Category Archives: News

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

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 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

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.

A European Stability Fund for the EMU

There are two related issues currently on the EMU agenda: the need to strengthen the European Stability Mechanism “as a robust crisis management mechanism” (European Commission 2017a), and the need to enhance the EU’s capacity to provide risk sharing and fiscal stabilisation (Junker et al. 2015). Building on our ADEMU work “On the optimal design of a Financial Stability Fund” (Ábrahám et al. 2018), my co-authors and I show that the most efficient design would be to merge both functions into a European Stability Fund (ESF), which would effectively transform current risky debt liabilities into safe fund contracts, taking the form of long-term state contingent bonds subject to endogenous constraints, to avoid undesired redistribution or implicit bailouts and moral hazard problems. With this design as a constrained efficient mechanism, the ESF should also confront two additional pending issues: the ‘debt overhang’ problem, and the development of EU safe assets. Furthermore, the ESF can be implemented with minimal changes to the current structure and legal status of the ESM. In this chapter, I briefly summarise these findings. By Ramon Marimon, European University Institute, UPF – Barcelona GSE and CEPR. Continue reading

ADEMU final conference – a detailed review

Ademu’s final conference took place at the European University Institute in Florence on the 9th   and 10th May 2018. During the conference, the results of the three-year Horizon 2020 project were debated and analysed by Ademu coordinators and esteemed economists, academics and legal experts. Gergő Motyovszki and Jan Teresiński have provided a detailed review of the proceedings.

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Agreeing to an unemployment insurance system for the euro area?

In this chapter we offer novel answers to three related questions:

  • What are the potential benefits of developing a European unemployment insurance system (EUIS)?
  • Could all the European countries involved benefit from a common, simple change to their current unemployment insurance systems?
  • Could unanimous agreement for this change be achieved without needing permanent transfers across countries?

To properly address these questions, we first develop a dynamic equilibrium model with job search frictions, which provides a new characterisation of how different euro area labour markets are and therefore calls into question whether such an agreement can ever be reached. Nevertheless, our answer to the final question is: yes, it can be done!  By Árpád Ábrahám, João Brogueira de Sousa, Ramon Marimon and Lukas Mayr, European University Institute Continue reading