251 This table reports logit regressions of the risk retention methods on deal level characteristics at issuance, controlled for credit rating, security type, year and country controls. ‘Horizontal vs. Vertical’ is a dummy variable that equals 1 if the tranche retainer of the deal holds at least 5% material net economic interest via the VES method, and 0 if the FLT method is used. ‘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 (20112021), and 0 otherwise. ‘STS Compliant’ is a dummy that equals 1 if the deal is compliant with STS criteria at the time of issuance, and 0 otherwise. ‘No. of Tranches’ is the total number of tranches in the securitization of which the security is part of. ‘Single Originator’ is a dummy indicating 1 if the deal is originated by a single originator, and 0 if originated by multiple originators. ‘GDP Growth Rate’ is the annual percentage growth rate of GDP in the country to which the risks of the securitization are exposed to. ‘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 the deal, ranging from ABS, RMBS, CMBS, to CLO. ‘Year’ represents the year in which the deal is issued. ‘Country of Risk’ is the country to which the (majority of the) securitization’s risks are exposed to. Z-statistics are reported in parentheses in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Table 6.3: Logit regressions of FLT vs. VES method on frequent originator and STS compliant (deal-level analysis). Chapter 6 - Risk Retention in the European Securitization Market
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