\473\ For ABS backed by auto leases, these include the following
additional Schedule L data points: Item 1(a)(11) Interest type; Item
1(a)(12) Amortization type; Item 1(a)(13) Original interest only
term; and Item 1(b)(3) Current interest rate. And the following
Schedule L-D data points: Item 1(f)(2) Actual interest paid; Item
1(f)(3) Actual principal paid; Item 1(f)(4) Actual other amounts
paid; Item 1(f)(17) Next interest rate; and Item 1(k)(1) Charged-off
principal.
---------------------------------------------------------------------------

    As with RMBS and CMBS, we believe that, unless the individual data
points are standardized across all issuers of Auto ABS, the utility of
asset-level data is generally limited. While commenters have pointed
out several areas where there is a difference between how we have
proposed that data be presented and how information is generally
collected in Auto ABS,\474\ we are unaware of any publicly available
investor reporting data standards for Auto ABS. We also received many
comments directed at individual data points, many of which were seeking
changes to the format of the information, the range of possible
responses for a particular data point, or the data point's title or
definition. Some commenters also made suggestions on how we could make
the data point better align with common business practices.
Accordingly, we considered each of these comments, and we made changes
that we believe improve or clarify the disclosure, mitigate cost
concerns, and/or implement industry standards when doing so would not
materially diminish the value of the disclosures to investors. We
discuss below the significant comments we received about individual
data points along with the revisions we have made in response to those
comments.
---------------------------------------------------------------------------

    \474\ See letter from VABSS IV.
---------------------------------------------------------------------------

Information About the Obligors
    We proposed a group of asset-level data points that would provide
data about an obligor's credit quality.\475\ This group of data points
was intended to capture information about the obligor(s) income, debt,
employment, credit score and assets. In light of privacy concerns, the
proposal proposed ranges, or categories of coded responses instead of
requiring disclosure of an exact credit score, income or amount of
assets in order to prevent the identification of specific information
about an individual. We discuss below the significant comments we
received about this group of data points and the revisions we have made
in response to those comments.
---------------------------------------------------------------------------

    \475\ See proposed Items 4(c)(1) through 4(c)(21) and Items
5(c)(1) through 5(c)(21) of Schedule L.
---------------------------------------------------------------------------

Obligor Income and Payment-to-Income Ratio
    We proposed ten obligor income data points (five for auto loans and
five for auto leases) that would require issuers to provide responses
to various data points that relate to the obligor's income.\476\
Several commenters suggested that these proposed obligor income data
points be replaced with a new payment-to-income ratio data point, where
the issuer would specify the code indicating the scheduled monthly
payment amount as a percentage of the total monthly income of all
obligors at the origination date while providing its methodology for
determining monthly income in the prospectus.\477\ We agree that the
new payment-to-income ratio data point provides investors with
sufficient information about the obligor's income, and accordingly, we
are not adopting any of the ten proposed obligor income data points and
instead are adopting the new payment-to-income ratio data point
proposed by commenters.\478\
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    \476\ See proposed Items 4(c)(6), 4(c)(15), 4(c)(17), 4(c)(19)
and 4(c)(20) of Schedule L-D for auto loans and proposed Items
5(c)(6), 5(c)(15), 5(c)(17), 5(c)(19) and 5(c)(20) of Schedule L-D
for auto leases.
    \477\ See letters from ASF II (expressed views of loan-level
investors only) and VABSS IV.
    \478\ See new Items 3 (e)(6) and 4 (e)(6) of Schedule AL.
---------------------------------------------------------------------------

Obligor Income and Employment Verification
    We proposed data points that would require issuers to indicate the
codes describing the extent to which the obligor's income and
employment have been verified.\479\ One group of issuer commenters
stated that it is standard industry practice for obligors to self-
report income and employment on the credit application and this
information is only verified for the riskiest customers, but then went
on to say that Auto ABS sponsors do not systematically capture this
information in their origination files, and if they do, they do not
keep it for more than 90 days.\480\ We cannot reconcile these two
comments. If most income and employment information is self-reported on
the credit application, then that information should be captured in the
loan file. Furthermore, if it is standard industry practice to not
verify the self-reported information except for the riskiest customers,
we assume that such verification is part of the loan or lease approval
process that goes to the creditworthiness of the obligor or lessee.
These same commenters also argued that obligor income and employment
verification data points would only provide marginal additional value
if other data points, such as obligor FICO

score, payment-to-income ratio and LTV ratio, were provided. Investor
commenters stated that obligor income and employment verification data
points would provide valuable information.\481\ Accordingly, we are
adopting these data points substantially as proposed.\482\
---------------------------------------------------------------------------

    \479\ See proposed Items 4(c)(7) and 4(c)(9) of Schedule L-D for
auto loans and proposed Items 5(c)(7) and 5(c)(9) of Schedule L-D
for auto leases.
    \480\ See letter from VABSS IV.
    \481\ See letter from ASF II (expressed views of loan-level
investors only) (``Verifying a borrower's income and employment can
offset not having a top credit score. Conversely, not verifying
these items can exacerbate an average or below average credit
score.'').
    \482\ See new Items 3(e)(3), 3(e)(4), 4(e)(3), and 4(e)(4) of
Schedule AL.
---------------------------------------------------------------------------

Co-Obligor Items
    We proposed a total of eighteen co-obligor data points (nine for
auto loans and nine for auto leases) that would require issuers to
provide information about co-obligors such as credit score data \483\
and data about income, employment and assets used for qualification
purposes.\484\ Several commenters suggested that all eighteen of the
proposed co-obligor data points be deleted as they are not particularly
relevant to the analysis of Auto ABS \485\ and that providing all of
these co-obligor data points is not warranted given the additional time
and expense associated with gathering the information.\486\ These
commenters suggested that the proposed co-obligor data points be
replaced with a data point that would indicate whether the loan or
lease has a co-obligor.\487\ A group of commenters representing Auto
ABS investors commented that it is sufficient to note the presence of a
co-obligor, which would indicate that the primary obligor was not
creditworthy enough to sustain the loan or lease on its own.\488\ We
agree, and we are not adopting any of the eighteen proposed co-obligor
data points and instead are adopting only the co-obligor (or co-lessee,
as applicable) present indicator data point suggested by
commenters.\489\
---------------------------------------------------------------------------

    \483\ See proposed Items 4(c)(4), 4(c)(5) and 4(c)(6) of
Schedule L-D for auto loans and proposed Items 5(c)(4), 5(c)(5) and
5(c)(6) of Schedule L-D for auto leases.
    \484\ See proposed Item 4(c)(8), 4(c)(10), 4(c)(12), 4(c)(14),
4(c)(16) and 4(c)(18) of Schedule L-D for auto loans and proposed
Item 5(c)(8), 5(c)(10), 5(c)(12), 5(c)(14), 5(c)(16) and 5(c)(18) of
Schedule L-D for auto leases.
    \485\ See letter from VABSS IV.
    \486\ See letter from ASF II (expressed views of loan-level
investors only).
    \487\ See letters from ASF II (expressed views of loan-level
investors only) and VABSS IV.
    \488\ See letter from ASF II (expressed views of loan-level
investors only).
    \489\ See new Items 3 (e)(5) and 4 (e)(5) of Schedule AL.
---------------------------------------------------------------------------

Information About Terms of the Loan or Lease and Payment Activity
    We proposed a group of data points that would capture information
related to the terms of the loan or lease and payment activity, such as
original and current loan or lease terms, interest rates, prepayments,
interest paid-through dates and servicer advances. Taken together, the
responses to these data points would provide insight into how the loan
or lease has performed versus how it was intended to perform when
originated. Commenters' response to this group of data points varied,
with some commenters suggesting that some data points in this group
were unnecessary or redundant and others advising that these data
points provide valuable information about the loan or lease. We discuss
below the significant comments we received about this group of data
points and the revisions we have made to data points within this group.
Original and Current Terms and Initial Grace Periods
    We proposed data points that would require issuers to indicate
original and current loan terms in months.\490\ One group of issuer
commenters noted that, for marketing reasons, auto loans and leases are
occasionally offered with first payment dates that are deferred for up
to 90 days, during which time interest or financing fees accrue but no
payments are due.\491\ These commenters proposed that these items
should be reported to reflect the number of scheduled payments due or
remaining (converting non-monthly pay loans to monthly pay) to clearly
indicate the payments on the loan in order to avoid odd month
terms.\492\ We believe it is important for investors to be provided the
actual number of months in the term, even if such number includes a
grace period where no payments are being made. We agree with
commenters, however, that any grace period should be accounted for.
Therefore, in addition to adopting the original and current term data
points (with minor revisions for timing clarifications, as detailed in
other sections of this release), we are also adopting a new initial
grace period data point, which requires the issuer to indicate the
number of months during which interest accrues but no payments are due
from the obligor (or, for auto leases, the number of months during the
term of the lease for which financing fees are calculated but no
payments are due from the lessee).\493\ If there is no initial grace
period for an auto loan or lease, the response to this new data point
would be zero.
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    \490\ See proposed Items 1(a)(7) and 1(a)(8) of Schedule L and
Item 1(f)(18) of Schedule L-D.
    \491\ See letter from VABSS IV.
    \492\ Id.
    \493\ See new Items 3(c)(12) and 4(c)(8) of Schedule AL.
---------------------------------------------------------------------------

Original Interest Rate
    We proposed a data point that would require issuers to provide the
rate of interest at the time of origination.\494\ One group of issuer
commenters believed that this item is generally not readily available
or easily trackable by Auto ABS sponsors because it is industry
practice to track only the current interest rate on auto loans.\495\
Although we understand that there may be some costs to the sponsor or
issuer associated with tracking the original interest rate, we believe
it is important for investors to be able to compare the current
interest rate to the original interest rate and we note that any costs
associated with tracking the original interest rate would be one-time
costs, as the response to this data point would be static. Therefore,
we are adopting the original interest rate data point for ABS backed by
auto loans substantially as proposed, with minor clarifying
modifications as described elsewhere in this release.\496\ Because auto
leases do not have interest rates in the same manner as auto loans, we
are not adopting this data point for ABS backed by auto leases.
---------------------------------------------------------------------------

    \494\ See proposed Item 1(a)(10) of Schedule L.
    \495\ See letter from VABSS IV.
    \496\ See new Item 3(c)(5) of Schedule AL.
---------------------------------------------------------------------------

Scheduled Payments and Actual Amounts Collected
    We proposed data points that would require issuers to provide the
principal and interest payments that were scheduled to be collected for
the reporting period\497\ and provide any unscheduled principal or
interest adjustments during the reporting period.\498\ We also proposed
data points that would require issuers to indicate actual amounts
collected during the reporting period.\499\ As suggested by commenters,
we are not adopting data points that separate interest and principal
payment streams for ABS backed by auto leases.\500\ Instead, for ABS
backed by auto leases, we are adopting one data point that will capture
the payment amount that was scheduled to be collected for the

reporting period and another requiring issuers to provide the total of
any other amounts collected during the reporting period.\501\ With
respect to ABS backed by auto loans, a group of issuer commenters
stated that the scheduled payment data points are not relevant because
auto loans are simple interest loans which have no scheduled principal
or interest payment amounts and are not subject to principal or
interest adjustments.\502\ These same commenters stated that data
points relating to actual amounts collected should only be required to
be disclosed if a transaction is structured with separate interest and
principal waterfalls or separate allocations of other amounts paid to
the investors.\503\ One investor commenter asked that both the
scheduled payment and actual amounts collected data points be included
for ABS backed by auto loans.\504\ We believe that the scheduled
interest amount, scheduled principal amount and other principal
adjustments data points provide valuable information about payments
that are expected to be received, and we are adopting these data points
as proposed. The scheduled interest amount and scheduled principal
amount data points will require the issuer to provide the amount of
interest and principal, respectively, that were due to be paid during
the reporting period, which will show quantitatively how far in advance
a loan was paid or how far behind the obligor is in making
payments.\505\ The other principal adjustments data point would show
the amount of any adjustments that are made to the principal balance of
the loan, including but not limited to prepayments.\506\ We agree with
the issuer commenters that the other interest adjustment data point is
unnecessary as interest adjustments would be reflected between
responses to the original interest rate data point and the current
interest rate data point. Accordingly, we are not adopting the other
interest adjustment data point. We also believe that the actual
payments collected data points provide relevant information about how
each asset is performing, regardless of whether the transaction is
structured with separate principal and interest waterfalls or a single
waterfall. Furthermore, only requiring that responses to these data
points be provided for transactions that have separate principal and
interest waterfalls runs counter to the goal of facilitating investors'
ability to compare the underlying asset-level data of a particular
asset pool with other pools. Therefore, we are adopting each of these
proposed data points for ABS backed by auto loans.
---------------------------------------------------------------------------

