Does an ABCP programme meet the definition under Article 242(9) of Regulation 575/2013 – or Article 242(11) CRR as amended by Regulation (EU) 2017/2401, which refers to-Article 2(7) in Regulation 2017/2402 when it invests not only in securitisation transactions (i.e. ABCP transaction as defined in Article 2(8) in Regulation 2017/2402) but also in other type of assets?
Some ABCP programmes are allowed to invest not only in securitisation transactions (i.e. ABCP transactions) but also in other assets (e.g. loans). In such cases, if the programme is fulfilling the definition of ABCP programme, exposures in relation to such programmes (e.g. liquidity lines) are to be analysed under the securitisation framework. If not they will be analysed under the general framework.
It is not clear if such an ABCP programme meets the definition under Article 242(9) of Regulation 575/2013 – or Article 242(11) CRR as amended by Regulation (EU) 2017/2401, which refers to-Article 2(7) in Regulation 2017/2402) as a programme of securitisations in which the securities issued predominantly take the form of asset-backed commercial paper with an original maturity of one year or less included in the scope of application of the securitisation framework when it invests not only in securitisation transactions (i.e. ABCP transaction as defined in Article 2(8) in Regulation 2017/2402) but also in other type of assets.
The definition of ‘ABCP programme’ in Article 2(7) of Regulation 2017/2402 substantially replicates the one in Article 242(9) CRR (in the version before the amendments introduced by Regulation 2017/2401). It states that an “‘asset-backed commercial paper programme’ or ‘ABCP programme’ means a programme of securitisations the securities issued by which predominantly take the form of asset-backed commercial paper with an original maturity of one year or less”. Consequently, although under this definition a programme of securitisations is a necessary component of an ABCP programme, it does not require that this programme consists exclusively of securitisations. Therefore, a programme of securitisations that uses the proceeds from the issuance of asset-backed commercial paper to obtain an interest in assets other than securitisations (where these securitisations would then be ABCP-Transactions according to Article 2(8) Regulation 2017/2402) is in principle covered by the definition of ABCP programme, provided that at least part of the assets the programme is investing in consist of ABCP-Transactions.
However, this does not imply that each asset-backed commercial paper, liquidity facility or other item issued or purchased under an ABCP programme is a securitisation position within the meaning of Article 4(1)(62) CRR or Article 2(19) Regulation 2017/2402 respectively. According to Article 113(4) and 130 CRR for the Standardised Approach respectively Article 151(10) CRR for the IRB Approach, the risk weights to be determined according to Part 3 Title 2 Chapter 5 of the CRR are applicable to securitisation positions only.
For ABCP programmes to be considered STS compliant it is inferred from Articles 2(7) and 2 (8) of Regulation (EU) 2017/2402 that all transactions in such a programme have to qualify as securitisations and furthermore are STS compliant.