Can you please clarify if there are any guidelines concerning Collatorized Loan Obligations (CLO) funds, or Senior Secured Loan (SSL) funds? Can you tell me if these asset classes are considered as “required” or “optional” when setting SBT?
The general principle is to look at the underlying assets and apply the requirements based on them. For example, if you invest in a fund that is invested in listed equity, then there is a 100% coverage requirement while if the fund is invested in sovereign bonds, then they would be out of scope. So the coverage requirement could depend on whether the underlying loans are long-term or short-term and whether they are extended to listed or private companies. Those nuances can be found in Table 5.2 of the draft Version 2 of the Near-Term Financial Sector SBT Guidance. Please note that securitized fixed income (i.e., those backed by a pool of assets) are currently optional.