103 Panel B: AAA Tranches Only Sample (1) (2) (3) (4) (5) (6) (7) (8) Complexity Indicators Tranche Count 0.16 *** 0.09 *** 0.20 *** 0.14 *** 0.16 *** 0.16* ** 0.15 *** (5.56) (3.52) (6.95) (4.71) (5.31) (5.24) (5.20) Tranche Count*Post ( 10. 7. 192) * Log Tranche Size 0.32 *** 0.18 *** 0.37 *** 0.32 *** 0.45 *** 0.34* ** 0.31 *** (5.29) (3.85) (5.59) (5.36) (5.83) (5.32) (5.26) Log Tranche Size*Post (-5-0.3.574)*** Capital Allocation 2.26 *** 2.76 *** 2.59 *** 2.27 *** 2.52 *** 3.48* ** 2.28 *** (6.84) (8.18) (7.12) (6.84) (6.93) (7.80) (6.78) Capital Allocation*Post (-5-4.1.011)*** Control Variables Euro Market -2.01*** -1.94*** -2.00*** -1.83*** -2.00*** -2.03*** -2.10*** -1.85*** (-13.2) (-13.2) (-13.2) (-12.3) (-12.9) (-13.4) (-13.5) (-11.3) Euro Market*Post (-1-0.9.896)** Top Ten Issuer -0.42*** -0.47*** -0.34 ** -0.45*** -0.45*** -0.45*** -0.41*** -0.42*** (-2.87) (-3.25) (-2.38) (-3.23) (-3.03) (-3.07) (-2.81) (-2.85) Log Transaction Value 0.00 0.24 ** 0.33 *** -0.10 0.01 0.08 0.01 0.03 (0.03) (2.02) (3.20) (-0.83) (0.08) (0.69) (0.09) (0.28) Year effects Y Y Y Y Y Y Y Y Credit rating effects Y Y Y Y Y Y Y Y Observations 2,641 2,641 2,641 2,641 2,641 2,641 2,641 2,641 R2 0.272 0.251 0.247 0.244 0.274 0.290 0.289 0.275 Chapter 3 - Security Design and Credit Rating Risk
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