140 This table reports summary statistics of RMBS tranches issued in the first quarter of 2017 up to the third quarter of 2020. ‘MS Moody’s by Frequency’, ‘MS S&P by Frequency’ , ‘MS DBRS by Frequency’, and ‘MS KBRA by Frequency’ represent the percentage of the number of tranches rated by Moody’s, S&P, DBRS and KBRA in a given year and market. ‘MS Moody’s by Balance’, ‘MS S&P by Balance’ , ‘MS DBRS by Balance’, and ‘MS KBRA by Balance’ represent the percentage of total tranche value rated by Moody’s, S&P, DBRS and KBRA in a given year and market. ‘Tranche Count’ stands for the total number of tranches in the RMBS of which the security is part of. ‘Subordination Level’ represent the level of internal credit enhancement supporting such a security within a RMBS, measured as the ratio of all tranches subordinated to the tranche in question divided by the total face value of the RMBS. ‘Number of Ratings’ is the number of ratings assigned to a specific tranche at issuance. ‘Log Tranche Value’ is the natural logarithm of the face value of the security at issuance. ‘Log Transaction Value’ is the natural logarithm of the transaction value of the deal at issuance. ‘Top Ten Issuer by Balance Size’ is a dummy that equal 1 is the issuer is among the top 10% of issuers in the RMBS market, measured by the value in balance size, and zero otherwise. ‘Top Ten Issuer by Tranche Count’ is a dummy that equal 1 is the issuer is among the top 10% of issuers in the RMBS market, measured by the number of tranches placed in the market, and zero otherwise. ‘Coupon rate’ is the coupon rate assigned for each tranche at issuance. ‘Year’ represents the year of issuance, which equals a dummy of 1 that corresponds to the year the RMBS was issued, and zero otherwise. ‘Higher by Small’ that equals 1 if, at issuance, a tranche received a better rating by the small CRA, and zero otherwise. Table 4.2: Summary statistics of RMBS characteristics.
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