273 This table reports robustness analyses of the risk retention methods on our three key independent variables: Credit Rating, Rating Discrepancy and Spread. Column 1 reports ordered logit regressions of the risk retention methods on the credit rating at issuance (similar to Table 6.4). Column (2) reports ordered logit regressions of the risk retention methods on the rating discrepancy at issuance (similar to Table 6.6). Column (3) reports ordinary least squares regressions of the risk retention measures on spread at issuance (similar to Table 6.8). The following additional controls are included for robustness purposes; ‘STS Compliant’, ‘Single Originator’, ‘GDP Growth Rate’, ‘Country of Risk’ and ‘Originator’. ‘Originator’ represents the originator of the securitization tranches. All other variables are defined in Tables 6.2 and 6.3. (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Table I: Robustness analyses. Credit Rating Rating Discrepancy Spread (1) (2) (3) VES 0.59*** -0.55*** -33.51*** (5.15) (-3.79) (-2.66) OBS -0.03 -0.23 -33.93*** (-0.20) (-1.37) (-4.11) FLE 0.42 -1.06*** -3.07 (1.59) (-3.43) (-0.19) Subordination Level -0.62*** -0.25 -32.40** (-4.03) (-1.27) (-2.25) No. of Tranches -0.12*** 0.07** -2.70 (-5.63) (2.51) (-1.27) Log Tranche Value -1.05*** -0.07 -25.97*** (-28.19) (-1.40) (-7.07) Log Transaction Value 0.82*** 0.34*** 30.20*** (13.02) (3.94) (5.17) Frequent Originator -0.42*** 0.10 32.89*** (-4.48) (0.85) (2.99) Rating Discrepancy 0.29*** 17.88*** (9.37) (5.76) Benchmark Rate 2(15..7967)* STS Compliant -1.11*** 0.51*** 0.41 (-8.98) (3.23) (0.04) Single Originator 0.82*** 0.08 -40.70*** (4.70) (0.36) (-3.23) GDP Growth Rate 0.02 -0.01 1.21 (1.35) (-0.54) (1.24) Credit Rating Y Y Y Year Y Y Y Security type Y Y Y Country of Risk Y Y Y Originator Y Y Y Observations 2,153 1,861 354 Pseudo R-squared 0.140 0.208 Adjusted R-squared 0.791 References Agarwal, S., Ambrose, B. W., Yildirim, Y. & Zhang, J. (2021). Risk retention rules and the issuance of commercial mortgage backed securities. Journal of Appendix II. Robustness Analyses Chapter 6 - Risk Retention in the European Securitization Market
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