Hibbeln, Ma in; Os e kamp, We ne
A icle — Published Ve sion
The impac o isk e en ion on he p icing o
secu i iza ions
Re iew o De i a i es Resea ch
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The impac o isk e en ion on hep icing
o secu i iza ions
Ma inHibbeln1 · We ne Os e kamp1
Accep ed: 17 Janua y 2025 / Published online: 17 Feb ua y 2025
© The Au ho (s) 2025
Abs ac
Loan sc eening and moni o ing a e c i ical o loan pe o mance, bu incen i es a e
diminished o secu i ized loans. Risk e en ion is in ended o ha monize he in e -
es s o o igina o s and in es o s; howe e , i is unclea o wha ex en in es o s an ic-
ipa e and espond o o igina o s’ sc eening and moni o ing incen i es, pa icula ly
wi h espec o di e en ypes o isk e en ion. The heo e ical li e a u e sugges s
ha equi y e en ion is op imal in e ms o sc eening e o s; hus, i in es o s an ici-
pa e hese incen i es, equi y e en ion should lead o low c edi sp eads. Employ-
ing OLS and ins umen al a iables eg essions, we empi ically examine he e ec
o e en ion on sp eads. Ou analysis, based on a unique da ase o secu i iza ions,
e eals ha he e ec s highly depend on he conside ed in es men ype. C edi
sp eads dec ease by app ox. 26 o 39 bps i he o igina o e ains a ma e ial ac-
ion o a leas 5% o he deal’s nominal alue. Fo anches wi h high in o ma ion
sensi i i y—whe e sc eening and moni o ing incen i es a e mos c i ical—in es o s,
hough, impose an addi ional isk p emium o 120 basis poin s when o igina o s ail
o e ain a subs an ial po ion o he secu i iza ions. In addi ion, we ind ha ansac-
ions wi h e ical slice e en ion a e associa ed wi h a no ably highe isk p emium
han hose wi h equi y e en ion, demons a ing he di e en ial impac o e en ion
s uc u es on in es o pe cep ions. O e all, ou esul s unde line ha he ex en o
asymme ic in o ma ion, pa icula ly wi h espec o di e en ypes o in es men s
and isk e en ion, is an impo an componen in he p icing o secu i iza ions.
Keywo ds Secu i y design· Asse -backed secu i ies· Re en ion· C edi sp eads
JEL Classi ica ion D82· G01· G21· G24
* Ma in Hibbeln
ma [email p o ec ed]
1 Me ca o School o Managemen , Uni e si y o Duisbu g-Essen, Lo ha s . 65, 47057Duisbu g,
Ge many
M.Hibbeln, W.Os e kamp
2 Page 2 o 24
1 In oduc ion
Theo y sugges s ha pooling and anching o secu i iza ions a e essen ial mech-
anisms o mi iga e p oblems o asymme ic in o ma ion (DeMa zo, 2005). Op i-
mal secu i y design implies e en ion o he i s loss anche by he o igina o
(“equi y e en ion”), maximizing sc eening and moni o ing e o s. Howe e , in
eal-wo ld secu i iza ions many o igina o s ha e u ilized he o igina e- o-dis ib-
u e (OTD) model wi hou e aining a sha e o he ansac ion. Consequen ly, o ig-
ina o s may conduc less igo ous sc eening i hey know ha hey can sell loans
h ough secu i iza ions wi hou pa icipa ing in la e de aul s. Mo eo e , o igi-
na o s ha e diminished incen i es o moni o bo owe s a e selling he loans.
The high p ac ical ele ance o sc eening and moni o ing incen i es o secu i i-
za ions has been demons a ed in he con ex o he subp ime c isis, which was
signi ican ly in luenced by he OTD model. The empi ical li e a u e on p e-c isis
secu i iza ions indica es ha low-quali y loans we e secu i ized and ha secu-
i iza ion led o educed sc eening incen i es (Keys e al., 2010; Pu nanandam,
2011; Ti man & Tsyplako , 2010; G i in & Ma u ana, 2016), con i ming he
heo e ical a gumen s. Howe e , i is unclea o wha ex en in es o s o o igina-
o s bea he cos s o low sc eening and moni o ing incen i es. In pa icula , a e
he subp ime c isis, i is plausible ha in es o s an icipa e educed incen i es
o o igina o s, which leads o highe c edi sp eads i in o ma ion asymme y is
high, esul ing in lowe p o i s o o igina o s. Agains his backg ound, ou main
esea ch ques ions a e: Do in es o s ake asymme ic in o ma ion in o accoun
when p icing secu i iza ions? Wha ype o e en ion do in es o s p e e , and how
does his ansla e in o di e en le els o isk p emiums? Do di e en ypes o
in es o s ha e di e en p e e ences o mi iga ing incen i e p oblems?
Using Eu opean secu i iza ion da a spanning 2009–2019, ou indings subs an-
ia e ha in es o s signi ican ly ac o in asymme ic in o ma ion when p icing
secu i iza ions. Speci ically, when he o igina o e ains a leas 5% o he deal,
he isk p emium dec eases by 26–39 basis poin s (bps), e lec ing in es o con-
idence in e en ion-d i en sc eening e o s. Fo in o ma ion-sensi i e anches,
whe e sc eening and moni o ing incen i es a e mos c i ical, in es o s e en
demand an addi ional isk p emium o up o 123 bps i o igina o s o mo gage-
backed secu i y (MBS) deals ail o e ain a subs an ial sha e o he deal. These
esul s a e con i med h ough ou ins umen al a iable (IV) app oach, ollow-
ing he me hodology es ablished by Ashc a e al. (2019). Impo an ly, he s udy
e eals ha no jus he p esence, bu also he ype o e en ion plays a pi o al ole
in de e mining he isk p emium. Consis en wi h heo e ical a gumen s, in es o s
o in o ma ion-sensi i e anches demand a subs an ially lowe isk p emium in
he case o equi y e en ion han in he case o “ e ical slice e en ion”, i.e. an
equally weigh ed e en ion o each issued anche.
