ABSTRACT We examine the impact of transparency on the convenience yield of AAA-rated asset-backed security (ABS) tranches. AAA tranches of ABS are commonly held by investors to manage financial liquidity and therefore enjoy a price premium beyond what is determined solely by the expected monetary payoff (i.e., convenience yield). The Securities and Exchange Commission (SEC) requires ABS issuers to provide monthly disclosures about the performance of the underlying individual loans for ABS issued after November 23, 2016 to improve transparency. We document that AAA tranches of ABS experience a significant increase in price volatility after the loan-level disclosure mandate. As a result, the use of these tranches as collateral for short-term funding and their convenience yield decrease significantly after the increased disclosure. Our collective evidence highlights an important unintended consequence of increased transparency in the ABS market; it diminishes the pledgeability of long-term safe assets. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: G14; G23; M48.

中文翻译：

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贷款水平披露与资产支持证券的便利收益率


摘要我们研究了透明度对 AAA 级资产支持证券 (ABS) 部分便利收益率的影响。 ABS 的 AAA 级通常由投资者持有以管理金融流动性，因此享有超出仅由预期货币回报（即便利收益率）决定的价格溢价。美国证券交易委员会 (SEC) 要求 ABS 发行人每月披露 2016 年 11 月 23 日之后发行的 ABS 基础个人贷款的绩效，以提高透明度。我们记录到，在贷款级别披露授权之后，ABS 的 AAA 级价格波动性显着增加。因此，在信息披露增加后，使用这些部分作为短期融资抵押品及其便利收益率显着下降。我们的集体证据凸显了 ABS 市场透明度提高所带来的一个重要的意外后果；它降低了长期安全资产的可抵押性。数据可用性：数据可从文中引用的公共来源获得。 JEL 分类：G14； G23； M48。