93 rl eesasc tf ai ovno rbayb ltei grhattei nngi ns gt hsat annidt sa cr do smtpheetri teoarf tMe ro, oc da uy ’ssi.n g S & P s i n c e t h e n t o p r o v i d e 29 This would also explain the smuebds itaann tcirael dl yi tsrma tai lnl eg r, bneucma ubseer wo ef dwuoaul -l dr aet xe pd edc et ai tl st opbo es tl -ecsrsi sl ii ks et lhyatth raet pSo&rPt ac al toewr eedr its rating to match that of Moody’s. Figure 3.2 confirms the trend that since 2008 ar astui nbgs tdains tcirael pl oa wn ceyr wn ua ms mb eors to pf Cr oLnOosuanrceeddi sbcel ot ws eede nw2i t0h0s4p tl iot 2r a0t0i n7g. s . B e f o r e 2 0 0 8 , Tf roa mc oe nwtor or kl . fFoor r ootuhre rr epg or es ss si bi ol en faancat ol yrssi ,s wi ne Emq uoavtei o tno ( 3a . 1m) ,utlht iev anrui amt eb erre og rf ecsrsei do int reaxtcilnugssivies pthaertditeiopnens:dent variable and we segment the sample into two mutually Both Equal Ratings and Single Rating. The presence of deal complexity factors are the primary independent variables and we include Tranche Count, Log Tranche Size and Capital Allocation. Table 3.2 report the estimates of the logit tests of Equation (3.1), where we regress the Number of Ratings on CLOs deal complexity factors. We further report specifications for AAA and nonAwAeAfurrattheedrtsreagnmcheenst. In Table 3.3, we repeat the analysis of Table 3.2, but here Single Rating into two mutually exclusive partitions. The first is Moody’s Exclusively that represent CLOs that received a credit rating from Moody’s but not from S&P. The second is S&P Exclusively, that contains only CLOs that were rated by S&P exclusively. 29 One such reputation loss is caused by the US government suing S&P for mispresenting the credit risk of complex financial products. Chapter 3 - Security Design and Credit Rating Risk
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