This s udy makes se e al key con ibu ions: Fi s ly, o he bes o ou knowl-
edge, his is he i s s udy o analyze he impac o he EU minimum e en ion
equi emen s on c edi sp eads. Secondly, ou indings demons a e ha in es-
o s p oac i ely an icipa e o igina o s’ sc eening and moni o ing incen i es and
The impac o isk e en ion on hep icing o secu i iza ions Page 3 o 24 2
choose he equi ed isk p emium based on he deg ee o asymme ic in o ma-
ion. Thi dly, we p o ide insigh s in o he magni ude o he isk p emium due o
asymme ic in o ma ion o secu i iza ions. Fou hly, we ind ha he magni ude
o he p emium o asymme ic in o ma ion s ongly depends on he speci ic ype
o in es o o he speci ic anche. O e all, his esea ch enhances he comp e-
hension o how in es o s pe cei e and assess asymme ic in o ma ion in secu-
i iza ions. Ou esul s unde line ha he ex en o asymme ic in o ma ion is an
impo an componen o he p icing o secu i iza ions.
The pape is o ganized as ollows. Sec ion2 e iews ela ed li e a u e. Sec ion3
de elops hypo heses on he impac o in o ma ion asymme y on he isk p emium
o secu i iza ions. Sec ion4 desc ibes ou da a se and Sec .5 p esen s esul s con-
ce ning he in oduc ion o minimum e en ion equi emen s. Sec ion6 compa es
di e en e en ion ypes, and Sec .7 concludes.
2 Rela ed Resea ch
The heo e ical li e a u e discusses he ele ance o asymme ic in o ma ion in secu-
i iza ions ex ensi ely. Theo y sugges s ha pooling, anching, and e en ion a e
impo an ea u es o educe cos s o asymme ic in o ma ion. I he ma ke consis s
o in o med and unin o med ade s, he e a e bene i s o pooling loans be o e o igi-
na o s sell hem since his leads o a educ ion o he ad e se selec ion p oblem o
unin o med ade s (Sub ahmanyam, 1991; Go on & Pennacchi, 1993). Howe e ,
he pooling des uc s in o ma ion because he in o ma ional ad an age o in o med
in es o s diminishes. Agains his backg ound, i can be bene icial o spli he pooled
loans in in o ma ion-sensi i e and insensi i e anches. Thus, in o med in es o s
can s ill p o i om hei in o ma ional ad an age and emain in he ma ke (Boo &
Thako , 1993). Howe e , i is no only impo an o conside asymme ic in o ma-
ion be ween in es o s bu also p i a e in o ma ion o he o igina o abou he qual-
i y o he loans.
Focusing on asymme ic in o ma ion be ween o igina o s and in es o s, i can be
bene icial o o igina o s o signal a high quali y o pooled asse s by e aining a po -
ion o he issue, he equi y anche (DeMa zo & Du ie, 1999). The abo e-men-
ioned in o ma ion des uc ion e ec o pooling is ne e heless a p oblem, so ha
in his se ing he o igina o s can also bene i i hey sell asse s sepa a ely ins ead o
pooling hem o a ac in o med in es o s. Howe e , pooling also has a isk di e -
si ica ion e ec , which allows o issue a highly in o ma ion-insensi i e anche. Due
o his e ec , a combina ion o pooling and anching can indeed be op imal i o igi-
na o s e ain he in o ma ion-sensi i e anche (DeMa zo, 2005).
Addi ionally, heo e ical li e a u e ega ding e en ion sugges s ha he o igina o
has skin in he game i i e ains he equi y anche, which may imp o e incen i es
o e en be a close app oxima ion o he op imal secu i y design (Ha man-Glase
e al., 2012; Chemla & Hennessy, 2014; Vanasco, 2017). Ne e heless, models show
ha a la - a e e en ion is socially subop imal because o i s in o ma ion des uc-
ion e ec (Guo & Wu, 2014; Vanasco, 2017). Ins ead, he o igina o can signal a
high quali y o he secu i ized loans wi h he ex en o e en ion (Ha man-Glase ,
M.Hibbeln, W.Os e kamp
2 Page 4 o 24
2017; Vanasco, 2017). Mo eo e , he heo e ical li e a u e sugges s ha a ings in
hei capaci y as public in o ma ion inc ease weal h by educing cos ly e en ion bu
also educe loan quali y (Daley e al., 2020).
The heo e ical li e a u e which ocuses on he bene i s o di e en ypes o e en-
ion is sca ce hough. Compa ing e en ion o he equi y anche, he mezzanine
anche, and e ical slice e en ion, he sc eening e o is gene ally maximized i
o igina o s e ain he equi y anche. Only i he p obabili y o down u n is high
(implying he equi y anche o likely de aul ) and i he mezzanine anche o e i-
cal slices a e qui e hick, hese ypes o e en ion can domina e he equi y e en ion
(Fende & Mi chell, 2009). In addi ion, choosing e ical slice e en ion ins ead o
equi y e en ion migh be an a emp o he o igina o o limi he le el o i s skin in
he game (K ahnen & Wilde, 2022).
Despi e he heo e ical a gumen s ega ding educed sc eening incen i es (see
also Pennacchi, 1988; Pa lou & Plan in, 2008), many o igina o s p ac iced he OTD
model wi hou e aining a signi ican sha e in he p e-c isis pe iod. In e ospec , i
has p o ed ue ha he OTD model indeed led o lax sc eening o subp ime mo -
gage loans (Keys e al., 2010) and o he o igina ion o low-quali y loans (Pu nana-
ndam, 2011). Addi ionally, o colla e alized loan obliga ions (CLOs), banks wi h
access o he secu i iza ion ma ke ha e lowe moni o ing incen i es (Wang & Xia,
2014). Mo eo e , bo owe s, whose loans a e sold in he seconda y ma ke , pe -
o med signi ican ly wo se han hei pee s (Be nd & Gup a, 2009), con i ming he
heo e ical a gumen s. These indings a e pa icula ly alid o o igina o s which
ha e pe o med poo ly be o e o igina ion because epu a ional conce ns a e ha dly
aken in o accoun by hem (Ti man & Tsyplako , 2010). The e seems o be a nega-
i e connec ion be ween epu a ion and he e en ion amoun : he longe an o igina-
o is ac i e in he secu i iza ion ma ke , he hinne is he e ained equi y anche,
which is in line wi h epu a ional conce ns (Albe azzi e al., 2015).
Secu i iza ions seem o induce u he incen i e p oblems. Despi e loan modi i-
ca ions can educe a e age losses in secu i iza ions (Ma u ana, 2017), secu i ized
mo gages a e less likely o be enego ia ed and mo e likely o de aul han o he
mo gages (Aga wal e al., 2011; K uge , 2018). Besides, du ing he 2000s mis e-
po ed secu i ized loans we e subs an ially mo e likely o become delinquen han
co ec ly epo ed loans (G i in & Ma u ana, 2016). Fo CLOs, hough, he pe o -
mance o secu i ized loans was no subs an ially di e en om unsecu i ized loans.
