O.W.1: Asset-Backed Commercial Paper (ABCP) Single-Seller
Conduit and Asset-Backed Funding General Guidance: For products that typically make use of conduits or SPEs to finance assets for which the reporting entity retains the beneficial interest, use the [Maturity Amount] field to report the contractual liabilities of the conduits based on the remaining maturity of the issuance. Use the [Collateral Class] and [Collateral Value] fields to identify the types and fair value of asset(s) underlying the issuance. For debt instruments issued at a discount, report the final maturity obligation under the [Maturity Amount] field, which will effectively include interest accrued over the term of the instrument and not under product O.O.19 Interest & Dividends Payable. For all other periodic interest payments, report those under product O.O.19 Interest & Dividends Payable. Reporting Entity: In most cases, conduits should be reported as if “on-balance sheet” at one of the designated reporting entities (e.g., bank) and the “consolidated” reporting entity, specifically if the entity is consolidated under GAAP. Therefore, if the reporting entity uses a repurchase agreement to facilitate the transfer of assets to or from this conduit, this repo agreement should not be reported in any section of this report in order to avoid double counting. If the issuance requires an additional guarantee or line of support, only report the line of support if the issuance and corresponding line of support reside in two distinct legal entities. Lines of support for SPEs should be reported in the Outflows-Other table according to the appropriate product instructions. For consolidated entity reporting purposes, only report the conduit issuance and do not include the line of support to avoid double counting.