# Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (Text with EEA relevance), Article 11: Eligible securitisations and ABCPs

Extent: E+W+S+N.I.

1. Both a securitisation and an ABCP shall be considered to be eligible for investment by an MMF provided that the securitisation or ABCP is sufficiently liquid, has received a favourable assessment pursuant to Articles 19 to 22, and is any of the following:
(a) a securitisation referred to in Article 13 of Chapter 2 (Rules on standards for the liquidity coverage requirement for credit institutions) of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook;
(b) an ABCP issued by an ABCP programme which:
(i) is fully supported by a regulated credit institution that covers all liquidity, credit and material dilution risks, as well as ongoing transaction costs and ongoing programme-wide costs related to the ABCP, if necessary to guarantee the investor the full payment of any amount under the ABCP;
(ii) is not a re-securitisation and the exposures underlying the securitisation at the level of each ABCP transaction do not include any securitisation position;
(iii) does not include a synthetic securitisation as defined in point (11) of Article 242 of Regulation (EU) No 575/2013;
(c) a simple, transparent and standardised (STS) securitisation , as defined in regulation 3(1) of the Securitisation Regulations 2024, or an ABCP transaction, as so defined;
(d) an overseas STS securitisation as defined in regulation 12(2) of the Securitisation Regulations 2024.
In the first subparagraph, in point (c), the reference to a simple, transparent and standardised (STS) securitisation includes a reference to a qualifying EU securitisation as defined in regulation 12(3) of the Securitisation Regulations 2024.
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2. A short-term MMF may invest in the securitisations or ABCPs referred to in paragraph 1 provided any of the following conditions is fulfilled, as applicable:
(a) the legal maturity at issuance of the securitisations referred to in point (a) of paragraph 1 is 2 years or less and the time remaining until the next interest rate reset date is 397 days or less;
(b) the legal maturity at issuance or residual maturity of the securitisations or ABCPs referred to in points (b) and (c) of paragraph 1 is 397 days or less;
(c) the securitisations referred to in points (a) and (c) of paragraph 1 are amortising instruments and have a WAL of 2 years or less.
3. A standard MMF may invest in the securitisations or ABCPs referred to in paragraph 1 provided any of the following conditions is fulfilled, as applicable:
(a) the legal maturity at issuance or residual maturity of the securitisations and ABCPs referred to in points (a), (b) and (c) of paragraph 1 is 2 years or less and the time remaining until the next interest rate reset date is 397 days or less;
(b) the securitisations referred to in points (a) and (c) of paragraph 1 are amortising instruments and have a WAL of 2 years or less.
4. ...
For the purposes of the first subparagraph, the criteria identifying STS securitisations and ABCPs shall include at least the following:
(a) requirements relating to the simplicity of the securitisation, including its true sale character and the respect of standards relating to the underwriting of the exposures;
(b) requirements relating to standardisation of the securitisation, including risk retention requirements;
(c) requirements relating to the transparency of the securitisation, including the provision of information to potential investors;
(d) for ABCPs, in addition to points (a), (b) and (c), requirements relating to the sponsor and to the sponsor support of the ABCP programme.

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Source: https://www.legislation.gov.uk/eur/2017/1131/article/11 (the official version)
Page: https://openlegislation.uk/eu-regulation-2017-1131/article-11
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.