    \497\ See proposed Items 1(f)(10) and 1(f)(11) of Schedule L-D.
    \498\ See proposed Items 1(f)(5) and 1(f)(6) of Schedule L-D.
    \499\ See proposed Items 1(f)(2), 1(f)(3) and 1(f)(4) of
Schedule L-D.
    \500\ See letter from VABSS IV.
    \501\ See new Items 4(f)(13) and 4(f)(15) of Schedule AL.
    \502\ See letter from VABSS IV.
    \503\ Id.
    \504\ See letter from Vanguard.
    \505\ See new Items 3(f)(13) and 3(f)(14) of Schedule AL.
    \506\ See new Item 3(f)(15) of Schedule AL.
---------------------------------------------------------------------------

Prepayment and Interest Paid Through Date
    One commenter suggested we add a new ``voluntary prepayment'' data
point.\507\ We agree that an asset-level prepayment data point will
provide valuable information to investors about how prepayments will
alter the timing of expected cash flows. Accordingly, we have slightly
modified this commenter's suggestion for clarification purposes and to
better coordinate with other asset-level requirements. For ABS backed
by auto loans, we are adopting an interest paid through date data point
that requires issuers to provide the date through which interest is
paid with the current payment, which is the effective date from which
interest will be calculated for the application of the next
payment.\508\ For ABS backed by auto leases, we are adopting a similar
data point which requires issuers to provide the date through which
scheduled payments have been made, which is the effective date from
which amounts due will be calculated for the application of the next
payment.\509\
---------------------------------------------------------------------------

    \507\ See letter from Vanguard.
    \508\ See new Item 3(f)(23) of Schedule AL.
    \509\ See new Item 4(f)(18) of Schedule AL.
---------------------------------------------------------------------------

Servicer Advanced Amount
    We proposed a data point that would require issuers to specify the
amount advanced by the servicer during the reporting period (if any
such amounts were advanced).\510\ One group of issuer commenters stated
that this information was already provided under the proposed current
delinquency status data point.\511\ We do not agree that the responses
to these two data points provide the same information, as servicing
advances can be made if payment on a loan or lease is less than 30 days
late (depending on when payments to investors are due in relation to
the due date of the loan or lease payment). The current delinquency
status data point only provides information to investors after the loan
or lease becomes more than 30 days delinquent. Therefore, we are
adopting the servicer advanced amount data point as proposed.\512\
---------------------------------------------------------------------------

    \510\ See proposed Item 1(g)(4) of Schedule L-D.
    \511\ See letter from VABSS IV.
    \512\ See new Items 3(f)(22) and 4(f)(17) of Schedule AL.
---------------------------------------------------------------------------

Modifications and Extensions
    We proposed a data point that would require issuers to indicate
whether an asset was modified from its original terms during the
reporting period.\513\ A group of investor commenters suggested that
this data point be replaced with a new modification type data
point.\514\ As suggested by commenters, the modification type data
point would require issuers to indicate the code that describes the
reason for the modification and would only be required if the asset was
modified.\515\ A group of issuer commenters suggested that the
modification indicator data point be replaced with a new payment
extension data point.\516\ The payment extension data point would
require issuers to indicate the number of months the loan was extended
during the reporting period and would only be required if the loan or
lease was extended beyond its original terms during the applicable
reporting period.\517\ Investor commenters also suggested that we
replace the proposed lease term extension indicator data point \518\
with a lease extension data point that would require the issuer to
indicate whether the lease has been extended and would capture any
incremental lease payments to the trust.\519\ We agree with the
commenters that these new and modified items are both useful and
applicable to Auto ABS. We believe that it is important to include the
proposed modification indicator data point so that investors can easily
confirm whether the loan was modified during the reporting period. We
also believe that the suggested modification type data point provides
valuable information to investors based on the concerns that were
raised by issuer commenters. If, in fact, modifications other than
payment and term extensions are rare and usually lead to a repurchase,
investors should

be alerted to loans or leases that have these rare modifications.
Accordingly, we are adopting the proposed modification indicator data
point for all Auto ABS, as well as the modification type data point and
the payment extension data point for ABS backed by auto loans and the
lease extension data point for ABS backed by auto leases (rather than
adopting the lease term extension indicator data point as
proposed).\520\
---------------------------------------------------------------------------

    \513\ See proposed Item 1(h) of Schedule L-D.
    \514\ See letter from ASF II (expressed view of loan-level
investors only).
    \515\ Id.
    \516\ See letter from VABSS IV. This commenter opposed including
the modification type data point suggested by loan-level investors,
stating that ``[o]ther than payment extensions and term extensions,
there simply are not a material number of credit-related
modifications to auto loans [and leases] where the auto loan [or
lease] is not required to be repurchased by the servicer and
therefore remains in the Auto ABS transaction.''
    \517\ Id.
    \518\ See proposed Item 5(h) of Schedule L-D.
    \519\ See letter from ASF II (expressed views of loan-level
investors only).
    \520\ See new Items 3(f)(3), 3(j)(1), 3(j)(2), 4(f)(3), and
4(j)(2) of Schedule AL.
---------------------------------------------------------------------------

Lease-Specific Data Points
    We proposed several data points that only apply to ABS backed by
auto leases that relate to information such as residual values,
termination, wear and tear, mileage, sale proceeds, and
extensions.\521\ Commenters also pointed out several proposed data
points in the general item requirements that were not applicable to ABS
backed by auto leases. For instance, a group of issuer commenters noted
that the securitization value, which is widely used in the lease
securitization industry, is the correct valuation of the size of the
lease.\522\ The same group of commenters also suggested that the
proposed original asset amount data point \523\ be revised to an
acquisition cost data point that requires the issuer to provide the
original acquisition cost of the lease.\524\ We agree with both
comments, so we are adopting the securitization value and
securitization value discount rate data points,\525\ rather than the
asset balance data points,\526\ and are adopting the acquisition cost
data point \527\ rather than the proposed original asset amount data
point.
---------------------------------------------------------------------------

    \521\ See proposed Items 5(b)(9) through 5(b)(10) of Schedule L
and Items 5(b) through 5(h) of Schedule L-D.
    \522\ See letter from VABSS IV.
    \523\ See proposed Item 1(a)(6) of Schedule L.
    \524\ See letter from VABSS IV.
    \525\ See new Items 4(f)(5) and 4(f)(6) of Schedule AL.
    \526\ See proposed Items 1(f)(7) and 1(f)(8).
    \527\ See new Item 4(c)(3) of Schedule AL.
---------------------------------------------------------------------------

    With respect to the residual value of the lease, we proposed
several data points that require the issuer to provide the base and
updated residual values of the vehicle and provide the source of such
residual values.\528\ Both issuer and investor commenters agreed that
the base residual value data point should be adopted (although one
group of issuer commenters suggested that the data point be amended to
capture ``the securitized residual value of the leased vehicle, as
determined by the sponsor and described in the prospectus'').\529\
Investor commenters also stated that it is important for the issuer to
disclose how the base residual value is calculated.\530\ One group of
issuer commenters stated that neither the updated residual value nor
the source of the updated residual value data points should be adopted
because the Auto ABS structure for leases is set up based on an
original residual value that does not change, that it is enhanced to
withstand residual losses and any gains just benefit investors while
the costs and burdens to provide this information would be high.\531\
While investor commenters did not specifically comment on either the
updated residual value or the source of the updated residual value data
points, they did request that we adopt a contractual residual value
data point, as it would be valuable in determining the likelihood that
the lessee will purchase the vehicle at the end of the lease or turn it
back in.\532\ Issuer commenters noted that the contractual residual
value data point suggested by investor commenters is not as relevant as
the base residual value or securitization residual value.\533\ We agree
with investors that the base residual value data point, the source of
the base residual value data point and the contractual residual value
data point each provide different and valuable information about a
lease. Therefore, we are adopting the base residual value and source of
base residual value data points as proposed as well as the new
contractual residual value data point as suggested by investor
commenters.\534\ We are not adopting the proposed updated residual
value data point or the source of updated residual value data point as
these data points do not provide enough additional beneficial
information to investors to justify the additional costs that would be
imposed upon issuers.
---------------------------------------------------------------------------

    \528\ See proposed Items 5(b)(9) and 5(b)(10) of Schedule L and
Items 5(b) and 5(c) of Schedule L-D.
    \529\ See letters from ASF II (expressed views of loan-level
investors only) and VABSS IV.
    \530\ See letter from ASF II (expressed views of loan-level
investors only).
    \531\ See letter from VABSS IV.
    \532\ See letter from ASF II (expressed views of loan-level
investors only) (suggesting that under this contractual residual
value data point, issuers would provide the stated amount that a
lessee needs to pay to purchase the vehicle at the end of the lease
term).
    \533\ See letter from VABSS IV.
    \534\ See new Items 4(d)(8), 4(d)(9), and 4 (d)(10) of Schedule
AL.
---------------------------------------------------------------------------

(4) Debt Security ABS
    We proposed that issuers of debt security ABS provide responses to
the general data points enumerated in Item 1 of Schedule L and the nine
data points specific to debt security ABS.\535\ The comment we received
on the proposal suggested that we require the disclosure of the CUSIP
number, ISIN number, or other industry standard identifier of the debt
security.\536\
---------------------------------------------------------------------------

    \535\ The asset-level requirements for debt security ABS were
proposed under the title ``corporate debt.'' ABS backed by corporate
debt securities are typically issued in smaller denominations than
the underlying security and the ABS are typically registered under
Section 12(b) of the Exchange Act for trading on an exchange.
Additionally, a pool and servicing agreement may also permit a
servicer or trustee to invest cash collection in corporate debt
instruments which may be securities under the Securities Act. An
asset pool of an issuing entity includes all other instruments
provided as credit enhancement or which support the underlying
assets of the pool. If those instruments are securities under the
Securities Act, the offering must be registered or exempt from
registration if the instruments are included in the asset pool as
provided in Securities Act Rule 190, regardless of their
concentration in the pool. See Securities Act Rule 190(a) and (b).
See also Section III.A.6.a of the 2004 ABS Adopting Release.
    \536\ See letter from SIFMA I.
---------------------------------------------------------------------------

    As noted above, under the final rule we are integrating the general
item requirements into the requirements for each asset type. Therefore,
under the final rule, issuers of debt security ABS are only required to
provide the asset-level disclosures required under new Item 5 Debt
Securities. After integrating the proposed general data points, the
final requirements for debt security ABS have been reduced from 83
possible proposed data points to 60 data points.
    Also, in response to comments received, we have revised the asset
number data point to require a standard industry identifier assigned to
the security be provided for each security, if such number is
available. Public access to the responses to these data points and to
the responses to other data points that require disclosure of the SEC
file number and Central Index Key (``CIK'') number for the debt
security will provide investors, including secondary market investors,
access to more information about each debt security in the pool. As
proposed, the final rules will require that issuers provide more
standardized information to investors about the debt securities
underlying the ABS. The disclosures we are adopting today require the
title of the underlying security, origination date, the minimum
denomination of the underlying security, the currency of the underlying
security, the trustee, whether the security is callable, the frequency
of payments that will be made on the security and whether an underlying
security or agreement is interest bearing along with other basic
characteristics of the debt securities. At a minimum, these asset-level
disclosures will provide investors with

the basic characteristics of the underlying debt securities in a
standardized format.
    Public availability of all of the asset-level information we are
requiring to be disclosed regarding debt security ABS should reduce the
burden on investors, including secondary market investors, to obtain
this information, which should reduce investors' costs of conducting
their own independent analysis and, thereby, reduce their need to rely
on credit ratings. In addition, we believe that having an issuer
collect and report asset-level information will improve efficiency,
since a single entity, as opposed to multiple investors, will incur the
information gathering costs.
    We recognize that although investors will benefit from receiving
these asset-level disclosures, issuers will face an increase in
information gathering and reporting costs, including costs related to
system re-programming and technological investment. We recognize that
the costs registrants may face will depend on the extent to which the
information required to be disclosed is already available to issuers or
will have to be newly collected, as well as the extent to which the
information is already being disclosed to investors in some
transactions. Although we are unable to estimate the magnitude of these
costs with any precision, we believe the costs registrants will incur
to provide the data should be nominal since the data that is required
should already be readily available to registrants, especially since
the asset-level disclosures required primarily relate to the
performance of the security and the basic characteristics of the
security, such as the title of the security, payment frequency, or
whether it is callable. A description of each data point required for
debt security ABS is provided in Item 5 of Schedule AL.
(5) Resecuritizations
    In a resecuritization, the asset pool is comprised of one or more
ABS. We proposed that issuers of a resecuritization provide, at the
time of the offering and on an ongoing basis, asset-level data for each
ABS in the pool and for each asset underlying each ABS in the pool.
Under the proposal, resecuritizations would provide the same data as
required for debt security ABS for each ABS in the asset pool. In
addition, issuers would provide asset-level data for the assets
underlying each ABS in the asset pool in accordance with the asset-
level disclosure applicable to that particular asset class.
    We received several comments that expressed concern about the
proposal. Some commenters expressed concern over the cost and burden to
provide the asset-level disclosures for the assets underlying the
securities in comparison to what they believed to be a limited
benefit.\537\ One of these commenters was concerned about securities
law liability for the asset-level disclosures of the assets underlying
the securities.\538\ Other commenters were concerned that asset-level
data may not be available for the assets underlying an ABS that was
originated prior to the compliance date of the rule.\539\ Finally, to
address some of these concerns, some commenters suggested exemptions
from the asset-level disclosure requirements for some
resecuritizations.\540\
---------------------------------------------------------------------------

