Vivian van Breemen

197 wr aet i nc go sn, sDt rBuRcSt ’ sf i cvree ddiitf freartei nn gt , dKeBpReAn’ds ecnr et dcirt erdaitti nrga,t Si n&gP ’vsacrri ea db il et sr :a tMi nogo, da ny ’ds Fcirt ec hd ’ist credit rating. Table 5.1 reports the variable distribution. TT hh ee mr eamj oariint yi n(g5 0t r. 7a n6 c%h )e so f( t4r9a .n2c4h%e s) irne oc euirv seadmapvl ee rrye cdeiivveerds ea tsrei tp loef Ac rcerde di t i tr ar at itni ng gs ., ranging from AA+ to C, as reported in Panel B of Table 5.1. Most of these credit ratings are assigned by DBRS (32%), followed by KBRA (30%), Moody’s (23%), S5&. 1Pw( 1e 2s%h o) ,wa nt hd eo nd liys tar i sbmu tai ol l np oorf t iCoRnAbsy aFcirtoc shs( 3U%S )s,t Pa taense. lRCe mo f aTrakbalbel y5, . 1o.f I tnhFe i gnuerwe entrant CRAs, KBRA assigned most of its ratings in California while DBRS assigned rs aa tmi npgl se ma roe raes swi gi dneesdp irne aCda lai fcorronsisa s(t9a2t e. 4s7. %T h)e, f vo al lsotwme ad j ob ryi tFyl oorfi dc ar e(d4i.t3 r5a%t i n) ga sn di nNoeuwr York (1.36%), Panel B of Table 5.2. This is consistent with the figures reported by tt hh ee sNt aa tt ieo wn ai lt hC rt he de i ltaUr gnei os tn pAedr cme inntiasgt reaot ifomn o( 2r t0g2a 0g )e al oc ac on rsdbi na cg ktion gwphri ci vha tCea ll iafbo er nl (i ai . ei s. , non-agency) RMBS securities, followed by New York and Florida. IdnepEeqnudaetinotnv(a5r.i2a)b, lwee compare the credit ratings of incumbent and new CRAs. The Higher by New is defined as a dummy variable that takes the vC aRl Au e, f oo fr ot hn ee si fa tmh ee tt rr aa nn cc hh ee , raencde izveerdo ai fmt hoer ec roepdt ii tmriasttiinc gc rbeydti ht er ai tni cnugmo bf et hnet Cn Re wA ei sr equal or higher. We compare the credit ratings of Moody’s, S&P, Fitch, DBRS and KBRA and define DBRS and KBRA as the new CRAs and Moody’s, S&P, and Fitch ap sr etsheen ci ne coufmt hbee nCtR, Ag l ionb tahl ley Ul aSr cgree dC iRt Ar as .t iTn hg i ms da ri sktei nt catni od nt hi se bt i ams ee d- p oe rni ot dh ei nmwa hr ki ceht tahs es i gCnR A9 2h%a s obfe tehne accrtei vdei t orna ttihneg sr ai tni ntgh emUa rSkme ta. rMk oe to, dwy ’hsi, l sSt&DP BaRnSd hFai tvceh at omg ea trhkee rt sa hn adr eK Bo Rf rAo ui sg hs il gy n3i f%i c aanntdl y KhBi gRhAe ra bi no ut th e0 . 7U%S .MNBoSt amb layr, kt eh te wmi at hr k3e2t %s h aa rned o5f 2D%B Ri nS Chapter 5 - The Impact of Creditor Protection

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