139 This table reports summary statistics of RMBS tranches issued in the first quarter of 2017 up to the third quarter of 2020. ‘Rating Differences Moody’s – DBRS’ stands for the numerical value of Moody’s rating minus the numerical value of DBRS’ rating. We have converted the credit ratings at issuance for each tranche into a numerical value, using Moody’s as an example the values are: 1 for AAA, 2 for AA+, 3 for Aa, and so on. ‘Rating Differences S&P – DBRS’ stands for the numerical value of S&P’s rating minus the numerical value of DBRS’ rating. ‘Rating Differences Moody’s – KBRA’ stands for the numerical value of Moody’s rating minus the numerical value of KBRA’s rating. ‘Rating differences S&P – KBRA’ stands for the numerical value of S&P’s rating minus the numerical value of KBRA’s rating. Table 4.1: Rating differences between small and large CRAs. Chapter 4 - Intensified Competition and the Impact on Credit Ratings
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