199 This table reports summary statistics of RMBS tranches issued in the US market in the first quarter of 2017 up to the third quarter of 2020. ‘Credit Rating’ are a set of dummies indicating the credit rating of a security at issuance, the ratings are converted in numerical values ranging from 1 (AAA) to 21 (C). ‘Creditor Friendliness Score’ represent the creditor friendliness of US states’ mortgage laws by assigning a score ranging between 4 for most friendly to 0 for least friendly. ‘Log Tranche Value’ equals the natural logarithm of the tranche value of the security at issuance. ‘Log Transaction Value’ equals the natural logarithm of the transaction value of the deal at issuance. ‘Higher by New’ that equals one if a tranche received a more optimistic rating by a new CRA at issuance, and zero if the credit rating of the incumbent CRA is larger or equal. ‘Tranche Count’ is the sum of all trances in the RMS deal of which the tranche is part of. ‘Subordination Level’ represent the level of internal credit enhancement supporting such a security within a RMBS, measured as the ratio of all tranches subordinated to the tranche in question divided by the total face value of the RMBS. ‘Number of Ratings’ is the number of ratings assigned to the tranche at issuance. ‘Coupon’ is the coupon rate assigned for each tranche at issuance. ‘Top Ten Issuer’ is a dummy that equal one if the issuer is among the top 10% of issuers in the RMBS market, measured by the value in balance size, and zero otherwise. ‘Clustered Collateral’ is a dummy variable that equals one if 50% or more of the tranche’s collateral is located in one state, and zero if not. ‘Log House Price’ equals the natural logarithm of the average sales price of new manufactured homes by state in millions of dollars. ‘Log GDP’ is the natural logarithm of the gross domestic product (GDP) by state in millions of dollars. ‘Year’ represents a set of dummy variables that correspond to the year in which the RMBS was issued. Panel A presents the overall summary statistics; Panel B presents the detailed distribution of the ‘Credit Ratings’ in our sample; Panel C the distribution of credit ratings per CRA; and Panel D the detailed distribution of ‘Higher by New’. Table 5.1: Summary statistics of the RMBS tranches. Fu isni na gl l yE, qwuea t ti oe snt (t5h. 3e ) i. mI npEa cqtu aotf i ocnr e(d5i .t3o)r, tphreo tdeecpt ieonnd eonnt tvhaer i as ibzlee o f a R M B S d e a l Log Transaction Value equals the natural logarithm of the face value at issuance of the total RMBS transaction in millions of US dollars. The mean Log Transaction Value over the whole sample is 21.06. Chapter 5 - The Impact of Creditor Protection
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