90 3.3.3.2 Design Characteristics of CLO Deal Complexity We report the descriptive statistics and variable distributions in Panels A to C of Table 3.1. Log Tranche Size equals the natural logarithm of the face value of amtirllaionnch. e at issuance. The mean tranche size over the whole sample is US$114 Capital Allocation is the level of capital allocatio26 and the mean is about 1m8e%anfoorvesrintghleewrahtoelde tsraamncphleesbeainndg a2b2o%u.t 24% for dual-rated tranches, with the Tranche Count equals the total number of tranches in a corresponding CLO deal. In our total sample, the tranche count27 pi ne ro uC rL Os arma npgl ee shfarso m6 t1o t9o t2r3a nwc iht ehsa( m5 6e%a n) . oWf 8e . 0f u5r. tThheer md eanj oort ei t yt hoef tvhaer isaebcl ue r i t i e s Post, a dummy variable set to one if the tranche is issued after the global financial c2r0i 0s i7s o( 6f ,2503047 t (r2a ,n3c9h7e tsr)a. nWc eh easr)ea anlds os ei tn tt oe rzeesrtoe di f it nh et ht rea ne fcfhe ec ti soifs st hu ee di ni nd eopr ebnedf oe nr et variables before and after the global financial crisis, so we introduce interaction variables with the complexity components and Post. 3.3.3.3 Control Variables Wu ned ei nr lcyl iundge dae anl , usmu bc he r a so f t rcaonnstarcotli ovna rvi aa lbul ee ,s ctroe dci at prtaut ri ne g c, hc ao ruancttreyr i sotf i ci ss s uo af ntchee, and year of issuance. Log Transaction Value equals the natural logarithm of the tt rraa nn scahcet ii os na pvaalrut )e m( ie. ea. ,s ut hree dfaicnemvial lliuoen, aUtSids soul laanrcse. T, ohfe tmh ee at ont a l C L O o f w h i c h t h e Transaction Value of tfohre csraemdpitlequisaUliSty$,6i.5e1., million. Consistent with Bongearts et al. (2012), we control Credit Rating in our analysis, and use a numerical scale to convert credit ratings of Moody’s (and, in parentheses, S&P) to numerical scores 26( e qTuhi ev ailne dn ut st ot r tyh es tlaenvde al rodf i fnot remr nual la c troe dmi t eeanshuarne c tehme elnetv oe lr souf bcor reddiint astui opnp ol ervt evl )i ai s c: a1p–i t(a%l aol fl odceaat li oonf tfroarn cah ter Xa n+c h%e oXf deal in more senior tranches). 27We excluded one outlier with 29 tranches in one deal.
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