196 5.5 Data We gather data of RMBS transaction from Bloomberg and complement this with (pie) rG shteant et ’ sf r(o2m0 1t4h)e c rBeudriet oa ur - for fi eEncdol ni noems si cs cAonr ae l yf os ri s U(S2 0s t2a1t e) ,s ,a(ni id) t( hi i ei ) atvheer aagvee rGaDg Pe hs aomu spel ep roi fc e3 ,o2f3U9S t sr taant cehs ef sr orme ptrhees eUnnt ist evdi rSt ut aatlel ys Ca el l nps ruisv aBtue r- leaabue (l 2R0M2 0B)S. Ot ruarn tcohteasl originated and issued in the US from the first quarter of 2017 to the third quarter of 2020. The total value is roughly USD 2 trillion. We have chosen this timeframe because we want to measure the impact of credit protection in at least five years after the Dodd-Frank Act was implemented.61 From Bloomberg we gathered the an va ami lea ba lned isni fzoer, mc raetdi oi tnr af toi rn ge, at cr ha nRc Mh eBcSo ut rnatn, tsraacnt icohne ao nn dctor lal na tsearcat li ol no csai zt ieosn, c, oi suspuoenr rate, subordination level, and reference date. 5.5.1 Dependent Variables Our first dependent variable is the credit rating of CRAs as given by Equation (5.1). To measure the credit rating, we convert the credit ratings to numerical scores. Using S&P’s credit rating classification as an example, the numerical scores are as follows: 1 for AAA, 2 for AA+, 3 for AA, 4 for AA-, and so on. We obtained credit rating information from five CRAs: Moody’s, S&P, Fitch, DBRS and KBRA. Together tl ahbees le RCMR AB sS rme pa rr ek seet .nWt perma cet ai csaul rl ye aclrl eodf i tt hrea tcirnegdiint rtawt ion wg saiysss:uiendai nc ot mh ebUi nSe pd rci vr ea dt ei t- rma et iansgu raen dc otmh eb icnree sd iat l lr actriendgi to rf aetai nc hg sCiRn Ao us er psaarma tpelley,. iTr hr ees cpoemc t bi vi enleydocf rtehdei tCrRaAt i .nIgf ac rterda int crhaet i nr egcse ii sv euds ecdr e. dNiet xrta, ttion gms eoafs mu ruel ttihpel ec Cr eRdAi ts ,r taht ien ng uomf ee ar iccha lCaRvAe rsaegpea or af ttehl ye 61 More specifically, it is the Dodd-Frank Act, 2010, Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, Section 941 Subsection 15G.
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