Asset Covered Securities (Amendment) Act 2007

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Amendment of section 32 of Principal Act.

20.— Section 32 of the Principal Act is amended—

(a) in subsection (5)(a), by substituting “comprised” for “included”,

(b) in subsection (8)—

(i) in paragraph (d), by substituting “comprised” for “included”, and

(ii) by inserting “(but, for the purposes of this subsection, disregarding the effect of any pool hedge collateral)” after “and those securities”,

(c) by substituting the following for subsection (9):

“(9) For the purposes of subsection (8)(a), ‘duration’, in relation to the cover assets pool or mortgage covered securities secured on the pool, means a weighted average term to maturity of the relevant principal amount of the mortgage credit assets and substitution assets comprised in the pool or those securities, as the case may be, determined in accordance with a formula or criteria specified in a regulatory notice made for the purposes of this subsection and taking into account the effect of any relevant cover assets hedge contract entered into by the institution in relation to the pool or those securities, or both, as the case may be.”,

(d) in subsection (11)—

(i) by substituting “comprised” for “included”, and

(ii) by substituting “property asset” for “property assets”,

(e) by substituting the following for subsection (12):

“(12) For the purposes of this section, the prudent market value of a property asset which relates to a mortgage credit asset is required to be calculated at such times as the Authority specifies, after having regard to the valuation requirements applicable to covered bonds under the Codified Banking Directive, in accordance with or under a regulatory notice made in accordance with section 41(1).”,

(f) by inserting the following after subsection (14):

“(15) For the purposes of subsection (8)(b) but subject to subsection (16), a designated mortgage credit institution is required to maintain a minimum level of regulatory overcollateralisation of its cover assets pool with respect to the mortgage covered securities in issue which are secured on the pool.

(16) Subsection (15) shall not affect any contractual undertaking made by the institution in respect of the prudent market value of the cover assets pool being greater than the total of the principal amounts of the mortgage covered securities in issue and secured on that pool and which is the subject of a cover-assets monitor’s functions under the Asset Covered Securities Act 2001 (Sections 61(1), 61(2) and 61(3)) (Overcollateralisation) Regulations 2004 ( S.I. No. 419 of 2004 ), where that undertaking requires a higher level of cover assets to be maintained in the pool than subsection (15).

(17) For the purposes of subsection (15), ‘regulatory overcollateralisation’ means that the prudent market value of the mortgage credit assets and substitution assets comprised in the cover assets pool, expressed as a percentage of the total of the nominal or principal amounts of the mortgage covered securities in issue which are secured on that pool, is a minimum of 103 per cent after taking into account the effect of any cover assets hedge contract comprised in the cover assets pool.”.