235 tbriallniocnh,esp)r.eFsiennatllyo,uthr e remaining 2,157 tranches (41%) with a total value of €957 full tranche-level sample. An overview of all the variables and their definitions is provided in Table 6.1 and the summary statistics of our variables are given in Table 6.2. An asteucrua rl liyt ,i ztahtei osne ci su raint i zi navt ieosnt mi se nr et lpy ri no gd uocnt tt hh ae t pi se rbf ao cr kmeadnbc ye ao fp tohoel soef aasssseettss. aTnhde, ul onadnesr, l ymi nogr tcgoalgl ae t el or aaln os f ot rh es tausds ee tn tp ol ooal nc sa.n I vna royu ri ns tt yupdey,, fwo re ehxaavme pilne c, lcuodrepdo rtaht ee frue lsli ds ec on pt iea l omf soer ct guar gi tei z- ba at icokne dt y speecsu, rriat inegsi n( gR Mf rBo Sm) , acsosme tm- bearccki ea dl ms eocrut gr iatgi ees- b(aAcBk Se )d, s( 4e c5u. 4r8i t%i e )s, (f oC lMl oBwSe) dt ob yC LROMsB. ST h( 3e 9m. 4a5j%o r)i,t yC Mo fB St r a( 7n .c5h6e%s )i na nodu rC Ls aOm(p7l.e5 1a%r e) , AsBe Se Pa na nd e3l 4C. 0o8f %Tatbhlee V6E. 2S. mI ne ot huor ds. aTmhpe lOe ,B4S8m. 4e5t%h oodf i tshues et rda ni nc h1 e4s. 9u7s%e tohf et hFeLTc ams eest ha no dd oBnol yf Ti na bal ef e6w. 2c) a. sWe se (a2r.e5 0a %l s o) ti nh tee rFeLsEt emd ei nt h tohde i ss i zues eodf (t sheee oFriiggui nr ae t o6 r. 1 aasnad lPa ar gneerl oT rhi eg i snlai gt oh rt mm ai gj oh rt i tbye omf oo ruer ps ao mw ep rl ef u(l 5a4n. 2d 9k%n )o wi s l eodr gi gei anba ltee dt hbayn atnh eo rsimg ianl al et or ro tnheast. it sr aanmc ho en sg s( t4 t5h. 7e 1t %o p) 1a 0r e%o lrai gr gi neas tt e(di nb tye trhme snoofnn- tuomp b1e0r %o f ot rr iagni nc ha teos r) s. ,Tsheee rFei mg uari en i6n. 2g and Panel D of Table 6.2. The tranches in our sample received at least one credit rating of Moody’s, S&P, Fitch, DBRS or KBRA. In our sample, we observe a similar portion of tranches rated by DBRS (32.80%), Moody’s (28.01%), S&P (20.27%) and Fitch (17.62%). While a negligible number of tranches (1.30%) are rated by KBRA, see Panel Ec r eodf iTt arbaltei n6g.s2 .a Tt hi ses umaanjcoer,i tsye eo fP tarnaenl cGh eosf (T7a7b. 6l e1 %6 . 2) . i nO onul yr 1s 3a m. 5 4p %l e rreecceeiivveedd town oe credit rating, three credit ratings were assigned to just 8.39% of tranches and a Chapter 6 - Risk Retention in the European Securitization Market
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