172 This table reports logit regressions of the issuer size on the rating differences, 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 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 variable is the dichotomous variable ‘Rating Differences’ that equals 1 if, at issuance, a security received a better rating by a small CRA and zero if the rating at issue is worse by a small CRA. ‘Issuer Size by Balance’ is a dummy that equals 1 if the issuer is among the top 10% of issuers in the global RMBS market measured by size, and zero otherwise. ‘Issuer Size by Frequency’ is a dummy that equals 1 if the issuer is among the top 10% of issuers in the global RMBS market measured by tranche number, and zero otherwise. All other independent variables are defined in Table 4.5. Z-statistics are reported in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Panel A presents the tranches rated by DBRS or KBRA and a larger peer (Moody’s/ S&P); Panel B divides the sample between tranches rated by only DBRS and a larger peer and tranches rated by KBRA and a larger peer. Table 4.8: Logit regessions of the of issuer size on rating difference small vs. large CRAs.
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