The eason migh be ha he unde lying loans o CLOs a e ypically syndica ed
a o igina ion, which implies ha he o igina o e ains a ma e ial ac ion o he
unde lying loans (Benmelech e al., 2012).
Empi ical esea ch also unde lines ha he ex en o e en ion can be in e p e ed
as commi men o moni o ing asse s e en hough hey a e secu i ized (Albe azzi
e al., 2015). Consis en wi h ha inding, he e is a nega i e ela ionship be ween
ime o sale o secu i ized mo gages and hei p obabili y o de aul . The e o e,
delaying he sale o mo gages in o secu i iza ion is a signal o loan quali y (Daley
& G een, 2016; Adelino e al., 2019). Fu he mo e, i s loss pieces ecei e highe
cash lows i a deal is mo e complex. Hence, one can a gue ha o igina o s holding
he i s loss piece and in es o s o in o ma ion-sensi i e anches can p o i om
deal complexi y (Ghen e al., 2019). I he o igina o is a ilia ed o he sponso ,
The impac o isk e en ion on hep icing o secu i iza ions Page 5 o 24 2
secu i ized mo gages end o de aul less equen ly, yields o MBS a e lowe and
c edi enhancemen s a e s onge (Demi oglu & James, 2012).
Recen li e a u e shows ha e en ion leads o supe io loan pe o mance (Fu ine,
2020) and o educe losses (Begley & Pu nandam, 2017; Aga wal e al., 2024; Ash-
c a e al., 2019; Flynn e al., 2020). The EU demands compa able s anda ds o
isk assessmen in secu i iza ions and balance shee loans. Howe e , he EU does
no egula e he o igina o s’ beha io a e secu i iza ion, which lea es dec emen al
eedom o mo al haza d (see A 408 CRR (EU) No. EU, 2013a, 2013b/575 and
A . 52a AFM RL (EU) No. 2013/231). Only wi h he enac men o he EU secu-
i iza ion egula ion in 2019, he egula ion shi ed om ex an e c edi isk o pe -
o mance a e secu i iza ion (A . 6 Secu i iza ion Regula ion (EU) No. 2017/2402,
Hibbeln & Os e kamp, 2024a). In he absence o a egula ion o mo al haza d a e
secu i iza ion, howe e , e en ion is he only mechanism ha imp o es he o igina-
o s’ incen i es and ensu es app op ia e beha io . Pa icula ly, e en ion imp o es
moni o ing and he handling o non-pe o ming (NPLs) and de aul ed loans (Hib-
beln & Os e kamp, 2024b).
The mos closely ela ed pape s o ou s a e by Flynn e al. (2020) and Begley
and Pu nanandam (2017). Begley and Pu nanandam (2017) a gue ha an abo e-
median amoun o a e ained equi y anche dec eases yield sp eads and helps o
imp o e he pool’s pe o mance and de aul a es. Howe e , he e a e se e al di e -
ences o ou app oach. They examine he ela ionship be ween e en ion and sp eads
based on a p e-c isis US da a se om 2001, 2002 and 2005 consis ing o 379 deals,
whe eas we analyze a pos -c isis da a se wi h 3251 anches o Eu opean secu i iza-
ions om 2009 o 2019, con aining he in oduc ion o he EU minimum e en ion
equi emen s. While hey ocus on equi y e en ion, we ake o he e en ion ypes
in o accoun and di e en ia e be ween he impac on in o ma ion-sensi i e e sus
insensi i e anches. They obse e much lowe amoun s o e en ion (mean 1.25%
and median 0.75%).
Flynn e al. (2020) es ablish a heo e ical model, which sugges s ha sp eads a e
lowe in deals wi h equi y e en ion and con i m he esul s empi ically. While hey
only ocus on US deals in 2017 and 2018, we es ablish an IV app oach o p o ide
u he e idence on he e ec o e en ion on sp eads.
The e a e some u he ela ed analyses in he con ex o syndica ed loans. A syn-
dica ed loan is o igina ed by a lead bank ha is esponsible o ex-an e due dili-
gence and o ex-pos moni o ing o he bo owe . Due o he la ge loan amoun , he
lead bank e ains only a ac ion o he loan whe eas he es is sold o o he pa ici-
pan banks. The educed deg ee o owne ship esul s in incen i es o syndica e low
quali y loans and o educe moni o ing e o . The empi ical li e a u e suppo s his
a gumen as a smalle lead sha e, which implies inc eased in o ma ion asymme y
be ween he lead and pa icipan banks, esul s in a highe isk p emium demanded
by he pa icipan banks (Go on & Pennacchi, 1995; I ashina, 2009). The si ua ion
is e y simila o secu i iza ions wi h e ical slice e en ion because in bo h si ua-
ions he lead in es o has o bea a ixed pe cen age o losses. Howe e , o syndi-
ca ed loans he asymme ic in o ma ion e ec o he lead sha e on loan sp eads is
opposed by a di e si ica ion e ec as a highe e en ion implies an inc eased concen-
a ion isk. On he con a y, o secu i iza ions he e is no opposing di e si ica ion
M.Hibbeln, W.Os e kamp
2 Page 6 o 24
e ec because he e ained ac ion does no ela e o a la ge single loan bu o a pool
o smalle loans. Thus, o secu i iza ions i is mo e s aigh o wa d o measu e he
e ec o asymme ic in o ma ion.
3 Hypo heses de elopmen
As supposed by he li e a u e, we expec ha owne ship is an impo an mechanism
o inducing sc eening and moni o ing incen i es (see also Leland & Pyle, 1977).
I in es o s an icipa e low incen i es, hey demand a isk p emium o asymme ic
in o ma ion, so ha c edi sp eads a e high in hese si ua ions. Thus, we expec ha
c edi sp eads a e lowe i he o igina o e ains a ma e ial sha e o he secu i iza ion.
