SEC Division of Corporation Finance no-action letter: Sancus Capital Management LP

Dechert
Bank of America Corporate Center
100 North Tryon Street
Suite 4000
LLP
September 1, 2016
Katherine Hsu
Chief, Office of Structured Finance
Division of Corporation Finance
100 F Street, N.E.
Washington, D.C. 20549
Dear Ms. Hsu:
Charlotte, NC 28202-4025
+1 704 339 3100 Main
+1 704 339 3101 Fax www.dechert.com
JOHN M. TIMPERIO john.timperio@dechert.com
+1 704 339 3180 Direct
+1 704 339 3179 Fax
On behalf of our client, Sancus Capital Management LP, and its affiliates, ("Sancus Capital") we respectfully request that the staff (the "Staff') of the Securities and Exchange Commission (the "Commission") confirm your concurrence with our view that, based on the facts and circumstances described in this letter, a proposed "applicable margin reset" with respect to notes issued pursuant to a collateralized loan obligation transaction would not constitute an "offer and sale of asset-backed securities by an issuing entity."
I. Background
Section l 5G of the Securities Exchange Act ("Section 15G")1 requires a "securitizer" of
an asset-backed securitization ("ABS") to retain at least 5% of the credit risk of the assets collateralizing the ABS.2 In October 2014, pursuant to Section 15G, the Commission, along with the Board of Governors of the Federal Reserve System ("FRB"), the Office of the Comptroller of the Currency ("OCC") and the Federal Deposit Insurance Corporation ("FDIC") (collectively the "Agencies") adopted final rules (the "Final Rule") implementing this credit risk requirement. The Final Rule requires that the sponsor of each "securitization transaction" occuring after the effective date3 (the "Effective Date") retain at least 5% of the credit risk of the transaction (the "Retention Interest").4 The sponsor is the entity that "organizes and initiates"5 a 1 Section 941 of the Dodd-Frank Act Wall Street Reform and Consumer Protection Act added section 15G to the Securities Exchange Act of 1934. 2 See Securities Exchange Act of 1934 § 150, 15 U.S.C. § 780-l l. 3 The Effective Date for securitization transactions (other than residential mortgage backed securitizations) is two years after the Final Rule was published in the Federal Register, which occurs on December 24, 2016. 4 See Credit Risk Retention; 79 Fed. Reg. 77,602, 77,742 (Subpart B, § _.3) (December 24, 2014). 20852034 US Austin Boston Charlotte Hartford Los Angeles New York Orange County Philadelphia Princeton San Francisco Silicon Valley Washington DC EUROPE Brussels Dublin Frankfurt London Luxembourg Moscow Munich Paris ASIA Beijing Hong Kong