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:

X Type of issue (A=US Public, M=US MBS, G=Non-US, P=US 144A/Private, R=CDO)
DATE Pricing date
ISSUER Issuing entity
SERIES Series number
AMT$MIL Amount (millions of dollars)
COL Collateral type (see below)
COL2 Collateral type 2 (see below)
BOOKRUNNER1 Bookrunner for offering (see League-Table Credit above)
BOOKRUNNER2 Bookrunner for offering if deal has joint bookrunners (see League-Table Credit above)
SELLER Name of seller (depositor)
SERVICER Servicer of securitized portfolio
SPONSOR Issuer (parent company)
ENHANCEMENT Provider of third-party enhancement
TRUSTEE Indenture trustee
COUNSEL/UW Underwriter counsel
COUNSEL/ISS Issuer counsel
RM/RS/RF/RD/RO "x" if rated by Moody's, S&P, Fitch, DBRS/Duff or Other
DEN Country of denomination
AMT/DEN-MIL Denomination amount (millions)
COUNTRY/COL Country where collateral is primarily located
REGION/COL Region of collateral; Regions: A=Asia (except Japan), C=Canada, E=Europe, F=Africa, J=Japan, K=Australia, L=Latin America, M=Mideast, U=U.S.
DIS Region where distributed
OFF Offering type (S=SEC registered, A=144A, P=Private, I=Non-U.S.)
ST Seller type (see below)

 

Collateral codes:

AC Aircraft-lease receivables MR Reverse mortgages
AF Auto-fleet leases MU Municipal leases
AK Airline-ticket receivables MZ Mutual fund (12b-1) fees
AL Auto Leases NE High-LTV ("no-equity") loans
AS Auto loans (subprime) NM Net interest margin
AU Auto loans (prime) NP Non-performing mortgages
BO Boat loans NR Natural resources
BZ Bank loans (CLOs) PF Project finance
CA Catastrophic risk RC Railcar leases
CB Collateralized debt obligation RM Residential mortgages (includes Alt-A)
CK Credit risk RN Rent receipts
CN Consumer loans, unsecured RO Royalties
CR Credit cards RV Recreational-vehicle loans
CT Cell-tower leases RY Remittances (by immigrants)
DR Delinquent receivables SA Servicer advance receivables
EL Equipment loans SB Small-business loans
EQ Equipment leases SC Small-business loans (Non-U.S.)
EX Export receiv. (Ex-Im Guarantee) SE Legal settlements
EZ Export receivables (Other) SH Shipping container leases
FE Miscellaneous SM Subprime mortgages
FF Franchise fees ST Student loans
FL Franchise loans TL Tax liens
FP Floorplan loans TM Timeshare loans
GC Guaranteed investment contract TO Toll-road receivables
HC Healthcare receivables TP Transportation
HE Home-equity loans TR Trade receivables
HI Home-improvement loans TU Truck loans
HL Home-equity lines of credit UT Utility receivables
IN Insurance-premium loans VI Viatical settlements
MH Manufactured housing loans WB Whole-business
MI Non-U.S. residential loans WE Weather
MO Motorcycle loans    

 

Collateral codes 2:

CDO:  
HY  High-yield debt
SP  Structured product
RU  REIT unsecured debt
IG  Investment-grade corporate bonds
EM  Sovereign debt
BZ  Corporate loans (balance sheet)
AR  Corporate loans (arbitrage)
PS  Preferred stock/trust-preferred securities
HF  Hedge fund shares/private-equity funds
SM  Small business loans and SME loans
RE  100% CMBS/commercial real estate
RC  50%-75% CMBS/commercial real estate
   
MBS:  
RR  Resecuritization

 

Seller types:

AL Airline IN Insurance company
AU Auto lender (independent) IV Investment firm
BK Bank/thrift LC Leasing company
CB Credit card bank (monoline) MB Mortgage Bank
CF Finance company (captive) ME Media/entertainment
CR Car-rental company NR Natural resources
FA Factoring company RE Retailer
FF Fannie/Freddie SF Securities firm
GV Government entity SM Student Lender
HF Healthcare finance UT Utility
IC Industrial company XX Other issuer
IF Finance company (diversified)    

 

Database Sample

 

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