Decomposing his ela ionship, we expec a s onge e ec o e en ion on c edi
sp eads o in o ma ion-sensi i e anches because an o igina o ’s skin in he game
and ha monized in e es s a e mo e ele an o hose in es o s. Digging deepe in o
his e ec , we i s implemen an IV app oach based on he ins umen o Ashc a
e al. (2019). Some o igina o s ha e access o bo h, deals wi h and wi hou e en-
ion, a he same ime. Thus, hey can decide o secu i ize undesi ed exposu es in o
deals wi hou e en ion, so ha hey do no ha e skin in he game. In o he wo ds, i
an o igina o issues a deal wi h e en ion, and i i has access o deals wi hou e en-
ion a his ime, he o igina o can selec he highe -quali y loans o he deal wi h
e en ion. As a consequence, his leads o lowe isk in he deal wi h e en ion. We
he e o e expec sp eads o be lowe i he access o deals wi hou e en ion is easy.
Howe e , he e a e di e en ypes o e en ion, pa icula ly equi y and e ical
slice e en ion, which possibly lead o di e en incen i es o o igina o s. As men-
ioned abo e, he heo e ical li e a u e inds ha equi y e en ion should lead o a
maximiza ion o sc eening and moni o ing e o s. This only seems plausible as long
as we conside incen i es in an uncondi ional amewo k, hough. Whe eas i seems
no be o g ea impo ance o dis inguish be ween no mal ma ke and down u n sce-
na ios o single loans, i is highly ele an o secu i iza ions. Due o he anch-
ing o secu i iza ions, he e a e e y di e en in es men oppo uni ies, e.g., in es-
o s can buy in o ma ion-sensi i e o in o ma ion-insensi i e anches, which ha e a
e y di e en sensi i i y o he s a e o he economy. In a no mal s a e o na u e, he
p obabili y o de aul o AAA anches is e y unlikely; he isk o hese anches is
mainly sys ema ic so ha a de aul o hese anches ypically only occu s in eco-
nomic down u ns (Co al e al., 2009).1 Howe e , i we ocus on si ua ions o eco-
nomic down u n scena ios, he equi y anche is e y likely o de aul comple ely.
Thus, incen i es o o igina o s a e e y low when he impac o moni o ing is mos
ele an om he pe spec i e o AAA anches. On he con a y, i o igina o s
choose e ical slice e en ion, hey s ill ha e incen i es o moni o he unde lying
loans, e en insi ua ions whe e many loans and, hus, he equi y anche de aul ed
because hey main ain skin in he game. Consequen ly, equi y e en ion seems o be
a o able ega ding sc eening incen i es on he one hand, bu e ical slice e en ion
1 Due o his inding, Co al e al. (2009) call hese secu i ies “economic ca as ophe bonds”.
The impac o isk e en ion on hep icing o secu i iza ions Page 7 o 24 2
appea s a o able ega ding moni o ing incen i es om he pe spec i e o AAA
in es o s on he o he hand. Summing up, which e ec is mo e ele an o in es-
o s o in o ma ion-insensi i e anches, and he e o e which ype o e en ion hese
in es o s p e e is unclea . These conside a ions lead o he ollowing hypo heses:
H1 C edi sp eads a e lowe i a ma e ial ac ion o he secu i iza ion is e ained by
he o igina o .
H2 The e ec o in o ma ion asymme y on c edi sp eads is highe o in o ma ion-
sensi i e anches han o in o ma ion-insensi i e anches.
H3 C edi sp eads a e lowe i he o igina o has access o no- e en ion-deals, in
which i can pu unwan ed c edi isk wi hou ha ing skin in he game (IV app oach).
H4 Fo in o ma ion-sensi i e anches, c edi sp eads a e lowe i he o igina o
chooses equi y e en ion ins ead o e ical slice e en ion.
H5a Fo in o ma ion-insensi i e anches, c edi sp eads a e lowe i an o igina-
o chooses equi y e en ion ins ead o e ical slice e en ion due o sc eening
incen i es.
H5b Fo in o ma ion-insensi i e anches, c edi sp eads a e highe i an o igina-
o chooses equi y e en ion ins ead o e ical slice e en ion due o moni o ing
incen i es.
4 Da a
Subsequen ly, we i s desc ibe he sample and he c i e ia o exclusion o da a.
Then, we explain he measu emen o ele an a iables including egula o y e en-
ion equi emen s. Finally, we p esen summa y s a is ics o ou da a se .
4.1 Sample selec ion
The da a conside ed in his s udy ely on di e en sou ces. Concep ABS deli e ed
da a on Eu opean secu i iza ions. These da a con ain deal and anche le el in o ma-
ion, as well as a ings o he a ing agencies S anda d & Poo s, Moody’s, Fi ch and
DBRS. So e eign a ings a e di ec ly ob ained om S anda d & Poo s, Moody’s,
Fi ch. Fo one o ou main a iables, he ype o e en ion, we use hand-collec ed
da a om he espec i e in es o p ospec uses, which we ob ain om asse backed
secu i y (ABS) da a p o ide s and Bloombe g. One majo ad an age o using hese
da a is he isibili y o he in luence o minimum e en ion equi emen s o he
EU, which ha e come in o e ec on Janua y 1s , 2011. As a consequence, he da a
om 2009 o 2010 con ain a signi ican sha e o deals wi h no ele an amoun o
e en ion (o a leas a po en ial e en ion is no appa en o he in es o s). On he
M.Hibbeln, W.Os e kamp
2 Page 8 o 24
con a y, issues a e Janua y 1s , 2011 mos ly include one o he pe mi ed ypes o
e en ion. The ad an age o using Eu opean da a is ha we ha e a ich sample wi h
obse a ions wi h e en ion, which imp o es es ima ion esul s. Ano he ad an age
is ha he o igina o usually clea ly epo s in o ma ion abou e en ion in he p o-
spec us due o he egula o y ules and he espec i e da a a e mo e consis en lead-
ing o high da a quali y.
We ocus on loa ing a e ABS and MBS anches and exclude colla e alized deb
obliga ion (CDO) deals because CDOs a e ac i ely managed and he e o e he in e -
es a e e lec s no only he isk o he unde lying asse s bu also he abili y o he
CDO manage in selec ing unde alued anches. The ini ial da a se consis s o
4278 loa ing a e ABS and MBS anches. We exclude all anches whe e he p o-
spec us is no a ailable because impo an da a a e missing. A e his da a cleaning,
we ha e a inal sample o 3251 anches om 1016 deals. The o al nominal alue o
hese anches is €1322 billion.
