indicate the new initial principal 
and interest payment amount (post-modification).
    (5) Modified maturity date. Indicate the new maturity date of 
the loan (post- modification).
    (6) Modified amortization period. Indicate the new amortization 
period in months (post-modification).
    (d) Information related to the property. Provide the following 
information for each of the properties that collateralizes a loan 
identified above.
    (1) Property name. Provide the name of the property which serves 
as mortgage collateral. If the property has been defeased, then 
populate with ``defeased.''
    (2) Property geographic location. Provide the zip code of the 
location of the property.
    (3) Property type. Indicate the code that describes how the 
property is being used.
    (4) Net rentable square feet. Provide the net rentable square 
feet area of a property.
    (5) Number of units/beds/rooms. Provide the number of units/
beds/rooms of a property.
    (6) Year built. Provide the year that the property was built.
    (7) Valuation amount. The valuation amount of the property as of 
the valuation date.
    (8) Valuation date. The date the valuation amount was 
determined.
    (9) Physical occupancy. Provide the percentage of rentable space 
occupied by tenants. Should be derived from a rent roll or other 
document indicating occupancy.
    (10) Property status. Specify the code that describes the status 
of the property.
    (11) Defeasance status. Indicate the code that describes the 
defeasance status. A defeasance option is when an obligor may 
substitute other income-producing property for the real property 
without pre-paying the existing loan.
    (12) Financial information related to the property. Provide the 
following information as of the most recent date available.
    (i) Financial reporting begin date. Specify the beginning date 
of the financial information presented in response to this 
subparagraph.
    (ii) Financial period reporting end date. Specify the ended date 
of the financial information presented in response to this 
subparagraph.
    (iii) Revenue. Provide the total underwritten revenue from all 
sources for a property.
    (iv) Operating expenses. Provide the total operating expenses. 
Include real estate taxes, insurance, management fees, utilities, 
and repairs and maintenance.
    (v) Net operating income. Provide the total revenues less total 
underwritten operating expenses prior to application of mortgage 
payments and capital items for all properties.
    (vi) Net cash flow. Provide the total revenue less the total 
operating expenses and capital costs.
    (vii) NOI/NCF indicator. Indicate the code that best describes 
how net operating income and net cash flow were calculated.
    (viii) DSCR (NOI). Provide the ratio of net operating income to 
debt service during the reporting period.
    (ix) DSCR (NCF). Provide the ratio of net cash flow to debt 
service during the reporting period.
    (x) DSCR indicator. Indicate the code that describes how the 
debt service coverage ratio was calculated.
    (13) Largest tenant. Identify the tenant that leases the largest 
square feet of the property (based on the most recent annual lease 
rollover review).
    (14) Square feet of largest tenant. Provide total square feet 
leased by the largest tenant.
    (15) Lease expiration of largest tenant. Provide the date of 
lease expiration for the largest tenant.
    (16) Second largest tenant. Identify the tenant that leases the 
second largest square feet of the property (based on the most recent 
annual lease rollover review).
    (17) Square feet of second largest tenant. Provide total square 
feet leased by the second largest tenant.
    (18) Lease expiration of second largest tenant. Provide the date 
of lease expiration for the second largest tenant.
    (19) Third largest tenant. Identify the tenant that leases the 
third largest square feet of the property (based on the most recent 
annual lease rollover review).
    (20) Square feet of third largest tenant. Provide total square 
feet leased by the third largest tenant.
    (21) Lease expiration of third largest tenant. Provide the date 
of lease expiration for the third largest tenant.
    Item 4. Automobile loans. If the asset pool contains vehicle 
loans, provide the following data for each loan in the asset pool:
    (a) Subvented. Indicate yes or no as to whether a form of 
subsidy is received on the loan, such as cash incentives or 
favorable financing for the obligor.
    (b) Amounts recovered. If the loan was previously charged-off, 
specify any amounts received after charge-off.
    (c) Repossessed. Indicate yes or no whether the vehicle has been 
repossessed. If the vehicle has been repossessed, provide the 
following additional information:
    (1) Repossession proceeds. Provide the total amount of proceeds 
received on disposition.
    (2) Repossession fees. Provide the amount of fees paid in 
connection with the repossession and disposition of the vehicle.
    Item 5. Automobile leases.
    If the asset pool contains vehicle leases, provide the following 
data for each lease in the asset pool:
    (a) Subvented. Indicate yes or no as to whether a form of 
subsidy is received on the loan, such as cash incentives or 
favorable financing for the obligor.
    (b) Updated residual value. If the residual value of the vehicle 
was updated during the reporting period, provide the updated value.
    (c) Source of updated residual value. Specify the code that 
describes the source of the residual value.
    (d) Termination indicator. Specify the code that describes the 
reason why the lease was terminated.
    (e) Excess wear and tear received. Specify the amount of excess 
wear and tear fees received upon return of the vehicle.
    (f) Excess mileage received. Specify the amount of excess 
mileage fees received upon return of the vehicle.
    (g) Sales proceeds. If the vehicle has been sold, specify the 
amount of proceeds received on sale of the vehicle.
    (h) Lease term extension indicator. Indicate whether the lease 
term has been extended from the original term.
    (i) Amounts recovered. If the loan was previously charged-off, 
specify any amounts received after charge-off.
    Item 6. Equipment loans.
    If the asset pool contains equipment loans, provide the 
following data for each loan in the asset pool:
    (a) Liquidation proceeds. If the loan has been liquidated, 
specify the amount of proceeds received.
    (b) Amounts recovered. If the loan was previously charged-off, 
specify any amounts received after charge-off.
    Item 7. Equipment leases.
    If the asset pool contains equipment leases, provide the 
following data for each lease in the asset pool:
    (a) Updated residual value. If the residual value of the 
equipment was updated during the reporting period, provide the 
updated value.
    (b) Source of updated residual value. Specify the code that 
describes the source of the residual value.
    (c) Termination indicator. Specify the code that describes the 
reason why the lease was terminated.
    (d) Liquidation proceeds. If the asset has been liquidated, 
specify the amount of proceeds received.
    (e) Amounts recovered. If the asset was previously charged-off, 
specify any amounts received after charge-off.
    Item 8. Student loans.

[[Page 23435]]

    If the asset pool contains student loans, provide the following 
data for each loan in the asset pool:
    (a) Current obligor payment status. Indicate the code describing 
whether the obligor payment status is in-school, grace period, 
deferral, forbearance or repayment.
    (b) Capitalized interest. Specify the amount of interest accrued 
to be capitalized during the reporting period.
    (c) If there is activity related to a guarantor, provide the 
following additional information:
    (1) Principal collections from guarantor. Provide the amount of 
principal received from the guarantor during this reporting period.
    (2) Interest claims received from guarantor. Provide the amount 
of interest claims received from guarantor during this reporting 
period.
    (3) Claim in process. Indicate yes or no whether a claim is in 
process.
    (4) Claim outcome. Indicate yes or no whether a claim has been 
rejected.
    Item 9. Floorplan financings.
    If the asset pool contains receivables arising from floorplan 
financings, provide the following data for each loan in the asset 
pool:
    (a) Liquidation proceeds. If the loan has been liquidated, 
specify the amount of proceeds received.
    (b) Amounts recovered. If the loan was previously charged-off, 
specify any amounts received after charge-off.
    (c) Updated credit score information. Provide updated credit 
score information, if available.
    (1) Credit score type. Specify the type of the standardized 
credit score used to evaluate the obligor.
    (2) Most recent credit score. Provide the most recent credit 
score of the obligor.
    (3) Most recent credit score date. Provide the date of the most 
recently obtained credit score of the obligor.
    Item 10. Resecuritizations.
    If the registrant's pool assets include asset-backed securities 
of another issuer, provide asset-level performance information as 
specified in this Schedule L-D and Item 1121(d) for the assets 
backing those securities.
    23. Amend Sec.  229.1122 by:
    a. Revising paragraph (c)(1);
    b. Redesignating paragraph (c)(2) as paragraph (c)(3);
    c. Adding new paragraph (c)(2);
    d. Adding new paragraph (d)(1)(v);
    e. Redesignating, in Instructions to Item 1122, instructions 1, 
2, and 3 as instructions 2, 3, and 4; and
    f. Adding a new instruction 1.

    The revision and additions read as follows:


Sec.  229.1122  (Item 1122) Compliance with applicable servicing 
criteria.

* * * * *
    (c) Additional disclosure for the Form 10-K report.
    (1) If any party's report on assessment of compliance with 
servicing criteria required by paragraph (a) of this section, or 
related registered public accounting firm attestation report required 
by paragraph (b) of this section, identifies any material instance of 
noncompliance with the servicing criteria, identify the material 
instance of noncompliance in the report on Form 10-K. Also disclose 
whether the identified instance involved the servicing of the assets 
backing the asset-backed securities covered in this Form 10-K report.
    (2) Discuss any steps taken to remedy a material instance of 
noncompliance previously identified by an asserting party for its 
activities with respect to asset-backed securities transactions taken 
as a whole involving such party and that are backed by the same asset 
type backing the asset-backed securities.
* * * * *
    (d) * * *
    (1) * * *
    (v) Aggregation of information is mathematically accurate and the 
information conveyed accurately reflects the information.
* * * * *
    Instructions to Item 1122: 1. The assessment should cover all 
asset-backed securities transactions involving such party and that are 
backed by the same asset type backing the class of asset-backed 
securities which are the subject of the Commission filing. The 
asserting party may take into account divisions among transactions that 
are consistent with actual practices. However, if the asserting party 
includes in its platform less than all of the transactions backed by 
the same asset type that it services, a description of the scope of the 
platform should be included in the assessment.
* * * * *

PART 230--GENERAL RULES AND REGULATIONS, SECURITIES ACT OF 1933

    24. The authority citation for Part 230 continues to read, in part, 
as follows:

    Authority:  15 U.S.C. 77b, 77c, 77d, 77f, 77g, 77h, 77j, 77r, 
77s, 77z-3, 77sss, 78c, 78d, 78j, 78l, 78m, 78n, 78o, 78t, 78w, 
78ll(d), 78mm, 80a-8, 80a-24, 80a-28, 80a-29, 80a-30, and 80a-37, 
unless otherwise noted.
* * * * *


Sec.  230.139a  [Amended]

    25. Amend Sec.  230.139a by
    a. Removing the phrase ``General Instruction I.B.5 of Form S-3 
(Sec.  239.13 of this chapter) (``S-3 ABS'')'' in the introductory text 
and adding in its place the phrase ``Form SF-3 (Sec.  239.13 of this 
chapter)(``SF-3 ABS''); and
    b. Removing the phrase ``S-3 ABS'' and adding in its place the 
phrase ``SF-3 ABS'' everywhere it appears.
    26. Amend Sec.  230.144 by adding a sentence to the end of 
paragraph (c)(2) to read as follows:


Sec.  230.144  Persons deemed not to be engaged in a distribution and 
therefore not underwriters.

* * * * *
    (c) * * *
    (2) Non-reporting issuers. * * * If the securities to be sold are 
structured finance products, as defined in Securities Act Rule 
144A(a)(8)(Sec.  230.144A(a)(8)), then the following two conditions 
must be satisfied:
    (i) An underlying transaction agreement grants any purchaser, any 
security holder and a prospective purchaser designated by a security 
holder the right to obtain from the issuer promptly, upon request of 
the purchaser or holder, information as would be required if the 
offering were registered on Form S-1 or Form SF-1 under the Securities 
Act and any ongoing information regarding the securities that would be 
required by Section 15(d) of the Exchange Act if the issuer were 
required to report under that section;
    (ii) An issuer must represent that it will provide such information 
to any purchaser, security holder, or prospective purchaser, upon 
request of the purchaser or holder.
* * * * *
    27. Amend Sec.  230.144A by
    a. Adding paragraph (a)(8);
    b. Adding paragraph (d)(4) (iii); and
    c. Adding paragraph (f).
    The additions read as follows:


Sec.  230.144A  Private resales of securities to institutions.

* * * * *
    (a) * * *
    (8) For purposes of this section, a ``structured finance product'' 
means
    (i) A synthetic asset-backed security; or
    (ii) A fixed-income or other security collateralized by any pool of 
self liquidating financial assets, such as loans, leases, mortgages, 
and secured or unsecured receivables, which entitles the security 
holders to receive payments that depend on the cash flow from the 
assets, including--
    (A) An asset-backed security as used in Item 1101(c) of Regulation 
AB (Sec.  229.1101(c)),
    (B) A collateralized mortgage obligation,
    (C) A collateralized debt obligation,
    (D) A collateralized bond obligation,
    (E) A collateralized debt obligation of asset-backed securities,
    (F) A collateralized debt obligation of collateralized debt 
obligations; or

[[Page 23436]]

    (G) A security that at the time of the offering is commonly known 
as an asset-backed security or a structured finance product.
* * * * *
    (d) * * *
    (4) * * *
    (iii) If the securities offered or sold are structured finance 
products, then the requirements of paragraph (d)(4)(i) of this section 
shall be satisfied if:
    (A) An underlying transaction agreement grants any initial 
purchaser, any security holder and a prospective purchaser designated 
by a security holder the right to obtain from the issuer promptly, upon 
request of the purchaser or holder, information as would be required if 
the offering were registered on Form S-1 or Form SF-1 under the 
Securities Act and any ongoing information regarding the securities 
that would be required by Section 15(d) of the Exchange Act if the 
issuer were required to report under that section;
    (B) The issuer represents that it will provide such information 
that is required by paragraph (d)(4)(ii)(A) of this section, upon 
request of the purchaser or holder.
* * * * *
    (f)(1) If the securities offered or sold are structured finance 
products, the issuer shall file with the Commission a notice of the 
initial placement of securities that are represented as eligible for 
resale in reliance on this rule containing the information required by 
Form 144A-SF (17 CFR 239.144A). The notice shall be signed by the 
issuer and filed no later than 15 calendar days after the first sale of 
securities in the offering, unless the end of that period falls on a 
Saturday, Sunday or holiday, in which case the due date shall be the 
first business day following such period.
    (2) If the issuer fails to file Form 144A-SF as required under 
paragraph (f)(1) of this section, then the exemption under this section 
will not be available for subsequent resales of newly issued structured 
finance products of the issuer or any affiliate of the issuer until the 
notice that was required to be filed has been filed with the 
Commission.


