LexInter | December 1, 2008 | 0 Comments



Asset backed securities – Titres adossés à des actifs

L’ asset-backed security  est un titre de créance adossé à des actifs , ou garanti (collateralized)  par des cash flows générés par un ensemble déterminé d’actifs.

Les actifs  sont regroupés pour constituer un portefeuille qui représente une valeur suffisante et par ailleurs  afin éventuellement de diversifier les actifs pour réduire les risques.

Ces actifs peuvent être des créances correspondant à des prêts immobiliers ou de crédits automobiles, des prêts immobiliers,  des encours de cartes bancaires, des locations de véhicules , d’avions, des paiements de royalties , des recettes de films, etc.

Par la titrisation ces actifs sont financés par les marchés financiers. Les principaux investisseurs ont été les banques d’investissement et les hedge funds.

Des obligations sont émises sur la base de ces actifs et de dérivés de crédit, ce sont les collaterized debt obligations.

Des obligations basées sur des crédits hypothécaires sont des mortgaged backed securities. Ceux qui étaient basés sur des crédits subprimes étaient les Subprime Residential Mortaged Backed Securities.

Des actifs peuvent être utilisés pour le rehaussement de crédit en les additionnant à des actifs d’un émetteur pour créer des titres qui ont une notation supérieure à celle de la dette émise par cet émetteur.



La première émission d’asset backed securities dans sa forme moderne date de 1985. Sperry Corporation avait émis des notes adossées à des contrats de location d’ordinateurs.

Les asset backed securities, utilisant des titres adossés à ces crédits de consommation, commerciaux ou d’autres crédits ou “receivables” représentent un volume estimé à 10.000 milliards $

Ces titres étaient valorisés sur la base des notations données par les agences de notation financière.

Définition  des  Asset-Backed Securities  donnée par la SEC (Regulation en date du  18 janvier 2005,

“Definition of ABS. The term “asset-backed security” is currently defined in Form S-3 to mean a security that is primarily serviced by the cash flows of a discrete pool of receivables or other financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period plus any rights or other assets designed to assure the servicing or timely distribution of proceeds to the security holders. The SEC staff has historically interpreted the phrase “convert into cash by their terms” to exclude from the definition most assets that require positive action to be realized upon – such as non-performing assets and physical property. It has also interpreted the “discrete pool” requirement in such a way as to disqualify most securities issued in transactions where the composition of the pool is not set on the date of issuance or can change over time. The new rules modify these existing interpretations in certain respects while codifying them in others.

  • Lease-Backed Securities. The new rule expands the definition of “asset-backed security” to include lease-backed securities as long as the residual value of the leased property is less than 50% of the original securitized pool balance (or less than 65% in the case of motor vehicle leases). However, such securities may be shelf-registered on Form S-3 only if the residual value of the leased property represents less than 20% of the original securitized pool balance (or less than 65% in the case of motor vehicle leases).
  • Delinquent and Non-performing Assets. The new rules provide that a security may be considered to be an “asset-backed security” even if the underlying asset pool has total delinquencies of up to 50% at the time of the proposed offering as long as the original asset pool does not include any “non-performing” assets. However, consistent with current practice, shelf registration on Form S-3 will be available only if delinquent assets constitute 20% or less of the original asset pool. An asset is considered to be non-performing if it satisfies the charge-off policies of the sponsor (or applicable bank regulatory agencies) or if it would be considered a charged-off asset under the terms of the applicable transaction documents.
  • Exceptions to the “Discrete Pool” Requirement. The new rules generally codify the SEC staff’s position that a security must be backed by a discrete pool of assets in order to be considered an ABS. However, the new rules establish the following exceptions to address market practices.

(1) Any security issued in a master trust structure would meet the definition of “asset-backed security” without limitation.

(2) “asset-backed securities” will also include securities with a prefunding period of up to one year during which up to 50% of the offering proceeds (or, in the case of master trusts, up to 50% of the aggregate principal balance of the total asset pool whose cash flows support the ABS) may be used for subsequent purchases of pool assets.

(3) The new rules also include within the definition of “asset-backed security” securities with revolving periods during which new financial assets may be acquired. In the case of revolving assets such as credit cards, dealer floorplan and home equity lines of credit, there is no limit to the length of the revolving period or the amount of new assets that can be purchased during that time. For securities backed by receivables or other financial assets that do not arise under revolving accounts, such as automobile loans and mortgage loans, an unlimited revolving period will be permitted for up to three years. However, the new assets added to the pool during the revolving period must be of the same general character as the original pool assets.

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