4.2 Va iable measu emen
4.2.1 Re en ion
We ex ac he in o ma ion abou e en ion di ec ly om he p ospec uses. As he
egula o y ules hea ily in luence he e en ion da a, we b ie ly p esen he e en ion
equi emen s subsequen ly. The a ionale behind he discussion o es ablish e en ion
equi emen s is o “p o ide a sponso wi h an incen i e o moni o and con ol he
quali y o he asse s being secu i ized and help align he in e es s o he sponso wi h
hose o in es o s in he ABS” (SEC, 2012),2 and is hus in line wi h he heo e ical
li e a u e. Howe e , his does no mean ha he li e a u e implies he necessi y o
egula o y ules since i is possible ha o igina o s olun a ily choose e en ion as a
consequence o in es o s who an icipa e di e ing in e es s.
The minimum e en ion equi emen s o he EU we e i s o mula ed in A i-
cle 122a o he Capi al Requi emen s Di ec i e (CRD) and ha e come in o e ec
on Janua y 1s , 2011. Due o hese ules, a Eu opean ins i u ion is only allowed o
in es in o a secu i iza ion posi ion i he o igina o (o sponso o o iginal lende )
has disclosed ha i will e ain a ma e ial ne economic in e es o a leas 5% o
he nominal alue o he secu i iza ion. Thus, he egula o y ules do no imply ha
Eu opean o igina o s ha e o e ain a ma e ial ne economic in e es bu igno ing
hese equi emen s means ha Eu opean ins i u ional in es o s a e no allowed o
in es in hese secu i ies. Consequen ly, hese ules a e also ele an o o igina o s
ou side he EU. Howe e , some deals o igina ed a e 2011 a e s ill wi hou e en-
ion. A icle 405 o he Capi al Requi emen s Regula ion (CRR (EU) No. 575/2013)
eplaced A icle 122a CRD in 2013 and complemen ed an addi ional e en ion ype.
Since 2019, A icle 6(3) o he Eu opean secu i iza ion egula ion has de ined he
e en ion equi emen s. The e a e 5 pe mi ed ypes o e en ion:
2 This a gumen is men ioned in he egula o y US and Eu opean documen s.
The impac o isk e en ion on hep icing o secu i iza ions Page 15 o 24 2
Table 5 Quan i ying he e ec o e en ion on sp eads
The able epo s esul s o OLS eg essions o c edi sp eads (in bps) on he indica o a iable e en ion (see Eq.1). The coe icien o e en ion ep esen s he addi ional
isk p emium in compa ison o “no quali ied e en ion”. Models (1) and (2) include all anches, (3) and (4) es ic he sample o in o ma ion-sensi i e anches (no AAA),
and models (5) and (6) es ic he sample o in o ma ion-insensi i e anches (only AAA). Models wi h e en numbe s con ain bo h segmen s ABS and MBS, whe eas
models wi h odd numbe s es ic he segmen o MBS. S anda d e o s a e clus e ed on deal le el. The -s a is ics a e in pa en heses. The symbols *, **, *** indica e s a-
is ical signi icance a he 10%, 5%, and 1% le el, espec i ely
All ABS&MBS All MBS No AAA ABS&MBS No AAA MBS Only AAA ABS&MBS Only AAA MBS
(1) (2) (3) (4) (5) (6)
C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead
Re en ion − 26.612* (− 1.688) − 39.134* (− 1.962) − 106.930*** (− 3.204) − 123.181*** (− 3.529) 8.533 (1.358) 8.093 (1.033)
Subo dina ion le el − 0.464* (− 1.895) − 0.729*** (− 2.647) − 1.388*** (− 4.173) − 1.922*** (− 4.939) 0.993*** (3.485) 0.905*** (2.861)
WAL − 3.140* (− 1.929) − 2.948 (− 1.595) − 4.916*** (− 3.225) − 5.166*** (− 2.921) 3.845 (1.212) 4.481 (1.274)
Log(Vol. anche) − 27.076*** (− 9.279) − 28.922*** (− 8.353) − 30.989*** (− 6.317) − 33.264*** (− 5.549) − 0.005 (− 0.003) − 0.223 (− 0.116)
Log(Vol. deal) 6.473 (1.213) 10.739* (1.786) 4.870 (0.568) 12.682 (1.318) − 5.864*** (− 2.675) − 5.732** (− 2.451)
No. anches 6.638** (2.511) 4.876 (1.578) 7.511** (2.439) 3.927 (1.047) 4.770*** (2.958) 4.448** (2.558)
Cons an 458.325*** (5.553) 421.647*** (4.744) 576.644*** (4.777) 489.161*** (3.946) 143.214*** (3.484) 146.445*** (3.405)
Obse a ions 3251 2562 1959 1574 1292 988
R20.393 0.384 0.301 0.311 0.442 0.444
Adjus ed R20.389 0.379 0.294 0.303 0.434 0.434
Yea FE Yes Yes Yes Yes Yes Yes
Segmen FE Yes –Yes –Yes –
Con ols:
So e eign a ing Yes Yes Yes Yes Yes Yes
Ra ing Yes Yes Yes Yes – –
Clus e ed SE Deal Deal Deal Deal Deal Deal
M.Hibbeln, W.Os e kamp
2 Page 16 o 24
non-AAA MBS anche o € 427 million, his ansla es o an app oxima e p e-
mium o € 5.26 million a ibu able o asymme ic in o ma ion o each anche.
These indings s ongly suppo ou hypo hesis H1 and a e ully consis en wi h
heo e ical a gumen s. The alue o in o ma ion-sensi i e anches is e y sensi-
i e o he quali y o he unde lying asse s. I sc eening and moni o ing incen i es
a e low, which is he case i he o igina o does no e ain a ma e ial ac ion o
he deal, in es o s an icipa e hese di e ging in e es s. As a consequence, hey
only in es i hey a e compensa ed o he isk o acing ad e se selec ion and
mo al haza d p oblems in e ms o a subs an ial addi ional isk p emium.
Analyzing he subsample o AAA anches (models (5) and (6)), we exclude he
a iable c edi a ing as an explana o y a iable because all hese anches ha e he
same a ing. Fo hese (almos ) in o ma ion-insensi i e anches, he esul s a e sub-
s an ially di e en om he ull sample and om in o ma ion-sensi i e anches:
The coe icien s o e en ion become s a is ically insigni ican and economically
meaningless. To sum up, we ind a signi ican impac o e en ion on c edi sp eads,
which is economically subs an ial o in o ma ion-sensi i e (non-AAA) anches bu
no o in o ma ion-insensi i e (AAA) anches, which is in line wi h hypo heses H1
and H2.
A e he analyses o he e ec o e en ion on sp eads based on an IV app oach
in Sec .5.2, we in es iga e he e ec o di e en ypes o e en ion, namely equi y
and e ical slice e en ion in Sec .6.
