Poor transparency of asset-backed securities (ABS) exacerbated the latest subprime lending crisis. In response, the European Central Bank introduced the ABS loan-level reporting initiative, obliging originators to disclose quarterly loan-by-loan information. However, does this increase in transparency alleviate the agency problems inherent in securitization? To answer this question, we examine a novel dataset of 107 ABS pools that are backed by more than 2.8 million loans for small and medium-sized enterprises from the first securitization repository in Europe. The results show that the increase in transparency indeed has valuable effects for investors, inducing originators to improve pool performance and diversification for existing as well as newly issued ABS. These effects persist for a large set of control variables and a broad variety of robustness tests.

资产支持证券（ABS）的透明度差，加剧了最近的次贷危机。作为回应，欧洲中央银行推出了ABS贷款水平报告计划，要求发起人披露季度按揭贷款信息。但是，这种透明度的增加是否减轻了证券化中固有的代理问题？为了回答这个问题，我们研究了一个由107个ABS池组成的新数据集，这些数据集由欧洲第一个证券化存储库中的280万笔中小企业贷款提供支持。结果表明，透明度的提高确实对投资者产生了宝贵的影响，促使发起人改善现有和新发行的ABS的集合表现和多元化。