Regulatory Update: Asset-Level Data for Legacy Deals, and Risk Retention for Resecuritizations

September 17, 2015

As we reported recently, some market participants had questioned whether issuers of legacy ABS initially offered before November 23, 2016 (the compliance date for Regulation AB II’s asset-level data requirements) would have to include asset-level data in their Forms 10-D filed after that compliance date. Yesterday, the SEC posted a new Item 311.02 in its Compliance and Disclosure Interpretations for Regulation AB, confirming our interpretation that asset-level data reporting is not required for legacy deals:

The asset-level data requirements are applicable only to securitizations in which the initial bona fide offer occurs on or after November 23, 2016. A registrant that makes an initial bona fide offer on or after November 23, 2016 must provide asset-level disclosure in accordance with the requirements of Regulation AB in the prospectus at the time of the offering and then on an ongoing basis with each Form 10-D filing. Securitizations for which offers are made prior to November 23, 2016 are not required to provide asset-level disclosures in the prospectus or on an ongoing basis with each Form 10-D.

Another recent controversial issue revolves around whether resecuritizations of residential mortgage-backed securities, or RMBS, are “collateralized by” residential mortgages for purposes of the credit risk retention rules. If so, then the risk retention compliance date for those securities would be December 24, 2015 rather than December 24, 2016, the compliance date for all other asset classes. Yesterday, industry sources reported that the staff of the SEC has discussed this issue with staff of the other responsible regulators and have reached the same conclusion as ours—that resecuritizations of RMBS are collateralized by RMBS (and not by residential mortgages) for purposes of the risk retention rules, so the compliance date for this asset class is December 24, 2016.