Sec.  230.167  [Amended]

    28. Amend Sec.  230.167 in paragraph (a) by revising the phrase 
``meeting the requirements of General Instruction I.B.5 of Form S-3 
(Sec.  239.13 of this chapter) and registered under the Act on Form S-3 
pursuant to Sec.  230.415'' to read ``registered on Form SF-3 pursuant 
to Sec.  230.415(a)(1)(vii)''.
    29. Amend Sec.  230.190 by:
    a. Revising paragraph (b)(1);
    b. Removing the phrase ``securities; and'' in paragraph (b)(6) and 
adding in its place ``securities.'';
    c. Removing paragraph (b)(7);
    d. Redesignating paragraph (c) introductory text as paragraph 
(c)(1) and paragraphs (c)(1) through (4) as paragraphs (c)(1)(i) 
through (iv); and
    e. Adding new paragraph (c)(2).
    The revision and addition read as follows:


Sec.  230.190  Registration of underlying securities in asset-backed 
securities transactions.

* * * * *
    (b) * * *
    (1) If the offering of asset-backed securities is registered on 
Form SF-3 (Sec.  239.45 of this chapter), the offering of the 
underlying securities itself must be eligible to be registered under 
Form SF-3 (Sec.  239.45), Form S-3 (Sec.  239.13 of this chapter), or 
F-3 (Sec.  239.33 of this chapter) as a primary offering of such 
securities;
* * * * *
    (c)(1) * * *
    (2) Notwithstanding paragraph (c)(1) of this section, if the pool 
assets for the asset-backed securities are collateral certificates or 
special units of beneficial interests, those collateral certificates or 
special units of beneficial interests must be registered concurrently 
with the registration of the asset-backed securities. However, pursuant 
to Securities Act Rule 457(s) (Sec.  230.457(s) of this chapter) no 
separate registration fee for the certificates or special units of 
beneficial interest is required to be paid.
    30. Add Sec.  230.192 to read as follows:


Sec.  230.192  Information relating to privately-issued structured 
finance products.

    (a) If an issuer of structured finance products (as defined in 17 
CFR 230.144A(a)) has represented and covenanted to provide information 
pursuant to Rule 503(b)(3) of Regulation D (Sec.  230.503(b)(3)), or 
has represented and covenanted to provide information pursuant to Rule 
144A(d)(4)(iii) (Sec.  230.144A(d)(4)(iii)) or Rule 144(c)(2) (Sec.  
230.144(c)(2)), then the issuer must provide such information, upon 
request of the purchaser or security holder.
    (b) A failure to provide the information as required in paragraph 
(a) of this section would constitute an engagement in a transaction, 
practice, or course of business which operates or would operate as a 
fraud or deceit upon the purchaser of the securities.
    31. Amend Sec.  230.401 by:
    a. Revising the phrase ``and (g)(3)'' in paragraph (g)(1) to read 
``,(g)(3), and (g)(4)''; and
    b. Adding paragraph (g)(4).
    The addition reads as follows:


Sec.  230.401  Requirements as to proper form.

* * * * *
    (g) * * *
    (4) Notwithstanding that the registration statement may have been 
declared effective previously, requirements as to proper form under 
this section will have been violated for:
    (i) Any offering of securities where the requirements of General 
Instructions I.A.1 and 2 of Form SF-3 have not been met as of the last 
day of the most recent fiscal quarter prior to the offering; or
    (ii) For any offering of securities where the requirement of 
General Instruction I.A.4 of Form SF-3 has not been met as of ninety 
days after the end of the depositor's fiscal year end prior to such 
offering.


Sec.  230.405  [Amended]

    32. Amend Sec.  230.405 by removing the phrase ``or Rule 431 (Sec.  
230.431);'' in paragraph (1) of the definition of a ``free writing 
prospectus'' and adding in its place the phrase ``Rule 430D (Sec.  
230.430D), or Rule 431(Sec.  230.431);''.
    33. Amend Sec.  230.415 by:
    a. Revising paragraph (a)(1)(vii);
    b. Revising paragraph (a)(1)(ix); and
    c. Adding paragraph (a)(1)(xii).
    The revisions and addition read as follows:


Sec.  230.415  Delayed or continuous offering and sale of securities.

    (a) * * *
    (1) * * *
    (vii) Asset-backed securities (as defined in 17 CFR 229.1101) 
registered (or qualified to be registered) on Form SF-3 (Sec.  239.45 
of this chapter) which are to be offered and sold on an immediate or 
delayed basis by or on behalf of the registrant; Instructions to 
paragraph (a)(1)(vii): The requirements of General Instruction I.B.1(c) 
of Form SF-3 (Sec.  239.45 of this chapter) must be met for any 
offerings of an asset-backed security (as defined in 17 CFR 229.1101) 
registered in reliance on paragraph (a)(1)(vii). In accordance with 
those instructions, with respect to each offering of securities, the 
chief executive officer of the depositor shall certify that that to his 
or her knowledge, the securitized assets backing the issue have 
characteristics that provide a reasonable basis to believe that they 
will produce, taking into account internal credit enhancements, cash 
flows at times and in amounts necessary to service any payments of the 
securities as described in the prospectus; and that he or she has 
reviewed the necessary prospectus and documents for this certification.
* * * * *

[[Page 23437]]

    (ix) Securities, other than asset-backed securities (as defined in 
17 CFR 229.1101), the offering of which will be commenced promptly, 
will be made on a continuous basis and may continue for a period in 
excess of 30 days from the date of initial effectiveness;
* * * * *
    (xii) Asset-backed securities (as defined in 17 CFR 229.1101) which 
are to be offered and sold on a continuous basis if the offering is 
commenced promptly and being conducted on the condition that the 
consideration paid for such securities will be promptly refunded to the 
purchaser unless
    (A) All of the securities being offered are sold at a specified 
price within a specified time, and
    (B) The total amount due to the seller is received by him by a 
specified date.
* * * * *
    34. Amend Sec.  230.424 by:
    a. Adding in paragraph (b)(2) the phrase ``or, in the case of 
asset-backed securities, Rule 430D (Sec.  230.430D)'' after the phrase 
``in reliance on Rule 430B (Sec.  230.430B)''.
    b. Revising the phrase in the instruction following the note to 
paragraph (b)(8) of Rule 424 ``mortgage-related securities on a delayed 
basis under Sec.  230.415(a)(1)(vii) or asset-backed securities on a 
delayed basis under Sec.  230.415(a)(1)(x)'' to read ``asset-backed 
securities on a delayed basis under Sec.  230.415(a)(1)(vii)''; and
    c. Adding paragraph (h).
    The addition reads as follows:


Sec.  230.424  Filing of prospectuses, number of copies.

* * * * *
    (h) Three copies of a form of prospectus relating to an offering of 
asset-backed securities on a delayed basis pursuant to Sec.  
230.415(a)(1)(vii) that contains substantially all the information 
previously omitted from the prospectus, or substantially all the 
information except for the omission of information with respect to the 
offering price, underwriting discounts or commissions, discounts or 
commissions to dealers, amount of proceeds or other matters dependent 
upon the offering price, filed as part of an effective registration 
statement as required by Rule 430D (Sec.  230.430D) shall be filed with 
the Commission by a means reasonably calculated to result in filing at 
least five business days before the date of the first sale in the 
offering, or if used earlier, the second business day after first use.
    Instruction to paragraph (h): The filing requirements of paragraph 
(h) do not apply if a filing is made solely to add fees pursuant to 
Securities Act Rule 457 (Sec.  230.457) and for no other purpose.


Sec.  230.430B  [Amended]

    35. Amend Sec.  230.430B in paragraph (a) by removing the phrase 
``Rule 415(a)(1)(vii) or (a)(1)(x) (Sec.  230.415(a)(1)(vii) or 
(a)(1)(x))'' and adding in its place the phrase ``Rule 415(a)(1)(x) 
(Sec.  230.415(a)(1)(x))''; and by removing the phrase ``(a)(1)(vii) 
or''.


Sec.  230.430C  [Amended]

    36. Amend Sec.  230.430C by adding the phrase ``or Rule 430D (Sec.  
230.430D) directly after the phrase ``in reliance on Rule 430B (Sec.  
230.430B)''.
    37. Add Sec.  230.430D to read as follows:


Sec.  230.430D  Prospectus in a registration statement after effective 
date for asset-backed securities offerings.

    (a)(1) A form of prospectus filed as part of a registration 
statement for offerings of asset-backed securities pursuant to Rule 
415(a)(1)(vii) (Sec.  230.415(a)(1)(vii)) may omit from the information 
required by the form to be in the prospectus information that is 
unknown or not reasonably available to the issuer pursuant to Rule 409 
(Sec.  230.409), provided that with respect to each offering pursuant 
to such registration statement, the issuer has filed with the 
Commission substantially all the information previously omitted from 
the prospectus filed as part of an effective registration statement 
relating to each offering that is required to be in the prospectus 
(except for the omission of information with respect to the offering 
price, underwriting discounts or commissions, discounts or commissions 
to dealers, amount of proceeds or other matters dependent upon the 
offering price) at least five business days in advance of the first 
sale in the offering in accordance with Rule 424(h) (Sec.  230.424(h)).
    (2) If a material change occurs in the information provided in 
accordance with paragraph (a)(1) of this section, other than price, 
five additional days before the first sale in the offering must elapse 
from the date information reflecting the change and containing 
substantially all the information required to be in the prospectus 
(except for the information with respect to offering price, 
underwriting discounts or commissions, discounts or commissions to 
dealers, amount of proceeds or other matters dependent upon the 
offering price) is filed with the Commission pursuant to Rule 424(h) 
(Sec.  230.424(h)). Such form of prospectus shall be deemed to have 
been filed as part of the registration statement for the purpose of 
section 7 of the Act.
    (b) A form of prospectus filed as part of a registration statement 
that omits information in reliance upon paragraph (a) of this section 
meets the requirements of section 10 of the Act for the purpose of 
section 5(b)(1) thereof. This provision shall not limit the information 
required to be contained in a form of prospectus in order to meet the 
requirements of section 10(a) of the Act for the purposes of section 
5(b)(2) thereof or exception (a) of section 2(a)(10) thereof.
    (c) Information omitted from a form of prospectus in reliance on 
paragraph (a) of this section and is contained in a form of prospectus 
required to be filed with the Commission pursuant to Rule 424(b)(2) or 
(b)(5) must contain all of the information that is required to be 
included in the prospectus pursuant to the requirements of the 
registration statement.
    (d)(1) Except as provided in paragraph (d)(2) of this section, 
information omitted from a form of prospectus that is part of an 
effective registration statement in reliance on paragraph (a) of this 
section may be included subsequently in the prospectus that is part of 
a registration statement by:
    (i) A post-effective amendment to the registration statement;
    (ii) A form of prospectus filed pursuant to Rule 424(h) (Sec.  
230.424(h));
    (iii) A prospectus filed pursuant to Rule 424(b) (Sec.  
230.424(b)); or
    (iv) If the applicable form permits, including the information in 
the issuer's periodic or current reports filed pursuant to section 13 
or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 
78o(d)) that are incorporated or deemed incorporated by reference into 
the prospectus that is part of the registration statement in accordance 
with the applicable requirements, subject to the provisions of 
paragraph (h) of this section.
    (2) Information omitted from a form of prospectus that is part of 
an effective registration statement in reliance on paragraph (a) of 
this section that adds a new structural feature or credit enhancement 
must be included subsequently in the prospectus that is part of a 
registration statement by a post-effective amendment to the 
registration statement.
    (e)(1) Information omitted from a form of prospectus that is part 
of an effective registration statement in reliance on paragraph (a) of 
this section and contained in a form of prospectus required to be filed 
with the Commission pursuant to Rule 424(b), other than as provided in 
paragraph (f) of this section, shall be deemed part of and included in 
the registration

[[Page 23438]]

