168 This table reports ordered logit regressions of the market share of large CRAs on the credit rating of small CRAs, controlled for deal-level characteristics, issuer characteristics and market conditions. We use the full 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 at least one rating from DBRS or KBRA as reported on Bloomberg. The dependent variable are the numerical values of a credit rating of the tranches at issuance, we use the numerical values of the credit rating of DBRS and KBRA as dependent variables. We have converted the ratings into a numerical value by setting 1 for AAA (AA+), 2 for AA (AA), 3 for AA (AA-), and so on. The key independent variables ‘MS Moody’s by Frequency’ and ‘MS S&P by Frequency’ represent the percentage of the number of tranches rated by Moody’s and S&P in a given year and market. All other independent variables are defined in Table 4.2. Z-statistics are reported in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Panel A presents results for all (single, dual, and triple) tranches that received a rating by DBRS and KBRA; Panel B for dual rated tranches by large and small CRA only. Table 4.6: Ordered logit regressions of market share of large CRAs on the credit rating of small CRAs.
RkJQdWJsaXNoZXIy MTk4NDMw