54 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 relative size of issuers, columns (1) to (4) reports subsamples determining issuers size measured by balance contribution and columns (5) to (6) by tranche number. 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 2.5: Regressing credit factors on funding cost for CLOs, seperated by relative size of issuers. Panel A: US Market Only Large, Top 10% Small, Non-Top 10% Frequent, Top 10% Infrequent, Non-Top 10% (1) (2) (3) (4) (5) (6) (7) (8) Credit Rating 32.29*** 32.03*** 31.44*** 31.72*** 32.12*** 31.47*** 31.37*** 32.22*** (78.95) (83.85) (101.5) (97.91) (92.33) (90.37) (89.36) (90.99) Tranche Count –1.84* * –0.19 –1.35* * –0.31 (–2.39) (–0.25) (–2.04) (–0.33) Capital Allocation 55.13*** 47.3* ** 57.27*** 46.67*** (7.09) (6.99) (8.53) (6.2) Log Tranche Size 4.04* ** 4.17* ** 2.27* * 5.5 *** (3.25) (5.01) (2.13) (5.77) Log Transaction Value –6.64 –4.30 –11.32*** 1.73 (–1.36) (–0.78) (–2.68) (0.26) Rating Discrepancy 5.81* 1.75 8.59* ** –2.70 (1.66) (0.56) (2.82) (–0.73) Year dummy N Y N Y N Y N Y Issuer dummy N Y N Y N Y N Y Observations 1,927 1,927 4,008 4,008 2,693 2,693 3,242 3,242 Adjusted R-squared 0.690 0.914 0.663 0.893 0.698 0.910 0.650 0.892
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