Vivian van Breemen

193 (s soeme es de cetgi roene ,5c. 2r e. 3d)i taolrr epardo yt escht ioown sp tehr astt aotnel yw Sh &e nP, aMs soi go nd iyn’ sg ac rnedd Di t Br aRtSi ncgosntsoi dReMr, Bt oS tranche. Fitch and KBRA do not consider any creditor friendliness components ipne rt hset ai rt er ai st i inngc omnes ti hs toednot ll yo gcyo. nWs ied et hr ee dr ebf oy rCe RhAysp wo thheens i az es s ti hg na ti ncgr ec dr ei tdoirt rpartoi nt egcst ifoonr RMBS tranches. We construct the following hypothesis: H1. Creditor protection per state is not consistently considered by CRAs in their credit rating. Oi nutrh seeccroenddi t hrya pt iontgh ems ai sr kreetl .a Ct eosmt po etthi tei oi nmbpeatcwt eoef nc rCeRdAi tso irn r ai gnh itsss uo enr -cpoamy pme tai rt ikoent framework, incentivizes CRAs to offer credit ratings that cater to issuers’ demand (l iBk oe ll tyotno ient f laal t. ,e 2i t0s1c2r;e Hd iet reat t ianl .g, a2s0 a1 6c o) . mWpee thi tyi vpeo tsht reasti ez ge yt ha ga at i nn es wt t hCeRi rAisn ca ur emmb eonrte, ml o go irce bgel ho ibnadl l yt hei ss tias btlhi saht ei dn , ap me eor rse i nc r es tdai tt eosr - tf hr iaetn adrl ye smt aotree, oc nr eedmi t oi grh ftr ei exnpdelcyt. tThhaet dr eepf auut al tt iroi snkasl fl oo rs st ehse f Ro rMCBRSAi ns v( ie. es t. ,ovri ai s l al owwseuri tasnodf , Rc oMnBs Se qi nuveensttl oy ,r as )l s. oWteh ee xcpheacnt cteh oa tf new CRAs are more willing to take the risk of providing inflated credit ratings as they compete to gain market share from their more powerful, well-established peers (e.g., Bae et al., 2019; Flynn and Ghent, 2018). We explore these variations and test whether tranches with (the majority of) collateral in a state with higher creditor protection received a more optimistic (inflated) rating of a new CRA compared to its incumbent peer. This leads to our next hypothesis: H2. In a state with higher creditor protection, on average new CRAs tend to report more optimistic ratings than incumbent CRAs for the same tranche. Finally, we are interested if issuers take advantage of the level of creditor protection to increase the size of the deal when the underlying collateral is located Chapter 5 - The Impact of Creditor Protection

RkJQdWJsaXNoZXIy MTk4NDMw