213 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 is the numerical values of a credit rating of the tranches at issuance for each CRA separately: DBRS, KBRA, Moody’s, S&P, and Fitch. 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. The remaining variables are defined in Table 5.3. Z-statistics are provided in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Table 5.4: Ordered logit regressions of creditor friendliness on different CRAs. Chapter 5 - The Impact of Creditor Protection
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