40 EofUcmapairtakletalllooockatbioeny.oBnudt tthheeycraeldsiot prarticinegaadndditiporniacellyadfodritionally for the impact Transaction Value and Tranche Count, factors which typically are not a key input in CRA models. The findings are robust for controls on CLO vintage, time and issuer fixed effects. Table 2.1: Summary statistics of CLOs tranches characteristics. Panel A: US Market Only Variable Mean Median Std Spread at issue 210.8 164 165.6 Credit Rating 5.53 6 4.27 Tranche Count 7.64 7 2.29 Capital Allocation (in %) 0.23 0.19 0.17 Tranche Size 98 30 415 Log Tranche Size 17.2 17.22 1.23 Transaction Value 557 461 613 Log Transaction Value 20.0 19.94 0.49 Rating Discrepancy 0.46 0 0.50 Panel B: EU Market Only Variable Mean Median Std Spread at issue 132 70 143.3 Credit Rating 5.82 5 4.98 Tranche Count 6.7 6 3.36 Capital Allocation (in %) 0.25 0.17 0.24 Tranche Size 250 44 662 Log Tranche Size 17.9 17.6 1.66 Transaction Value 1140 521 1560 Log Transaction Value 20.3 20.1 1.0 Rating Discrepancy 0.67 1 0.47 This table reports summary statistics of CLOs issued between 1997 and 2015. ‘Spread at issue’ is the quoted margin between the benchmark rate and the coupon of the initial yield, in basis points. ‘Credit Rating’ are a set of dummy variables to indicate the credit rating of a security at issuance by Moody’s and/or S&P, after we convert the ratings into a numerical value by setting 1 for Aaa (AAA), 2 for Aa1 (AA+), 3 for Aa2 (Aa), and so on. ‘Tranche Count’ stands for the total number of tranches in the CLO of which the security is a part. ‘Capital Allocation’ is the level of internal credit enhancement supporting such a security within a CLO, measured as the ratio of subordinated tranches and percent of protection from losses in the capital structure. ‘Tranche Size’ is the face value of the security at issuance in million US dollar, ‘Log Tranche Size’ is the natural logarithm of the face value of the security at issuance. ‘Transaction Value’ is the transaction value measured in million US dollar, ‘Log Transaction Value’ is the natural logarithm of the transaction value of the security at issuance. ‘Rating Discrepancy’ that equals 1 if, at issuance, a security had two different credit ratings and 0 if only one rating or no rating differences. Panel A reports summary statistics for the 5,935 US CLO tranches and Panel B for the 1,656 EU CLO tranches.
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