Information for Form ABS-EE Filings
Updated: November 3, 2016
These Compliance and Disclosure Interpretations (“C&DIs”) relate to the filing of asset-level disclosures on Form ABS-EE. The bracketed date following each C&DI is the latest date of publication or revision. For further information, please refer to the Asset-Backed Securities Disclosure and Registration Adopting Release (Release No. 33-9638) (79 FR 57184) (the “2014 ABS Adopting Release”).
Question: For a preliminary or final prospectus, what period of information is required to be provided in Form ABS-EE?
Answer: A Form ABS-EE filed with a preliminary or final prospectus is required to include the data set forth in Schedule AL through the end of the most recent reporting period, unless otherwise specified in Schedule AL. The begin date and end date of a reporting period for the Form ABS-EE filed with a prospectus should reflect “how information is normally captured and how it will be reported under the ongoing reporting requirements that will arise after issuance.” See page 57209 of the 2014 ABS Adopting Release.
For example, if the transaction documents require monthly ongoing reporting, the Form ABS-EE filed with a prospectus should include data starting at the reporting period begin date, which is the first day of the month, through the reporting period end date, which is the last day of the month. See Questions 2 and 3 below for additional examples. [April 28, 2016]
Question: How does an issuer determine the most recent reporting period for a Form ABS-EE that is filed with a preliminary or final prospectus?
Answer: The most recent reporting period will depend on the date of the applicable prospectus and will correspond to the frequency and timing for providing information to investors on an ongoing basis after issuance, as determined by the transaction documents. See page 57209 of the 2014 ABS Adopting Release.
For example, if investor reports will be made on the 15th of each month, and the prospectus is dated on or after the 15th of a month, the most recent reporting period would be the previous month and data for the previous month would be required in the Form ABS-EE.
Question: Assuming reports will be provided to investors on the 15th of each month, if an issuer files a Form ABS-EE with a preliminary prospectus dated January 14, is the issuer required to file a new Form ABS-EE with a final prospectus dated January 16?
Answer: As noted in Question 2, the preliminary prospectus dated January 14 must include the asset-level information required by Schedule AL as of the most recent reporting period, which would be November 1 – November 30. The issuer would be permitted, but not required, to provide in the preliminary prospectus asset-level data from the reporting period covering December 1 – December 31, either in addition to or instead of the November asset-level information. In either case, the final prospectus dated January 16 must include Schedule AL data for the reporting period of December 1 – December 30.
Question: What information is required to be provided in a Form ABS-EE that is filed with a preliminary or final prospectus?
Answer: The issuer is required, at the time of the offering, to provide all the information relating to the underwriting of the asset that our rules require, and any applicable performance-related information for the most recent reporting period. Applicable performance related information in a preliminary or final prospectus includes all performance data points, such as amounts that were scheduled to be collected during the reporting period, actual amounts collected during the reporting period, and delinquency status, so investors can review asset performance prior to issuance. Therefore, issuers may be required to report information about these cash flows that occurred prior to the cut-off date.
Unless otherwise specified in the data point definition or instructions, data points that require a yes or no response are always applicable, including in the initial Form ABS-EE. For example, a yes or no response will always be required for the “Modification Indicator – Reporting Period” data point in the initial Form ABS-EE.
See page 57211 (fn. 265) and pages 57245-57246 of the 2014 Adopting Release. [April 28, 2016]
Question: Are issuers required to include performance-related information for the most recent reporting period in the Form ABS-EE filed with the prospectus even when payments made during that reporting period do not flow to investors?
Answer: Yes. Issuers are required to provide performance information for the most recent reporting period, including payments made by obligors or lessees, regardless of whether those payments flow to investors.
In order to make clear that certain payments do not flow to the investors, issuers may provide narrative disclosure in the prospectus describing the asset-level information presented. Alternatively, issuers may include such information in an asset-related document, which allows issuers to make explanatory disclosure about the asset-level data file attached as Exhibit 102 to Form ABS-EE. The asset-related document is attached as Exhibit 103 to Form ABS-EE. [April 28, 2016]
Question: Can performance data ever be omitted?
Answer: There are very limited circumstances under which an issuer can omit performance data.
If an asset is very recently originated and no payments are scheduled to be received by the end of the most recent reporting period and an obligor has not made any payments, an issuer may choose, for example, to omit the data points that would capture performance information related to payments and omit the related XML tags for that particular asset for that particular reporting period. As an alternative, an issuer could include responses to the data points by including the XML tags and respond with zero. In either case, once an obligor has made a payment or has missed a scheduled payment, then performance information exists and the data points capturing such information are applicable for that asset and the XML tags are required to be provided. [April 28, 2016]
Question: If an Exhibit 102 to Form ABS-EE that omits applicable data points is accepted by the EDGAR system, does that mean that the filing is compliant with the requirements of Schedule AL?
