114 Panel A: Full, Single, and Dual Rating Sample Full sample Moody's exclusively exclSu&sPively Dual Rating Sample (1) (2) (3) (4) (5) (6) (7) (8) Credit Rating 30.03*** 30.21*** 18.19*** 17.22*** 32.57*** 31.06*** 30.67*** 34.92*** (63.37) (55.62) (14.76) (13.09) (34.32) (32.85) (58.33) (59.51) Complexity Indicators Tranche Count 1.43* * 5.78* -4.34 ** 0.28 (2.22) (1.69) (-2.06) (0.41) Log Tranche Size -2.34* -1.85 -7.89 ** 4.74* ** (-1.90) (-0.54) (-1.98) (4.23) Capital Allocation 42.27*** 3.65 76.54*** 68.34*** (5.26) (0.18) (2.59) (8.41) TABLE 3.5 - Continued Control Variables Euro Market -14.12** 110.4 -17.69 -8.89 (-2.13) (0.66) (-1.14) (-1.34) Top Ten Issuer 31.96 -178.9** 116.4 38.82 (1.34) (-2.47) (1.36) (1.50) Log Transaction Value -9.60* * -5.65 -0.27 -9.30 (-2.06) (-0.53) (-0.02) (-1.51) Year Effects N Y N Y N Y N Y Issuer Fixed Effects N Y N Y N Y N Y This table reports OLS regressions of the yield spread (at issuance) of CLOs on the underlying complexity components, controlled for deal-level characteristics, issuer characteristics and market conditions. We use the sample of CLO securities issued in November 1996 up to May 2013, the year in which multiple ratings became mandatory in Europe. The sample is based on securities that received a rating from Moody’s and/or S&P as reported on Bloomberg. The dependent variable is the primary issuance spread ‘Spread’, measuring the quoted margin between the benchmark rate and the coupon of the initial yield, measured in basis points. ‘Tranche Count’ stands for the total number of tranches in the CLO of which the security is part of. ‘Log Tranche Size’ is the natural logarithm of the face value of the security at issuance. ‘Capital Allocation’ represents the level of internal credit enhancement supporting such a security within a CLO, measured as the ratio of all tranches subordinated to the tranche in question divided by the total face value of the CLO. All other independent variables are defined in Table 3.2. White (1980) heteroskedasticity-adjusted t-statistics in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Panel A presents results for the full, single and dual rating sample. Columns (1) and (2) present the results for the full sample, columns (3) and (4) for the tranches rated by Moody’s exclusively, columns (5) and (6) for tranches rated by S&P exclusively, and columns (7) to (8) for the dual rated tranches. Panel B divides the single and dual rating sample in pre- and post-crisis periods. Columns (1) and (2) present the pre- and post-crisis results for the sample of tranches rated by Moody’s exclusively, columns (3) and (4) for the sample of tranches rated by S&P exclusively, and columns (5) and (6) for the dual rating sample. Table 3.5: OLS regression of yield spread to underlying CLOs characteristics.
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