statement as of the date such form of filed prospectus is first used 
after effectiveness.
    (2) Information omitted from a form of prospectus that is part of 
an effective registration statement in reliance on paragraph (a) of 
this section and contained in a form of prospectus required to be filed 
with the Commission pursuant to Rule 424(h) shall be deemed part of and 
included in the registration statement as of the date such form of 
filed prospectus is filed with the Commission pursuant to Rule 424(h) 
or, if used earlier than the date of filing, the date it is first used 
after effectiveness.
    (f)(1) Information omitted from a form of prospectus that is part 
of an effective registration statement in reliance on paragraph (a) of 
this section, and is contained in a form of prospectus required to be 
filed with the Commission pursuant to Rule 424(b)(2) or (b)(5), shall 
be deemed to be part of and included in the registration statement on 
the earlier of the date such subsequent form of prospectus is first 
used or the date and time of the first contract of sale of securities 
in the offering to which such subsequent form of prospectus relates.
    (2) The date on which a form of prospectus is deemed to be part of 
and included in the registration statement pursuant to paragraph (f)(1) 
of this section shall be deemed, for purposes of liability under 
section 11 of the Act of the issuer and any underwriter at the time 
only, to be a new effective date of the part of such registration 
statement relating to the securities to which such form of prospectus 
relates, such part of the registration statement consisting of all 
information included in the registration statement and any prospectus 
relating to the offering of such securities (including information 
relating to the offering in a prospectus already included in the 
registration statement) as of such date and all information relating to 
the offering included in reports and materials incorporated by 
reference into such registration statement and prospectus as of such 
date, and in each case not modified or superseded pursuant to Rule 412 
(Sec.  230.412). The offering of such securities at that time shall be 
deemed to be the initial bona fide offering thereof.
    (3) If a registration statement is amended to include or is deemed 
to include, through incorporation by reference or otherwise, except as 
otherwise provided in Rule 436 (Sec.  230.436), a report or opinion of 
any person made on such person's authority as an expert whose consent 
would be required under section 7 of the Act because of being named as 
having prepared or certified part of the registration statement, then 
for purposes of this section and for liability purposes under section 
11 of the Act, the part of the registration statement for which 
liability against such person is asserted shall be considered as having 
become effective with respect to such person as of the time the report 
or opinion is deemed to be part of the registration statement and a 
consent required pursuant to section 7 of the Act has been provided as 
contemplated by section 11 of the Act.
    (4) Except for an effective date resulting from the filing of a 
form of prospectus filed for purposes of including information required 
by section 10(a)(3) of the Act or pursuant to Item 512(a)(1)(ii) of 
Regulation S-K (Sec.  229.512(a)(1)(ii) of this chapter), the date a 
form of prospectus is deemed part of and included in the registration 
statement pursuant to this paragraph shall not be an effective date 
established pursuant to paragraph (f)(2) of this section as to:
    (i) Any director (or person acting in such capacity) of the issuer;
    (ii) Any person signing any report or document incorporated by 
reference into the registration statement, except for such a report or 
document incorporated by reference for purposes of including 
information required by section 10(a)(3) of the Act or pursuant to Item 
512(a)(1)(ii) of Regulation S-K (such person except for such reports 
being deemed not to be a person who signed the registration statement 
within the meaning of section 11(a) of the Act).
    (5) The date a form of prospectus is deemed part of and included in 
the registration statement pursuant to paragraph (f)(2) of this section 
shall not be an effective date established pursuant to paragraph (f)(2) 
of this section as to:
    (i) Any accountant with respect to financial statements or other 
financial information contained in the registration statement as of a 
prior effective date and for which the accountant previously provided a 
consent to be named as required by section 7 of the Act, unless the 
form of prospectus contains new audited financial statements or other 
financial information as to which the accountant is an expert and for 
which a new consent is required pursuant to section 7 of the Act or 
Rule 436; and
    (ii) Any other person whose report or opinion as an expert or 
counsel has, with their consent, previously been included in the 
registration statement as of a prior effective date, unless the form of 
prospectus contains a new report or opinion for which a new consent is 
required pursuant to section 7 of the Act or Rule 436.
    (g) Notwithstanding paragraph (e) or (f) of this section or 
paragraph (a) of Rule 412, no statement made in a registration 
statement or prospectus that is part of the registration statement or 
made in a document incorporated or deemed incorporated by reference 
into the registration statement or prospectus that is part of the 
registration statement after the effective date of such registration 
statement or portion thereof in respect of an offering determined 
pursuant to this section will, as to a purchaser with a time of 
contract of sale prior to such effective date, supersede or modify any 
statement that was made in the registration statement or prospectus 
that was part of the registration statement or made in any such 
document immediately prior to such effective date.
    (h) Where a form of prospectus filed pursuant to Rule 424(b) 
relating to an offering does not include disclosure of omitted 
information regarding the terms of the offering, the securities or the 
plan of distribution for the securities that are the subject of the 
form of prospectus, because such omitted information has been included 
in periodic or current reports filed pursuant to section 13 or 15(d) of 
the Securities Exchange Act of 1934 incorporated or deemed incorporated 
by reference into the prospectus, the issuer shall file a form of 
prospectus identifying the periodic or current reports that are 
incorporated or deemed incorporated by reference into the prospectus 
that is part of the registration statement that contain such omitted 
information. Such form of prospectus shall be required to be filed, 
depending on the nature of the incorporated information, pursuant to 
Rule 424(b)(2) or (b)(5).
    (i) Issuers relying on this section shall furnish the undertakings 
required by Item 512(a) of Regulation S-K.
    38. Amend Sec.  230.433 by
    a. Revising in paragraph (b)(1)(i) the phrase ``I.B.5, I.C., or 
I.D. thereof'' to read ``I.C., or I.D. thereof or on Form SF-3 (Sec.  
239.45 of this chapter)''; and
    b. Revising in paragraph (c)(1)(i) the phrase ``Rule 430B or Rule 
430C) (Sec.  230.430B or Sec.  230.430C)'' to read ``Rule 430B, Rule 
430C or Rule 430D)(Sec.  230.430B, Sec.  230.430C, or Sec.  
230.430D)''.
    39. Amend Sec.  230.456 by adding paragraph (c) to read as follows:


Sec.  230.456  Date of filing; timing of fee payment.

* * * * *

[[Page 23439]]

    (c)(1) Notwithstanding paragraph (a) of this section, an asset-
backed issuer that registers asset-backed securities offerings on Form 
SF-3 (Sec.  239.45), may, but is not required to, defer payment of all 
or any part of the registration fee to the Commission required by 
section 6(b)(2) of the Act on the following conditions:
    (i) If the issuer elects to defer payment of the registration fee, 
it shall pay the registration fees (pay-as-you-go registration fees) 
calculated in accordance with Rule 457(s) in advance of or in 
connection with an offering of securities from the registration 
statement at the time of filing the prospectus pursuant to Rule 424(h) 
for the offering; and
    (ii) The issuer reflects the amount of the pay-as-you-go 
registration fee paid or to be paid in accordance with paragraph 
(c)(1)(i) of this section by updating the ``Calculation of Registration 
Fee'' table to indicate the class and aggregate offering price of 
securities offered and the amount of registration fee paid or to be 
paid in connection with the offering or offerings on the cover page of 
a prospectus filed pursuant to Rule 424(h).
    40. Amend Sec.  230.457 by adding paragraphs (s) and (t) to read as 
follows:


Sec.  230.457  Computation of fee.

* * * * *
    (s) Where securities are asset-backed securities being offered 
pursuant to a registration statement on Form SF-3 (Sec.  239.45), the 
registration fee is to be calculated in accordance with this section. 
When the issuer elects to defer payment of the fees pursuant to Rule 
456(c), the ``Calculation of Registration Fee'' table in the 
registration statement must indicate that the issuer is relying on Rule 
456(c) but does not need to include the number of units of securities 
or the maximum aggregate offering price of any securities until the 
issuer updates the ``Calculation of Registration Fee'' table to reflect 
payment of the registration fee, including a pay-as-you-go registration 
fee in accordance with Rule 456(c). The registration fee shall be 
calculated based on the fee payment rate in effect on the date of the 
fee payment.
    (t) Where the securities to be offered are collateral certificates 
or special unit of beneficial interest underlying asset-backed 
securities (as defined in Sec.  229.1101(c)) which are being registered 
concurrently, no separate fee for the certificates or special units of 
beneficial interest shall be payable.
    41. Amend Sec.  230.501 by adding paragraph (i) to read as follows:


Sec.  230.501  Definitions and terms used in Regulation D.

* * * * *
    (i) Structured finance product. A ``structured finance product'' 
means
    (1) A synthetic asset-backed security; or
    (2) A fixed-income or other security collateralized by any pool of 
self liquidating financial assets, such as loans, leases, mortgages, 
and secured or unsecured receivables, which entitles the security 
holders to receive payments that depend on the cash flow from the 
assets, including--
    (i) An asset-backed security as used in Item 1101(c) of Regulation 
AB (Sec.  229.1101(c));
    (ii) A collateralized mortgage obligation;
    (iii) A collateralized debt obligation;
    (iv) A collateralized bond obligation;
    (v) A collateralized debt obligation of asset-backed securities;
    (vi) A collateralized debt obligation of collateralized debt 
obligations; or
    (vii) A security that at the time of the offering is commonly known 
to the trade as an asset-backed security or a structured finance 
product.
    42. Amend Sec.  230.502 by revising paragraph (b)(1) and adding 
paragraph (b)(3) to read as follows:


Sec.  230.502  General conditions to be met.

* * * * *
    (b)(1) When information must be furnished. If the issuer sells 
securities other than structured finance products under Sec.  230.505 
or Sec.  230.506 to any purchaser that is not an accredited investor, 
the issuer shall furnish the information specified in paragraph (b)(2) 
of this section to such purchaser a reasonable time prior to sale. The 
issuer is not required to furnish the information specified in 
paragraph (b)(2) of this section to purchasers when it sells securities 
under Sec.  230.504, or to any accredited investor. If the issuer sells 
structured finance products under Sec.  230.506, the issuer shall 
comply with the information requirements specified in paragraph (b)(3) 
of this section with respect to each purchaser a reasonable time prior 
to sale.

    Note to Sec.  230.502(b)(1): When an issuer provides information 
to investors pursuant to this paragraph (b)(1), it should consider 
providing such information to accredited investors as well, in view 
of the anti-fraud provisions of the federal securities laws.

* * * * *
    (3) If the issuer sells securities that are structured finance 
products under Sec.  230.506, the following conditions apply:
    (i) The underlying transaction agreement shall contain a provision 
that grants any purchaser in the offering the right to obtain from the 
issuer promptly, upon the purchaser's or security holder's request, 
information that would be required if the offering were registered on 
Form S-1 or Form SF-1 under the Securities Act; and
    (ii) The issuer shall represent that such information required in 
paragraph (b)(3)(i) shall be provided to any purchaser in the offering, 
upon the purchaser's request.
* * * * *

PART 232--REGULATION S-T--GENERAL RULES AND REGULATIONS FOR 
ELECTRONIC FILINGS

    43. The authority citation for Part 232 is revised to read as 
follows:

    Authority:  15 U.S.C. 77f, 77g, 77h, 77j, 77s(a), 77sss(a), 
78c(b), 78l, 78m, 78n, 78o(d), 78w(a), 78ll(d), 79t(a), 80a-8, 80a-
29, 80a-30, 80a-37, and 7201 et seq.; and 18 U.S.C. 1350.

    44. Amend Sec.  232.11 by adding a definition for ``Asset Data 
File'' in alphabetical order to read as follows:


Sec.  232.11   Definition of terms used in part 232.

* * * * *
    Asset Data File. The term Asset Data File means the machine-
readable computer code that presents information in eXtensible Markup 
Language (XML) electronic format pursuant to, with respect to any 
registration statement on Form SF-1 (Sec.  239.44) or Form SF-3 (Sec.  
239.45), Items 1111(h) and 1111(i) (Sec.  229.1111(h) and 229.1111(i) 
of this chapter) or, with respect to any distribution report on Form 
10-D, Items 1121(d) and 1121(e) (Sec.  229.1121(d) and Sec.  
229.1121(e) of this chapter).
* * * * *
    45. Amend Sec.  232.101 by:
    a. Adding paragraphs (a)(1)(xiv) and (a)(1)(xv); and
    b. Removing from the note following paragraph (a)(3) the phrase 
``F-2 and F-3 (see Sec. Sec.  239.12, 239.13, 239.16b, 239.32 and 
239.33 of this chapter'' and adding in its place the phrase ``SF-3, F-2 
and F-3 (see Sec. Sec.  239.12, 239.13, 239.16b, 239.32, 239.33, and 
239.45 of this chapter''.
    The additions read as follows:


Sec.  232.101  Mandated electronic submissions and exceptions.

    (a) * * *
    (1) * * *
    (xiv) Asset Data File (as defined in Sec.  232.11 of this chapter).
    (xv) Waterfall Computer Program (as defined in Sec.  229.1113(h)(1) 
of this chapter).
* * * * *

[[Page 23440]]

    46. Amend Sec.  232.201 by:
    a. Revising paragraph (a) introductory text;
    b. Removing from Note 1 to paragraph (b) the phrase ``and F-3 (see 
Sec. Sec.  239.12, 239.13, 239.16b, 239.32 and 239.33'' and adding in 
its place the phrase ``F-3, and SF-3 (see Sec. Sec.  239.12, 239.13, 
239.16b, 239.32, 239.33, and 239.45''; and
    c. Adding paragraph (d).
    The revision and addition read as follows:


Sec.  232.201   Temporary hardship exemption.

    (a) If an electronic filer experiences unanticipated technical 
difficulties preventing the timely preparation and submission of an 
electronic filing, other than a Form 3 (Sec.  249.103 of this chapter), 
a Form 4 (Sec.  249.104 of this chapter), a Form 5 (Sec.  249.105 of 
this chapter), a Form ID (Sec. Sec.  239.63, 249.446, 269.7 and 274.402 
of this chapter), a Form TA-1 (Sec.  249.100 of this chapter), a Form 
TA-2 (Sec.  249.102 of this chapter), a Form TA-W (Sec.  249.101 of 
this chapter), a Form D (Sec.  239.500 of this chapter), an Interactive 
Data File (Sec.  232.11 of this chapter), a Form 144A-SF (Sec.  
239.144A of this chapter) an Asset Data File (as defined in Sec.  
232.11 of this chapter), or a Waterfall Computer Program (as defined in 
Sec.  229.1113(h) of this chapter), the electronic filer may file the 
subject filing, under cover of Form TH (Sec. Sec.  239.65, 249.447, 
269.10 and 274.404 of this chapter), in paper format no later than one 
business day after the date on which the filing was to be made.
* * * * *
    (d) If an electronic filer experiences unanticipated technical 
difficulties preventing the timely preparation and submission of an 
Asset Data File (as defined in Sec.  232.11 of this chapter) or a 
Waterfall Computer Program (as defined in Sec.  229.1113(h) of this 
chapter), required pursuant to, with respect to any registration 
statement on Form SF-1 (Sec.  239.44 of this chapter) or Form SF-3 
(Sec.  239.45 of this chapter), Items 1111(h) and 1111(i) (Sec.  
229.1111(h) and 229.1111(i) of this chapter) or, with respect to any 
distribution report on Form 10-D, Item 1121(d) and Item 1121(e) (Sec.  
229.1121(d) and 229.1121(e) of this chapter), the electronic filer 
still can timely satisfy the requirement to submit the Asset Data File 
or the Waterfall Computer Program in the following manner by:
    (1) Posting on a Web site the Asset Data File or the Waterfall 
Computer Program unrestricted as to access and free of charge;
    (2) Specifying the Web site address in the required exhibit for the 
Asset Data File or the Waterfall Computer Program;
    (3) Providing the following legend in the required exhibit for the 
Asset Data File or the Waterfall Computer Program; and


IN ACCORDANCE WITH THE TEMPORARY HARDSHIP EXEMPTION PROVIDED BY RULE 
201 OF REGULATION S-T, THE DATE BY WHICH THE ASSET DATA FILE OR THE 
COMPUTER WATERFALL PROGRAM IS REQUIRED TO BE SUBMITTED HAS BEEN 
EXTENDED BY SIX BUSINESS DAYS.
    (4) Submitting the required Asset Data File or the Waterfall 
Computer Program no later than six business days after the Asset Data 
File or the Waterfall Computer Program originally was required to be 
submitted.

Sec.  232.202  [Amended]

    47. Amend Sec.  232.202 in paragraph (a) introductory text by 
revising the phrase ``or a Form D (Sec.  239.500 of this chapter)'' to 
read ``a Form D (Sec.  239.500 of this chapter), a Form 144A-SF (Sec.  
239.144A of this chapter), or an Asset Data File (Sec.  232.11 of this 
chapter) or a Waterfall Computer Program (as defined in Sec.  
229.1113(h) of this chapter),''.
    48. Amend Sec.  232.305 by revising paragraph (b) to read as 
follows:


Sec.  232.305   Number of characters per line; tabular and columnar 
information.

* * * * *
    (b) Paragraph (a) of this section does not apply to HTML documents, 
Interactive Data Files (Sec.  232.11), XBRL-Related Documents (Sec.  
232.11) or a Waterfall Computer Program (Sec.  229.1113(h)(1)).
    49. Revise Sec.  232.312 to read as follows:


Sec.  232.312  Accommodation for certain information in filings with 
respect to asset-backed securities.

