Static pool
data are measures of how groups of assets, such as those originated at different
intervals, perform over time
- Facilitates detection of trends in the
performance of pool assets that may not be evident from aggregate data
- Particularly for factors such as losses,
delinquencies, and prepayments that can change or "season" over time
- Can also infer trends by comparison to
the prior performance of similar pools of assets
Item
1105 focuses on static pool data for the transaction's sponsor
For
amortizing
asset pools:
-
Up to five
years of data covering cumulative losses, delinquencies, and prepayments
- Calls for static pool data about past
deals, if available
- Otherwise, calls for data about vintage
originations
For
revolving
asset master trusts:
-
Calls for data
covering delinquencies, cumulative losses, prepayments, payment rate, yield,
and standardized credit scores
- Should be organized based on the date of
origination of the pool assets (i.e. vintages)
Issues
-
Alternative data should be used if material and if the specified disclosure
items would not be material
- Static pool data about pre-2006 pools
won't be deemed part of the registration statement or prospectus
- For a time, will limit liability for this
information
- Pre-2006 static pool data can be omitted
if unavailable without unreasonable effort or expense
- Materiality can be difficult to determine
for sponsors whose pool assets varies from deal to deal
Final release 33-8518
2005
Proposal release
33-8419 2004
SEC_CODE_REF_0090001192884
-
Was Item 1104(e), in initial proposal
Would
have required, static pool data about:
- sponsor's overall portfolio
- prior securitized asset pools for the same
types of assets
- for the offered asset pool itself
Final
rules instead provide for separate starting points for
disclosure:
- for amortizing assets
- for revolving master trusts
- depending on whether the sponsor is
"seasoned"
Can
use a website to deliver static pool information
- Incorporated by reference to prospectus
- Data about deals issued before 2006 will not count as part
of a registration
statement
- Rule 312 of Regulation S-T expires on 12/31/09
- Thereafter issuers will need to file their static
pool data
with the SEC
