As of November 2016, SEC Regulation (“Reg”) AB II requires issuers of certain types of asset-backed securities (“ABS”) to disclose the credit-risk attributes of each asset in the underlying pool, a substantial expansion of prior disclosure requirements. We examine how ABS issuers’ asset-level disclosures under Reg AB II affect the (e)valuation of ABS by investors and credit rating agencies. Using difference-in-differences models that compare affected and unaffected types of ABS, we find that these disclosures improve the ability of initial ABS yields and credit ratings to predict the performance of the underlying assets. These results are concentrated in deals with above-median risk layering in the underlying assets and complexity in the tranching of credit risk. We further find that asset-level disclosures are associated with lower yields. Lastly, we provide evidence that most prospective ABS investors download asset-level information during the price formation period prior to ABS issuance.

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资产层面的透明度和资产支持证券的 (E) 估值

自 2016 年 11 月起，美国证券交易委员会法规 (“Reg”) AB II 要求某些类型的资产支持证券 (“ABS”) 的发行人披露标的资产池中每项资产的信用风险属性，这大大扩展了先前的披露要求。我们研究了 ABS 发行人在 Reg AB II 下的资产层面披露如何影响投资者和信用评级机构对 ABS 的 (e) 估值。使用差异中的差异模型比较受影响和未受影响的 ABS 类型，我们发现这些披露提高了初始 ABS 收益率和信用评级预测基础资产绩效的能力。这些结果集中在标的资产中高于中值的风险分层和信用风险分级的复杂性的交易中。我们进一步发现，资产层面的披露与较低的收益率有关。最后，