    For filings with respect to asset-backed securities, the 
information provided in response to Item 1105 of Regulation AB (Sec.  
229.1105 of this chapter) may be filed on EDGAR as a Portable Document 
Format (PDF) document in the format required by the EDGAR Filer Manual. 
Notwithstanding Rule 104 of Regulation S-T (Sec.  232.104 of this 
chapter), the PDF document filed pursuant to this paragraph shall be an 
official filing.
    50. Add Sec.  232.314 to read as follows:


Sec.  232.314   Waterfall Computer Program.

    With respect to any registration statement on Form SF-1 (Section 
239.44) or Form SF-3 (Section 239.45) relating to an offering of an 
asset-backed security that is required to comply with Item 1113(h) of 
Regulation AB, the Waterfall Computer Program (as defined in Item 
1113(h)(1) of Regulation AB) must be written in the Python programming 
language and able to be downloaded and run on a local computer properly 
configured with a Python interpreter. The Waterfall Computer Program 
should be filed in the manner specified in the EDGAR Filer Manual.

PART 239--FORMS PRESCRIBED UNDER THE SECURITIES ACT OF 1933

    51. The authority citation for Part 239 continues to read in part 
as follows:

    Authority:  15 U.S.C. 77f, 77g, 77h, 77j, 77s, 77z-2, 77z-3, 
77sss, 78c, 78l, 78m, 78n, 78o(d), 78u-5, 78w(a), 78ll, 78mm, 80a-
2(a), 80a-3, 80a-8, 80a-9, 80a-10, 80a-13, 80a-24, 80a-26, 80a-29, 
80a-30, and 80a-37, unless otherwise noted.
* * * * *
    52. Revise Sec.  239.11 to read as follows:


Sec.  239.11  Form S-1, registration statement under the Securities Act 
of 1933.

    This Form shall be used for the registration under the Securities 
Act of 1933 (``Securities Act'') of securities of all registrants for 
which no other form is authorized or prescribed, except that this Form 
shall not be used for securities of foreign governments or political 
subdivisions thereof or asset-backed securities, as defined in 17 CFR 
230.1101.
    53. Amend Form S-1 (referenced in Sec.  239.11) by revising General 
Instruction I. to read as follows:

    Note: The text of Form S-1 does not, and this amendment will 
not, appear in the Code of Federal Regulations.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION, Washington, DC 20549

FORM S-1

* * * * *

GENERAL INSTRUCTIONS

I. Eligibility Requirements for Use of Form S-1
    This Form shall be used for the registration under the Securities 
Act of 1933 (``Securities Act'') of securities of all registrants for 
which no other form is authorized or prescribed, except that this Form 
shall not be used for securities of foreign governments or political 
subdivisions thereof or asset-backed securities, as defined in 17 CFR 
230.1101.
* * * * *
    54. Amend Sec.  239.13 by:
    a. Removing paragraph (a)(4);
    b. Redesignating paragraphs (a)(5), (a)(6), (a)(7) and (a)(8) as 
paragraphs (a)(4), (a)(5), (a)(6), and (a)(7);

[[Page 23441]]

    c. Revising paragraph (b)(5); and
    d. Revising in paragraph (e) introductory text the phrase ``(a)(2), 
(a)(3) and (a)(4)'' to read ``(a)(2) and (a)(3)''.
    The revision reads as follows:


Sec.  239.13  Form S-3, for registration under the Securities Act of 
1933 of securities of certain issuers offered pursuant to certain types 
of transactions.

* * * * *
    (b) * * *
    (5) This form shall not be used to register offerings of asset-
backed securities, as defined in 17 CFR 230.1101.
* * * * *
    55. Amend Form S-3 (referenced in Sec.  239.13) by:
    a. Removing General Instruction I.A.4;
    b. Redesignating General Instructions I.A.5, I.A.6, I.A.7, and 
I.A.8 as General Instructions I.A.4, I.A.5, I.A.6, and I.A.7;
    c. Revising General Instruction I.B.5;
    d. Removing the phrase ``I.B.5,'' in General Instruction II.F; and
    e. Removing General Instruction V.
    The revision reads as follows:

    Note: The text of Form S-3 does not, and this amendment will 
not, appear in the Code of Federal Regulations.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION, Washington, DC 20549

FORM S-3

* * * * *

GENERAL INSTRUCTIONS

    I. * * *
    B. * * *
    5. This form shall not be used to register offerings of asset-
backed securities, as defined in 17 CFR 230.1101.
* * * * *
    56. Add Sec.  239.44 to read as follows:


Sec.  239.44  Form SF-1, registration statement under the Securities 
Act of 1933 for offerings of asset-backed securities.

    This form shall be used for registration under the Securities Act 
of 1933 of all offerings of asset-backed securities, as defined in 17 
CFR 229.1101(c).
    57. Add Form SF-1 (referenced in Sec.  239.44) to read as follows:

    Note:  The text of Form SF-1 does not, and this amendment will 
not, appear in the Code of Federal Regulations.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM SF-1

REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

-----------------------------------------------------------------------
(Exact name of registrant as specified in its charter)

-----------------------------------------------------------------------

Commission File Number of depositor:-----------------------------------
Central Index Key Number of depositor:---------------------------------

-----------------------------------------------------------------------
(Exact name of depositor as specified in its charter)

Central Index Key Number of sponsor (if available):--------------------

-----------------------------------------------------------------------
(Exact name of sponsor as specified in its charter)

-----------------------------------------------------------------------
(State or other jurisdiction of incorporation or organization)

-----------------------------------------------------------------------
(I.R.S. Employer Identification Number)

-----------------------------------------------------------------------
(Address, including zip code, and telephone number, including area 
code, of registrant's principal executive offices)
-----------------------------------------------------------------------

(Name, address, including zip code, and telephone number, including 
area code, of agent for service)

-----------------------------------------------------------------------
(Approximate date of commencement of proposed sale to the public)

    If this Form is filed to register additional securities for an 
offering pursuant to Rule 462(b) under the Securities Act, please check 
the following box and list the Securities Act registration statement 
number of the earlier effective registration statement for the same 
offering: [ ]

    If this Form is a post-effective amendment filed pursuant to Rule 
462(c) under the Securities Act, check the following box and list the 
Securities Act registration statement number of the earlier effective 
registration statement for the same offering: [ ]

    If this Form is a post-effective amendment filed pursuant to Rule 
462(d) under the Securities Act, check the following box and list the 
Securities Act registration statement number of the earlier effective 
registration statement for the same offering: [ ]

                                         Calculation of Registration Fee
----------------------------------------------------------------------------------------------------------------
                                                                       Proposed
    Title of each class of       Amount to be    Proposed maximum      maximum
 securities to be registered      registered       offering price     aggregate      Amount of  registration fee
                                                     per unit       offering price
----------------------------------------------------------------------------------------------------------------
 

    Note: Specific details relating to the fee calculation shall be 
furnished in notes to the table, including references to provisions of 
Rule 457 (Sec.  230.457 of this chapter) relied upon, if the basis of 
the calculation is not otherwise evident from the information presented 
in the table. If the filing fee is calculated pursuant to Rule 457(o) 
under the Securities Act, only the title of the class of securities to 
be registered, the proposed maximum aggregate offering price for that 
class of securities and the amount of registration fee need to appear 
in the Calculation of Registration Fee table. Any difference between 
the dollar amount of securities registered for such offerings and the 
dollar amount of securities sold may be carried forward on a future 
registration statement pursuant to Rule 429 under the Securities Act.

GENERAL INSTRUCTIONS

I. Eligibility Requirements for Use of Form SF-1

    This Form shall be used for the registration under the Securities 
Act of 1933 (``Securities Act'') of asset-backed securities of all 
registrants for which no other form is authorized or prescribed, except 
that this Form shall not be used for securities of foreign governments 
or political subdivisions thereof.

II. Application of General Rules and Regulations

    A. Attention is directed to the General Rules and Regulations under 
the Securities Act, particularly those comprising Regulation C (17 CFR 
230.400 to 230.494) thereunder. That Regulation contains general 
requirements regarding the preparation and filing of the registration 
statement.
    B. Attention is directed to Regulation S-K and Regulation AB (17 
CFR Part 229) for the requirements applicable to

[[Page 23442]]

the content of registration statements under the Securities Act.
    C. Terms used in this form have the same meaning as in Item 1101 of 
Regulation AB.

III. Registration of Additional Securities

    With respect to the registration of additional securities for an 
offering pursuant to Rule 462(b) under the Securities Act, the 
registrant may file a registration statement consisting only of the 
following: the facing page; a statement that the contents of the 
earlier registration statement, identified by file number and CIK 
number of the issuer, are incorporated by reference; required opinions 
and consents; the signature page; and any price-related information 
omitted from the earlier registration statement in reliance on Rule 
430A that the registrant chooses to include in the new registration 
statement. The information contained in such a Rule 462(b) registration 
statement shall be deemed to be a part of the earlier registration 
statement as of the date of effectiveness of the Rule 462(b) 
registration statement. Any opinion or consent required in the Rule 
462(b) registration statement may be incorporated by reference from the 
earlier registration statement with respect to the offering, if: (i) 
Such opinion or consent expressly provides for such incorporation; and 
(ii) such opinion relates to the securities registered pursuant to Rule 
462(b). See Rule 411(c) and Rule 439(b) under the Securities Act.

IV. Incorporation of Certain Information by Reference

    A. All registrants that are required to file the information 
required by Item 1111A of Regulation AB (17 CFR 229.1111A) Asset-level 
information; Item 1111B of Regulation AB (17 CFR 229.1111B), Grouped 
account data for credit card pools; and Item 1113(h) of Regulation AB 
(17 CFR 229.1113(h)), Waterfall Computer Program; as exhibits to Form 
8-K (17 CFR 249.308) that are filed with the Commission pursuant to 
Item 6.06 and Item 6.07, respectively, of that form. Incorporation by 
reference must comply with Item 10 of this Form.
    B. Registrants may elect to file the information required by Item 
1105 of Regulation AB (17 CFR 229.1105), Static Pool, as an exhibit to 
Form 8-K (17 CFR 249.308) that is filed with the Commission pursuant to 
Item 6.08 of that form. Incorporation by reference must comply with 
Item 10 of this Form.
    C. If a registrant is structured as a revolving asset master trust, 
and is required to provide the information required by Item 9(d) of 
Schedule L (17 CFR 229.1111A), Floorplan Financings, it may elect to 
provide it in accordance with Item 10 of this Form.

PART I

INFORMATION REQUIRED IN PROSPECTUS

    Item 1. Forepart of the Registration Statement and Outside Front 
Cover Pages of Prospectus.
    Set forth in the forepart of the registration statement and on the 
outside front cover page of the prospectus the information required by 
Item 501 of Regulation S-K (17 CFR 229.501) and Item 1102 of Regulation 
AB (17 CFR 229.1102).
    Item 2. Inside Front and Outside Back Cover Pages of Prospectus.
    Set forth on the inside front cover page of the prospectus or, 
where permitted, on the outside back cover page, the information 
required by Item 502 of Regulation S-K (17 CFR 229.502).
    Item 3. Transaction Summary and Risk Factors.
    Furnish the information required by Item 503 of Regulation S-K (17 
CFR 229.503) and Item 1103 of Regulation AB (17 CFR 229.1103).
    Item 4. Use of Proceeds.
    Furnish the information required by Item 504 of Regulation S-K (17 
CFR 229.504).
    Item 5. Plan of Distribution.
    Furnish the information required by Item 508 of Regulation S-K (17 
CFR 229.508).
    Item 6. Information with Respect to the Transaction Parties.
    Furnish the following information:
    (a) Information required by Item 1104 of Regulation AB (17 CFR 
229.1104), Sponsors;
    (b) Information required by Item 1106 of Regulation AB (17 CFR 
229.1106), Depositors;
    (c) Information required by Item 1107 of Regulation AB (17 CFR 
229.1107), Issuing entities;
    (d) Information required by Item 1108 of Regulation AB (17 CFR 
229.1108), Servicers;
    (e) Information required by Item 1109 of Regulation AB (17 CFR 
229.1109), Trustees;
    (f) Information required by Item 1110 of Regulation AB (17 CFR 
229.1110), Originators;
    (g) Information required by Item 1112 of Regulation AB (17 CFR 
229.1112), Significant Obligors;
    (h) Information required by Item 1117 of Regulation AB (17 CFR 
229.1117), Legal Proceedings; and
    (i) Information required by Item 1119 of Regulation AB (17 CFR 
229.1119), Affiliations and certain relationships and related 
transactions.
    Item 7. Information with Respect to the Transaction.
    Furnish the following information:
    (a) Information required by Item 1111 of Regulation AB (17 CFR 
229.1111), Pool Assets; Item 1111A of Regulation AB (17 CFR 229.1111A), 
Asset-level information; and Item 1111B of Regulation AB (17 CFR 
229.1111B), Grouped account data for credit card pools;
    (b) Information required by Item 202 of Regulation S-K (17 CFR 
229.202), Description of Securities Registered and Item 1113 of 
Regulation AB (17 CFR 229.1113), Structure of the Transaction;
    (c) Information required by Item 1114 of Regulation AB (17 CFR 
229.1114), Credit Enhancement and Other Support;
    (d) Information required by Item 1115 of Regulation AB (17 CFR 
229.1115), Certain Derivatives Instruments;
    (e) Information required by Item 1116 of Regulation AB (17 CFR 
229.1116), Tax Matters;
    (f) Information required by Item 1118 of Regulation AB (17 CFR 
229.1118), Reports and additional information; and
    (g) Information required by Item 1120 of Regulation AB (17 CFR 
229.1120), Ratings.
    Item 8. Static Pool.
    Furnish the information required by Item 1105 of Regulation AB (17 
CFR 229.1105).
    Item 9. Interests of Named Experts and Counsel.
    Furnish the information required by Item 509 of Regulation S-K (17 
CFR 229.509).
    Item 10. Incorporation of Certain Information by Reference.
    (a) The prospectus shall provide a statement that all current 
reports filed pursuant to Items 6.06, 6.07 and if applicable, 6.08 of 
Form 8-K pursuant to Section Sections 13(a), 13(c), 14 or 15(d) of the 
Exchange Act, prior to the time of effectiveness shall be deemed to be 
incorporated by reference into the prospectus.
    Instruction. Attention is directed to Rule 439 (17 CFR 230.439) 
regarding consent to use of material incorporated by reference.
    (b)(1) You must state
    (i) That you will provide to each person, including any beneficial 
owner, to whom a prospectus is delivered, a copy of any or all of the 
information that has been incorporated by reference in the prospectus 
but not delivered with the prospectus;
    (ii) That you will provide this information upon written or oral 
request;
    (iii) That you will provide this information at no cost to the 
requester;

[[Page 23443]]

    (iv) The name, address, and telephone number to which the request 
for this information must be made; and
    (v) The registrant's Web site address, including the uniform 
resource locator (URL) where the incorporated reports and other 
documents may be accessed.
    Note to Item 10(b)(1). If you send any of the information that is 
incorporated by reference in the prospectus to security holders, you 
also must send any exhibits that are specifically incorporated by 
reference in that information.
    (2) You must:
    (i) Identify the reports and other information that you file with 
the SEC; and
    (ii) State that the public may read and copy any materials you file 
with the SEC at the SEC's Public Reference Room at 100 F Street, NE., 
Washington, DC 20549, between the hours of 10 a.m. and 3 p.m. State 
that the public may obtain information on the operation of the Public 
Reference Room by calling the SEC at 1-800-SEC-0330. If you are an 
electronic filer, state that the SEC maintains an Internet site that 
contains reports, proxy and information statements, and other 
information regarding issuers that file electronically with the SEC and 
state the address of that site (http://www.sec.gov). You are encouraged 
to give your Internet address, if available.
    Item 11. Disclosure of Commission Position on Indemnification for 
Securities Act Liabilities.
    Furnish the information required by Item 510 of Regulation S-K (17 
CFR 229.510).