    \537\ See, e.g., letters from MBA I (stating that asset-level
data about the underlying ABS would not be useful because only
certain classes of an ABS are resecuritized, and the loans backing a
particular class are typically supported by the underlying loan pool
and do not correlate to specific classes of ABS) and Wells Fargo I
(suggesting that the asset-level data required for a
resecuritization would be of little benefit to investors in cases
where a resecuritization involved a mixture of bonds because
investors would have to understand the payment structure of each
underlying ABS and the effort involved in doing this would likely be
prohibitive for most investors in such cases). See also SIFMA I
(expressing concerns about the cost to provide the information
without providing their own cost estimate).
    \538\ See letter from Wells Fargo I (suggesting that with
respect to the proposed ongoing disclosure requirements that
subjecting the issuer, underwriter or any other resecuritization
transaction party to securities law liability for such information
is not appropriate because (i) such information has already been
filed, subject to securities law liability, with respect to the
underlying transactions, and (ii) there is no practical way for the
resecuritization parties to do the due diligence with respect to the
underlying filings that would need to be done to accept securities
law liability for them).
    \539\ See, e.g., letters from ABA I, ASF I, BoA I, J.P. Morgan
I, MBA I (with respect to RMBS), and SIFMA I. See also letter from
Citi (indicating that issuers will often be unable to meet the
disclosure requirements because they generally do not have access to
the underlying asset-level files).
    \540\ See letters from SIFMA I (suggesting an exemption from the
proposed asset-level disclosures requirements for (1)
resecuritizations with ``seasoned'' pool assets or (2)
resecuritizations where the underlying securities fall below some
percentage of the asset pool (e.g., 10 percent as supported by the
dealers and sponsor members or ``a substantially lower percentage''
as supported by the investor members)) and Wells Fargo I (suggesting
an exemption from the proposed asset-level disclosures requirements
for ``all bonds that are re-securitized that are from transactions
which closed prior to the effective date of Regulation AB'' because
a failure to do so ``would eliminate the availability of re-
securitizations as an important tool for investors to prudently
restructure or de-risk legacy positions'' and it ``could impair the
value of such positions due to the resultant illiquidity'').
---------------------------------------------------------------------------

    After considering the comments received, we are adopting the
proposal with revisions. For each registered resecuritization, issuers
must provide, at the time of the offering and on an ongoing basis for
each ABS in the asset pool, the same disclosures that are required for
debt security ABS. Therefore, information about the security, such as
the title of the security, payment frequency, whether it is callable,
the name of the trustee and the underlying SEC file number and CIK
number is required.\541\ If a resecuritization consists of securities
where we have adopted asset-level disclosure requirements (i.e., RMBS,
CMBS, or Auto ABS), then a second tier of asset-level information is
required. The second tier of asset-level disclosure is about the assets
(such as each mortgage, loan or lease) underlying the ABS being
resecuritized. For instance, in an offering where the asset pool
includes RMBS, then the data points in Item 5 of Schedule AL would be
required for every RMBS security in the asset pool, as well as the data
points in Item 1 for each loan underlying each RMBS security.
Accordingly, if asset-level disclosures are not required for a
particular asset type, then an issuer is only required to provide the
debt security ABS disclosures for each ABS in the underlying asset
pool.
---------------------------------------------------------------------------

    \541\ See Section III.A.2.b)(4) Debt Security ABS.
---------------------------------------------------------------------------

    We are adopting an exemption from the new requirement to provide
asset-level disclosure about the underlying ABS if the underlying ABS
was issued prior to the compliance date for the asset-level disclosure
requirements. We noted concerns about the cost to provide the
disclosures, whether the information would be available, securities law
liability for information provided by third parties and the other
concerns raised by commenters. We acknowledge that investors will not
have access to asset-level data for the resecuritized ABS for some
period of time. We do not believe that providing this exemption would
negatively affect investors because the resecuritization will still be
subject to existing disclosure requirements, including pool-level
disclosure requirements and the exemption will be limited over time by
the underlying ABS becoming subject to the asset-level disclosure
requirements. We also note that there have been no registered
resecuritization offerings in the last few years. Further, as noted
above, existing Securities Act Rule 190 requires that all information
about the underlying ABS be disclosed in accordance with our
registration rules and forms.\542\ Therefore, if the underlying ABS was
issued prior to the compliance date for the asset-level disclosure
requirements, investors in a resecuritization will receive updated and
current information about pool data, static pool, risk factors,

performance information, how the underlying securities were acquired,
and whether and when the underlying securities experienced any trigger
events or rating downgrades.
---------------------------------------------------------------------------

    \542\ See Securities Act Rule 190. See also Section III.A.6.a of
the 2004 ABS Adopting Release.
---------------------------------------------------------------------------

    The final requirement to provide asset-level data in the prospectus
and in periodic reports will require that issuers provide more
information to investors about resecuritizations than previously
required. The asset-level disclosures about the ABS in the asset pool
will provide investors, at a minimum, with the basic characteristics of
a resecuritization. Further, by requiring disclosure of the SEC file
number and CIK number for ABS being resecuritized, it will be easier
for investors to locate more information about each resecuritized ABS.
Public access to such information, including, when applicable, access
to information about the assets underlying the ABS being resecuritized,
should reduce investors' burden to obtain this information, and reduce
their need to rely on credit ratings because investors will have access
to the information in order to conduct their own independent analysis.
In turn, this will allow for a more effective and efficient analysis of
the offering and should help foster more efficient capital formation.
    We do not agree with a commenter's view that there is a limited
correlation between loan performance and bond performance and, as a
result, there is little benefit from investors receiving asset-level
data about the assets underlying the ABS being resecuritized.
Specifically, the commenter believed that the asset-level data about
the underlying ABS would not be useful because only certain classes of
an ABS are resecuritized, and the loans backing a particular class are
typically supported by the entire underlying loan pool, and therefore
do not correlate to any specific classes of ABS. We disagree and
believe that to determine the performance of any particular
resecuritization, an understanding of each loan in the underlying loan
pool is necessary in order to analyze how the underlying loans impact
the cash flows to the resecuritization.
    In addition, with respect to the availability of information,
Section 942(a) of the Dodd-Frank Act eliminated the automatic
suspension of the duty to file under Section 15(d) of the Exchange Act
for ABS issuers and granted the Commission the authority to issue rules
providing for the suspension or termination of such duty.\543\ As a
result, ABS issuers with Exchange Act Section 15(d) reporting
obligations will be required to report asset-level information, thereby
easing concerns that the asset-level information for residential
mortgages, commercial mortgages, auto loans, auto leases, or debt
securities underlying the ABS in the resecuritization would not be
available on an ongoing basis.
---------------------------------------------------------------------------

    \543\ See Suspension of the Duty to File Reports for Classes of
Asset-Backed Securities Under Section 15(d) of the Securities
Exchange Act of 1934, Release No. 34-65148 (Aug. 17, 2011) [76 FR
52549].
---------------------------------------------------------------------------

    With respect to the cost and burden to provide the disclosures and
concerns about securities law liability for information obtained from
third parties, we believe the existing ability to reference third party
information, in part, addresses these concerns. As is the case today,
issuers may satisfy their disclosure requirements by referencing third-
party reports if certain conditions are met.\544\ New Forms SF-1 and
SF-3 require that the asset-level information be filed on Form ABS-EE
and incorporated into the prospectus.\545\ Similarly, revised Form 10-D
requires incorporation by reference to Form ABS-EE.\546\ If the
underlying ABS is of a third-party, we will permit issuers to reference
the third-party's filings of asset-level data provided that they
otherwise meet the existing third-party referencing conditions.
Consequently, reports of all third parties, not only those that are
significant obligors, may be referenced. Because issuers are not
incorporating third-party filings by reference, but instead merely
referencing these filings, we believe we have addressed concerns about
issuers' filing burdens and securities law liability for asset-level
information filed by third parties.
---------------------------------------------------------------------------

    \544\ See Item 1100(c)(2) of Regulation AB [17 CFR
229.1100(c)(2)]. In many instances, the issuer of the ABS being
resecuritized would be considered a significant obligor as defined
in Item 1101(k) of Regulation AB. If so, issuers may reference
information about the significant obligors located in third-party
reports as set forth in Item 1100(c)(2).
    \545\ See Section III.B.5 New Form ABS-EE, General Instruction
IV and Item 10 of Form SF-1 and General Instruction IV and Item 10
of Form SF-3.
    \546\ See Item 1A of Form 10-D.
---------------------------------------------------------------------------

    While some commenters raised concerns about the cost to implement
such requirements, commenters did not provide any quantitative cost
estimates to comply with this requirement. Implementation of this
requirement, even if a registrant can reference third-party filings,
will require system re-programming and technological investment. In
addition, registrants will incur a nominal cost to provide data about
the securities being resecuritized. In general, the data about the
securities, which track the debt security ABS requirements, should
include data already readily available to issuers, especially since the
requirements primarily include basic characteristics of the security,
such as the title of the security, payment frequency, and whether it is
callable. Registrants will incur a nominal cost to provide this data in
the format requested. If asset-level data is required for the assets
underlying the securities being resecuritized, registrants will, to the
extent they cannot otherwise incorporate by reference or reference
third-party filings, incur costs to obtain the data required about the
assets underlying the securities being resecuritized or to convert data
available to them into the required format. These costs were discussed
earlier in the release in the context of complying with asset-level
disclosure for RMBS, CMBS and Auto ABS. We believe such costs are
appropriate because investors should receive information about the
securities that will allow them to conduct their own independent
analysis. In addition to the items noted above that mitigate cost
concerns, we also believe the extended timeframe for compliance of 24
months lowers the overall burden placed on registrants and market
participants and should provide ample time for registrants and market
participants to assess the availability of the asset-level information
required for resecuritizations and to put the information in the format
required.
3. Asset-Level Data and Individual Privacy Concerns
(a) Proposed Rule
    As we noted in the 2010 ABS Proposing Release and the 2011 ABS Re-
Proposing Release and as the staff noted in the 2014 Staff Memorandum,
we are sensitive to the possibility that certain asset-level
disclosures may raise concerns about the underlying obligor's personal
privacy. In particular, we noted that asset-level data points requiring
disclosures about the geographic location of the obligor or the
collateralized property, credit scores, income and debt may raise
privacy concerns. We also noted, however, that information about credit
scores, employment status and income would permit investors to perform
better risk and return analysis of the underlying assets and therefore
of the ABS.
    In light of privacy concerns, we did not propose to require issuers
to disclose an obligor's name, address or other identifying
information, such as

the zip code of the property.\547\ We also proposed ranges, or
categories of coded responses, instead of requiring disclosure of an
exact credit score \548\ or income or debt amounts in order to prevent
the identification of specific information about an individual.\549\
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    \547\ We proposed to require the broader geographic delineations
of MSAs in lieu of the narrower geographic delineation of zip codes.
    \548\ For asset-level data points that require disclosure of
obligor credit scores, we proposed coded responses that represent
ranges of credit scores (e.g., 500-549, 550-599, etc.). The ranges
were based on the ranges that some issuers used in pool-level
disclosure.
    \549\ For monthly income and debt ranges, we developed the
ranges based on a review of statistical reporting by other
governmental agencies (e.g., $1,000-$1,499, $1500-$1,999, etc.). See
the 2010 ABS Proposing Release at 23357.
---------------------------------------------------------------------------

