160 This table reports ordered logit regressions of the market share of small CRAs on rating differences, controlled for deal-level characteristics and market conditions. We use the sample of RMBS securities issued in the first quarter of 2017 up to the third quarter of 2020. The sample is based on securities that received a rating from at least one large CRA (Moody’s and/or S&P) and at least one small CRA (DBRS and/or KBRA) as reported on Bloomberg. The dependent variables ‘Rating Differences Moody’s – DBRS’ stands for the numerical value of Moody’s rating minus the numerical value of DBRS’ rating. ‘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& – KBRA’ stands for the numerical value of S&P’s rating minus the numerical value of KBRA’s rating. The independent variables MS DBRS by Frequency’ and ‘MS KBRA by Frequency’ represent the percentage of the number of tranches rated by DBRS and KBRA in a given year and market. ‘MS DBRS by Balance’ and ‘MS KBRA by Balance’ represent the percentage of total tranche value rated by DBRS and KBRA in a given year and market. ‘Small CRAs by Balance’ stands for the combined market share, measured in terms of balance size, of DBRS and KBRA in a given year and market. ‘Small CRAs by Frequency’ stands for the combined market share, measured in terms of balance size, of DBRS and KBRA in a given year and market. ‘Year’ represent the year of issuance, which equals a dummy of 1 that corresponds to the year the RMBS was issued, zero otherwise. ‘Credit Rating’ are a set of dummy variables to indicate the credit rating of a security at issuance, after we convert the ratings into a numerical value by setting 1 for Aaa (AAA), 2 for Aa1 (AA+), 3 for Aa2 (Aa), and so on. ‘Geography of Collateral’ represent the geographic location of the (majority of the) underlying collateral for each tranche. Z-statistics are reported in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Panel A presents results for tranches rated by Moody’s and DBRS or KBRA. Panel B presents results for tranches rated by S&P and DBRS or KBRA. Table 4.5: Ordered logit regressions of market share of small CRAs on rating differences.
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