PART II INFORMATION NOT REQUIRED IN PROSPECTUS

    Item 12. Other Expenses of Issuance and Distribution.
    Furnish the information required by Item 511 of Regulation S-K (17 
CFR 229.511).
    Item 13. Indemnification of Directors and Officers.
    Furnish the information required by Item 702 of Regulation S-K (17 
CFR 229.702).
    Item 14. Exhibits.
    Subject to the rules regarding incorporation by reference, file the 
exhibits required by Item 601 of Regulation S-K (17 CFR 229.601).
    Item 15. Undertakings.
    Furnish the undertakings required by Item 512 of Regulation S-K (17 
CFR 229.512).

SIGNATURES

    Pursuant to the requirements of the Securities Act of 1933, the 
registrant certifies that it has reasonable grounds to believe that it 
meets all of the requirements for filing on Form SF-1 and has duly 
caused this registration statement to be signed on its behalf by the 
undersigned, thereunto duly authorized, in the City of ----------------
, State of ----------------, on ----------------, 20------

-----------------------------------------------------------------------
(Registrant)

    By
-----------------------------------------------------------------------
(Signature and Title)

    Pursuant to the requirements of the Securities Act of 1933, this 
registration statement has been signed by the following persons in the 
capacities and on the dates indicated.

-----------------------------------------------------------------------
(Signature)

-----------------------------------------------------------------------
(Title)

-----------------------------------------------------------------------
(Date)

    Instructions.
    l. The registration statement shall be signed by the depositor, the 
depositor's principal executive officer or officers, its principal 
financial officer, its senior officer in charge of securitization and 
by at least a majority of its board of directors or persons performing 
similar functions. If the registrant is a foreign person, the 
registration statement shall also be signed by its authorized 
representative in the United States. Where the registrant is a limited 
partnership, the registration statement shall be signed by a majority 
of the board of directors of any corporate general partner signing the 
registration statement.
    2. The name of each person who signs the registration statement 
shall be typed or printed beneath his signature. Any person who 
occupies more than one of the specified positions shall indicate each 
capacity in which he signs the registration statement. Attention is 
directed to Rule 402 concerning manual signatures and to Item 601 of 
Regulation S-K concerning signatures pursuant to powers of attorney.
    58. Add Sec.  239.45 to read as follows:


Sec.  239.45  Form SF-3, for registration under the Securities Act of 
1933 for offerings of asset-backed issuers offered pursuant to certain 
types of transactions.

    This form shall be used for registration under the Securities Act 
of 1933 of offerings of asset-backed securities, as defined in 17 CFR 
229.1101(c). Any registrant which meets the requirements of paragraph 
(a) may use this Form for the registration of asset-backed securities 
(as defined in 17 CFR 229.1101(c)) under the Securities Act of 1933 
(``Securities Act'') which are offered in any transaction specified in 
paragraph (b) provided that the requirement applicable to the specified 
transaction are met. Terms used have the same meaning as in Item 1101 
of Regulation AB.
    (a) Registrant Requirements. Registrants must meet the following 
conditions in order to use Form SF-3 for registration under the 
Securities Act of securities offered in transactions paragraph (b) of 
this section:
    (1) To the extent the sponsor, with respect to the depositor or an 
issuing entity previously established by the depositor or affiliate of 
the depositor, was required to retain risk with respect to a previous 
ABS offering involving the same asset class, pursuant to paragraph 
(b)(1)(i) of this section, at the time of filing this registration 
statement, such sponsor was holding the required risk.
    (2) To the extent the depositor or any issuing entity previously 
established, directly or indirectly, by the depositor or any affiliate 
of the depositor (as defined in Item 1101 of Regulation AB (17 CFR 
229.1101)) are or were at any time during the twelve calendar months 
and any portion of a month immediately preceding the filing of the 
registration statement on this Form required to comply with the 
transaction requirements in paragraphs (b)(1)(ii), (b)(1)(iii), and 
(b)(1)(iv) of this section with respect to a previous offering of 
securities involving the same asset class, the following requirements 
shall apply:
    (i) Such depositor and each such issuing entity must have filed on 
a timely basis all transaction agreements containing the provision that 
is required by paragraph (b)(1)(ii) of this section;
    (ii) Such depositor and each such issuing entity must have filed on 
a timely basis all certifications required by paragraph (b)(1)(iii) of 
this section;
    (iii) Such depositor and each such issuing entity must have filed 
all reports they had undertaken to file for the previous twelve months 
(or such shorter period that each such entity had undertaken to file 
reports) regarding such asset-backed securities as would be required 
under section 15(d) of the Exchange Act (15 U.S.C. 78m, 78n or 78o(d)) 
if they were subject to the reporting requirements of that section.
    (3) The registrant has provided disclosure in the registration 
statement that it has met the registrant requirements of paragraphs 
(a)(1) and (a)(2) of this section.
    (4) To the extent the depositor or any issuing entity previously 
established, directly or indirectly, by the depositor or any affiliate 
of the depositor (as

[[Page 23444]]

defined in Item 1101 of Regulation AB (17 CFR 229.1101)) are or were at 
any time during the twelve calendar months and any portion of a month 
immediately preceding the filing of the registration statement on this 
Form subject to the requirements of section 12 or 15(d) of the Exchange 
Act (15 U.S.C. 78l or 78o(d)) with respect to a class of asset-backed 
securities involving the same asset class, such depositor and each such 
issuing entity must have filed all material required to be filed 
regarding such asset-backed securities pursuant to section 13, 14 or 
15(d) of the Exchange Act (15 U.S.C. 78m, 78n or 78o(d)) for such 
period (or such shorter period that each such entity was required to 
file such materials). In addition, such material must have been filed 
in a timely manner, other than a report that is required solely 
pursuant to Item 1.01, 1.02, 2.03, 2.04, 2.05, 2.06, 4.02(a), 6.01, or 
6.03 of Form 8-K (17 CFR 249.308). If Rule 12b-25(b) (17 CFR 240.12b-
25(b)) under the Exchange Act was used during such period with respect 
to a report or a portion of a report, that report or portion thereof 
has actually been filed within the time period prescribed by that rule. 
Regarding an affiliated depositor that became an affiliate as a result 
of a business combination transaction during such period, the filing of 
any material prior to the business combination transaction relating to 
asset-backed securities of an issuing entity previously established, 
directly or indirectly, by such affiliated depositor is excluded from 
this section, provided such business combination transaction was not 
part of a plan or scheme to evade the requirements of the Securities 
Act or the Exchange Act. See the definition of ``affiliate'' in 
Securities Act Rule 405 (17 CFR 230.405).
    (b) If the registrant meets the registrant requirements specified 
in paragraph (a) above, an offering meeting the following conditions 
may be registered on Form SF-3:
    (1) Offerings for cash where the following have been satisfied:
    (i) Risk Retention. With respect to each offering of securities 
that is registered on this form:
    (A) The sponsor or an affiliate of the sponsor retains a net 
economic interest in the securities offered in one of two the allowed 
methods described in paragraph (b)(1)(i)(B) of this section and 
provides disclosure in the prospectus that is filed as part of this 
registration statement relating to the interest that is retained.
    (B) The sponsor or affiliate of the sponsor shall retain the 
economic interest described in paragraph (b)(1)(i) (A) of this section 
in one of the following methods:
    (1) Retention of a minimum of five percent of nominal amount of 
each of the tranches sold or transferred to investors, net of hedge 
positions directly related to the securities or exposures taken by such 
sponsor or affiliate; or
    (2) In the case of revolving asset master trusts, retention of the 
originator's interest of a minimum of five percent of the nominal 
amount of the securitized exposures, net of hedge positions directly 
related to the securities or exposures taken by such sponsor or 
affiliate, provided that payments by the originator's interest are not 
less than five percent of payments by, collectively, the securities 
held by investors, at all times and in all cases.
    Instruction to Sec.  239.45(b)(1)(i)(A): Net economic interest is 
measured at issuance of the securities with respect to this paragraph 
(b)(1)(i)(A) and at origination of the assets backing the securities 
with respect to paragraph (b)(1)(i)(B) of this section and shall be 
maintained as long as non-affiliates of the depositor hold any of the 
issuer's securities that were sold in the offering.
    (ii) Third Party Opinion Provision in Transaction Agreement. With 
respect to each offering of securities that is registered on this form, 
the pooling and servicing agreement or other transaction agreement, 
which shall be filed, contains a provision requiring any party that has 
provided representations and warranties relating to the pool assets and 
that is obligated to repurchase any noncompliant pool asset or 
substitute any noncompliant pool asset to furnish an opinion or 
certificate, furnished to the trustee at least each quarter, from a 
non-affiliated third party relating to any asset for which the trustee 
has asserted a breach of a representation or warranty and for which the 
asset was not repurchased or replaced by the obligated party on the 
basis of an assertion that the asset did not violate a representation 
or warranty contained in the pooling and servicing agreement or other 
transaction agreement.
    (iii) Certification. The registrant files a certification in 
accordance with Item 601(b)(36) of Regulation S-K (Sec.  
229.601(b)(36)) signed by the chief executive officer of the depositor 
with respect to each offering of securities that is registered on this 
form.
    (iv) Undertaking to file Exchange Act Reports. With respect to each 
offering of securities that is registered on this form, the registrant 
undertakes to file reports as would be required by Section 15(d) of the 
Exchange Act and the rules thereunder, if the registrant were subject 
to the reporting requirements of that section, in accordance with Item 
512(a)(7)(ii) of Regulation S-K (Sec.  229.512(a)(7)(ii)) as long as 
non-affiliates of the depositor hold any of the issuer's securities 
that were sold in registered transactions. This registration statement 
shall also provide disclosure in the prospectus that is filed as part 
of the registration statement that the registrant has undertaken to, 
and will, file with the Commission reports as would be required by 
Section 15(d) of the Exchange Act and the rules thereunder if the 
registrant were subject to the reporting requirements of that section.
    (v) Delinquent Assets. Delinquent assets do not constitute 20% or 
more, as measured by dollar volume, of the asset pool as of the 
measurement date.
    (vi) Residual Value for Certain Securities. With respect to 
securities that are backed by leases other than motor vehicle 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 20% or more, as measured by dollar 
volume, of the securitized pool balance as of the measurement date.
    (2) Securities relating to an offering of asset-backed securities 
registered in accordance with paragraph (b)(1) where those securities 
represent an interest in or the right to the payments of cash flows of 
another asset pool and meet the requirements of Securities Act Rule 
190(c)(1) through (4) (17 CFR 240.190(c)(1) through (4)).
    59. Add Form SF-3 (referenced in Sec.  239.45) to read as follows:

    Note: The text of Form SF-3 does not, and this amendment will 
not, appear in the Code of Federal Regulations.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION, Washington, DC 20549

FORM SF-3

REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

(Exact name of registrant as specified in its charter)

-----------------------------------------------------------------------
(State or other jurisdiction of incorporation or organization)

-----------------------------------------------------------------------
(I.R.S. Employer Identification Number)

Commission File Number of depositor:-----------------------------------
-----------------------------------------------------------------------
Central Index Key Number of depositor:---------------------------------

-----------------------------------------------------------------------
(Exact name of depositor as specified in its charter)


[[Page 23445]]


Central Index Key Number of sponsor (if available):--------------------

-----------------------------------------------------------------------
(Exact name of sponsor as specified in its charter)

-----------------------------------------------------------------------
(Address, including zip code, and telephone number, including area 
code, of registrant's principal executive offices)

-----------------------------------------------------------------------
(Name, address, including zip code, and telephone number, including 
area code, of agent for service)

-----------------------------------------------------------------------
(Approximate date of commencement of proposed sale to the public)

    If any of the securities being registered on this Form are to be 
offered on a delayed basis pursuant to Rule 415 under the Securities 
Act of 1933, check the following box: [ ]
    If this Form is filed to register additional securities for an 
offering pursuant to Rule 462(b) under the Securities Act, please check 
the following box and list the Securities Act registration statement 
number of the earlier effective registration statement for the same 
offering: [ ]
    If this Form is a post-effective amendment filed pursuant to Rule 
462(c) under the Securities Act, check the following box and list the 
Securities Act registration statement number of the earlier effective 
registration statement for the same offering: [ ]

                                         Calculation of Registration Fee
----------------------------------------------------------------------------------------------------------------
                                                       Proposed maximum    Proposed maximum
     Title of each class of          Amount to be       offering price         aggregate           Amount of
   securities to be registered        registered           per unit         offering price     registration fee
----------------------------------------------------------------------------------------------------------------
 

    Notes to the ``Calculation of Registration Fee'' Table (``Fee 
Table''):
    1. Specific details relating to the fee calculation shall be 
furnished in notes to the Fee Table, including references to provisions 
of Rule 457 (Sec.  230.457 of this chapter) relied upon, if the basis 
of the calculation is not otherwise evident from the information 
presented in the Fee Table.
    2. If the filing fee is calculated pursuant to Rule 457(r) under 
the Securities Act, the Fee Table must state that it registers an 
unspecified amount of securities of each identified class of securities 
and must provide that the issuer is relying on Rule 456(b) and Rule 
457(r). If the Fee Table is amended in a post-effective amendment to 
the registration statement or in a prospectus filed in accordance with 
Rule 456(b)(1)(ii) (Sec.  230.456(b)(1)(ii) of this chapter), the Fee 
Table must specify the aggregate offering price for all classes of 
securities in the referenced offering or offerings and the applicable 
registration fee.
    Any difference between the dollar amount of securities registered 
for such offerings and the dollar amount of securities sold may be 
carried forward on a future registration statement pursuant to Rule 457 
under the Securities Act.

