108 Rating Discrepancy in the dual-rated sample sorted by year of issuance This figure illustrates all tranches for which we can observe two credit ratings disclosed at issue from Moody’s or S&P originated between 1996 and 2013. ‘Rating Discrepancy’ stands for the numerical difference between credit ratings of S&P and Moody’s when each of their ratings of CLO tranches are converted to a number equivalent. Figure 3.2(a) illustrates on the y-axis the rating discrepancy in notches of Moody’s and S&P, sorted on the x-axis by year of issuance. The dots with larger dark surroundings represent a higher number of tranches in the sample with rating discrepancy sorted by year of issuance and rating notch difference. Figure 3.2(b) illustrates a scatter plot of Moody’s and S&P by number of notches difference. The 45-degree line is where the CLOs would fall if the CRAs would have given identical credit ratings to the CLOs at the time of issuance. Figure 3.2: Rating discrepancy between Moody’s and S&P. Rating Discrepancy between Moody's and S&P sorted by credit rating Credit rating S&P Credit rating Moody's Figure 3.2 (a) Figure 3.2 (b)
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