Year 1 Static Pool Reporting Under Regulation AB 1105

Abstract

The Securities Exchange Commission's (SEC's) Regulation AB (Reg AB) went into effect January 1, 2006 in an effort to increase transparency among public asset-backed securities. Item 1105 of Reg AB addresses static pool reporting requirements, providing guidance on materiality decisions and historical performance, the presentation of original deal characteristics, performance data, and the format of the data. Static pool reporting tracks historical information on prior securitized transactions, or from loans originated from the same vintage of similar assets, to assist investors in predicting expected future performance and analyzing credit risk associated with a transaction by providing historical information on delinquencies, charge-offs, and prepayments. This article is an analysis of research on 61 residential mortgage-backed securities (RMBS) and home equity sponsors' static pool reporting through their websites, prospectuses (424B5s), and 8-K filings.

TOPICS: MBS and residential mortgage loans, exchanges/markets/clearinghouses