GENERAL INSTRUCTIONS

I. Eligibility Requirements for Use of Form SF-3

    This instruction sets forth registrant requirements and transaction 
requirements for the use of Form SF-3. Any registrant which meets the 
requirements of I.A. below (``Registrant Requirements'') may use this 
Form for the registration of asset-backed securities (as defined in 17 
CFR 229.1101(c)) under the Securities Act of 1933 (``Securities Act'') 
which are offered in any transaction specified in I.B. below 
(``Transaction Requirement'') provided that the requirement applicable 
to the specified transaction are met. Terms used in this form have the 
same meaning as in Item 1101 of Regulation AB.
    A. Registrant Requirements. Registrants must meet the following 
conditions in order to use this Form SF-3 for registration under the 
Securities Act of securities offered in transactions specified in I.B. 
below:
    1. To the extent the sponsor, with respect to the depositor or an 
issuing entity previously established by the depositor or affiliate of 
the depositor, was required to retain risk with respect to a previous 
ABS offering involving the same asset class, pursuant to General 
Instruction I.B.1(a) of this form, at the time of filing this 
registration statement, such sponsor was holding the required risk.
    2. To the extent the depositor or any issuing entity previously 
established, directly or indirectly, by the depositor or any affiliate 
of the depositor (as defined in Item 1101 of Regulation AB (17 CFR 
229.1101)) are or were at any time during the twelve calendar months 
and any portion of a month immediately preceding the filing of the 
registration statement on this Form required to comply with the 
transaction requirements in General Instructions I.B.1(b), I.B.1(c), 
and I.B.1(d) of this form with respect to a previous offering of 
securities involving the same asset class, the following requirements 
shall apply:
    (a) Such depositor and each such issuing entity must have filed on 
a timely basis all transaction agreements containing the provision that 
is required by General Instruction I. B.1(b);
    (b) Such depositor and each such issuing entity must have filed on 
a timely basis all certifications required by General Instruction I. 
B.1(c);
    (c) Such depositor and each such issuing entity must have filed all 
reports they had undertaken to file for the previous twelve months (or 
such shorter period that each such entity had undertaken to file 
reports) regarding such asset-backed securities as would be required 
under section 15(d) of the Exchange Act (15 U.S.C. 78m, 78n or 78o(d)) 
if they were subject to the reporting requirements of that section.
    3. The registrant has provided disclosure in the registration 
statement that it has met the registrant requirements of General 
Instruction I.A.1 and I.A.2 of Form SF-3.
    4. To the extent the depositor or any issuing entity previously 
established, directly or indirectly, by the depositor or any affiliate 
of the depositor (as defined in Item 1101 of Regulation AB (17 CFR 
229.1101)) are or were at any time during the twelve calendar months 
and any portion of a month immediately preceding the filing of the 
registration statement on this Form subject to the requirements of 
section 12 or 15(d) of the Exchange Act (15 U.S.C. 78l or 78o(d)) with 
respect to a class of asset-backed securities involving the same asset 
class, such depositor and each such issuing entity must have filed all 
material required to be filed regarding such asset-backed securities 
pursuant to section 13, 14 or 15(d) of the Exchange Act (15 U.S.C. 78m, 
78n or 78o(d)) for such period (or such shorter period that each such 
entity was required to file such materials or each such entity had 
undertaken to file such materials, as applicable). In addition, such 
material

[[Page 23446]]

must have been filed in a timely manner, other than a report that is 
required solely pursuant to Item 1.01, 1.02, 2.03, 2.04, 2.05, 2.06, 
4.02(a), 6.01, or 6.03 of Form 8-K (17 CFR 249.308). If Rule 12b-25(b) 
(17 CFR 240.12b-25(b)) under the Exchange Act was used during such 
period with respect to a report or a portion of a report, that report 
or portion thereof has actually been filed within the time period 
prescribed by that rule. Regarding an affiliated depositor that became 
an affiliate as a result of a business combination transaction during 
such period, the filing of any material prior to the business 
combination transaction relating to asset-backed securities of an 
issuing entity previously established, directly or indirectly, by such 
affiliated depositor is excluded from this section, provided such 
business combination transaction was not part of a plan or scheme to 
evade the requirements of the Securities Act or the Exchange Act. See 
the definition of ``affiliate'' in Securities Act Rule 405 (17 CFR 
230.405).
    B. Transaction Requirements. If the registrant meets the Registrant 
Requirements specified in I.A. above, an offering meeting the following 
conditions may be registered on this Form:
    1. Offerings for cash where the following have been satisfied:
    (a) Risk Retention. With respect to each offering of securities 
that is registered on this form:
     The sponsor or an affiliate of the sponsor retains a net 
economic interest in the securities offered in one of two the allowed 
methods described in paragraph (B) and provides disclosure in the 
prospectus that is filed as part of this registration statement 
relating to the interest that is retained.
     The sponsor or affiliate of the sponsor shall retain the 
economic interest described in paragraph (A) above in one of the 
following methods:
    (A) Retention of a minimum of five percent of nominal amount of 
each of the tranches sold or transferred to the investors, net of hedge 
positions directly related to the securities or exposures taken by such 
sponsor or affiliate; or
    (B) in the case of revolving asset master trusts, retention of the 
originator's interest of a minimum of five percent of the nominal 
amount of the securitized exposures, net of hedge positions directly 
related to the securities or exposures taken by such sponsor or 
affiliate, provided that the originator's interest and securities held 
by investors are collectively backed by the same pool of receivables, 
and payments of the originator's interest are not less than five 
percent of payments of the securities held by investors collectively.
    Instruction to General Instruction I.B.1(a)(i): Net economic 
interest is measured at issuance of the securities with respect to (A) 
and at origination of the assets backing the securities with respect to 
(B) and shall be maintained as long as non-affiliates of the depositor 
hold any of the issuer's securities that were sold in the offering.
    (b) Third Party Opinion Provision in Transaction Agreement. With 
respect to each offering of securities that is registered on this form, 
the pooling and servicing agreement or other transaction agreement, 
which shall be filed, contains a provision requiring any party that has 
provided representations and warranties relating to the pool assets and 
that is obligated to repurchase any noncompliant pool asset or 
substitute any noncompliant pool asset to furnish an opinion or 
certificate, furnished to the trustee at least each quarter, from a 
non-affiliated third party relating to any asset for which the trustee 
has asserted a breach of a representation or warranty and for which the 
asset was not repurchased or replaced by the obligated party on the 
basis of an assertion that the asset did not violate a representation 
or warranty contained in the pooling and servicing agreement or other 
transaction agreement.
    (c) Certification. The registrant files a certification in 
accordance with Item 601(b)(36) of Regulation S-K (Sec.  
229.601(b)(36)) signed by the chief executive officer of the depositor 
with respect to each offering of securities that is registered on this 
form.
    (d) Undertaking to file Exchange Act Reports. With respect to each 
offering of securities that is registered on this form, the registrant 
undertakes to file reports as would be required by Sections 13(a) or 
15(d) of the Exchange Act and the rules thereunder if the registrant 
were subject to the reporting requirements of that section, in 
accordance with Item 512(a)(7)(ii) of Regulation S-K (Sec.  
229.512(a)(7)(ii)) as long as non-affiliates of the depositor hold any 
of the issuer's securities that were sold in registered transactions. 
This registration statement shall also provide disclosure in the 
prospectus that is filed as part of the registration statement that the 
registrant has undertaken to, and will, file with the Commission 
reports as would be required by Sections 13(a) or 15(d) of the Exchange 
Act and the rules thereunder if the registrant were subject to the 
reporting requirements of that section.
    (e) Delinquent Assets. Delinquent assets do not constitute 20% or 
more, as measured by dollar volume, of the asset pool as of the 
measurement date
    (f) Residual Value for Certain Securities. With respect to 
securities that are backed by leases other than motor vehicle 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 20% or more, as measured by dollar 
volume, of the securitized pool balance as of the measurement date.
    2. Securities relating to an offering of asset-backed securities 
registered in accordance with General Instruction I.B.1. where those 
securities represent an interest in or the right to the payments of 
cash flows of another asset pool and meet the requirements of 
Securities Act Rule 190(c)(1) through (4) (17 CFR 240.190(c)(1) through 
(4)).

II. Application of General Rules and Regulations

    A. Attention is directed to the General Rules and Regulations under 
the Securities Act, particularly Regulation C thereunder (17 CFR 
230.400 to 230.494). That Regulation contains general requirements 
regarding the preparation and filing of registration statements.
    B. Attention is directed to Regulation S-K (17 CFR Part 229) for 
the requirements applicable to the content of the non-financial 
statement portions of registration statements under the Securities Act. 
Where this Form directs the registrant to furnish information required 
by Regulation S-K and the item of Regulation S-K so provides, 
information need only be furnished to the extent appropriate. 
Notwithstanding Items 501 and 502 of Regulation S-K, no table of 
contents is required to be included in the prospectus or registration 
statement prepared on this Form. In addition to the information 
expressly required to be included in a registration statement on this 
Form SF-3, registrants also may provide such other information as they 
deem appropriate.
    C. Where securities are being registered on this Form, Rule 456(c) 
permits, but does not require, the registrant to pay the registration 
fee on a pay-as-you-go basis and Rule 457(s) permits, but does not 
require, the registration fee to be calculated on the basis of the 
aggregate offering price of the securities to be offered in an offering 
or offerings off the registration statement. If a registrant elects to 
pay all or a portion of the registration fee on a deferred basis, the 
Fee Table in the initial filing must identify the classes of

[[Page 23447]]

securities being registered and provide that the registrant elects to 
rely on Rule 456(c) and Rule 457(s), but the Fee Table does not need to 
specify any other information. When the registrant amends the Fee Table 
in accordance with Rule 456(c)(1)(ii), the amended Fee Table must 
include either the dollar amount of securities being registered if paid 
in advance of or in connection with an offering or offerings or the 
aggregate offering price for all classes of securities referenced in 
the offerings and the applicable registration fee.
    D. Information is only required to be furnished as of the date of 
initial effectiveness of the registration statement to the extent 
required by Rule 430D. Required information about a specific 
transaction must be included in the prospectus in the registration 
statement by means of a prospectus that is deemed to be part of and 
included in the registration statement pursuant to Rule 430D, a post-
effective amendment to the registration statement, or a periodic or 
current report under the Exchange Act incorporated by reference into 
the registration statement and the prospectus and identified in a 
prospectus filed, as required by Rule 430D, pursuant to Rule 424(h) or 
Rule 424(b) (Sec.  230.424(h) or Sec.  230.424(b) of this chapter).

III. Registration of Additional Securities Pursuant to Rule 462(b)

    With respect to the registration of additional securities for an 
offering pursuant to Rule 462(b) under the Securities Act, the 
registrant may file a registration statement consisting only of the 
following: The facing page; a statement that the contents of the 
earlier registration statement, identified by file number, are 
incorporated by reference; required opinions and consents; the 
signature page; and any price-related information omitted from the 
earlier registration statement in reliance on Rule 430A that the 
registrant chooses to include in the new registration statement. The 
information contained in such a Rule 462(b) registration statement 
shall be deemed to be a part of the earlier registration statement as 
of the date of effectiveness of the Rule 462(b) registration statement. 
Any opinion or consent required in the Rule 462(b) registration 
statement may be incorporated by reference from the earlier 
registration statement with respect to the offering, if: (i) Such 
opinion or consent expressly provides for such incorporation; and (ii) 
such opinion relates to the securities registered pursuant to Rule 
462(b). See Rule 411(c) and Rule 439(b) under the Securities Act.

IV. Registration Statement Requirements

    Include only one form of prospectus for the asset class that may be 
securitized in a takedown of asset-backed securities under the 
registration statement. A separate form of prospectus and registration 
statement must be presented for each country of origin or country of 
property securing pool assets that may be securitized in a discrete 
pool in a takedown of asset-backed securities. For both separate asset 
classes and jurisdictions of origin or property, a separate form of 
prospectus is not required for transactions that principally consist of 
a particular asset class or jurisdiction which also describe one or 
more potential additional asset classes or jurisdictions, so long as 
the pool assets for the additional classes or jurisdictions in the 
aggregate are below 10% of the pool, as measured by dollar volume, for 
any particular takedown.

