Author Archives: ADEMU

Dataset on Auto AAA-rated ABS tranches (2007-2012)


October 26, 2018

The data consist of Auto AAA-rated ABS tranches issued from 2007 to 2012, for 9 different issuers in the automotive sector. The main source is the U.S. Securities and Exchange Commission’s EDGAR database available at https://www.sec.gov/edgar/searchedgar/companysearch.html. The Commission’s website states that “All companies, foreign and domestic, are required to file registration statements, periodic reports, and other forms electronically through EDGAR. Anyone can access and download this information for free.”

The 9 companies covered are: BMW, Carmax, Ford Harley, Honda, Hyundai, Nissan Lease, Nissan Owner, World Omni. All data come from their respective Prospectuses in EDGAR. The only exception is Honda where the amounts of each tranche were available in EDGAR, but the monthly net losses were gathered directly from Honda’s ABS portal at http://abs.honda.com/.

All sources have been downloaded and backed up and are available upon request.

Each company has a different number of ABS tranches per year and in total. Tranches are numbered as: yyyy-#, where yyyy stands for the year of issue and # could be a number or a capital letter (depending on the company) and stands for the chronological order of the tranche. For instance, 2012-1 is the first tranche of year 2012, and 2007-B is the second tranche of year 2007.

Each tranche is further separated in different classes of notes: A1, A2a, A2b, A3a, A3b, A4a, A4b, B, C, D. The small case letters in the notes classes A2-A4 indicate whether the interest rate is fixed beforehand or is set to float according to the current LIBOR rate. Small case “a” stands for fixed and “b” – for floating. All other classes have fixed interest rates by default. Whenever the official Prospectuses did not separate notes into “a” and “b” for classes A2-A4 we allocated the entire class to either of these, depending on whether the interest rate was fixed or floating. Thus, if the Prospectus reported only notes class A2, but the interest rate was floating, we wrote 0 to class A2a and allocated the full amount to class A2b.

ADEMU explained: A new fiscal and monetary framework for the EMU? The EU Presidents’ roadmap in 2018, video with Ramon Marimon


June 30, 2018

In this short video, Ramon Marimon takes a look at the potential for a new fiscal and monetary framework for the EMU in light of the EU presidents’ roadmap in 2018. Continue reading

ADEMU explained: The political economy of policy implementation, video with David Levine


David Leviine explains the political economy of policy implementation and rent-seeking in the banking sector in this short video. Continue reading

ADEMU explained: Financial stability and the role of macroprudential policies, with Radim Boháček


Radim Boháček explains the importance of macroprudential policies in this short video.  Continue reading

ADEMU explained: Macroeconomic stabilization with heterogeneous agents, video with Morten Ravn


Morten Ravn provides a short overview of macroeconomic stabilization in this short video. Continue reading

ADEMU explained: A European Stability Fund for the EMU, video with Ramon Marimon


Ramon Marimon provides a brief overview of ADEMU’s findings and proposals in relation to a European Stability Fund for the EMU in this short video. Continue reading

POLICY BRIEF: A European Stability Fund for the EMU


Objectives

  • To design a robust crisis management mechanism within the EU that will simultaneously provide risk sharing and fiscal stabilisation
  • To evaluate how the crisis would have developed had such mechanism been in place
  • To suggest a realistic mechanism for its implementation

By Ramon Marimon, European University Institute

View the policy brief.

 

ADEMU explained: Lessons from the euro crisis and dealing with the debt overhang, video with Giancarlo Corsetti


Giancarlo Corsetti looks back at 20 years of the euro and asks what lessons can be learned from history in this short video.  Continue reading