About The ABS Database

The ABS Database presents the initial terms of all rated asset-backed issues, mortgage-backed issues and collateralized loan obligations placed anywhere in the world. The main objective of the database, which contains more than 32,000 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.

For questions about the ABS Database, contact Kyle Borowiec at 201-234-3983.

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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.
  • Refinancings of previously offered securities.

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.
  • To be counted as a "CLO" (X=L), the deal must 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.

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.

The ABS Database is made up of the following fields:

Field Name Detailed Description
X Type of issue (A=US Public ABS, P=US 144A/Private ABS, M=US MBS, G=Non-US ABS/MBS, L=CLO, 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. For CDOs, counsel to the collateral manager.
RM/RS/RF/RD/RK/RMO/RRI/RAM/RO "x" if rated by Moody's, S&P, Fitch, DBRS/Duff, Kroll, Morningstar, R&I, A.M. Best 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 NE High-LTV ("no-equity") loans
AF Auto-fleet leases NM Net interest margin
AK Airline-ticket receivables NP Non/re-performing mortgages
AL Auto leases NR Natural resources
AR CLO: corporate loans (arbitrage) PB PACE bonds
AS Auto loans (subprime) PF Project finance
AU Auto loans (prime) PS CDO: preferred stock/trust-preferred securities
BO Boat loans RA CDO: 50%-75% CMBS/commercial real estate
BZ CLO: corporate loans (balance sheet) RB CDO: 100% CMBS/commercial real estate
CA Catastrophic risk RC Railcar leases
CB CDO: unidentified collateral RE Renewable-energy assets
CK Credit risk RL CLO: commercial real estate loans
CN Consumer loans, unsecured RM Residential mortgages (includes Alt-A)
CR Credit cards RN Rent receipts
CT Cell-tower leases RO Royalties
DR Delinquent receivables RT Risk transfer
EL Equipment loans RU CDO: REIT unsecured debt
EM CDO: sovereign debt RV Recreational-vehicle loans
EQ Equipment leases RY Remittances (by immigrants)
EX Export receiv. (Ex-Im Guarantee) SA Servicer advance receivables
EZ Export receivables (Other) SB Small-business loans
FE Miscellaneous SC Small-business loans (Non-U.S.)
FF Franchise fees SD CLO: small-business loans / SME loans
FL Franchise loans SE Legal settlements
FP Floorplan loans SH Shipping container leases
GC Guaranteed investment contract SM Subprime mortgages
HC Healthcare receivables SP CDO: structured product
HE Home-equity loans SR Single-family rentals
HF CDO: hedge fund or private-equity fund shares ST Student loans
HI Home-improvement loans TL Tax liens
HL Home-equity lines of credit TM Timeshare loans
HY CDO: high-yield debt TO Toll-road receivables
IG CDO: investment-grade corporate bonds TP Transportation
IN Insurance-premium loans TR Trade receivables
MH Manufactured housing loans TU Truck loans
MI Non-U.S. residential loans UT Utility receivables
MO Motorcycle loans VI Viatical settlements
MR Reverse mortgages WB Whole-business
MU Municipal leases WE Weather 
MZ Mutual fund (12b-1) fees WS Wireless spectrum leases

Collateral codes 2:

MBS:  
RR  Resecuritization
SL  Seasoned loans

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)