PART I

INFORMATION REQUIRED IN PROSPECTUS

    Item 1. Forepart of the Registration Statement and Outside Front 
Cover Pages of Prospectus.
    Set forth in the forepart of the registration statement and on the 
outside front cover page of the prospectus the information required by 
Item 501 of Regulation S-K (17 CFR 229.501) and Item 1102 of Regulation 
AB (17 CFR 229.1102).
    Item 2. Inside Front and Outside Back Cover Pages of Prospectus.
    Set forth on the inside front cover page of the prospectus or, 
where permitted, on the outside back cover page, the information 
required by Item 502 of Regulation S-K (17 CFR 229.502).
    Item 3. Transaction Summary and Risk Factors.
    Furnish the information required by Item 503 of Regulation S-K (17 
CFR 229.503) and Item 1103 of Regulation AB (17 CFR 229.1103).
    Item 4. Use of Proceeds.
    Furnish the information required by Item 504 of Regulation S-K (17 
CFR 229.504).
    Item 5. Plan of Distribution.
    Furnish the information required by Item 508 of Regulation S-K (17 
CFR 229.508).
    Item 6. Information with Respect to the Transaction Parties.
    Furnish the following information:
    (a) Information required by Item 1104 of Regulation AB (17 CFR 
229.1104), Sponsors;
    (b) Information required by Item 1106 of Regulation AB (17 CFR 
229.1106), Depositors;
    (c) Information required by Item 1107 of Regulation AB (17 CFR 
229.1107), Issuing entities;
    (d) Information required by Item 1108 of Regulation AB (17 CFR 
229.1108), Servicers;
    (e) Information required by Item 1109 of Regulation AB (17 CFR 
229.1109), Trustees;
    (f) Information required by Item 1110 of Regulation AB (17 CFR 
229.1110), Originators;
    (g) Information required by Item 1112 of Regulation AB (17 CFR 
229.1112), Significant Obligors;
    (h) Information required by Item 1117 of Regulation AB (17 CFR 
229.1117), Legal Proceedings; and
    (i) Information required by Item 1119 of Regulation AB (17 CFR 
229.1119), Affiliations and certain relationships and related 
transactions.
    Item 8. Information with Respect to the Transaction.
    Furnish the following information:
    (a) Information required by Item 1111 of Regulation AB (17 CFR 
229.1111), Pool Assets and Item 1111A of Regulation AB (17 CFR 
229.1111A), Asset-level information, and Item 1111B of Regulation AB 
(17 CFR 229.1111B), Grouped account data for credit card pools;
    (b) Information required by Item 202 of Regulation S-K (17 CFR 
229.202), Description of Securities Registered and Item 1113 of 
Regulation AB (17 CFR 229.1113), Structure of the Transaction;
    (c) Information required by Item 1114 of Regulation AB (17 CFR 
229.1114), Credit Enhancement and Other Support;
    (d) Information required by Item 1115 of Regulation AB (17 CFR 
229.1115), Certain Derivatives Instruments;
    (e) Information required by Item 1116 of Regulation AB (17 CFR 
229.1116), Tax Matters;
    (f) Information required by Item 1118 of Regulation AB (17 CFR 
229.1118), Reports and additional information; and
    (g) Information required by Item 1120 of Regulation AB (17 CFR 
229.1120), Ratings.
    Instruction: All registrants are required to file the information 
required by Item 1111A of Regulation AB (17 CFR 229.1111A), Asset-level 
information; Item 1111B of Regulation AB (17 CFR 229.1111B), Grouped 
account data for credit card pools; and Item 1113(h) of Regulation AB 
(17 CFR 229.1113(h)), Waterfall Computer Program; as exhibits to Form 
8-K (17 CFR 249.308) that are filed with the Commission pursuant to 
Item 6.06 and Item 6.07, respectively, of that form. Incorporation by 
reference must comply with Item 11 of this Form.
    Item 9. Static Pool.

[[Page 23448]]

    Furnish the information required by Item 1105 of Regulation AB (17 
CFR 229.1105).
    Instruction: Registrants may elect to file the information required 
by this item as an exhibit to Form 8-K (17 CFR 249.308) that is filed 
with the Commission pursuant to Item 6.08 of that form. Incorporation 
by reference must comply with Item 11 of this Form.
    Item 10. Interests of Named Experts and Counsel.
    Furnish the information required by Item 509 of Regulation S-K (17 
CFR 229.509).
    Item 11. Incorporation of Certain Information by Reference.
    (a) The prospectus shall provide a statement that all current 
reports filed pursuant to Items 6.06, 6.07 and if applicable, 6.08 of 
Form 8-K pursuant to Sections 13(a), 13(c), 14 or 15(d) of the Exchange 
Act, prior to the termination of the offering shall be deemed to be 
incorporated by reference into the prospectus.
    (b) If the registrant is structured as a revolving asset master 
trust, the documents listed in (1) and (2) below shall be specifically 
incorporated by reference into the prospectus by means of a statement 
to that effect in the prospectus listing all such documents:
    (1) the registrant's latest annual report on Form 10-K (17 CFR 
249.310) filed pursuant to Section 13(a) or 15(d) of the Exchange Act 
that contains financial statements for the registrant's latest fiscal 
year for which a Form 10-K was required to be filed; and
    (2) all other reports filed pursuant to Section 13(a) or 15(d) of 
the Exchange Act since the end of the fiscal year covered by the annual 
report referred to in (1) above.
    (c) The prospectus shall also provide a statement regarding the 
incorporation of reference of Exchange Act reports prior to the 
termination of the offering pursuant to one of the following two ways:
    (1) a statement that all subsequently filed by the registrant 
pursuant to Sections 13(a), 13(c), 14 or 15(d) of the Exchange Act, 
prior to the termination of the offering shall be deemed to be 
incorporated by reference into the prospectus; or
    (2) a statement that all current reports on Form 8-K filed by the 
registrant pursuant to Sections 13(a), 13(c), 14 or 15(d) of the 
Exchange Act, prior to the termination of the offering shall be deemed 
to be incorporated by reference into the prospectus.
    Instruction. Attention is directed to Rule 439 (17 CFR 230.439) 
regarding consent to use of material incorporated by reference.
    (d)(1) You must state:
    (i) that you will provide to each person, including any beneficial 
owner, to whom a prospectus is delivered, a copy of any or all of the 
information that has been incorporated by reference in the prospectus 
but not delivered with the prospectus;
    (ii) that you will provide this information upon written or oral 
request;
    (iii) that you will provide this information at no cost to the 
requester; and
    (iv) the name, address, and telephone number to which the request 
for this information must be made.
    Note to Item 11(c)(1). If you send any of the information that is 
incorporated by reference in the prospectus to security holders, you 
also must send any exhibits that are specifically incorporated by 
reference in that information.
    (2) You must:
    (i) identify the reports and other information that you file with 
the SEC; and
    (ii) state that the public may read and copy any materials you file 
with the SEC at the SEC's Public Reference Room at 100 F Street, NE., 
Washington, DC 20549, between the hours of 10 a.m. and 3 p.m. State 
that the public may obtain information on the operation of the Public 
Reference Room by calling the SEC at 1-800-SEC-0330. If you are an 
electronic filer, state that the SEC maintains an Internet site that 
contains reports, proxy and information statements, and other 
information regarding issuers that file electronically with the SEC and 
state the address of that site (http://www.sec.gov). You are encouraged 
to give your Internet address, if available.
    Item 12. Disclosure of Commission Position on Indemnification for 
Securities Act Liabilities.
    Furnish the information required by Item 510 of Regulation S-K (17 
CFR 229.510).

PART II

INFORMATION NOT REQUIRED IN PROSPECTUS

    Item 13. Other Expenses of Issuance and Distribution.
    Furnish the information required by Item 511 of Regulation S-K (17 
CFR 229.511).
    Item 14. Indemnification of Directors and Officers.
    Furnish the information required by Item 702 of Regulation S-K (17 
CFR 229.702).
    Item 15. Exhibits.
    Subject to the rules regarding incorporation by reference, file the 
exhibits required by Item 601 of Regulation S-K (17 CFR 229.601).
    Item 16. Undertakings.
    Furnish the undertakings required by Item 512 of Regulation S-K (17 
CFR 229.512).

SIGNATURES

    Pursuant to the requirements of the Securities Act of 1933, the 
registrant certifies that it has reasonable grounds to believe that it 
meets all of the requirements for filing on Form SF-3 and has duly 
caused this registration statement to be signed on its behalf by the 
undersigned, thereunto duly authorized, in the City of ----------------
, State of --------------------, on ----------------, 20 ------.
-----------------------------------------------------------------------
(Registrant)

    By

-----------------------------------------------------------------------
(Signature and Title)

    Pursuant to the requirements of the Securities Act of 1933, this 
registration statement has been signed by the following persons in the 
capacities and on the dates indicated.
-----------------------------------------------------------------------
(Signature)

-----------------------------------------------------------------------
(Title)

-----------------------------------------------------------------------
(Date)
    Instructions.
    1. The registration statement shall be signed by the depositor, the 
depositor's principal executive officer or officers, its principal 
financial officer, its senior officer in charge of securitization and 
by at least a majority of its board of directors or persons performing 
similar functions. If the registrant is a foreign person, the 
registration statement shall also be signed by its authorized 
representative in the United States. Where the registrant is a limited 
partnership, the registration statement shall be signed by a majority 
of the board of directors of any corporate general partner signing the 
registration statement.
    2. The name of each person who signs the registration statement 
shall be typed or printed beneath his signature. Any person who 
occupies more than one of the specified positions shall indicate each 
capacity in which he signs the registration statement. Attention is 
directed to Rule 402 concerning manual signatures and to Item 601 of 
Regulation S-K concerning signatures pursuant to powers of attorney.
    60. Add Sec.  239.144A to read as follows:

[[Page 23449]]

Sec.  239.144A  Form 144A-SF, for notice of the initial placement of 
securities pursuant to Sec.  230.144A of this chapter.

    The notice shall be signed by the issuer of the securities and 
filed with the Commission no later than 15 calendar days after the 
first sale of securities in the initial placement of securities to be 
re-sold in reliance on Rule 144A (Sec.  230.144A), unless the end of 
that period falls on a Saturday, Sunday or holiday, in which case the 
due date shall be the first business day following such period.
    61. Add Form 144A-SF (referenced in Sec.  239.144A) to read as 
follows:

    Note: The text of Form 144A-SF does not, and this amendment will 
not, appear in the Code of Federal Regulations.

U.S. Securities and Exchange Commission

Washington, DC 20549

FORM 144A-SF

NOTICE OF THE INITIAL PLACEMENT OF STRUCTURED FINANCE PRODUCTS PURSUANT 
TO RULE 144A UNDER THE SECURITIES ACT OF 1933

    Note: Intentional misstatements or omissions of fact constitute 
federal criminal violations. See 18 U.S.C. 1001.

General Instructions

    In accordance with Rule 144A(d)(5), a notice of offering shall be 
filed for the initial placement of structured finance products, as 
defined in Rule 144A, to be sold in reliance on Rule 144A (17 CFR 
230.144A). The notice shall be filed for the initial placement of the 
securities and not for subsequent resales of those securities. The 
notice shall be signed by the issuer of the securities and filed no 
later than 15 calendar days after the first sale of securities in the 
offering, unless the end of that period falls on a Saturday, Sunday or 
holiday, in which case the due date shall be the first business day 
following such period.
    Item 1. Identity of principal parties.
    (a) Identify the issuer and provide the principal place of business 
and contact information for the issuer.
    (b) Identify the sponsor for the offering and principal originators 
for the assets in the underlying pool, and servicer or collateral 
manager.
    (c) Provide the CUSIP number for the issuance, if reasonably 
available.
    Item 2. Information on type of security.
    (a) Describe the type of securities being offered or sold.
    (b) Provide a brief description of the structure of the securities, 
including the number of tranches in the securitization and whether any 
portion of the tranches are being retained by the sponsor or 
originator.
    (c) Provide a brief description of the asset pool, including the 
types of assets included, and if the assets are securities, provide the 
issuer of the underlying securities.
    Item 3. Information on offering.
    (a) Provide the principal amount of the securities offered or sold 
in the initial placement.
    (b) Disclose the date of the initial placement and the date of the 
initial resale of securities to be made in reliance on Securities Act 
Rule 144A (17 CFR 230.144A).

Signature and Submission

    Terms of Submission: In submitting this notice, the undersigned 
undertakes to provide to the SEC upon written request the offering 
documents used in connection with the initial placement of securities.
-----------------------------------------------------------------------
Issuer

-----------------------------------------------------------------------
Name of Signer

-----------------------------------------------------------------------
Signature

-----------------------------------------------------------------------
Title

-----------------------------------------------------------------------
Date

    62. Amend Form D (referenced in Sec.  239.500) by:
    a. Redesignating Item 9 as Item 4 and redesignating existing Items 
4, 5, 6, 7, and 8, as Items 5, 6, 7, 8, and 9.
    b. Revising newly redesignated Items 4 and 6;
    c. Revising the instruction to Item 4;
    d. Revising the instruction to Item 6; and
    e. Replacing the reference to ``Item 6'' in the instruction to Item 
13 to read ``Item 7''.
    The revisions read as follows:

    Note:  The text of Form D (referenced in Sec.  239.500) does not 
and this amendment will not appear in the Code of Federal 
Regulations.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION, Washington, DC 20549

FORM D

NOTICE OF EXEMPT OFFERING OF SECURITIES

* * * * *
1. Issuer's Identity

Name of Issuer---------------------------------------------------------
Previous Name(s)-------------------------------------------------------
Jurisdiction of Incorporation/Organization (dropdown or other list 
selection feature)
Entity Type (dropdown or other list selection feature)
Year of Incorporation/Organization (dropdown or other list selection 
feature to select year or ``Yet to Be Formed'')
* * * * *
4. Securities Offered
Type(s) of Security (select all that apply)
[ ] Equity
[ ] Debt
[ ] Option, Warrant or Other Right to Acquire Another Security
[ ] Security to be Acquired Upon Exercise of Option, Warrant or Other 
Right to Acquire Security
[ ] Pooled Investment Fund Interests
[ ] Structured Finance Product
Check all that apply:
[odot] Interest-weighted
[odot] Principal-weighted
[odot] Interest Only
[odot] Principal Only
[odot] Planned Amortization
[odot] Companion Classes
[odot] Residual Interests
[odot] Subordinated Interests
[odot] Other [Specify: ------------]

    For issuers that specify ``Structured Finance Products'' in Item 4, 
also provide the following information:

Name of Sponsor--------------------------------------------------------
Name of Principal Originator(s)----------------------------------------
Name of Servicer or Collateral Manager---------------------------------
CUSIP Number-----------------------------------------------------------

[ ] Tenant-in-Common Securities
[ ] Mineral Property Securities
[ ] Other (Describe: ------------)

6. Issuer Size or Other Characteristics
Revenue Range (for issuers that do not specify ``Structured Finance 
Product'' in response to Item 4 or ``Hedge Fund'' or ``Other Investment 
Fund'' in response to Item 5)
[odot] No Revenues
[odot] $1-$1,000,000
[odot] $1,000,001-$5,000,000
[odot] $5,000,001-$25,000,000
[odot] $25,000,001-$100,000,000
[odot] Over $100,000,000
[odot] Decline to Disclose
[odot] Not Applicable

Description of Transaction Structure and Asset Pool (for issuers that 
specify ``Structured Finance Product'' in response to Item 4)
Description of Transaction Structure:----------------------------------
Description of Asset Pool:---------------------------------------------

Aggregate Net Asset Value Range (for issuers that specify ``Hedge 
Fund'' or ``Other Investment Fund'' in response to Item 5)
[odot] No Aggregate Net Asset Value
[odot] $1-$5,000,000
[odot] $5,000,001-$25,000,000
[odot] $25,000,001-$50,000,000
[odot] $50,000,001-$100,000,000
[odot] Over $100,000,000

