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U.S. Securities and Exchange Commission

Securities Exchange Act of 1934
Regulation RR — Credit Risk Retention

September 1, 2016

Response of the Office of Structured Finance
Division of Corporation Finance


Sancus Capital Management LP
Incoming letter dated September 1, 2016

Dechert LLP
Bank of America Corporate Center
100 North Tryon Street
Suite 4000
Charlotte, NC 28202-4025
Attention: John M. Timperio

Dear Mr. Timperio:

Based on the facts and representations in your letter regarding the proposed “applicable margin reset” within respect to notes issued pursuant to a collateralized loan obligation, the Division’s views are as follows. Capitalized terms have the same meanings as defined in your letter.

The Division concurs that the application of the AMR procedures as described in your letter would not constitute an “offer and sale of asset-backed securities by an issuing entity” within the meaning of Regulation RR (17 CFR Part 246). 

This position[1] is based on the facts and representations made to the Division in your letter. Any different facts, representations or conditions might require the Division to reach a different conclusion.


/s/ Katherine Hsu

Katherine Hsu
Office Chief

[1] In reaching this position, the staff has consulted with the staffs of the Board of Governors of the Federal Reserve System, the Office of the Comptroller of the Currency and the Federal Deposit Insurance Corporation.

Incoming Letter:

The Incoming Letter is in Acrobat format.


Modified: 09/01/2016