266 This table reports ordered logit regressions of the risk retention methods on the rating discrepancy at issuance, controlled for security-design characteristics as well as credit rating, year and security type controls. ‘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. The FLT method is the omitted variable. All other control variables are defined in Table 6.2. Z-statistics are reported in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Table 6.7: Ordered logit regressions of risk retention methods on rating discrepancy - Sorted by originators’ size (tranche-level analysis).
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