The Effect of SFAS 140 Disclosures on the Launch Spreads of Credit Card Receivables Asset-Backed Securities

Abstract

The purpose of this research paper is to analyze the launch spreads of newly issued credit card receivables Asset Backed Securities (ABS) after the adoption of new accounting disclosure regulations. We focus specifically on examining the impact of Statement of Financial Accounting Standard (SFAS) 140 disclosures on credit card receivables ABS to assess whether the spreads were lower after SFAS 140 adoption. We regressed ABS spread before and after implementation of SFAS 140 against disclosure variable projected loss and control variables. The results suggest that the SFAS 140 disclosure regime provides useful information for investors to evaluate the risks associated with credit card ABS as reflected by lower spreads after adoption.