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A problem of asymmetric information exists in CMBS issues. In particular, the broker/lender has a much better idea about the quality of the underwriting of

A problem of asymmetric information exists in CMBS issues. In particular, the broker/lender has a much better idea about the quality of the underwriting of the loan than the investors purchasing the bonds. Consider two CMBS issues that are identical in every way except that in one issue, the B tranche is sold to an investor. For the other issue, the issuer purposely holds the B tranche on their books. How might this affect the pricing of the A tranche in each issue? Which A tranche should receive a higher price in the secondary market?

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