    The 2014 Staff Memorandum summarized the comments received related
to potential privacy concerns and outlined an approach to address these
concerns that would require issuers to make asset-level information
available to investors and potential investors through an issuer-
sponsored Web site rather than having issuers file on EDGAR and make
all of the information, including potentially sensitive information,
publicly available. Under the Web site approach, issuers could take
steps to address potential privacy concerns associated with asset-level
disclosures, including through restricting Web site access to
potentially sensitive information. The Web site approach also would
require issuers to file a copy of the information disclosed on a Web
site with the Commission in a non-public filing to preserve the
information and to enable the Commission to have a record of all asset-
level information provided to investors. The prospectus would need to
disclose the Web site address for the information, and the issuer would
have to incorporate the Web site information by reference into the
prospectus. In addition, issuers would be required to file asset-level
information that does not raise potential privacy concerns on EDGAR in
order to provide the public with access to some asset-level
information.
(b) Comments on Proposed Rule
    In response to the 2010 ABS Proposal, several commenters noted that
the asset-level requirements would raise privacy concerns.\550\ These
commenters suggested that, while the proposed asset-level disclosures
would not include direct identifiers, if the responses to certain
asset-level data requirements are combined with other publicly
available sources of information about consumers it could permit the
identity of obligors in ABS pools to be uncovered or ``re-identified.''
\551\ A number of commenters noted that, if an obligor was identified
through this process, then the obligor's personal financial status
could be determined.\552\ The commenters noted that if obligors are re-
identified, then information about an obligor's credit score, monthly
income and monthly debt would be available to the general public
through the EDGAR filing. Commenters also noted that if personal
information was linked to an individual through the asset-level
disclosures this may conflict with \553\ or undermine \554\ the
consumer privacy protections provided by federal and foreign laws
restricting the release of individual information and increase the
potential for identity theft and fraud.\555\
---------------------------------------------------------------------------

    \550\ See, e.g., letters from ABA I, CU, MBA I (suggesting that
the use of Metropolitan Statistical Areas or Divisions in lieu of
zip code would not mask the location of particular properties),
VABSS I, and WPF I (also suggesting that the proposed asset-level
disclosures would not mask the location of particular properties and
additionally that they may provide information useful in the re-
identification process). In general, these commenters were concerned
that it may be possible to identify an individual obligor by
matching asset-level data about the underlying property or asset
with data available through other public or private sources about
assets and their owners.
    \551\ See, e.g., letter from WPF I (suggesting that attempts to
mask the location of particular properties and the identity of
borrowers are not workable because there is too much information
about mortgages available that would allow the location of a
particular property to be found).
    \552\ See, e.g., letters from ABA I, AFSA I, American Resort
Development Association dated July 22, 2010 submitted in response to
the 2010 ABS Proposing Release, ASF II, CDIA, CNH I, CU, Anita B.
Carr dated May 12, 2010 submitted in response to the 2010 ABS
Proposing Release, Daniel Edstrom dated May 12, 2010 submitted in
response to the 2010 ABS Proposing Release, Epicurus, ELFA I, FSR,
MBA I, National Association of Federal Credit Unions dated Aug. 2,
2010 submitted in response to the 2010 ABS Proposing Release,
Navistar, SIFMA I, SLSA, TYI, VABSS I, Vantage Score Solutions LLC
dated Aug. 2, 2010 submitted in response to the 2010 ABS Proposing
Release (``Vantage I''), and WPF I.
    \553\ See, e.g., letters from ABA I (stating that the asset-
level disclosures would potentially result in release to the public
of detailed non-public personal financial information (as defined in
Title V of the Gramm-Leach-Bliley Act (``GLBA'')) as well as
consumer report information (as defined in FCRA), CDIA (suggesting
that certain data may fall under the protections of FCRA, GLBA, or
both), Epicurus, TYI (suggesting that if the disclosures could be
used to identify a borrower in a European-based ABS, this may
violate European privacy laws), and WPF I.
    \554\ See letter from WPF I (suggesting that if data that may
fall under the scope of FCRA is posted on EDGAR and subsequently
linked to an individual, the data may become public and, therefore,
the transfer of this information to others may contravene FCRA
restrictions).
    \555\ See letters from CDIA, VABSS II, and WPF I (suggesting
that the cost of identity theft would not only fall on borrowers,
but also on asset holders and, therefore, investors would demand
higher returns to protect against those losses).
---------------------------------------------------------------------------

    Most commenters did not support the use of coded ranges, noting it
would not address privacy concerns \556\ and would not further the
Commission's objective of improving disclosure for ABS investors. Two
commenters noted that using coded ranges would not mitigate privacy
concerns because the ranges are so narrowly defined they would identify
the actual score or dollar amount of income.\557\ Other commenters
believed that the use of ranges for disclosures, such as credit scores
and income, or requiring a broader geographic identifier for the
property, such as MSAs, would greatly reduce the utility of the
information.\558\ Commenters also noted that disclosure of data that
relates to the credit risk of the obligor, such as an obligor's exact
credit score, income, or employment history, would strengthen
investors' risk analysis of ABS involving consumer assets.\559\
Commenters also suggested that exact income and credit scores are
necessary to appropriately price the securities \560\ and verify issuer
disclosures.\561\
---------------------------------------------------------------------------

    \556\ But see letters from CDIA (noting that the proposed ranges
or categories may provide some privacy protection) and ASF II
(expressed views of loan-level investors only) (suggesting the use
of range-based reporting for certain credit sensitive fields may
also provide a solution to privacy concerns).
    \557\ See letters from CDIA and MBA I.
    \558\ See letters from ASF I (expressed views of investors
only), Beached Consultancy (suggesting that the metropolitan area is
too broad to be useful, and, therefore, a ``3-digit zip code''
should be permitted), and Wells Fargo I.
    \559\ See letters from ASF I (requesting disclosure of exact
credit score and noting that requiring ranges would be a step back
in terms of transparency), Interactive (noting that asset-level
granularity is essential for robust evaluation of loss, default and
prepayment risk associated with RMBS), Prudential I (suggesting that
ranges of FICO score bands are not sufficient to appreciate the
linkages between collateral characteristics), and Wells Fargo I
(expressing concern that restricting information available to
investors could result in substantially lower pricing for new
residential mortgage backed securities offerings). See also SIFMA I
(expressed views of investors only) (recommending 25-point buckets
for credits scores rather than the 50-point buckets as proposed).
    \560\ See, e.g., letters from ASF I, Prudential I, and Wells
Fargo I.
    \561\ See letter from ASF I (expressed views of investors only)
(suggesting that exact income allows them to double check the
issuer's DTI calculations).
---------------------------------------------------------------------------

    We received few suggestions for alternative approaches to balancing
individual privacy concerns and the needs of investors to have access
to detailed financial information about obligors. Commenters suggested
we work with other federal agencies to evaluate whether the proposed
asset-level information was in fact anonymized \562\ and to assess
whether the required asset-level disclosures would subject issuers to
liability under

the federal privacy laws.\563\ Many commenters that supported grouped-
account disclosures rather than asset-level disclosures indicated that
grouped disclosures also could address privacy concerns with asset-
level disclosures.\564\ Other commenters suggested addressing privacy
concerns by changing the disclosure format, such as by requiring that
disclosure be presented in ratios rather than dollar amounts,\565\
requiring a default propensity percentage in lieu of a credit
score,\566\ or only requiring narrative disclosure.\567\
---------------------------------------------------------------------------

    \562\ See letters from ABA I and ASF I.
    \563\ See letter from ABA I.
    \564\ See, e.g., letters from ASF II (expressed views of issuers
and a portion of investors only) and VABSS II.
    \565\ See letter from CU (suggesting that liquid cash reserves
be expressed as a ratio relative to the borrower's debt).
    \566\ See letter from Vantage I (describing default propensity
as the chance that a consumer will become 90 or more days late on a
debt that he or she owes expressed as a percentage).
    \567\ See letter from ABAASA I.
---------------------------------------------------------------------------

    We also received suggestions that we should restrict access to or
impose conditions on the use of sensitive data. For instance, a
commenter suggested that we establish a central ``registration system''
where access to sensitive data is only made to persons who have
independently established their identities as investors, rating
agencies, data providers, investment banks or other categories of users
while forbidding others to use the data or include the data in
commercially distributed databases.\568\ Another commenter suggested
that the Commission consider restricting access to registered users who
acknowledge the potentially sensitive nature of the data and agree to
maintain its confidentiality.\569\ This commenter suggested that
requiring users to identify themselves and accept appropriate terms of
use would provide a deterrent to those who might attempt to abuse
personal financial data and permit identification of such users should
any abuse occur. Another commenter suggested establishing rules
applicable to the posting, use and dissemination of potentially
sensitive data disclosed on EDGAR, including penalties for violation of
the rules.\570\
---------------------------------------------------------------------------

    \568\ See letter from VABSS II.
    \569\ See letter from CDIA.
    \570\ See letter from Epicurus.
---------------------------------------------------------------------------

    In light of the comments received raising individual privacy
concerns and the requirements of new Section 7(c) of the Securities
Act, we requested additional comment on privacy generally in the 2011
ABS Re-Proposing Release.\571\ We received limited additional feedback
on how to address the potential privacy issues surrounding the proposed
asset-level disclosures. Commenters again stated that the asset-level
requirements, as proposed, would raise privacy concerns.\572\ One
commenter suggested that the Commission could address privacy concerns
by not requiring the disclosure of social security numbers, only
requiring MSA information about the property instead of a property's
full address, and replacing borrower name with an ID number.\573\ Other
commenters stated or reiterated that for some asset classes a grouped-
account or pool-level disclosure format may mitigate privacy
concerns.\574\ One commenter repeated the suggestions that it provided
in previous comment letters that the Commission could establish and
manage (or have a third-party manage) a central ``registration system''
that could provide restricted access.\575\
---------------------------------------------------------------------------

    \571\ For instance, we asked how asset-level data could be
required, both initially and on an ongoing basis, to implement
Section 7(c) effectively, while also addressing privacy concerns. We
asked which particular data elements could be revised or eliminated
for each particular asset class in a manner that would address
privacy concerns, while still enabling an investor to independently
perform due diligence. We also requested comment on whether it would
be appropriate to require issuers to provide an obligor's credit
score and income on a grouped basis in a format similar to the
proposal for credit cards in the 2010 ABS Proposing Release.
    \572\ See, e.g., letter from Mortgage Bankers Association dated
Oct. 4, 2011 submitted in response to the 2011 ABS Re-Proposing
Release (``MBA III'') (reiterating that several of the data points
proposed could allow someone to identify the obligor and that ``the
income and credit score ranges do not mitigate privacy issues
because the suggested ranges are so narrowly defined that they
virtually identify the actual score or dollar amount of income'').
    \573\ See letter from MetLife II.
    \574\ See letters from Sallie Mae, Inc. (SLM Corporation) dated
Oct. 4, 2011 submitted in response to the 2011 ABS Re-Proposing
Release (``Sallie Mae II'') (suggesting that ``data presented on a
grouped basis should address all privacy concerns''), VABSS III
(again suggesting that a grouped data approach minimizes, but does
not eliminate, privacy concerns), and VABSS IV (stating that they
believe a grouped data approach is the best way to provide
additional information to investors while addressing obligor privacy
and competitive concerns).
    \575\ See letters from VABSS III (suggesting that it would not
be an ``overwhelming process to establish and maintain a restricted-
access system'' and that Section 7(c) does not require that data
that raises privacy concerns be made publicly available) and VABSS
IV.
---------------------------------------------------------------------------