5.2 Ins umen al a iable app oach: The access ono‑ e en ion‑deals
P e iously, we quan i ied he sp ead educ ion e ec o e en ion due o asymme ic
in o ma ion and incen i e p oblems—o e all and depending on he posi ion o he
anche in he subo dina ion mechanism.
A po en ial conce n ega ding he causal e ec o e en ion on sp eads migh be
a selec ion bias: Al hough he pools o deals wi h and wi hou e en ion do no seem
o di e sys ema ically in obse ables (Ashc a e al., 2019; Hibbeln & Os e kamp,
2024b), o igina o s could assign sys ema ically less isky (in e ms o unobse able
in o ma ion) loans o deals wi h e en ion. By con as , hey assign bad quali y loans
o deals wi hou e en ion whe e hey do no ha e skin in he game. Addi ionally,
o igina o s could also an icipa e hei u u e educed moni o ing e o . Summing
up, ou OLS esul s migh be biased o he selec ion o dis inc loans in o he deals.
The e o e, we subsequen ly implemen an IV app oach.
To show ha e en ion in luences he sp eads o he anches, we cons uc an
ins umen acco ding o Ashc a e al. (2019). In con as o ou s udy, Ashc a
e al. (2019) a he ocus on he analysis o he anche pe o mance o US CMBS
deals. Rega ding sp eads howe e , hey only conside he anches which a e
di ec ly supe io o he i s loss piece in he subo dina ion mechanism. Al hough
hey ind a signi ican inc ease in anche pe o mance in he p esence o e en-
ion, hey do no ind ha his is e lec ed in he sp eads. This migh be due o he
ac ha hey in es iga e a p e-c isis sample and in es o s did no ca e so much
abou he ha moniza ion o in e es s han a he elied on he pool di e si ica ion
The impac o isk e en ion on hep icing o secu i iza ions Page 17 o 24 2
and a ings o secu i iza ions. In es o s he e o e migh ha e no demanded an
addi ional isk p emium o secu i iza ions wi hou e en ion. On he con a y, we
build ou analyses on a pos -subp ime c isis sample. A e ha , howe e , in es-
o s a e likely awa e o incen i e p oblems in secu i iza ions which ha e been
demons a ed by he li e a u e (e. g. Ti man & Tsyplako , 2010; Keys e al.,
2010). Because o his awa eness i is easonable o expec di e ing esul s in he
pos -c isis pe iod, which we analyze.
The ins umen acco ding o Ashc a e al. (2019) is “ he mo ing a e age o
he pe cen age o no- e en ion-deals by he same o igina o including all deals
o he han d, issued wi hin in a window su ounding one yea be o e and one
yea a e he issuance o deal d” (Hibbeln & Os e kamp, 2024b). This ins umen
measu es he o igina o s’ op ions o assign bad quali y loans o a deal wi hou
e en ion o a oid losses (“access” o non- e en ion deals). Rega ding he alidi y
o he ins umen , he F-s a is ics o he i s s age (see Table6) con i m ha he
ins umen is ele an . To iola e he exclusion es ic ion, he e would need o be
a ime- a ian a iable in he e o e m, which is co ela ed wi h he ins umen .
While he in oduc ion o minimum e en ion equi emen s co ela es wi h he
sha e o deals wi hou e en ion, his egula ion is unlikely o in luence sp eads
ia ano he a iable. We also include o igina o ixed e ec s o assu e ha he
exclusion es ic ion is ul illed. Po en ial conce ns ega ding he ins umen a e
discussed ex ensi ely in Appendix D o Hibbeln and Os e kamp (2024b).
As desc ibed in H3, we expec he sp ead o a anche i o be lowe i he o igi-
na o o has mo e op ions o assign loans o deals wi hou e en ion, meaning ha
he sha e o deals wi hou e en ion is high a ound he ime o issuance o anche
i. Equa ion2 p esen s he second s age o he wo s age leas squa e (2SLS) IV
app oach. The se ing is based on he eg ession o Eq.1; howe e , we eplace
he a iable o in e es e en ion wi h he i ed alues o e en ion, esul ing om
i s s age o he 2SLS es ima ion. Since he ins umen is ime- a ian , we can
s ill employ ime ixed e ec s wi hou abso bing he a ia ion o e en ion.
The esul s a e p esen ed in Table6. These indings ein o ce he p io OLS
indings in e ms o bo h sign and signi icance, unde sco ing he obus ness o
he ea lie conclusions conce ning he e ec o e en ion on sp eads. The size o
he e ec , howe e , is e en mo e p onounced. Theo e ical conside a ions, cou-
pled wi h he IV app oach, s ongly indica e a causal ela ionship be ween e en-
ion and sp eads. Fo he in o ma ion-sensi i e MBS subsample, he IV app oach
sugges s an economically meaning ul and s a is ically highly signi ican sp ead
educ ion o 384 basis poin s. Summing up, he indings obus ly con i m o
hypo hesis H3. I is wo h men ioning ha hese esul s con as wi h he indings
o Ashc a e al. (2019) o he US p e-c isis pe iod. This disc epancy sugges s
ha Eu opean secu i iza ion in es o s a e acu ely awa e o incen i e p oblems ol-
lowing he subp ime c isis. A compa ison be ween he OLS and IV esul s indi-
ca es ha he OLS analysis may unde es ima e he e ec o e en ion on sp eads.
