Vivian van Breemen

112 rated by S&P a R2 of 0.55, almost twice the size of the explanatory power of our model results for Moody’s only, where we see a R2 of 0.29. These findings are rl ooobkuisntg faotr t hC eL Oc r ec do int trraotl isn gl i kc eo evf fi ni ctiaegnet , otfi md uea la rnadt eids sCuLeOr sf ii xnecdo leufmf e nc t (s7. )M, wo reesoevee ra, coefficient of 30.67, which is even lower than the value for the same coefficient for a CLO that is rated only by S&P. Looking at the R2 in both columns one can also see that the explanatory power of dual rated CLOs is not significantly different than the R2 for CLOs rated by S&P alone. It therefore appears that, in a deal rated by S&P, investors do not significantly rely on the additional information content of a rating by Moody’s in their assessment of the required yield for the CLOs. Our results in Panel A of Table 3.5 firstly suggest that investors do rely on CRAs in tChReAi rs .r iSsekc ao snsdelsys, mo uern tr eosf ut lht es rseuqgug iersetdt yh iaetl di n, vb eust t tohres ysceleema r ltyo dpi ef frecreeinv tei amt eo br ee tcwr eede int rsautbi ns tga nr itsi akl lwy li et hs sMo no oadMy ’os ocdoym’ spcarreeddi t troa tSi n&gP,c oa nmdp aarse ad troe sSu&l tP. t h e y s e e m t o r e l y Pwaen ce ol mB poafr eT aabnl de c3o. 5n trreaps et at thse Pparnee- cl rAi s, i sb uatn ds hpoows st - ct hr ies i rs epg er er isosdi os n. Sri ems iul al trs two ht eh ne previous results, the coefficient of the credit rating for CLOs exclusively rated by Mi n ocoodl uy m’ s ni n ( c3o) l. uTmh ne s( 1a m) ies soubbs es travna tt ii aolnl ys laoswseert tohuatnr Ce gL aOrsdei nx gc l uP sainveell yAr aa pt epdl yb tyoSt&h Pe explanatory power. Note that post-crisis, the credit rating coefficient for CLOs rated by S&P remains at the same level of roughly 32 in the pre-crisis period, while Moody’s credit rating coefficient drops dramatically with about 50% from 2r a4t i inng cporl ouvmi dne (d1 b) yp rMe o- cordi syi’ss thoa s1 2s ui bn s ct aonl ut ima lnl y ( l2e)s sp oi ms tp- carci ts icso. mC lpe aa rr el yd, ttho eS c&rPe di int the assessment of the required yield by investors. However, post-crisis we see tehx aptl adnuaat ol rrya tpi nogws e wr ti thha na bc eofeofrf iec itehnet cor if s ri so uwgiht hl y a 4c2o ei nf f i cc oi el un mt onf 3( 65) i nh acvoel uaml na r(g5e)r.

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