    On February 25, 2014, we re-opened the comment period to permit
interested persons to comment on the Web site approach described in the
2014 Staff Memorandum. Only a few commenters indicated support for the
Web site approach.\576\ Most commenters generally opposed the Web site
approach as a means to address privacy concerns,\577\ and some
commenters also noted that the Web site approach creates or shifts
legal and reputational risks to issuers.\578\ Commenters expressed
concern about whether the Web site approach could result in issuer
liability under applicable privacy laws.\579\ Several commenters were
specifically concerned that the Web site approach might create a risk
that the issuer could be considered a ``consumer reporting agency''
under the FCRA and thus subject to its rules and regulations.\580\ One
commenter noted that the FCRA would not be relevant most of the time
because the type of information contemplated by the Web site approach
would be beyond the reach of the FCRA while also noting that privacy
laws do not protect most consumer data, including the proposed asset-
level data, regardless of how it may be disseminated.\581\ A number of

commenters requested that the Commission obtain an authoritative
interpretation or some other form of guidance from the CFPB to clarify
issuer liability under the privacy laws when an issuer provides asset-
level data before moving forward.\582\ A few commenters suggested that
under the Web site approach data could still be widely
distributed,\583\ and two commenters stated that taking steps to reduce
the ability to re-identify a person would be more appropriate than
limiting access to sensitive data.\584\ Some other general concerns
about the Web site approach included: the costs and burdens of the Web
site approach; \585\ the possibility of data breaches and the impacts
from data breaches; \586\ potential negative market impacts; \587\ and
the possibility that inconsistencies in technical standards between Web
sites may make the Web sites difficult to use.\588\
---------------------------------------------------------------------------

    \576\ See letters from AFR (noting the advantages of the Web
site approach include the disclosure of more granular data and the
ability to restrict the data to those who agree to accept legal
liability for privacy violations), CII (stating, however, that the
restrictions placed on accessing the Web site should not be any more
restrictive than user accounts and confidentiality agreements and
that issuers should provide, instead of coded ranges, specific
credit scores, income, and debt), A. Schwartz (stating that the Web
site approach places the liability for errors in the asset-level
data on issuers and preserves the privacy interests of borrowers),
and World Privacy Forum dated Apr. 18, 2014 submitted in response to
the 2014 Re-Opening Release (``WPF II'') (suggesting, however, that
the Commission rather than issuers be responsible for maintaining
the data).
    \577\ See, e.g., letters from ABA III, AFSA II, Capital One II,
Deutsche Bank dated Mar. 28, 2014 submitted in response to the 2014
Re-Opening Release (``Deutsche Bank''), MBA IV (with respect to
RMBS), SIFMA/FSR I-dealers and sponsors, and Treasurer Group.
    \578\ See, e.g., letters from AFSA II (also suggesting that the
Web site approach did not conform to the White House's Consumer
Privacy Bill of Rights because the Web site approach does not
specify requirements to provide control or choice to consumers on
the sharing of their data with others), Deutsche Bank, MBA IV (also
stating that the Web site approach shifts operational risks to
issuers), and SFIG II.
    \579\ See, e.g., letters from AFSA II, CCMR, Deutsche Bank,
Lewtan (suggesting that there is uncertainty surrounding FCRA
liability for issuers, investors, and all deal parties who touch
data originally obtained in the process of underwriting a loan to
the consumer), MBA IV, SFIG II (also noting that issuers may be
subject to restrictions under state laws), SIFMA/FSR I-dealers and
sponsors, and Wells Fargo III. See also letters from ELFA II (noting
that the dissemination of asset-level data under the Web site
approach or through EDGAR would create legal and reputational
risks), and Treasurer Group (noting the requirements of Canada's
privacy laws).
    \580\ See letters from ABA III, CCMR, Lewtan, SIFMA/FSR I-
dealers and sponsors, SFIG II, and Wells Fargo III (noting, for
example, that if an issuer is considered a consumer reporting
agency, among other things, it will have a duty to update and
correct information about the consumer and failure to comply with
these duties could subject the issuer to consumer actions and CFPB
enforcement).
    \581\ See letter from WPF II.
    \582\ See, e.g., letters from SIFMA/FSR II-dealers and sponsors,
Wells Fargo III, MBA IV (with respect to RMBS), and SFIG II (noting
concerns that the CFPB has not affirmed past FTC guidance on the
transfer of information incident to the transfer of an asset in a
securitization and stating that while it strongly believed that an
issuer would not become a consumer reporting agency under FCRA by
disclosing asset-level information, the CFPB needs to provide a rule
or authoritative interpretation that the data posted in accordance
with the Web site approach would not be a consumer report and that
the issuer would not become a consumer reporting agency). See also
letter from CCMR (requesting that the Commission, CFPB and Federal
Trade Commission (FTC) provide assurance that misuse of disclosures
made under the Web site approach would not render the issuer liable
for privacy law violations).
    \583\ See, e.g., letters from ABA III (stating that in the case
of registered offerings ABS may be sold to any person, including
individuals, without restriction, resulting in a potentially
unlimited pool of investors and potential investors), Capital One
II, and SFIG II.
    \584\ See letters from ABA III and Treasurer Group. These
comments are discussed in more detail below.
    \585\ See letters from AFSA II, ELFA II, Lewtan, MBA IV (with
respect to RMBS) (suggesting that the costs would include improving
security protocols and designing controls to minimize sharing of the
information once a party accesses the Web site), SFIG II, SIFMA/FSR
I-dealers and sponsors (objecting to a requirement that issuers file
non-sensitive data on EDGAR because it is redundant, imposes
unnecessary costs and is incomplete since certain fields would be
omitted), and Wells Fargo III.
    \586\ See, e.g., letters from ABA III, AFSA II, ELFA II, Lewtan,
MBA IV (with respect to RMBS), and Wells Fargo III.
    \587\ See, e.g., letters from ELFA II (expressing concern that
issuers may leave the ABS capital markets due to cost and liability
concerns) and Lewtan (noting that issuers and investors may leave
the market or move to the Rule 144A market because they cannot get
comfortable with the risks associated with FCRA, while acknowledging
that similar risks exist in the Rule 144A market).
    \588\ See letter from AFR.
---------------------------------------------------------------------------

    Some commenters disagreed with the description in the 2014 Staff
Memorandum of how issuer Web sites were being used at the time the 2014
Staff Memorandum was released.\589\ For instance, one commenter noted
that while Web sites were being used at that time to provide
information to investors, the information is not the same as what the
Commission had proposed to require and does not raise the same privacy
concerns.\590\ Another commenter noted that current disclosure of
asset-level information through Web sites is available only to a
limited number of known institutional investors.\591\
---------------------------------------------------------------------------

    \589\ See letters from ABA III, AFSA II, and SFIG II.
    \590\ See letter from AFSA II. See also letter from ABA III
(noting that the amount of information proposed for release under
the Web site approach exceeds the amount of information typically
made available through Web sites).
    \591\ See letter from SFIG II.
---------------------------------------------------------------------------

    Several commenters stated that additional information was necessary
to fully assess the potential implications of the Web site approach.
For instance, commenters requested clarity on the scope of asset-level
disclosures that the Commission is considering adopting, what data
would be disclosed on EDGAR and on the Web site, what type of
restrictions on access would be reasonable and what information is
``necessary'' for investor due diligence.\592\ Another commenter sought
information about whether the Commission is still considering asset-
level disclosures for certain non-RMBS asset classes.\593\ Five
commenters urged the Commission to re-open the 2010 ABS Proposal and
the 2011 ABS Re-Proposal, in general, to permit further consideration
of the concerns surrounding asset-level disclosures.\594\
---------------------------------------------------------------------------

    \592\ See, e.g., letters from ABA III, Deutsche Bank, Lewtan
(noting that they did not comment on data point requirements due to
the brief comment period and uncertainty about which aspects of the
2010 ABS Proposals remain under consideration), SIFMA/FSR I-dealers
and sponsors (requesting clarity on whether any of the asset-level
data may be considered ``material'' under the securities laws and
whether disclosure of asset-level data as proposed complies with
privacy laws), and Wells Fargo III (requesting clarification of
which data points would require specific values in order to evaluate
privacy issues).
    \593\ See letter from SIFMA/FSR I-dealers and sponsors.
    \594\ See letters from Capital One II, ELFA II (asking the
Commission to reconsider requirements for equipment ABS), SFIG II
(noting uncertainty as to whether ranges or specific values will be
required for sensitive data points and whether the rules will apply
to the Rule 144A market), SIFMA/FSR I-dealers and sponsors
(suggesting that any re-proposal should include definitive,
coordinated federal guidance about compliance with privacy laws,
whether the disclosure requirements will apply to the Rule 144A
market, which asset classes will be subject to the disclosure
requirements and assurances about whether the data can be re-
identified), and Wells Fargo III.
---------------------------------------------------------------------------

    A number of commenters responded to the 2014 Re-Opening Release by
commenting generally on privacy concerns. Several commenters reiterated
the re-identification concerns that were raised in response to the 2010
ABS Proposing Release and the 2011 ABS Re-Proposing Release.\595\
Commenters again suggested that obligors may suffer harm if personal
data is used to re-identify them.\596\ Several commenters noted that
the asset-level requirements, as proposed in 2010, contain a variety of
highly sensitive personal information that consumers would not expect
to be available to the general public, such as information about debt,
income, bankruptcies, foreclosures, job losses, and even whether the
consumer has experienced marital difficulties.\597\ One commenter
raised particular concern with disclosure of actual income as such data
is highly desirable to the consumer data industry but hard to
obtain.\598\ One commenter requested that the Commission provide
assurance that the data required to be filed on EDGAR could not be
reasonably linked to an individual consumer.\599\ Some commenters
expressed concern that the proposed requirements could result in the
disclosure of ``Personally Identifiable Information'' or ``PII,'' which
could result in legal liability or reputational damage.\600\ In
addition, a few commenters identified various laws that may apply to
the asset-level disclosures, including non-privacy related laws.\601\
Another commenter noted, however, that the availability of potentially
sensitive obligor data is not new to the market.\602\ Another commenter
believed criminal actors

would prefer to obtain access to other databases containing information
more conducive to identity theft, such as social security numbers and
date of birth, neither of which would be required by the
Commission.\603\
---------------------------------------------------------------------------

    \595\ See, e.g., letters from ABA III, Capital One II, Deutsche
Bank, SFIG II (noting that whether an obligor underlying a foreign
loan can be re-identified through the proposed asset-level data will
depend on the jurisdiction), SIFMA/FSR I-dealers and sponsors,
Treasurer Group (suggesting that the final requirements not include
geographic identifiers or other individual identifiers that can
identify a borrower), and WPF II.
    \596\ See, e.g., letters from ABA III, SFIG II, and SIFMA I
(expressed view of issuers and sponsors only).
    \597\ See, e.g., letters from Deutsche Bank, SIFMA/FSR I-dealers
and sponsors, and Wells Fargo III.
    \598\ See letter from WPF II.
    \599\ See letter from SIFMA/FSR I-dealers and sponsors.
    \600\ See letter from SIFMA/FSR I-dealers and sponsors
(questioning whether some or all of the asset-level information
could be considered PII under federal and state laws). See also
letters from ABA III and MBA IV (with respect to RMBS).
    \601\ See letters from ABA III (noting questions about the
application of the GLBA, FCRA and Freedom of Information Act
(``FOIA'')), and SIFMA/FSR-dealers and sponsors (noting questions
about the application of GLBA and the Fair Debt Collections
Practices Act, and whether the information would be subject to
FOIA).
    \602\ See letter from Lewtan (noting that they collect and
disseminate ABS-related data, including asset-level data).
    \603\ See letter from AFR. Despite its belief that the Web site
approach would not create a new target for criminal actors, AFR
recommended that the Commission not adopt such an approach because:
(i) Issuers could inappropriately discriminate in providing access
to the restricted Web site; (ii) there is a potential that not all
issuers would have the technical capacity to implement appropriate
privacy controls; and (iii) if the design of the data is left to
issuers, standardization of the data format would not be possible,
making it more difficult to use.
---------------------------------------------------------------------------