(2)
sp eadi
=
𝛽0
+
𝛽
⋅
i ed e en ioni
+
𝛿�
⋅
c edi ac o si
+
𝜒�con olsi
+
𝜓o
+
𝜓
+
𝜓s
+
𝜀i
M.Hibbeln, W.Os e kamp
2 Page 18 o 24
Table 6 Ins umen al a iable app oach
The able epo s he second s age o he 2SLS IV eg ession (Eq.2), analyzing he impac o e en ion on c edi sp eads (in bps). The coe icien o i ed e en ion ep e-
sen s he addi ional isk p emium in compa ison o “no quali ied e en ion”. Models (1) and (2) include all anches, (3) and (4) es ic he sample o in o ma ion-sensi i e
anches, and models (5) and (6) es ic he sample o in o ma ion-insensi i e anches. Models wi h e en numbe s con ain bo h segmen s ABS and MBS, whe eas models
wi h odd numbe s es ic he segmen o MBS. S anda d e o s a e clus e ed on deal le el. The -s a is ics a e in pa en heses. The symbols *, **, *** indica e s a is ical
signi icance a he 10%, 5%, and 1% le el, espec i ely
All ABS&MBS All MBS No AAA ABS&MBS No AAA MBS Only AAA ABS&MBS Only AAA MBS
(1) (2) (3) (4) (5) (6)
C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead
Fi ed e en ion − 72.060 (− 1.360) − 152.123** (− 2.115) − 270.952*** (− 2.885) − 384.781*** (− 4.061) − 8.916 (− 0.380) − 16.131 (− 0.363)
Subo dina ion le el − 1.439*** (− 4.486) − 1.736*** (− 4.306) − 1.884*** (− 4.296) − 2.455*** (− 4.806) 0.532 (1.145) 0.252 (0.438)
WAL − 3.426** (− 2.378) − 3.135* (− 1.928) − 6.117*** (− 4.066) − 6.698*** (− 3.459) 6.108* (1.833) 7.011** (1.983)
Log(Vol. anche) − 23.397*** (− 9.014) − 24.664*** (− 7.904) − 28.355*** (− 6.041) − 28.698*** (− 4.886) − 1.476 (− 0.837) − 1.509 (− 0.790)
Log(Vol. deal) 12.497** (2.273) 15.190*** (2.687) 9.851 (1.297) 11.259 (1.238) − 6.125* (− 1.784) − 5.757 (− 1.557)
No. anches 8.196*** (2.998) 8.192** (2.406) 11.673*** (4.053) 12.268*** (3.465) 5.698** (2.308) 5.978** (1.985)
Cons an 309.747*** (3.710) 275.909*** (3.105) 442.341*** (3.906) 400.856*** (3.150) 190.235*** (3.003) 194.392*** (2.869)
Obse a ions 3241 2558 1951 1572 1290 986
R20.572 0.542 0.595 0.582 0.615 0.614
Adjus ed R20.534 0.499 0.543 0.526 0.535 0.526
Fi s s age F- es 45.43 27.14 14.05 19.14 35.29 12.56
Yea FE Yes Yes Yes Yes Yes Yes
O igina o FE Yes Yes Yes Yes Yes Yes
Segmen FE Yes –Yes –Yes –
Con ols:
So e eign a ing Yes Yes Yes Yes Yes Yes
Ra ing Yes Yes Yes Yes – –
Clus e ed SE Deal Deal Deal Deal Deal Deal
The impac o isk e en ion on hep icing o secu i iza ions Page 19 o 24 2
6 Compa ison o equi y and e ical slice e en ion
Subsequen ly, we compa e he di e en e ec s o equi y e en ion and e ical slice
e en ion depending on in o ma ion-sensi i e and in o ma ion-insensi i e anches.
To compa e e ical slice and equi y e en ion, we es ic ou da a se o hose deals
which ha e any o hese wo e en ion ypes. Hence, deals wi h no quali ied e en-
ion, selle ’s sha e, and andom selec ion a e excluded om he ollowing analyses.
As pos ula ed in hypo hesis H4, we expec o in o ma ion-sensi i e anches ha
c edi sp eads a e lowe i he deal is equipped wi h equi y e en ion ins ead o e i-
cal slice e en ion. Howe e , acco ding o hypo hesis H5a/H5b i is unclea whe he
in es o s o in o ma ion-insensi i e anches p e e equi y e en ion (because o
highe sc eening incen i es) o e ical slice e en ion (because o highe moni o ing
incen i es). Conside ing in o ma ion-insensi i e AAA in es o s, he e migh be wo
opposing e ec s o sc eening and moni o ing incen i es. On he one hand, one can
a gue ha in o ma ion-insensi i e in es o s (in line wi h in o ma ion-sensi i e in es-
o s) demand high sc eening incen i es o he o igina o . Because heo y sugges s
ha equi y e en ion maximizes hese sc eening incen i es, hey p e e deals wi h
a e ained equi y anche. In conclusion, i his e ec domina es, c edi sp eads o
AAA anches a e expec ed o be lowe o deals wi h equi y e en ion. On he o he
hand, heo y sugges s ha e ical slice e en ion could be bene icial o in es o s o
in o ma ion-insensi i e anches due o highe moni o ing incen i es because e en
a e se e e losses o he asse pool and a comple e de aul o he equi y anche, he
o igina o main ains skin in he game. In such a si ua ion, e en ion o he equi y
anche does no induce incen i es o moni o he emaining non-de aul ed asse s.
On he con a y, e en ion o a e ical slice main ains he desi ed incen i es o
o igina o s e en in down u n scena ios. In o he wo ds, as he posi ions o o igina-
o s and in es o s a e mo e simila in case o e ical slice e en ion, hei in e es s
o educe losses on an ongoing basis a e mo e aligned. F om a heo e ical pe spec-
i e, i emains unclea which o hese wo e ec s domina es. Consis en wi h he
p e ious analyses, a i s we analyze he en i e sample (models (1) and (2)); o es
hypo heses H4, we hen only conside non-AAA anches (models (3) and (4)); a
las , analyzing H5a/b, we only ake he in o ma ion-insensi i e AAA anches in o
conside a ion (models (5) and (6)). Acco ding o Sec .5.1, we use he ollowing
model speci ica ion
whe e Ve ical Slicei is an indica o a iable ha akes he alue one i he o igi-
na o chooses e ical slice e en ion ins ead o equi y e en ion. The c edi ac o s
and con ol a iables a e desc ibed in Sec .4 (see also Table1 and Table2). The
indings, as de ailed in Table7, e eal ha ac oss he ull sample, c edi sp eads a e
32bp highe o e ical slice e en ion compa ed o equi y e en ion. This e ec is
e en mo e p onounced in in o ma ion-sensi i e anches, whe e he di e ence wid-
ens by an addi ional 7bp, o aling a 39bp inc ease. These coe icien s a e bo h s a-
is ically obus and economically meaning ul, unde sco ing he subs an ial impac
o e en ion s uc u e on c edi sp eads. The esul s speci ic o MBS deals closely
