About The ABS Database

The ABS Database presents the initial terms of all rated asset-backed issues, mortgage-backed issues and collateralized debt obligations placed anywhere in the world. The main objective of the database, which contains more than 26,000 deals, is to identify the primary participants in each transaction. It does not include pricing and other tranche-specific information. The database captures only the terms of each issue as of its pricing date, so it doesn't reflect subsequent events, such as paydowns and rating changes.

Criteria | Deal Types | League-Table Credit | Data Fields | Sample

Criteria for ABS Database

To be included in the ABS Database, an issue must be:

• Rated by at least one major rating agency.
• Under the control of a trustee.
• Collateralized by assets of some kind. Synthetic collateralized debt obligations and catastrophe bonds are also included.

The following securitizations, however, are excluded from the ABS Database:

• Commercial MBS. (These are counted in the CMBS Database, which is maintained by Commercial Mortgage Alert, a sister publication of Asset-Backed Alert.)
• Fannie Mae and Freddie Mac issues.
• Issues by municipalities (revenue bonds, etc.).
• Tax-exempt issues.
• Issues that are fully retained by an affiliate of the deal sponsor or sold to a commercial-paper conduit operated by an affiliate of the sponsor.
• Commercial paper and other continuously offered securities such as medium-term notes.

Criteria | Deal Types | League-Table Credit | Data Fields | Sample

Breakdown of Deal Types

The ABS Database assigns each issue to one of five categories: Public ABS, Private ABS, MBS, CDOs and Non-US ABS. 

• To be counted as "Public ABS" (X=A), an issue must be SEC-registered.
• To be counted as "Private/144A ABS" (X=P), an issue must be sold primarily in the U.S. under SEC Rule 144A or as a traditional private placement. Privately placed subordinate pieces of public deals are included in "Public ABS" amount.
• To be counted as "MBS" (X=M), an issue must be SEC-registered and backed by U.S. first-lien residential loans (typically jumbo mortgages that would otherwise meet the criteria of Fannie Mae and Freddie Mac). Also included: Alt-A home loans.
• To be counted as a "CDO" (X=R), an issue must be collateralized primarily by other securities or take the form of a collateralized loan obligation.
• To be counted as "Non-U.S. ABS/MBS" (X=G), an issue must be sold primarily outside the U.S.

Criteria | Deal Types | League-Table Credit | Data Fields | Sample

League-Table Credit

In the U.S.

• League-table credit is assigned to underwriters on the basis of what is printed in a deal's prospectus or private-placement memorandum.
• Full credit is given to the bookrunner. If the bookrunner is not specified, it is assumed that the underwriters listed on the top line of the prospectus cover are the bookrunners
• Credit will be split equally among underwriters that are specifically identified in the prospectus as "joint bookrunners" or "co-bookrunners." This may be stated anywhere in the document. The SEC has made clear that it does not object to such designations on the back covers or in the body text of offering materials.
• An underwriter identified in the prospectus as a bookrunner for a specific tranche will receive credit for the full amount of those securities, and the remainder of the deal will be split equally among all of the bookrunners.

Outside the U.S.

• League-table credit is assigned to underwriters on the basis of what is printed in a deal's prospectus or offering document.
• Full credit is split among banks listed as "bookrunner(s),"s and if that term is used on the document no other banks will receive credit.
• Where the term "bookrunner" does not appear, full credit will be split among banks listed as "lead manager(s)" or "lead underwriter(s)." However, credit will be withheld if the issuer or a bank listed as arranger tells Asset-Backed Alert that it objects to the assignment of such credit.
• If no bank is identified as "bookrunner," "lead manager" or "lead underwriter," Asset-Backed Alert will assume that the underwriter listed in the upper left position is the bookrunner, and that underwriter will receive full credit.
• Credit will be split evenly among underwriters if the offering document clearly states that specific banks are "joint bookrunners," "co-bookrunners," "joint-lead managers," "co-lead managers," "joint-lead underwriters" or "co-lead underwriters" -- and if those firms meet the above criteria.
• An underwriter identified in the offering document as a "bookrunner," "lead manager" or "lead underwriter" for a specific tranche will receive credit for the full amount of those securities, and the remainder of the deal will be split equally among all of the bookrunners.

Criteria | Deal Types | League-Table Credit | Data Fields | Sample

Data Fields

The ABS Database is made up of the following fields:

Collateral codes:

Collateral codes 2:

Seller types:

Database Sample

Criteria | Deal Types | League-Table Credit | Data Fields | Sample