86 This table reports summary statistics of CLO securities issued in November 1996 up to May 2013. ‘Number of Ratings’ that equals 1 if, at issuance, a security had two ratings and zero if it had only one rating. ‘Rating Discrepancy’ stands for the notches difference that results from calculating the numerical difference in credit rating of S&P and Moody’s for each security that has two ratings. ‘Tranche Count’ stands for the total number of tranches in the CLO of which the security is a part of. ‘Tranche Size’ is the face value of the security at issuance in million US dollar, ‘Log Tranche Size’ is the natural logarithm of the face value of the security at issuance. ‘Capital Allocation’ represents the level of internal credit enhancement supporting such a security within a CLO, measured as the ratio of all tranches subordinated to the tranche in question divided by the total face value of the CLO. ‘Credit Rating’ are 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. ‘Euro Market’ is a dummy variable of 1 when the security is issued and sold in the Euro market, and zero if the security is issued and sold in the US market. ‘Top Ten Issuer’ is a dummy that equals 1 if the issuer is among the top 10% of issuers in the global CLOs market measured by size, and zero otherwise. ‘Transaction Value’ is the value of the entire deal measured in million US dollars, ‘Log Transaction Value’ is the natural logarithm of the transaction value of the deal at issuance. ‘Year Controls’ represent the year of issuance, which equals a dummy of 1 that corresponds to the year the CLO was issued, zero otherwise. Table 3.1: Summary statistics of CLOs characteristics. Panel A: Overall Summary Statistics Variable N Mean Median Std P25 P75 Number of Ratings 8,931 0.63 1 0.48 0 1 Rating Discrepancy 8,931 2.60 0 4.19 0 3 Spread at issue 7,706 177 100 184 38 265 Tranche Count 8,931 8.05 7.00 3.44 6.00 10.00 Tranche Size 8,931 114 26 374 14.5 75 Log Tranche Size 8,931 17.35 17.07 1.43 16.49 18.13 Capital Allocation (in %) 8,931 0.22 0.18 0.19 0.09 0.30 Credit Rating 8,931 5.69 6 4.33 1 9 Euro Market 8,931 0.37 0 0.47 0 1 Top Ten Issuer (in %) 8,931 0.33 0 0.47 0 1 Transaction Value 8,931 651 459 857 364 600 Log Transaction Value 8,931 20.00 19.94 0.66 19.71 20.21 Year of Issuance 8,931 2006 2006 3.60 2005 2008
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