(3)
sp eadi
=𝛽
0
+𝛽⋅
e ical slicei
+𝛿
�
⋅
c edi ac o si
+𝜒
�con olsi
+𝜓
+𝜓
s
+𝜀
i,
M.Hibbeln, W.Os e kamp
2 Page 20 o 24
Table 7 Compa ing e ical slice and equi y e en ion
The able epo s esul s o OLS eg essions ela ing he indica o a iable e ical slice and c edi sp eads (in bps) (Eq.3). The coe icien o e ical slice ep esen s he
addi ional isk p emium in compa ison o equi y e en ion. In hese analyses, we exclude all deals wi h o he e en ion ypes o no quali ied e en ion. Models (1) and (2)
include all anches, (3) and (4) es ic he sample o in o ma ion-sensi i e anches, and models (5) and (6) es ic he sample o in o ma ion-insensi i e anches. Models
wi h e en numbe s con ain bo h segmen s ABS and MBS, whe eas models wi h odd numbe s es ic he segmen o MBS. S anda d e o s a e clus e ed on deal le el. The
-s a is ics a e in pa en heses. The symbols *, **, *** indica e s a is ical signi icance a he 10%, 5%, and 1% le el, espec i ely
All ABS&MBS All MBS No AAA ABS&MBS No AAA MBS Only AAA ABS&MBS Only AAA MBS
(1) (2) (3) (4) (5) (6)
C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead C edi sp ead
Ve ical slice 32.386*** (3.564) 29.804*** (3.155) 39.569*** (3.414) 37.264*** (3.101) − 3.145 (− 0.573) − 2.003 (− 0.336)
Subo dina ion Le el − 0.294 (− 1.241) − 0.421 (− 1.591) − 1.191*** (− 3.389) − 1.693*** (− 3.711) 0.880** (2.087) 0.831* (1.822)
WAL − 2.002 (− 0.747) − 1.512 (− 0.491) − 3.467 (− 1.560) − 3.350 (− 1.271) 7.482 (1.308) 8.724 (1.427)
Log(Vol. anche) − 27.686*** (− 7.955) − 27.637*** (− 6.986) − 28.779*** (− 4.935) − 26.297*** (− 3.514) 2.137 (0.725) 0.939 (0.286)
Log(Vol. deal) 2.361 (0.406) 4.073 (0.643) − 0.722 (− 0.082) − 0.029 (− 0.003) − 12.930*** (− 4.453) − 11.425*** (− 3.728)
No. anches 4.104 (1.104) 3.165 (0.777) 2.393 (0.579) 0.475 (0.099) 6.219*** (3.379) 6.027*** (3.404)
Cons an 539.218*** (5.271) 405.821*** (3.978) 561.215*** (4.108) 354.910*** (2.741) 264.850*** (3.449) 263.526*** (3.372)
Obse a ions 2247 1826 1469 1216 778 610
R20.421 0.416 0.333 0.338 0.490 0.496
Adjus ed R20.416 0.410 0.324 0.328 0.478 0.482
Yea FE Yes Yes Yes Yes Yes Yes
Segmen FE Yes –Yes –Yes –
Con ols:
So e eign Ra ing Yes Yes Yes Yes Yes Yes
Ra ing Yes Yes Yes Yes – –
Clus e ed SE Deal Deal Deal Deal Deal Deal
The impac o isk e en ion on hep icing o secu i iza ions Page 21 o 24 2
mi o he combined indings obse ed ac oss ABS/MBS anches, ein o cing he
gene alizabili y o ou conclusions. The e idence co obo a es ha in es o s in non-
AAA anches equi e an addi ional isk p emium when o igina o s op o e ical
slice e en ion o e equi y e en ion, he eby alida ing ou hypo hesis H4.
Fo insensi i e anches, we ind coe icien s which a e close o ze o and s a is-
ically insigni ican (models (5) and (6)). As a esul , we ha e o ejec bo h, H5a
& H5b. This sugges s ha AAA in es o s appea indi e en o he e en ion ype
employed in a deal. A possible explana ion o his inding is ha he e ec s o
sc eening and moni o ing mechanisms may cancel ou each o he , making he e en-
ion ype i ele an o AAA in es o s.
7 Conclusion
This s udy obus ly demons a es how in es o s sys ema ically inco po a e asym-
me ic in o ma ion in o he p icing o secu i iza ions. Consis en wi h heo e ical
models, ou indings e eal ha in es o s impose a subs an ial isk p emium when
o igina o s e ain no ma e ial sha e o secu i iza ions. This esul is pa icula ly p o-
nounced among in es o s o non-AAA anches, whe e he asymme ic in o ma ion
is he mos impac ul. Fu he mo e, c edi sp eads o hese anches a e signi ican ly
ele a ed when he o igina o s choose e ical slice e en ion o e equi y e en ion,
e lec ing he supe io sc eening and moni o ing incen i es associa ed wi h equi y
e en ion. The impac on non-AAA MBS anches is bo h s a is ically signi ican
and economically meaning ul, mani es ing as a 123 basis poin isk p emium due o
asymme ic in o ma ion— ansla ing o an es ima ed € 5.26 million o he a e age
non-AAA MBS anche.
Beyond ou OLS indings, we alida e hese e ec s using an ins umen al a i-
able (IV) app oach le e aging access o no- e en ion-deals as he ins umen . This
me hodological app oach o e s a eliable alida ion o he obse ed e ec s. The
in eg a ion o heo e ical a ionale wi h empi ical analysis s ongly sugges s ha
e en ion has a causal impac on c edi sp eads, wi h he IV esul s hin ing a a
po en ial unde es ima ion in he OLS indings.
O e all, his esea ch enhances he comp ehension o how in es o s pe cei e
and assess asymme ic in o ma ion in secu i iza ions. Ou esul s unde line ha he
ex en o asymme ic in o ma ion is an impo an componen o he p icing o secu-
i iza ions. These esul s ha e impo an implica ions o o igina o s and he b oade
egula o y amewo k go e ning secu i iza ion. Fi s ly, o igina o s mus acknowl-
edge ha ele a ed le els o asymme ic in o ma ion necessi a e a subs an ial isk
p emium om in es o s. Consequen ly, o igina o s should s a egically s uc u e
deals o enhance and ensu e igo ous sc eening and moni o ing incen i es. Secondly,
egula o y amewo ks should ecognize ha in es o s al eady ac o asymme ic
in o ma ion hea ily in o hei secu i iza ion p icing models. Ou esul s sugges ha
ules ega ding he disclosu e o in o ma ion, speci ically ega ding e en ion ype
and magni ude, could mi iga e he cos s o asymme ic in o ma ion. To enhance
anspa ency, egula o s could make his c i ical in o ma ion a ailable in a publicly
accessible da abase, a he han con ining i o in es men p ospec uses alone.
M.Hibbeln, W.Os e kamp
2 Page 22 o 24
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