[[Page 23450]]

[odot] Decline to Disclose
[odot] Not Applicable

Instructions for Submitting Notice

* * * * *
Item-by-Item Instructions
* * * * *
    4. Securities Offered. Select the appropriate type or types of 
securities offered as to which this notice is filed. If the securities 
are debt convertible into other securities, however, select ``Debt'' 
and any other appropriate types of securities except for ``Equity.'' 
For purposes of this filing, use the ordinary dictionary and commonly 
understood meanings of these categories, except for the term 
``structured finance product,'' which is defined in Rule 501(a) of the 
Securities Act of 1933, 17 CFR 230.501(a). For instance, equity 
securities would be securities that represent proportional ownership in 
an issuer, such as ordinary common and preferred stock of corporations 
and partnership and limited liability company interests; debt 
securities would be securities representing money loaned to an issuer 
that must be repaid to the investor at a later date; pooled investment 
fund interests would be securities that represent ownership interests 
in a pooled or collective investment vehicle; tenant-in-common 
securities would be securities that include an undivided fractional 
interest in real property other than a mineral property; and mineral 
property securities would be securities that include an undivided 
interest in an oil, gas or other mineral property. For issuers of 
structured finance products, identify the sponsor for the securities, 
the principal originators for the assets in the underlying pool, and 
the servicer or collateral manager and provide the CUSIP number for the 
securities.
* * * * *
    6. Issuer Size or Other Characteristics.
     Revenue Range (for issuers that do not specify 
``Structured Finance Product'' in response to Item 4 or ``Hedge Fund'' 
or ``Other Investment Fund'' in response to Item 5): Enter the revenue 
range of the issuer or of all the issuers together for the most 
recently completed fiscal year available, or, if not in existence for a 
fiscal year, revenue range to date. Domestic SEC reporting companies 
should state revenues in accordance with Regulation S-X under the 
Securities Exchange Act of 1934. Domestic non-reporting companies 
should state revenues in accordance with U.S. Generally Accepted 
Accounting Principles (GAAP). Foreign issuers should calculate revenues 
in U.S. dollars and state them in accordance with U.S. GAAP, home 
country GAAP or International Financial Reporting Standards. If the 
issuer(s) declines to disclose its revenue range, enter ``Decline to 
Disclose.'' If the issuer's(s') business is intended to produce revenue 
but did not, enter ``No Revenues.'' If the business is not intended to 
produce revenue (for example, the business seeks asset appreciation 
only), enter ``Not Applicable.''
     Description of Transaction Structure and Asset Pool (for 
issuers that specify ``Structured Finance Product'' in response to Item 
4): Provide a brief description of the structure of the securities 
offered, including the number of tranches in the securitization and 
whether any portion of the tranches are being retained by the sponsor 
or the originator. Provide a brief description of the asset pool, 
including the types of assets included, and if the assets are 
securities, provide the issuer of the underlying securities.
     Aggregate Net Asset Value (for issuers that specify 
``Hedge Fund'' or ``Other Investment Fund'' in response to Item 5): 
Enter the aggregate net asset value range of the issuer or of all the 
issuers together as of the most recent practicable date. If the 
issuer(s) declines to disclose its aggregate net asset value range, 
enter ``Decline to Disclose.''
* * * * *

PART 240--GENERAL RULES AND REGULATIONS, SECURITIES EXCHANGE ACT OF 
1934

    63. The authority citation for part 240 continues to read in part 
as follows:

    Authority: 15 U.S.C. 77c, 77d, 77g, 77j, 77s, 77z-2, 77z-3, 
77eee, 77ggg, 77nnn, 77sss, 77ttt, 78c, 78d, 78e, 78f, 78g, 78i, 
78j, 78j-1, 78k, 78k-1, 78l, 78m, 78n, 78o, 78p, 78q, 78s, 78u-5, 
78w, 78x, 78ll, 78mm, 80a-20, 80a-23, 80a-29, 80a-37, 80b-3, 80b-4, 
80b-11, and 7201 et seq.; and 18 U.S.C. 1350, unless otherwise 
noted.
* * * * *
    64. Amend Sec.  240.15c2-8 by:
    a. Revising the last sentence of paragraph (b); and
    b. Removing paragraph (j).
    The revision reads as follows:


Sec.  240.15c2-8  Delivery of prospectus.

* * * * *
    (b) * * * Provided, however, this paragraph (b) shall apply to all 
issuances of asset-backed securities (as defined in Sec.  229.1101 of 
this chapter) regardless of whether the issuer has previously been 
required to file reports pursuant to sections 13(a) or 15(d) of the 
Securities Exchange Act of 1934, or exempted from the requirement to 
file reports thereunder pursuant to section 12(h) of the Act.
* * * * *


Sec.  240.15d-22  [Amended]

    65. Amend Sec.  240.15d-22 in paragraphs (a) and (b) by revising 
the reference ``415(a)(1)(x)'' to read ``415(a)(1)(vii)''.
* * * * *

PART 243--REGULATION FD

    66. The authority citation for part 243 continues to read as 
follows:

    Authority: 15 U.S.C. 78c, 78i, 78j, 78m, 78o, 78w, 78mm, and 
80a-29, unless otherwise noted.


Sec.  243.103  [Amended]

    67. Amend Sec.  243.103 in paragraph (a) by revising the phrase 
``and S-8 (17 CFR 239.16b)'' to read ``, S-8 (17 CFR 239.16b) and SF-3 
(17 CFR 239.45)''.

PART 249--FORMS, SECURITIES EXCHANGE ACT OF 1934

    68. The authority citation for part 249 continues to read in part 
as follows:

    Authority: 15 U.S.C. 78a et seq., 7202, 7233, 7241, 7262, 7264, 
and 265; and 18 U.S.C. 1350, unless otherwise noted.
* * * * *
    69. Amend Form 8-K (referenced in Sec.  249.308) by:
    a. Adding a checkbox to the end of the cover page;
    b. Revising General Instruction G.2.;
    c. Revising Item 6.05 of the Form; and
    d. Adding Items 6.06, 6.07, 6.08 and 6.09.
    The revisions and additions read as follows:

    Note: The text of Form 8-K does not, and this amendment will 
not, appear in the Code of Federal Regulations.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 8-K

* * * * *
    Indicate by check mark if the registrant is an asset-backed issuer 
that has undertaken to file this report pursuant to Item 512(a)(7)(ii) 
[ ]

GENERAL INSTRUCTIONS

* * * * *
    G. Use of this Form by Asset-Backed Issuers.
    2. Additional Disclosure for the Form 8-K Cover Page. Immediately 
after the name of the issuing entity on the cover page of the Form 8-K, 
as separate line

[[Page 23451]]

items, identify the exact name of the depositor as specified in its 
charter and the exact name of the sponsor as specified in its charter. 
Include a Central Index Key number for the depositor and the issuing 
entity, and if available, the sponsor.
* * * * *

INFORMATION TO BE INCLUDED IN THE REPORT

* * * * *
    Item 6.05. Securities Act Updating Disclosure.
    Regarding an offering of asset-backed securities registered on Form 
SF-3 (17 CFR 239.45), if any material pool characteristic of the actual 
asset pool at the time of issuance of the asset-backed securities 
(other than as a result of the pool assets converting into cash in 
accordance with their terms) differs by 1% or more from the description 
of the asset pool in the prospectus filed for the offering pursuant to 
Securities Act Rule 424 (17 CFR 230.424), disclose the information 
required by Items 1111 and 1112 of Regulation AB (17 CFR 229.1111 and 
17 CFR 229.1112) regarding the characteristics of the actual asset 
pool. If applicable, also provide information required by Items 1108 
and 1110 of Regulation AB (17 CFR 229.1108 and 17 CFR 229.1110) 
regarding any new servicers or originators that would be required to be 
disclosed under those items regarding the pool assets. Describe the 
changes that were made to the asset pool, including the number of 
assets substituted or added to the asset pool.

Instruction

    No report is required under this Item if substantially the same 
information is provided in a post-effective amendment to the Securities 
Act registration statement or in a subsequent prospectus filed pursuant 
to Securities Act Rule 424 (17 CFR 230.424).
    Item 6.06. Asset-Level Data File and Related Documents.
    (a) Regarding an offering of asset-backed securities registered on 
Form SF-1 (17 CFR 239.44) or Form SF-3 (17 CFR 239.45), disclose the 
information required by Item 1111(h) (17 CFR 229.1111(h)) and Schedule 
L (17 CFR 229.1111A) of Regulation AB or Item 1111(i) (17 CFR 
229.1111(i)) and Schedule CC (17 CFR 229.1111B) of Regulation AB. The 
disclosure must be filed as an Asset Data File (as defined in 17 CFR 
232.11) as an exhibit with this report by the time of effectiveness of 
a registration statement on Form SF-1, on the same date of the filing 
of a form of prospectus filed in accordance with Rule 424(h) (17 CFR 
230.424(h)), a final prospectus meeting the requirements of section 
10(a) of the Securities Act (15 U.S.C. 77j(a)(a)) filed in accordance 
with Rule 424(b) (17 CFR 230.424(b)), and a report filed in accordance 
with Item 6.05 of this Form.
    (b) With respect to a credit card master trust, if a Waterfall 
Computer Program is filed pursuant to Item 6.07(b) of this Form as an 
exhibit with this report, also provide the information required by 
Schedule CC (17 CFR 229.1111B) of Regulation AB. The disclosure must be 
filed as an Asset Data File (as defined in 17 CFR 232.11) as an exhibit 
with this report.
    (c) Asset Related Documents.
    (1) If a registrant includes other data points in the Asset Data 
File provided in paragraph (a) of this Item, in addition to those 
required by Schedule L of Regulation AB (17 CFR 229.1111A), disclose in 
reasonable detail the definitions and formulas for each of those 
additional data points. The document must be filed as an exhibit with 
this report on the same date of the filing of a prospectus filed in 
accordance with Rule 424(h) (17 CFR 230.424(h)), a final prospectus 
meeting the requirements of section 10(a) of the Securities Act (15 
U.S.C. 77j(a)(a)) filed in accordance with Rule 424(b) (17 CFR 
230.424(b)) and a report filed in accordance with Item 6.05 of this 
Form.
    (2) If a registrant provides other explanatory disclosure regarding 
the Asset Data File filed pursuant to (a) of this paragraph, disclose 
in reasonable detail the additional information. The document must be 
filed as an exhibit with this report on the same date of the filing of 
a prospectus filed in accordance with Rule 424(h) (17 CFR 230.424(h)), 
a final prospectus meeting the requirements of section 10(a) of the 
Securities Act (15 U.S.C. 77j(a)(a)) filed in accordance with Rule 
424(b) (17 CFR 230.424(b)) and a report filed in accordance with Item 
6.05 of this Form.
    Instructions.
    1. Refer to Item 601(b)(102) and (103) of Regulation S-K (17 CFR 
229.601(b)(102) and (103)) regarding the filing of exhibits to this 
Item 6.06.
    2. Refer to Item 10 of Form SF-1 (17 CFR 239.44) or Item 11 of Form 
SF-3 (17 CFR 239.45) regarding incorporation by reference.
Item 6.07. Waterfall Computer Program and Related Documents
    (a) Regarding an offering of asset-backed securities registered on 
Form SF-1 (17 CFR 239.44) or Form SF-3 (17 CFR 239.45), disclose the 
information required by Item 1113(h) (17 CFR 229.1113(h)) of Regulation 
AB. The disclosure must be filed as a Waterfall Computer Program (as 
defined in 17 CFR 232.11) as an exhibit with this report by the time of 
effectiveness of a registration statement on Form SF-1, and on the 
filing date of any (i) form of prospectus filed in accordance with Rule 
424(h) (17 CFR 230.424(h)) or (ii) final prospectus meeting the 
requirements of section 10(a) of the Securities Act (15 U.S.C. 
77j(a)(a)) filed in accordance with Rule 424(b) (17 CFR 230.424(b)).
    (b) With respect to a credit card master trust, if there is a 
change to the flow of funds that results in a change to the waterfall, 
disclose the information required by Item 1113(h) of Regulation AB. The 
disclosure must be filed as a Waterfall Computer Program as an exhibit 
with this report. Also provide the Asset Data File required by Item 
6.06(b) of this Form.
    (c) Waterfall Computer Program Related Documents. If a registrant 
includes additional program functionality in the Waterfall Computer 
Program filed pursuant to (a) of this paragraph, identify and disclose 
in reasonable detail the additional program functionality. The document 
must be filed as an exhibit with this report on the same date of the 
filing of a prospectus filed in accordance with Rule 424(h) (17 CFR 
230.424(h)) or a final prospectus meeting the requirements of section 
10(a) of the Securities Act (15 U.S.C. 77j(a)(a)) filed in accordance 
with Rule 424(b) (17 CFR 230.424(b)).
    Instructions.
    1. Refer to Item 601(b)(104) and (105) of Regulation S-K (17 CFR 
229.601(b)(102) and (103)) regarding the filing of exhibits to this 
Item 6.07.
    2. Refer to Item 10 of Form SF-1 (17 CFR 239.44) or Item 11 of Form 
SF-3 (17 CFR 239.45) regarding incorporation by reference.
Item 6.08. Static Pool
    Regarding an offering of asset-backed securities registered on Form 
SF-1 (17 CFR 239.44) or Form SF-3 (17 CFR 239.45), in lieu of providing 
the static pool information as required by Item 1105 of Regulation AB 
(17 CFR 229.1105) in a form of prospectus or prospectus, an issuer may 
file the required information as an exhibit to this report. The static 
pool disclosure must be filed as an exhibit with this report by the 
time of effectiveness of a registration statement on Form SF-1, on the 
same date of the filing of a form of prospectus, as required by Rule 
424(h) (17 CFR 230.424(h)) and a final prospectus meeting the 
requirements of section 10(a) of the Securities Act (15

[[Page 23452]]

U.S.C. 77j(a)(a)) filed in accordance with Rule 424(b) (17 CFR 
230.424(b)).
    Instructions.
    1. Refer to Item 601(b)(106) of Regulation S-K (17 CFR 
229.601(b)(104)) regarding the filing of exhibits to this Item 6.08.
    2. Refer to Item 10 of Form SF-1 (17 CFR 239.44) or Item 11 of Form 
SF-3 (17 CFR 239.45) regarding incorporation by reference.
Item 6.09. Change in Sponsor Interest in the Securities
    If there is a material change in the sponsor's interest in the 
securities, explain the change, including the amount of change, and 
describe the sponsor's resulting interest