Design of Financial Securities: Empirical Evidence from Private-Label RMBS Deals
研究了次贷危机前RMBS市场中证券设计的关键驱动因素，发现权益级比例越高的交易违约率越低，且该效应在信息不对称更严重的池中更显著，高权益级交易的证券售价也更高。
We study the key drivers of security design in the residential mortgage-backed security (RMBS) market during the run-up to the subprime mortgage crisis. We show that deals with a higher level of equity tranche have a significantly lower delinquency rate conditional on observable loan characteristics. The effect is concentrated within pools with a higher likelihood of asymmetric information between deal sponsors and potential buyers of the securities. Further, securities sold from high-equity-tranche deals command higher prices conditional on their credit ratings. Overall, our results show that the goal of security design in this market was not only to exploit regulatory arbitrage, but also to mitigate information frictions that were pervasive in this market. (<it>JEL</it> G20, G30) Received August 26, 2014; accepted May 3, 2016, by Editor Itay Goldstein.