Vivian van Breemen

81 H3: With no rating catering, complex tranches tend to report a higher degree of rating discrepancy. Irfa tt hi negrse issh ionuf ol dr ms ha toiwo n aa l bv ae ltut eer c oo nv et ar ianl le dp ei nr f mo ruml tai pn lcee r ca ot imn gpsa, rCeLdO tsowsi itnhgml e u rl tai tpel de CLOs (Griffin et al., 2013). If, however, rating catering is prevalent, dual-rated speecruf or ri tmi e ss iwmiilllatrel ny dt ot os icnognl et ariant endo saedcdui rt ii ot ineas l, wi niftohr mr aat itoi onnaal li nc ov enst teonrtsapnrdi ctihnegr tehf oe rme as such at issuance.23 Griffin and Tang (2012) conclude that the pre-crisis market fsourpeCrDioOrscerexdpietrpieenrcfoerdmraanticneg. catering because single rated CDOs experienced H4. With rating catering, dual-rated tranches should have no greater information value in the determination of the required yield than a single rated tranche. 3.3 Data and Methods 3.3.1 Data and Filters We begin the process of manually collecting data obtained from Bloomberg, which pt ortoavl i dv ae lsu ae coof m$ 1p .l8e tter iul lni oi vne, rtshea to fw1e0r ,e4 0i s0s ut readn ac hn eds sforlodmi n1 ,t5h8e3UCSL oOr dEeUa l smwa ri kt he t as fi nr o Emu rNoopvee. mF ob re re 1a c9h9 6d euapl , t ot hMe adya 2t a0s1e3t , pwr ho ve ind me su dl tei pa ll ea rnadt i tnrgasn bc he ce a nmaemme sa, ni ds saut oe rr ys ci shsauraanc ct ee rsi ps triecas d, .pAr il cl eo udraCt eL,Or et rf ae nr ec nh cees ar ar et ersa, t ce rdebdyi t eri taht ienrgMs , oboadl ya ’ns coer aSn&dP, porri mb oatrhy. 23 See also Bongaerts et al. (2012) on the effects of credit ratings on credit spreads. Chapter 3 - Security Design and Credit Rating Risk

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