    Many commenters expressed particular concern with the disclosure of
a property's geographic location because it, along with other data
points, can be used with other public databases to match a property
with a specific borrower.\604\ Commenters' recommendations to revise
the geographic data point varied. One commenter recommended that the
Commission limit disclosure of the zip code to only the first two
digits.\605\ Another commenter, without providing a specific
recommendation, believed that any geographic data point must be
sufficiently broad to ensure that there is no risk of re-
identification.\606\ One commenter reiterated its support for
aggregation of geographic location.\607\ In contrast, another commenter
noted its opposition to the 2010 ABS Proposal to require only MSA
because it would compromise the utility of the data for investors.\608\
---------------------------------------------------------------------------

    \604\ See letters from ABA III, ELFA II, Lewtan, SIFMA/FSR I-
dealers and sponsors, SFIG II, Treasurer Group, and Wells Fargo III.
    \605\ See letter from ABA III (noting that the Department of
Health and Human Services, as part of its efforts to keep consumers'
health information anonymous, has limited disclosure of zip codes to
the first three digits, and also noting that the European Securities
and Market Authority has created draft templates for asset-level
disclosure, including for RMBS, in which it requires only the first
two or three digits of the postal code).
    \606\ See letter from Treasurer Group.
    \607\ See letter from CFA Institute dated Apr. 28, 2014
submitted in response to the 2014 Re-Opening Release.
    \608\ See letter from AFR.
---------------------------------------------------------------------------

    Several commenters suggested various alternatives and modifications
to the Web site approach. Three commenters suggested aggregating the
asset-level data.\609\ These commenters, however, did not specify what
they meant by ``aggregated.'' \610\ Another commenter suggested
development of a system that permits investors to conduct analysis and
produce models without providing access to asset-level
information.\611\ One commenter said the requirements should mirror the
disclosures that the GSEs make with respect to RMBS and that issuers
should have the discretion not to disclose sensitive information.\612\
Others suggested that issuers should have the flexibility to modify the
disclosures and decide the method of delivery to address privacy
concerns.\613\ Another commenter agreed that the better approach would
be to modify the disclosure requirements such that the data increases
transparency while still respecting the privacy of borrowers'
information, but did not specify how those disclosures should be made
available to investors.\614\ Several commenters suggested that we adopt
mechanisms or controls to restrict access to asset-level information
filed with the Commission to investors and potential investors.\615\
---------------------------------------------------------------------------

    \609\ See letters from ABA III, Lewtan (noting that aggregation
would significantly reduce the risk of re-identification and data
security breaches, but data security concerns related to internal
operations would remain), and MBA IV (with respect to RMBS).
    \610\ For example, they did not specify whether they were
referring to pool-level data, grouped-account data similar to the
disclosures proposed for credit card ABS in the 2010 ABS Proposal,
less granular loan-level information or some other form of data
aggregation.
    \611\ See letter from Treasurer Group.
    \612\ See letter from MBA IV (with respect to RMBS).
    \613\ See, e.g., letters from ABA III (suggesting that if the
Commission adopts the Web site approach, then issuers should be able
to aggregate, group or anonymize the data, as needed, to comply with
the privacy laws or be allowed to omit data under Securities Act
Rule 409, and also suggesting that issuers should have the
flexibility to determine the method of delivery of the disclosure)
and SIFMA/FSR II-dealers and sponsors (suggesting that issuers be
allowed to withhold, aggregate, or otherwise modify the asset level
disclosures in order to comply with legal and regulatory
obligations, reduce re-identification risk or otherwise protect
consumer privacy, or to limit disclosure of information that is not
material to an investment decision).
    \614\ See letter from Capital One II.
    \615\ See letters from CDIA (suggesting that the Commission
require parties that want to access the data on EDGAR register to
use the data, acknowledge the sensitive nature of the data, and
agree to maintain its confidentiality), Epicurus (suggesting that
the Commission establish rules applicable to the posting, use and
dissemination of potentially sensitive data disclosed on EDGAR,
including penalties for violation of the rules), WPF I, and WPF II.
---------------------------------------------------------------------------

    Another commenter suggested a central repository or ``aggregated
data warehouse'' to house the asset-level data because such an approach
would simplify enforcement of access policies, ensure consistent data
formats and lower incentives to exclude certain users.\616\ Similarly,
another commenter suggested that issuers disclose all asset-level data
to a consumer reporting agency administered repository, along with a
unique identification number for each asset, which would allow
investors to access all the asset-level data for these assets.\617\
Another commenter also suggested that credit bureaus, instead of
issuers, should provide credit related information.\618\ One commenter
outlined revisions to the Web site approach that it believed are
necessary if such an approach is adopted, including a data chain of
custody, privacy and security rules and public disclosure of each
issuer's privacy and security policies.\619\
---------------------------------------------------------------------------

    \616\ See letter from AFR (suggesting either a single data
warehouse managed by a federal agency (e.g., the Commission, the
Federal Reserve (similar to the Bank of England model), or the
Office of Financial Research) or a non-profit data warehouse owned
and managed by private sector entities under Commission oversight
(similar to the European Data Warehouse).
    \617\ See letter from SIFMA/FSR II-dealers and sponsors (noting
that this approach would apply to all ABS asset classes and also
noting certain developmental challenges, such as identifying a
consumer reporting agency willing to act as a repository and
application of FCRA). See also SFIG II (stating that issuers should
have the option to use third party agents (which may be a consumer
reporting agency or a central Web site data aggregator) to make the
data available and control access, but also noting that such an
approach still raises privacy law concerns and concerns about who
pays for the third-party service).
    \618\ See letter from ABA III.
    \619\ See letter from WPF II. The commenter also outlined the
elements of an appropriate data use agreement, such as disclosure
restrictions, standards to qualify recipients, and providing
consumers a private right of action for those who misuse the data.
---------------------------------------------------------------------------

(c) Final Rule and Economic Analysis of the Final Rule
    After considering the comments received related to privacy concerns
and on the Web site approach, and our obligations under Section 7(c) of
the Securities Act,\620\ we are adopting new rules to require that
issuers file asset-level disclosures on EDGAR both at the time of the
offering and on an ongoing basis in periodic reports. We are revising
the required disclosures contained in the proposal to address the risk
of parties being able to re-identify obligors and the associated
privacy concerns. Specifically, as discussed below, we are modifying or
omitting certain asset-level disclosures relating to RMBS and Auto ABS
to reduce both the amount of potentially sensitive data about the
underlying obligors and the potential risk that the obligors could be
re-identified. In addition, in response to commenters' suggestions, we
have sought and obtained guidance from the CFPB on the application of
the FCRA to the required disclosures. As discussed

below, the CFPB has issued a letter \621\ to the Commission stating
that the FCRA will not apply to asset-level disclosures where the
Commission determines that disclosure of certain asset-level
information is ``necessary for investors to independently perform due
diligence,'' in accordance with Section 7(c). We believe these steps
implement the statutory mandate of Section 7(c) and will provide
investors with the asset-level information they need while reducing
concerns about potential re-identification risk associated with
disclosing consumers' personal and financial information.
---------------------------------------------------------------------------

    \620\ As noted above, Section 7(c) of the Securities Act
requires that we adopt rules to require ABS issuers to disclose
asset-level information if the data is necessary for investors to
independently perform due diligence.
    \621\ See letter from the Consumer Financial Protection Bureau
dated August 26, 2014.
---------------------------------------------------------------------------

    While we have considered the Web site approach described in the
2014 Staff Memorandum, as discussed below, we are not adopting this
approach due to concerns about the practical difficulties and
unintended consequences of limiting access to only investors and
potential investors.\622\ Commenters also indicated that the Web site
approach could negatively affect the ability of investors and the
broader ABS market to have adequate access to the data.\623\
---------------------------------------------------------------------------

    \622\ See, e.g., letters from ABA III (noting concern that
without guidance as to who is a potential investor issuers may apply
their own bias filters to public offerings, such as limiting public
offerings to only institutional investors), AFR (expressing concern
that if issuers are given the ability to limit access to asset-level
data they may use this ability to discriminate between investors by,
for example, giving investors with more market power preferential
access to the data), CCMR, MBA IV, and SFIG II.
    \623\ See, e.g., letters from ABA III, Moody's II, and R&R.
---------------------------------------------------------------------------

    We continue to believe that the disclosure of data that relates to
the credit risk of the obligor, such as an obligor's credit score,
income, or employment history, would strengthen investors' risk
analysis of ABS involving consumer assets.\624\ We believe these
disclosures, combined with other asset-level disclosures, such as the
terms and performance of the underlying loan and information about the
property, will enable investors to conduct their own due diligence for
ABS involving consumer assets, and thus facilitate capital formation in
the ABS market. Consequently, it is critically important that the
manner in which such information is disseminated enables all investors
to receive access to the required asset-level disclosures. The ability
of other market participants, such as analysts and academics, to access
this information may also benefit the market by encouraging a broader
range of commentary and analysis with respect to ABS.\625\
---------------------------------------------------------------------------

    \624\ See footnotes 559, 560 and 561 (discussing commenters'
views on the importance of receiving granular data about obligors,
such as exact income and credit scores).
    \625\ See letters from ABA III, Moody's I, Moody's II, M. Joffe,
and R&R.
---------------------------------------------------------------------------

    Although we did not propose to require that an obligor's name,
address, or other identifying information be disclosed, we are
sensitive to the possibility that an obligor in an asset pool could be
identified (now or in the future) due to the availability of the
required disclosures (coupled with the XML requirement), the amount of
data about obligors that is publicly available through other sources,
and information about real estate transactions and other types of
transactions that is available or that may become available in the
future. In the event the obligor was re-identified, the information
that would have been required by the proposal, even in ranges, might
reveal information about the obligor's financial condition.
    This issue is especially pronounced for securitizations backed by
residential mortgages, as an obligor could potentially be re-identified
using a combination of asset-level disclosures and real estate
transaction data that is routinely disclosed by certain local
governments.\626\ Commenters noted that property address, sales price,
and closing date are typically disclosed by local governments and could
be used to link the asset-level disclosures to an individual.\627\ If a
specific mortgage is re-identified, sensitive financial data about an
obligor (e.g., credit score, DTI, and payment history) could
potentially be connected to the obligor.
---------------------------------------------------------------------------

    \626\ These issues potentially exist but are less pronounced for
Auto ABS. We are not aware of any public databases of auto loan and
lease records made available by local governments. It is possible
that these types of databases could be available from other sources
for a fee. After the time of purchase, an obligor may move and
register the automobile in a different state. In contrast, the
property that is collateral for a mortgage is connected to a
permanent address and therefore could be matched more easily with
publicly available information from land records.
    \627\ See, e.g., letters from ABA III, CU, SIFMA/FSR I-dealers
and sponsors, SFIG II, and Treasurer Group.
---------------------------------------------------------------------------

    In light of this concern, we are revising the proposed data set for
RMBS as follows.\628\ First, we are modifying the required geographic
identifier from MSA, as proposed, to a 2-digit zip code.\629\ Several
commenters emphasized the importance of geography in assessing the re-
identification risk for RMBS asset-level disclosure.\630\ We believe
that, because publicly available information like property records is
typically sorted and searchable by geography, requiring issuers to
identify assets by a broader geographic area should decrease the
ability to re-identify individual obligors. In considering how to
broaden the geographic area, we considered both the specific
recommendations of commenters as well as current disclosure practices,
including those of the GSEs and Ginnie Mae.\631\ As noted above, one
commenter specifically recommended that we require disclosure of either
a 2-digit or 3-digit zip code.\632\ There are currently less than 99
distinct 2-digit zip codes and approximately 900 distinct 3-digit zip
codes.\633\ By contrast, our proposal would have required disclosure of
MSA, which represents approximately 960 unique geographic areas. We
understand that Ginnie Mae currently discloses state (60 distinct
areas, including Washington, DC and U.S. territories and associated
states).\634\ Depending on the data set, Fannie Mae and Freddie Mac
disclose MSA, 3-digit zip code or state.\635\ After considering the
various alternatives, we are adopting a 2-digit zip code. In reaching
this conclusion, we considered that a 3-digit zip code would not
significantly reduce the re-identification risk relative to the
proposal's use of MSA and that use of state may be too broad of an area
to be useful to RMBS investors.\636\
---------------------------------------------------------------------------

