238 This table reports summary statistics of securitization tranches issued from 2011 to 2021. ‘Rating Discrepancy’ represents the notches difference that results from calculating the numerical difference in credit rating of Moody’s, S&P, Fitch, DBRS and KBRA. ‘Risk Retention Methods’ is a categorical variable indicating the form in which the 5% material net economic interest is obtained, which includes the ‘VES’, ‘OBS’, ‘FLT’ or ‘FLE’ method. ‘Subordination Level’ represents the level of internal credit enhancement supporting the security within a securitization, measured as the ratio of all tranches subordinated to the tranche in question divided by the total value of the securitization. ‘No. of Tranches’ is the total number of tranches in the securitization of which the security is part of. ‘Log Tranche Value’ is the natural logarithm of the tranche value at issuance, measured in Euro. ‘Log Transaction Value’ is the natural logarithm of the transaction value of the deal at issuance, measured in Euro. ‘Frequent Originator’ is a dummy that equals 1 if the tranche’s originator is among the top 10% measured by number of tranches contributed to the total number of securities issued in the EU (2011-2021), and 0 otherwise. ‘Credit Rating’ represents the average credit rating provided by Moody’s, S&P, Fitch, DBRS and KBRA. We have converted the ratings into a numerical value by setting 1 for Aaa, 2 for Aa2, 3 for Aa2, and so on. ‘Security Type’ represents the type of securitization of which the tranche is part of, ranging from ABS, RMBS, CMBS, to CLOs. ‘Year’ represents the year in which the security is issued. ‘Spread’ is the quoted margin between the benchmark rate and the coupon of the initial spread, in basis points. ‘Benchmark Rate’ is the market wide benchmark type used for the security at issuance. Table 6.2: Summary statistics.
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