84 Ratings, is defined as the number of credit ratings disclosed for CLOs at issue ao nr dd ui sa lmr ea at isnugr e( id. eu. , soi nn ge ca r de du imt mr ayt i nv ga rbi aybel ei t hs teart Mi n og owd hy ’est ho er rS t&hPe, oCrL Oa chraedd iat rsai nt ignl ge frraot imn gb odti hs c) .l oTsheed s aa mt ips lseu oe f, 8a ,n9d3 15 t, 5r a9n7c ht reasnccohnessi swt si tohf 3a , 3d3u4a lt rraant ci nhge.s Twhi ut hs , a 3s7i n. 3g%l e oP fa nt heel Bt r aonf cThaebsl er e3c. 1e i vr ee dp oar tssi nt ghlee vraa rt ii na bg l ea nddi s6t r2i.b7u%t i oonf . t Shlei gthr talcyhme soar edAu Aa lAr ar taitnegd. twr ahni lcehtehse ar er ea rr ea tme do rbey nMo ono- AdAy ’As r( 2a t, 4e d0 7t rtarna cnhc ehse sb)y t Sh&a nP b( 5y , 0S 0&5P t(r2a,n3c6h9e st r) atnhcahne bs )y, Mc r oe do di tyl ’oss(s4i,s7 g4r7etartaenr cfho er sn)o. Fnr- Ao mA At ht he ai nn vf eosr tAo rA pAoriantteodf sveiceuwr,i tt hi ees ,r mi s ke aonf iinngc ut hr raitntgh ae iAmApAorrat at endc es eocfuorbi ttiaeisntihnagnmf ourl tci polme pc lreexd Ai t ArAa t ri nagt esdmsaeyc ubrei thi ei sg.h e r f o r c o m p l e x n o n - 24 For this reason, we ad li sf foe rl eo no tki aat te Ab Ae tAwreaetne dp rsee-c au nr idt i ep so satn- cdr ins oi sn y- Ae aArAs , ri ant eodr dseerc tuor iat isesse ssse pwahr ea tt he leyr. tWh ee nchaatunrgeedofsitnhceertehleatciroinsissh.ip between complexity and the number of ratings has aNnedx tS, &wPe. Iann 9a l3y. z7e%r aotfi nt hg ed icsacsreesp, aMn oc yo. dWy ’es caonnds iSd&e Pr ai sl ls turea nt hc he essa mr a et e rda tbi yn gMfooor dtyh’ es CLO. The dependent variable in model (2), Rating Discrepancy exists when the twr ae nmc he ae sius rreart ae tdi nugnde iqs uc ra el lpy abnyc yt haes tChReAnsu. mC oenr si ci sa tl edni ft f ewriet nh cBe oi nn gnaoet rc thsees tt ha la. t( r2e0s 1u 2l t)s, fi sr os ume sf ruobmt r at hc tei nngu ma ne ruimc ael rei qc auli veaql ue invtaol ef nt ht eo fl ot wh ee shti gc hr eeds ti t crraetdi ni tg raast si ni ggnaesds iagtni es sduaet. T5 6h .i3s %r e sotfr ai cl lt itorna ne cxhc leusdbeesc3a7u. s3e%t hoef ya lrl et cr ea invcehde ds ubaelc, abuusteetqhue ay l wr aetrien sg isnagtl ei srsaut ee df raonmd Moody’s and S&P, leaving a sample of 567 CLO (6.4%) tranches with split ratings 24 For example, He et al. (2016) separately test the AAA and sub-AAA tranches of mortgage-backed securities from 2000 to 2006 and find signs of rating shopping in non-AAA rated tranches.
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