52 Panel A: US Market Only 1997 – 2003 2004 – 2007 2008 – 2011 2012 – 2015 (1) (2) (3) (4) (5) (6) (7) (8) Credit Rating 24.49*** 30.12*** 29.40*** 33.63*** 29.34*** 28.44*** 29.85*** 30.84*** (19.17) (18.01) (67.30) (54.24) (20.46) (13.16) (174.3) (143.9) Tranche Count 0.58 –1.7* * 13.22* –2.16*** (0.16) (–1.96) (1.84) (–3.4) Capital Allocation 45.14*** 73.19*** 12.57 42.44*** (2.79) (11.35) (0.20) (4.04) Log Tranche Size 7.28* * 11.14*** –29.77*** –0.40 (2.45) (9.02) (–5.43) (–0.35) Log Transaction Value –17.75 –9.733 12.85 –19.67*** (–1.4) (–1.51) (0.45) (–4.86) Rating Discrepancy –29.27*** –5.26 –42.81*** 17.88*** (–2.62) (–1.03) (–3.13) (8.412) Year dummy N Y N Y N Y N Y Issuer dummy N Y N Y N Y N Y Observations 529 529 2,487 2,487 277 277 2,642 2,642 Adjusted R-squared 0.616 0.698 0.766 0.791 0.555 0.842 0.902 0.945 This table reports OLS regression of the underlying credit factors on the yield spread (at issuance) of CLOs, comparing the US market with the EU market. The sample is separated by year of issuance, columns (1) – (2) reports subsamples issued between 1997-2003, columns (3) – (4) between 20042007, columns (5) – (6) between 2008-2011, and columns (7) – (8) between 2012-2015. The sample is based on securities that received a rating from Moody’s and/or S&P as reported on Bloomberg between 1997 and 2015. The dependent variable is the ‘Spread at issue’, measuring 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. All other variables are defined in Table 2.2. White (1980) heteroskedasticity-adjusted t-statistics in parentheses and (*), (**), (***) denote significance levels of 10%, 5% and 1%, respectively. Panel A presents results for CLOs issued in the US market only; Panel B for CLOs issued in the EU market only. Table 2.4: Regressing credit factors on funding cost for CLOs in different time periods.
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