212 This table reports ordered logit regressions of the creditor friendliness score on the credit rating of RMBS securities for the US market, controlled for deal-level characteristics, issuer characteristics and market conditions. We collected the full sample of RMBS securities as reported in Bloomberg between 2017 and 2020. The tranches in our sample received at least one rating from Moody’s, S&P, Fitch, DBRS or KBRA. The dependent variable ‘Credit Rating’ represents the numerical value of the credit rating assigned to a tranche at issuance. The numerical credit rating values range from 1 (AAA) to 21 (C). The key independent variable is ‘Creditor Friendliness score’ representing 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, at issuance, a tranche received a more lenient (optimistic) rating by the new CRA, and zero otherwise. ‘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 a specific 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. ‘Year’ represents a set of dummy variables that correspond to the year in which the RMBS was issued. Z-statistics are provided in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Table 5.3: Ordered logit regressions of creditor friendliness on credit rating.
RkJQdWJsaXNoZXIy MTk4NDMw