Static Pool Reporting Under Regulation AB

Abstract

Created to improve transparency of information on asset-backed securities, the SEC's Regulation AB came into effect on January 1, 2006. The SEC's two primary objectives were to enforce Exchange Act compliance and to increase the level of transparency supporting ABS transactions. One of the efforts to increase transparency is the new static pool reporting requirement, Item 1105. In short, issuers must now present historical performance and original deal characteristics for a set of reference collateral that is materially similar to the current deal being brought to market. Although parameters are suggested in the regulations, the ruling leaves it to the issuer to determine what other data is material, how to present that data, and how much history to provide. With the first round of issuances for the year now in the market, we begin to see the various approaches taken to satisfying this regulation. This article presents the results of a survey of every (or virtually every) RMBS and Home Equity static pool web site available as of March 31, 2006, providing data for over 40 sponsors. The survey result tables focus exclusively on RMBS and home equity transactions, though anecdotes from other asset classes are provided where applicable. The article concludes with general observations on investor reporting best practices and explains how an issuer's investor relations information may (and should) differ from its Reg AB static pool site. This review is intended to provide meaningful guidance to upcoming issuers, assist current issuers to improve their static pool presentations, and spur conversation about emerging best practices.