We study the impact of the risk retention rule - requiring 5% of underlying credit risk for commercial mortgage backed securities - on commercial real estate markets. Since the primary objective of this rule is for the deal sponsors to have skin in the game, we expect that underwriting standards should tighten following the implementation of the rule. Consistent with this notion, we find the reform led to a decrease in price premium and probability of rating shopping by the sponsors, as well as longer time-to-securitization and lower default probability. We also show that the Dodd-Frank risk retention rule can impact banks’ credit supply by curtailing credit growth. As a result, we provide novel evidence on the effect of the risk retention rule on underwriters most exposed to the regulation.

我们研究了风险保留规则（对商业抵押贷款支持证券需要5％的基础信用风险）对商业房地产市场的影响。由于该规则的主要目标是让交易发起人参与其中，因此我们预计，随着规则的实施，承保标准将会加强。与此概念一致，我们发现该改革导致价格溢价和保荐人购买评级的可能性降低，以及证券化时间更长和违约概率更低。我们还表明，多德-弗兰克风险保留规则可能会通过限制信贷增长来影响银行的信贷供应。结果，我们提供了关于风险保留规则对最容易受到该法规影响的承销商的影响的新颖证据。