    \628\ Although the changes discussed relate to RMBS data points,
we also indicate, where relevant, corresponding changes we have made
to the data points for Auto ABS that address privacy concerns.
    \629\ See new Item 1(d)(1) of Schedule AL. For Auto ABS, at the
suggestion of commenters, we are modifying the geographic identifier
of the obligor to state. See new Items 3(e)(7) and 4(e)(7). See also
letters from ASF II (expressed views of loan-level investors only)
and VABSS IV. We are not adopting proposed data points that would
have disclosed the geographic location of the dealership. See
proposed Items 4(b)(1) and 5(b)(1) of Schedule L.
    \630\ See letters from ABA III, ELFA II, Lewtan, SIFMA/FSR I-
dealers and sponsors, SFIG II, Treasurer Group, and Wells Fargo III.
    \631\ See letter from MBA IV (with respect to RMBS).
    \632\ See letter from ABA III.
    \633\ See the U.S. Postal Service Web site for a list of 3-digit
zip codes, http://pe.usps.com/text/LabelingLists/L002.htm.
    \634\ See Ginnie Mae's MBS Loan-Level Disclosure File available
at http://www.ginniemae.gov/
doingbusinesswithginniemae/
investorresources/mbsdisclosuredata/
Lists/LayoutsAndSamples/Attachments/105/
mbsloanlevellayout.pdf.
    \635\ See Fannie Mae's Loan-Level Disclosure File available at
http://www.fanniemae.com/resources/file/mbs/pdf/filelayout-lld.pdf
and Loan Performance Data Disclosure File available at https://
loanperformancedata.fanniemae.com/lppub-docs/
lppubfilelayout.pdf. See also Freddie Mac's Loan-
Level Disclosure requirements available at http://
www.freddiemac.com/mbs/docs/fslld.pdf and Single Family
Loan-Level Dataset General User Guide available at http://
www.freddiemac.com/news/finance/pdf/userguide.pdf.
    \636\ See also footnote 670 and accompanying text.
---------------------------------------------------------------------------

    To further reduce the risk of re-identification, we are also
omitting several data points that, while

potentially useful to investors, could increase the ability to identify
underlying obligors. Specifically, we are omitting the unique broker
identifier data point \637\ as well as the sales price,\638\
origination date, and first payment date \639\ data points. In
addition, we are omitting some information about an obligor's
bankruptcy and foreclosure history,\640\ although, if an obligor had
experienced a past bankruptcy or foreclosure, we would expect that
those events would have been considered in generating a credit score.
As noted above, the final rules require disclosure of an exact credit
score.
---------------------------------------------------------------------------

    \637\ See proposed Item 2(a)(11) of Schedule L. For RMBS, we are
adopting a data point that indicates whether or not a broker
originated or was involved in the origination of the loan as well as
a data point that discloses the National Mortgage License System
registration number for the company that originated the loan. These
data points will allow investors to compare loans by particular
originators and across originators. Investors will also be able to
compare loans where a broker was used. Together, these data points
will provide investors with information they need to perform due
diligence and make informed investment decisions. See new Items
1(c)(24) and 1(c)(26) of Schedule AL. These data points were not
proposed and are not relevant for Auto ABS.
    \638\ See proposed Item 2(b)(3) of Schedule L. We are also
omitting the original property valuation data points because we
believe they could provide a close approximation of sales price, and
thus could have raised the same re-identification concern as sales
price. See also proposed Items 2(b)(5), 2(b)(6), 2(b)(7), 2(b)(8),
and 2(b)(9) of Schedule L. For RMBS, we believe that certain other
data points we are adopting, such as Original loan amount and
Original loan-to-value, will provide investors with information they
need to perform due diligence and make informed investment
decisions. See new Items 1(c)(3) and 1(d)(11) of Schedule AL. For
Auto ABS, we are adopting data points that capture the vehicle
value, as these values are already made publicly available from
sources such as the Kelly Blue Book. See new Items 3(d)(7), 3(d)(8),
4(d)(6) and 4(d)(7) of Schedule AL.
    \639\ See proposed Items 1(a)(5) and 1(a)(14)of Schedule L. See
also letters from ABA III, Lewtan, MBA I, and SFIG II. We believe
that certain other data points we are adopting, such as Original
loan maturity date, Original amortization term and Remaining term to
maturity, will provide investors with information they need to
perform due diligence and make informed investment decisions. See
new Items 1(c)(4), 1(c)(5) and 1(g)(2) of Schedule AL. Because the
same publicly available property records are not available for auto
loans and leases, we are adopting data points that capture the month
and year of origination and the original first payment date for Auto
ABS. See new Items 3(c)(2), 3(c)(10), 4(c)(2), and 4(c)(10) of
Schedule AL.
    \640\ See proposed Items 2(c)(24) and 2(c)(25) of Schedule L and
proposed Items 2(c)(1), 2(c)(2), 2(c)(3), 2(c)(4), 2(c)(5), 2(c)(6),
2(c)(7), 2(c)(8), 2(h), 2(k)(2), 2(k)(3), 2(k)(4), 2(k)(5), 2(k)(7),
2(k)(8), 2(k)(11), 2(k)(12), 2(k)(13), and 2(m)(3) of Schedule L-D.
While commenters did not specifically note that these data points
would pose re-identification risk, we received letters about the
sensitivity of the data. See, e.g., letters from Deutsche Bank, MBA
IV, and SIFMA/FSR I-dealers and sponsors. RMBS issuers will,
however, be required to provide information about an asset in the
pool that is subject to a foreclosure, or if the reason for non-
payment by an obligor is due to bankruptcy. See new Items 1(g)(33),
1(r)(1), 1(r)(2), 1(r)(3), 1(r)(4), 1(r)(5), 1(v)(1) and 1(v)(2) of
Schedule AL. These data points were not proposed and are not
relevant for Auto ABS.
---------------------------------------------------------------------------

    Another step that we are taking to address commenters' concerns
about re-identification risk is to omit the proposed income and debt
data points. While we believe that income and debt information would
strengthen an investor's risk analysis of ABS involving consumer
assets,\641\ we are not requiring them based on concerns about the
sensitive nature of this information and increased re-identification
risk posed by this information.\642\ As discussed in Section
III.A.2.b)(1) Residential Mortgage-Backed Securities, however, we are
requiring DTI ratios.\643\ These are key calculations used to assess an
obligor's ability to repay the loan that, we believe, will permit
investors to perform due diligence in the absence of specific debt and
income data points.
---------------------------------------------------------------------------

    \641\ Investor members of one commenter noted that this
information is useful for verifying DTI calculations. See letter
from ASF I.
    \642\ See letters from VABSS IV, Wells Fargo III, and WPF II.
    \643\ See Section III.A.2.b)(3) Automobile Loan or Lease ABS
above for a discussion of the payment-to-income ratio data points
that are being adopted in lieu of proposed data points that would
have collected obligor or lessee income information. There were no
data points proposed for Auto ABS that would have collected obligor
or lessee debt information.
---------------------------------------------------------------------------

    We also are revising \644\ or removing \645\ certain other proposed
data points to further mitigate re-identification risk concerns since
the responses to these items will be made available to the public
through EDGAR.\646\ We do not believe these proposed requirements
necessarily would have increased re-identification risk alone, but we
have concluded that these data points, if adopted as proposed, could
disclose sensitive obligor data without providing additional
information necessary for investor due diligence.
---------------------------------------------------------------------------

    \644\ See, e.g., proposed Item 2(l)(13) Eviction start date of
Schedule L-D (revised to new Item 1(s)(8) Eviction indicator of
Schedule AL). Similar data points were not proposed for Auto ABS.
    \645\ See, e.g., proposed Items 2(c)(13) Liquid/cash reserves,
2(c)(14) Number of mortgages properties, 2(c)(18) Percentage of down
payment from obligor own funds, 2(c)(20) Self-employment flag;
2(c)(21) Current other monthly payment, 2(d)(6) Mortgage insurance
certificate number, 2(a)(1) Non-pay reason, and 2(l)(14) Eviction
end date of Schedule L-D. Similar data points were not proposed for
Auto ABS.
    \646\ These changes involved modifying the possible responses,
such as removing certain responses from the coded list of possible
responses. For example, in new Item 1(c)(1) Original loan purpose of
Schedule AL, which was proposed as Item 2(a)(1) of Schedule L, we
are removing certain possible responses from the enumerated list of
codes due to privacy concerns.
---------------------------------------------------------------------------

    Finally, in response to commenters' suggestions, we have obtained
guidance from the CFPB on the application of the FCRA to the proposed
disclosure requirements.\647\ In a letter issued to the Commission
dated August 26, 2014, the CFPB stated that the FCRA will not apply to
asset-level disclosures that exclude direct identifiers where the
Commission determines that disclosure of such information is
``necessary for investors to independently perform due diligence.''
\648\ Specifically, the CFPB letter confirms that (i) issuers and the
Commission would not become consumer reporting agencies by obtaining
and disseminating asset level information, and (ii) no violation of
Section 604(f) of the FCRA \649\ would occur if issuers or the
Commission obtain or disseminate any information that is a consumer
report (such as a credit score), in each case if the Commission
determines that disclosure of the information is necessary for
investors to independently perform due diligence and that the
information should be filed with the Commission and disclosed on EDGAR
to best fulfill a Congressional mandate. As noted above, we have
revised or eliminated certain asset-level data points that implicate
consumer privacy concerns where we determined that doing so would not
compromise investors' ability to perform due diligence on the
underlying assets. We believe the asset-level data points that we are
requiring about underlying obligors for ABS involving consumers assets
are necessary for investors to perform due diligence, as required by
Section 7(c). After taking these steps and after careful consideration
of alternative means of disseminating such information, we have
determined that having the information filed with the Commission and
disclosed on EDGAR is the most effective means of ensuring that
investors have access to asset-level data.
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    \647\ Commenters also raised concerns about the applicability of
other federal and state privacy laws and analogous foreign laws. We
do not believe the final rules are likely to implicate these other
laws for a variety of reasons, including that they do not require
disclosure of direct identifiers (PII) and because certain of these
laws provide an exemption for the disclosure of information in order
to comply with federal, state or local laws and other applicable
legal requirements. More generally, we believe the changes we are
adopting to help address privacy concerns should help to mitigate
concerns about the applicability of other privacy laws.
    \648\ See Section 7(c) of the Securities Act [15 U.S.C. 77g(c)].
    \649\ 15 U.S.C. 1681b(f).
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    As discussed above, we have taken significant steps to reduce the
re-identification risk associated with providing certain asset-level
data while adhering to the statutory mandate in Section 7(c) to require
disclosure of such information to the extent necessary

