85 amt oi ss tsluye o. nL oe onkoi nt cgh a: to Pf at hn ee l 5C6 o7 f sTeacbulrei t3i e. 1s , wt hi et hms apgl int i rt ua tdi en gosf , r4a4t i5n gt rda inscchr ee ps a(n7c8y%i s) anroet crhaet es dd wi f fiet rheonnc ee na no dt c ht hdei frfeemr eani cnei n. Og n5l0y t7r2a nt rcahnecsh(e9s%( 1) 3a%r e) raartee dr awt ei tdhwt hi trhe et woor more notches difference. For securities issued at par, the Spread at issue – the dependent variable in model (d3a)t e– oef qpur ai cl si ntgh ae nqdutoht ee dc omu pa rogni no fbt ehtewi ne ei tni atl hyei ebl de ,nmc he ma saurrke dr ai tne baagsri es epdo iunpt os n( bapt st)h. e 25 It shseuias ns uc ea ns pc er esapdr ei sa da , mt heea ss ue cr eo no df at hr ye rmi sakr kper te ms pi ruema dd ve amr ai ensdtehdr obuy gi hn ov eu st tao rt rs a. Un cnhl iek’ es lpi feer f aonr md ai sn caef f. eTcht ei sd i bs yt hf ea crteoar ss obne wy ohnydt ht he ei scsrueadni tc er astpi nr eg a sdu icsh uasse dt haes cao ml l aet ae sr ua lr’ es rather than the secondary spread. The mean issuance spread for the whole s s a u m bs p e l t e . is 177 bps. In model (3), we split the sample in a dual and single-rated 25 Almost all CLO tranches are issued at par. Where that was not the case, they were excluded from the sample. Chapter 3 - Security Design and Credit Rating Risk
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