Answer: No. The EDGAR system does not validate for compliance with the requirements of Schedule AL. Compliance with the legal requirements is the responsibility of the issuer. [April 28, 2016]
Question: If pool-level information under Items 1111(a) and (b) of Regulation AB is required to be presented in a prospectus as of a cut-off date that is different from the end of the most recent reporting period, is an issuer permitted to provide asset-level information as of the cut-off date?
Answer: No. Several of the requirements in Schedule AL specify the “as of” date that the data should be provided. For example, some data points require information as of origination. Unless the data point specifies a different “as of” date, the data should be as of the end of the reporting period. See page 57209 of the 2014 ABS Adopting Release. The reporting period begin date and the reporting period end date set the period of time for which other information, such as account balances, interest rates, payments and fees, are required in a prospectus and on an ongoing basis.
After an issuer determines which assets will be included in a pool (a determination that is typically made on the cut-off date), it will then need to collect information about those assets to report in Form ABS-EE. For example an issuer will need to look back:
Collecting this information may require that the issuer obtain such information from unaffiliated entities. [April 28, 2016]
Question: Where a data point asks for a percent, ratio, or rate, should the response be presented in decimal format (e.g., 0.025) or as a whole percent (e.g., 2.5%)?
Answer: Responses to data points that ask for a percent, ratio, or rate should be given in decimal format. For example, an interest rate of 2.5% would be reported as “0.025” rather than “2.5”. [April 28, 2016]
Question: An issuer filed an asset-level data file as an Exhibit 102 to Form ABS-EE. The issuer wants to amend the asset-level data file. Can the issuer file an amendment to Form ABS-EE that includes a new Exhibit 102 containing only the assets and related XML tags that have changed from the previously filed Exhibit 102?
Answer: No. If an issuer needs to make any changes to an asset-level data file that was previously filed, it must re-file an Exhibit 102 containing the complete set of asset-level data on Form ABS-EE/A so that users have access to all of the relevant data in one place. In order to minimize confusion, issuers may include an explanatory note in an accompanying Exhibit 103 that clearly describes the changes that were made and a reference to the original filing including the date it was filed. [November 3, 2016]
Question: An issuer filed an asset-level data file as an Exhibit 102 to Form ABS-EE that is incorporated by reference into a preliminary prospectus. If the issuer needs to update the asset-level data file that is included in the offering materials, should the issuer use Form ABS-EE or Form ABS-EE/A to file the updated asset-level data file?
Answer: The issuer should file the asset-level data file with a Form ABS-EE/A if the updated asset-level information relates to the same reporting period as the previously filed Form ABS-EE. If the updated information relates to a subsequent reporting period, the issuer should file the asset-level data file with a new Form ABS-EE. See Question 3. [November 3, 2016]
Question: An issuer of securities backed by auto loans is required to provide the information specified in Item 3 of Schedule AL with each filing of Form ABS-EE. When is a response required for Item 3(i)(1), Charged-off principal amount?
Answer: Item 3(i) requires an issuer to provide additional information if a loan has been charged off. A response to this item is not required and the related XML tags should not be provided in reporting periods prior to the reporting period in which the initial charge-off occurs. In the reporting period when an initial charge-off occurs, an issuer must provide the information required by Item 3(i)(1) Charged-off principal amount and responses to Item 3(f)(24)(i) Zero balance effective date and Item 3(f)(24)(ii) Zero balance code.
If the issuer reports on the asset after the initial charge-off, only additional amounts that are charged-off in a subsequent period should be reflected in response to Item 3(i)(1) Charged-off principal amount. If no additional amount has been charged off in subsequent reporting periods, then the issuer should report zero for that item. In addition, in order to avoid confusion in subsequent periods about whether an asset has already been charged-off, if an issuer continues to include an asset that has been charged-off, the XML tags and responses to Item 3(f)(24)(i) Zero balance effective date and Item 3(f)(24)(ii) Zero balance code should be included. [November 3, 2016]
Question: An issuer of securities backed by auto loans is required to provide the information specified in Item 3 of Schedule AL with each filing of Form ABS-EE. When is a response required for Item 3(i)(2), Amounts recovered?
Answer: As noted in Question 12, a response to Item 3(i) is not required prior to the reporting period in which charge-off occurs and the related XML tags should not be provided. In the reporting period when an initial charge-off occurs, an issuer must provide the information specified in Item 3(i)(2) Amounts recovered. If no amounts are recovered in that same reporting period, an issuer should provide zero as a response.
After the initial charge-off occurs, a response to Item 3(i)(2) is required in the reporting period in which amounts are recovered. The amount reported should only reflect amounts recovered during a reporting period. In addition, if an issuer continues to report on charged-off assets and there are no amounts recovered during a reporting period, then an issuer should report zero for that period. [November 3, 2016]