for investors to independently perform due diligence. We do recognize,
however, that the final rules do not completely eliminate the risk of
obligor re-identification \650\ and there may be costs associated with
providing certain sensitive information required by the final rules.
These costs may include costs to issuers of consulting with privacy
experts to understand the impact of providing these disclosures. We
also recognize that some issuers and investors may move to unregistered
offerings, which may affect capital formation.\651\ Alternatively, the
increased costs may be passed on to the underlying obligors in the form
of a higher cost to borrowers (e.g., interest rates or fees).
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    \650\ In this regard we note that there is continuing debate
about the ability to fully anonymize or ``de-identify'' a data set
and whether it is possible to have any confidence that re-
identification risk can be totally mitigated. See, e.g., Paul Ohm,
``Broken Promises of Privacy: Responding to the Surprising Failure
of Anonymization,'' 57 UCLA L. Rev. 1701 (2010); Arvind Narayana and
Vitaly Shmatikov, ``Myths and Fallacies of `Personally Identifiable
Information,''' 53 Comm. ACM 24, 26 n.7 (2010) (``The emergence of
powerful reidentification algorithms demonstrates not just a flaw in
a specific anonymization technique(s), but the fundamental
inadequacy of the entire privacy protection paradigm based on `de-
identifying' the data.''). But see Jane Yakowitz, ``Tragedy of the
Data Commons,'' 25 Harv. J.L. & Tech., 1 (2011) (expressing concern
about the impact of reducing the availability of de-identified data
for medical research purposes).
    \651\ But see letter from Lewtan (noting that this course is
less likely, because although unregistered offerings may provide for
more customized data delivery where an issuer has more direct
control, the issues surrounding FCRA exposure are the same as if the
securitization were made through a registered offering).
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    Re-identification risk can also increase the cost of capital due to
obligor preferences. If an obligor is particularly sensitive to the
possibility of re-identification, the obligor may prefer to transact
with originators that offer additional methods for preserving
anonymity, which could increase that obligor's cost of or access to
capital. For example, if a loan agreement gives an obligor the ability
to opt out of disclosure, thereby prohibiting the ability to securitize
the loan where asset-level information would be disclosed, originators
may pass costs on to the obligor. Originators could also bear some
increased costs if, as a result of being unable to securitize the loan
or sell it to the GSEs, the originator would hold the asset on its
balance sheet, thus limiting its ability to redeploy capital to more
productive or efficient uses. In addition, the risk of re-
identification could limit an obligor's access to capital if the
obligor is unable to obtain assurances, even at a higher cost, that his
or her loan would not be securitized in a way that gives rise to a
potential risk of re-identification. Ultimately, an obligor's
sensitivity to re-identification risk could lead to a reduction in the
number of loans available for securitization. This could, in turn, lead
to a reduction in liquidity of ABS markets and a corresponding increase
in cost of capital even for those loans that are otherwise securitized
through registered offerings.\652\ In general, for these reasons, we
believe that reducing the likelihood of obligor re-identification will
reduce the impact of these potential costs of asset-level disclosure
for the ABS market.
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    \652\ See letter from SIFMA/FSR I-dealers and sponsors (noting
that increased costs would ultimately be passed on to consumers,
including an increase in financing costs and a decrease in credit
availability).
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    As discussed above, in considering how to modify the proposed
disclosures to reduce the risk of re-identification, we considered the
specific recommendations of commenters and current disclosure
practices. Although we received various suggestions for reducing re-
identification risk, commenters did not provide any data or analysis
that quantified the likelihood of re-identification based on the
proposed disclosures or their suggested approaches to addressing re-
identification risk. Some commenters indicated that using less precise
geographic identifiers would reduce the risk that an obligor could be
re-identified.\653\ Using less precise data points for sales price and
origination date would also reduce the risk of re-identification.
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    \653\ See, e.g., letters from ABA III (recommending 2-digit zip
code), CFA II (suggesting aggregation of geographic location), and
Treasurer Group.
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    To help confirm the effect of requiring less precise information,
we performed an analysis of various modifications to the required data
points. In particular, we have estimated the likelihood of isolating a
unique mortgage in a sample pool of mortgage loans by considering
different levels and combinations of precision for the geographic
location of the property, sales price, and origination date. Our
analysis examined mortgages collected from mortgage loan servicer
providers and reported in the MBSData, LLC, dataset, which includes
asset-level data for most of the mortgages securitized in the private-
label RMBS market during the period from 2000 to 2012.\654\
Categorizing loans according to their uniqueness is the first step
someone could take to re-identify an obligor. Each of the 19.3 million
mortgages reported during this period were sorted according to
uniqueness of three loan characteristics--geographic location, sales
price, and origination date--which could potentially link the mortgage
to another publicly available dataset that contains obligors'
identities.\655\ We assume that loans that have unique values for these
three variables, when compared to all other loans in the MBSData
dataset, have an elevated potential for obligor re-identification. We
note, however, that our analysis is not an actual measure of re-
identification risk. Importantly, in order to actually re-identify an
obligor, a unique mortgage must also be matched with publicly available
data sources, such as from local government real estate transaction
ledgers and tax records that contain information on property addresses,
sales prices, and origination dates.\656\ We have not attempted to
quantify the likelihood that a unique mortgage, once isolated, can be
matched with publicly available data sources. Instead, we have focused
our analysis on this first step of the re-identification process, which
is to isolate a unique mortgage.
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    \654\ Loan-level data is available on Fannie Mae and Freddie Mac
Web sites; however, we did not incorporate this data into our
analysis because we believe that historically the characteristics of
loans purchased and securitized by GSEs have been somewhat different
from the characteristics of loans securitized through private-label
RMBS. We do not expect that incorporating the GSE data would
significantly reduce the likelihood of finding records with unique
characteristics among properties bought with mortgages securitized
through private-label RMBS.
    \655\ Because the required asset-level disclosures do not
include sales price, in our analysis, we have imputed it from the
reported loan amount and LTV ratio and rounded to the nearest $100.
Although the origination date is not required to be disclosed, it
can be approximated in many cases using other required data points,
such as Original loan maturity date, Original amortization term and
Remaining term to maturity. See new Items 1(c)(4), 1(c)(5) and
1(g)(2).
    \656\ We have not analyzed re-identification techniques using
commercially available datasets (e.g., datasets from consumer
reporting agencies) because even though using such data may be more
effective in re-identification, providers of such datasets usually
charge a fee and impose restrictions on their usage, such as, access
controls and user identity verification.
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    To provide a basis for comparison, we first considered the
likelihood of identifying a unique loan using a 5-digit zip code for
the property location, the exact sales price and the exact origination
date. Approximately 76% of the 19.3 million loans analyzed are unique
when these three characteristics are compared across all mortgages in
the database. That is, these loans could be distinguished from all
other loans with respect to geography, imputed sales price, and
origination date, and they were originated in states for which there

is no prohibition on public disclosure of the property sales
price.\657\
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    \657\ Some states (or counties within states) consider the
property sales value to be private and confidential information and
therefore do not release these numbers publicly. These states
include: Alaska, Idaho, Indiana, Kansas, Louisiana, Maine,
Mississippi, Missouri, Montana, New Mexico, North Dakota, Texas,
Utah and Wyoming. The analysis does not account for non-disclosure
counties that lie within a state that allows for disclosure.
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    We next considered the likelihood of identifying a unique loan
using the required disclosures in the final rules. As discussed above,
we are modifying the required geographic identifier from MSA, as
proposed, to a 2-digit zip code and are requiring securitizers to
report only the original amortization term, and remaining term to
maturity, from which year and month of origination can be approximated,
but not the precise origination or sales date.\658\ Based on the
historical data and the same method described above of determining
uniqueness, we estimate that by requiring 2-digit zip code, imputed
sales price, and the month and year of origination, less than 20% of
mortgages in the sample pool could be unique in their characteristics.
This is also significantly lower than the almost 30% likelihood of
isolating a unique loan determined based on the required disclosure
items in the 2010 ABS Proposal.\659\
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    \658\ As discussed below, this change should not materially
impact an investor's ability to price RMBS tranches, but will
significantly lower the probability that a mortgage is unique in its
characteristics.
    \659\ As noted above, the proposal would have required a
geographic identifier of MSA, exact sales price and the month and
year of origination.
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    These estimates, however, do not fully reflect the difficulty of
actually re-identifying an underlying obligor.\660\ As noted above, the
loan would have to be matched to a record in the relevant public
database of real estate transactions. As noted, some counties within
states do not release property sale values. Even in those jurisdictions
that do make property sale information publicly available, matching the
loans to a particular property record might be challenging to do
because the jurisdiction providing the information might not offer
access in a way that would make the information easily accessible or in
convenient format. For example, knowing the 5-digit zip code of the
unique property would not necessarily be helpful in a jurisdiction that
requires a street name in order to search and view records. Hence, in
some cases it may be too burdensome to find the matching loan even if
that information is publicly available, particularly if such search is
part of a large scale matching effort (i.e., for commercial purposes).
We also note that public property databases contain, in addition to
property transactions with mortgages securitized through private-label
RMBS, property transactions without using borrowed funds, property
transactions with mortgages that are never securitized, or property
transactions with mortgages that are securitized through GSEs. The
addition of these other transactions only compounds the burden of
matching a particular loan with a particular property record.
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    \660\ This technique is based on historical data and may not
necessarily reflect future re-identification likelihoods. Also, in
the future, securitizers that are conscious of privacy implications
may avoid securitizing loans that have high risk of being identified
(i.e., loans that are unique in their characteristics).
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    Although the approach that we are adopting does not eliminate the
possibility of obligor re-identification, we believe it strikes the
appropriate balance between privacy and transparency. Some obligors may
still be particularly sensitive to the possibility of re-identification
and may seek originators that offer additional methods of preserving
their anonymity. We do not, however, anticipate that this will have an
adverse effect on the functioning of the private-label RMBS market or
the cost of capital to the originators of mortgages and their obligors
because of the relatively low likelihood of re-identification
associated with the revised data points. Moreover, as noted above,
asset-level information has been provided by issuers and third-party
data providers for private-label RMBS (although not standardized), as
well as by the GSEs and Ginnie Mae,\661\ and this availability has not
led to market disruption or adverse effects on cost of capital for
obligors. We believe that there will be significant benefits to RMBS
investors by having access to obligor-specific financial information in
their evaluation of the potential default risk of the securitized
assets, thus improving their ability to price registered RMBS tranches.
This information also will allow investors to better understand,
analyze and track the performance of RMBS, and, in turn, will allow for
more accurate ongoing pricing and increase market efficiency.\662\
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    \661\ See Section III.A.1 Background and Economic Baseline for
the Asset-Level Disclosure Requirement.
    \662\ This would also apply to other asset classes where
obligor-specific financial information may be disclosed, such as
Auto ABS.
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    We acknowledge that further modification of certain data points
could further reduce the risk of obligor re-identification. For
example, several commenters emphasized the importance of geographic
location in potentially re-identifying an underlying obligor.\663\
Based on our analysis, eliminating a geographic identifier reduces the
likelihood of isolating a unique mortgage in the sample pool to less
than 2%. We considered whether further modification to certain data
points will reduce transparency of critical data points for ABS
investors. As we discuss below, we believe that a geographic location
identifier is critical to pricing RMBS and is therefore necessary for
investors to perform due diligence.
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    \663\ See, e.g., letters from ABA III, SIFMA/FSR 2014 I-dealers
and sponsors, SFIG II, and Treasurer Group.
---------------------------------------------------------------------------

    To confirm our view, and the views of commenters,\664\ that certain
data points are critical for ABS investment decisions, we analyzed the
potential pricing impact of various data points on RMBS transactions.
Our analysis indicates that, for RMBS, certain characteristics and loan
term features, such as geographic location, are key determinants of
expected performance of underlying mortgage loans as measured by the
historical rate of serious delinquency (``SDQ'').\665\ We used a model
to predict the presence or absence of SDQ within a historical dataset
of private-label securitized loans.\666\ We found that, by a wide
margin, the following four data points make the largest contribution to
explaining SDQ: \667\ the year of

origination, the LTV ratio, the geographic location of the property as
measured by 2-digit zip code, and the obligor's credit score (FICO
score was reported in the dataset). Our analysis shows that the year of
origination provides the greatest contribution to the measure of how
well these factors explain the likelihood of serious delinquency.\668\
LTV, geographic location of the property and FICO score provide the
next greatest contribution to explaining the likelihood of serious
delinquency and have a similar magnitude in overall contribution.\669\
Eliminating any of these three variables from the final disclosure
requirements significantly and negatively affects the predictive
ability of the model. On the other hand, in the instances we studied,
providing a geographic location that represents a smaller area or the
exact origination date only marginally improves the model's predictive
ability,\670\ but it could significantly increase the possibility of
obligor re-identification.
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    \664\ See, e.g., letters from ABA III (recommending that the
Commission consider using 2-digit zip code), ASF I (supporting exact
credit score), and Mass. Atty. Gen. (noting that the DTI ratio and
LTV are important metrics in an investor's assessment of risk of
loss).
    \665\ SDQ is defined as a loan having ever been 90 days late,
foreclosed, or real estate owned.
    \666\ We used a binomial logistic predictive model that is also
referred to as a logit regression. Binomial logistic regression
deals with situations in which the observed outcome for a dependent
variable can have only two possible types (for purposes of this
analysis--presence or absence of a serious delinquency). Logistic
regression is used to predict the odds of being a case based on the
value of the independent variables (i.e., the predictors). We
estimate the regression model with commonly used predictive factors
identified by the industry and the academic literature, such as
combined LTV ratio, credit score, and DTI ratio and analyze the
effects of various loan characteristics observable at origination on
the ability of a researcher to forecast serious delinquency. For
more details and references, see footnote 82, the White-Bauguess
Study, Section V. Logit Regression Analysis (for the description of
the model) and Appendix B (for variable definitions and references
to studies supporting the variables choice). The analysis is based
on a sample of 2,456,548 mortgages from 2000-2009 included in the
MBSData dataset that have complete information for all variables of
interest, in particular, DTI information.
    \667\ The model uses a goodness-of-fit measure (pseudo-R\2\) to
describe how well an SDQ can be modeled with given predictive
variables. Higher R\2\ represents higher predictive ability of a
model in forecasting SDQ of mortgages. We consequently eliminate
each individual factor from predictive regression and record its