Senior-subordinated structure: buffer or signal in securitisation?
利用全球证券化交易的详细数据，检验了次级结构在证券化中作为风险缓冲和信号的双重作用，发现它既缓冲可观测风险，又向投资者传递不可观测信用质量的信号。
By exploiting a unique and proprietary dataset comprising granular deal- and tranche-level data on a global portfolio of securitisation deals, we empirically test the buffer vs the signalling hypothesis of credit enhancements in securitisation. We do so by focusing on one internal credit enhancement associated with the design of financial securities in securitisation, i.e. subordination. This study provides novel evidence on the role played by subordination in securitisation, suggesting that a real dichotomy between the buffer and signalling effects does not hold. Our findings indeed highlight that subordination serves both as a buffer against observable risk and as a signal of unobservable credit quality to third-party investors in the market; moreover, our results are robust to a wide battery of robustness tests. Our findings, of international relevance, contribute to the literature on information asymmetries between originators and investors and offer new policy insights in light of the recent agreement reached by European lawmakers with national governments to revive the European securitisation market.