96 ItnranPcahneesls, rBesapnedctiCveolyf. TLaobolkein3g.2a, twtheereppseourtdoresults for only AAA and non-AAA R2s of Table 3.2, we can see that it is the highest for non-AAA tranches with 42% (Panel C). The pseudo R2 is slightly h( Pi gahneerl fBo )r twh ei t hf u lrl osuagmhpl yl e 2(7P%a n. e Ol Au )r wo ibt she3r v2a%t i ot hnas nrfeomr at hi ne Ar oAbAu tsrt a nwciht he spsoasmi tpi vl ee and highly significant coefficients for the complexity characteristics with the exception for Tranche Count. Interestingly, the coefficient of Tranche Count appears to change signs and becomes less significant for the non-AAA sample cc oo mm pp aa rr ee dd two i At hA tAh Ce LAOAs Aa rsea ml e ps sl ec. oOnuc re renxepdl aanbaot ui ot nt hi se ct ho amt pi nl evxe ts rt ao nr sc hi ne snt or un c- At uArAe because they receive payment only after the AAA has been paid.30 Note that we once again observe a post-crisis sign reversal, with this time negative significant odds ratios, at the 1% level for Log Tranche Size and Capital Allocation. As can be seen in both Panel B and Panel C, Log Tranche Size and Capital Allocation enter the logistical regression with very strong positive coefficients ae cf freocst s t au lrl nyse farrosm, b pu ot si ni t itvhee i pn ot os t ncergi saitsi vpee. rTi oh di s f mo retahness et hcaot mi np ltehxei tpy ei rni do idc aatfot er rs tt hh ee cbreies ni s ,mdoerael sl i kweiltyh t ol a rr eg pe ro rttr aa nt ci shseu as ni zcees oannl dy ohni gehcerre dc iatpriat at ilnagl ltohcaant itownol. e v e l s h a v e Td ehael sr ei ss us ul tesrisn ttehni ds es de cttoi odni si nc ldoiscea, tae tt ihsastu, ai nn ct he ,etpwroe -ecqr ui siivsapl eenr itocdr,efdoirt mr aot ri ne gcso rma tphl eexr than one single credit rating. These findings, both for the larger sample as well as the subsets of AAA and non-AAA CLO tranches, provide empirical evidence that 30t h eTihr ec ai ns vhefsl ot owr ss oi nn lAyAaAf t et rr atnhcehAe As Ar etcreainvcehteh epiarycma sehn tf loobwl isg awt ii ot hn sp hr iaovrei t by,etehne f iunl vf iel lsetdo.rTs hi na tnios ,ni-nAaA AC LtOr adnecahletshreerceeai vr ee at rl awnacyhsessuibno trhdei nsaat me dp tl er a. nI nc vheesst ot hr as t i ns uspupboorrtdtihnea tcerde dt ri ta nq cuha el ist yo of fa agAi vAeAn tdreaanlc ehiet ,haenr dh at hvee s ne oa rf eu rtthhee rn os nu -bAoAr dAi nr aa tt ee dd tdreaanl c. hC eosn suenqdueer nn tel ay ,t ht hteh ei ni rvse, sot ro rt so ian mn uo nc h- Al Ae sAs et rr aenxct he en st tahr ae nl et shse cAoAn Ac eirnnveeds taobr os ut ht at ht ea rneusme nb ieorr ot fo ttrha enmc h iens tihne as ad me ael than AAA investors.
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