An asset owner designs an asset-backed security and a signal about its value. After privately observing the signal, he sells the security to a monopolistic liquidity supplier. Any optimal signal distribution guarantees the security sale and reveals noisy information about high valuations of the security. The optimal security is pure equity – the most informationally sensitive security. It is risky debt under external liquidity requirements akin to regulatory requirements on banks, pension funds, and insurance companies. Thus, the “folk intuition” behind debt optimality as the least informationally sensitive security holds only under additional restrictions (e.g., regulatory) on security or information design.