Vivian van Breemen

57 This table reports ordered logit regression of the underlying credit factors on the credit rating, comparing the US market with the EU market. The sample is based on securities that received a rating from Moody’s and/or S&P as reported on Bloomberg between 1999 and 2015. The pattern of year indicator variables is relative to the omitted year, 1999. The dependent variable is the ‘Credit Rating’ measured as 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. Z-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 2.6. Credit rating standards: Estimation results. Panel A: US market only Coefficient z-stat ∗ . ℎ ℎ ℎ ℎ Tranche Count 0.06 *** 3.23 0.204 Capital Allocation -9.32*** -15.79 -2.515 Log Tranche Size 0.95 *** 8.36 0.738 Log Transaction Value -1.38*** -18.84 -2.692 Rating Discrepancy 0.57*** 30.69 0.453 2000 0.14 0.24 0.217 2001 0.47 0.47 0.752 2002 0.14 0.14 0.221 2003 -0.11 -0.23 -0.167 2004 0.76 * 1.74 1.203 2005 0.95 ** 2.24 1.508 2006 1.20 *** 2.89 1.903 2007 1.33 *** 3.23 2.108 2008 0.65 1.48 1.032 2009 -1.60 -1.37 -2.540 2010 -0.17 -0.27 -0.270 2011 -1.08 ** -2.36 -1.711 2012 -1.32*** -3.00 -2.089 2013 -1.13 ** -2.57 -1.789 2014 -1.06 ** -2.45 -1.681 2015 -0.91 * -1.92 -1.438 Observations 5.935 R-squared 0.368 Chapter 2 - How much do Investors Rely on Credit Ratings

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