... reduced-form equations of loan-growth of the bank that issue the instrument, the performance of the loan portfolio of that bank and the rating of the instrument issued by that bank: Loan growthi,j,t ... to capture the speed of adjustment of the instrument’s rating to the quality of the loan portfolio of the bank that issue that security The vector of bank conditions includes observed bank solvency ... ratios and the maturity of the instrument in the rating of ABS and the higher impact of size, efficiency, RoE, the market These differences between MBS and ABS are also supportive of the hypothesis...