59 Panel A: US market only Full sample AAA sample (1) (2) (3) (4) Rating Standards -40.08*** -37.48*** -27.63*** -27.23*** (-63.96) (-50.39) (-57.41) (-63.01) Tranche Count -3.63*** -1.06*** (-6.58) (-2.94) Capital Allocation 34.90*** 12.92*** (6.08) (4.53) Log Tranche Size 5.88* 9.13* ** (1.71) (3.11) Log Transaction Value -0.90 3.43* ** (-1.08) (7.42) Rating Discrepancy 11.97*** 8.56* ** (4.24) (3.01) Issuer dummy Y Y Y Y Credit rating dummy Y Y N N Observations 5,760 5,760 1,720 1,720 Adjusted R-squared 0.907 0.909 0.859 0.873 This table reports OLS regression of the rating standards on the yield spread (at issuance) of CLOs, comparing the US market with the EU market. Columns (1) – (2) report the full sample and columns (3) – (4) the AAA sample only. 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 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. ‘Rating Standards’ are the coefficient estimates of year indicators for the EU and US market estimated in Table 2.5. 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 2.7: Credit spreads versus rating standards. Chapter 2 - How much do Investors Rely on Credit Ratings
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