After almost a year under the Regulation AB disclosure
regime, issuers of asset-backed securities (ABS) and other
participants in the US ABS market continue to struggle with
complex disclosure requirements, the most difficult of which is
the requirement that ABS issuers supply financial information
regarding derivative counterparties.
Many derivative providers, particularly those outside the
US, cannot provide the required disclosure, either because they
do not prepare their financial statements using US generally
accepted accounting principles (Gaap) or because the corporate
parent that consolidates the swap-writing subsidiary does not
prepare complete separate financial statements for that
subsidiary. As a result, only a limited number of derivative
providers in the US can write currency swaps in public
offerings. Some ABS offerings using currency swaps have been
executed in the Rule 144A market rather than as public
offerings to avoid the Regulation AB disclosure requirements.
There is also a large and rapidly growing...