欧洲央行-监管变化对评级行为的影响（英）-2024.3_市场营销策划_2024年市场报告-3月第4周.docx

AbstractWeexamineratingbehaviouraftertheintroductionofnewregulationsregardingCreditRatingAgencies(CRAS)intheEuropeansecuritisationmarket.Employingalargesampleof12,469ABStranchesissuedbetween1998and2018,WeexaminetheinformationcontentofyieldspreadsofABSattheissuanceandcomparethepre-andpost-GFCperiods.Wefindthattheregulato11rchangeshavebeeneffectiveintacklingconflictsofinterestbetweenissuersandCRAsinsecuritisation.Ratingcateringseemstohavedisappearedinthepost-GFCperiod.YetWeseelimitedeffectivenessonratingshopping.Itfollowsthatratingover-reliancemightbeanissue,especiallyforinvestorsofhigher-qualityABS.Keywords:Securitisation;asset-backedsecurities;creditratingagencies;ratingshopping;ratingcatering;ratinginflation;EuropeJE1.classification:G21;G28Non-TechnicalSummaryThe2008GlobalFinancialCrisis(GFC)revealedweaknessesoncreditratings,especiallythoseforstructuredfinancialproductssuchasasset-backedsecurities(ABS).Duringthepre-GFCperiod,creditratingswerebyfarthegreatestsinglefactorconsideredbyinvestorsindeterminingABSrisks(Adelino,2009;Covaletal.,2009b;Miihlmann,2012).ItiswelldocumentedthatmanyinvestorsboughtABSwithoutunderstandingthetrueriskexposureduringthisperiod(Bolton,FreixasandShapiro,2012;KisgenandStrahan,2010;Mahlmann,2012).ItisarguedthatcreditratingsnotreflectingthetruerisklevelswasafundamentalweaknessintheABSprocessesinthepre-GFCperiodandplayedakeyroleinthegrowingfinancialinstabilitythateventuallyledtothecrisis(Covaletal.,2009a;BenmelechandDlugosz,2010).TheGFChasalsorevealedtheexistenceofconflictsofinterestbetweenCRAsandtheirclients(i.e.issuers).Thereisempiricalevidenceofratingcateringinthesecuritisationmarketinthepre-GFCperiod(Heetal.,2012;EfingandHau,2015).ItisalsoarguedthatcompetitioninstructuredfinancialmarketsinflictedpressureonCRAstoawardhigherratingstogaincustomers(Griffinetal.,2013).CompetitionamongCRAscoulddiminishratingsquality(Golan,Parlour,andRajan,2011)andpromotesratingshoppingbyissuersresultinginratinginflation(Boltonetal.,2012).Inaddition,itisarguedthatCRAsaremorelikelytofacilitateratingfavoursduringfinancialmarketboomperiods,whenpotentialreputationaldamageislower(Bar-IsaacandShapiro,2013)andwheninvestorsaregenerallymoretrusting(Boltonetal.,2012).Thispaperinvestigatestheimpactofthepost-GFCregulatorychangesintheEuropeansecuritisationmarket.FollowingtheGFC,EUregulatorsproposedasetofrulesandguidelinestoreviveawell-functioningsecuritisationmarketandensuringmarketconfidence(EUCommission,2018).Accordingly,asetofmeasureswereintroducedbytheEUCommissiontoregulateandSUPerViSeCRAs.ThenewCRAregulationisintroducedinthreestages,withthefirstimplementedin2009,focusingonreducingconflictsofinterestandimprovingratingmethodologies.In2011,inadditiontothecreationofEuropeanSecuritiesandMarketsAuthority(ESMA),aregulator-andsupervisor-bodyforCRAswasintroduced.Finally,in2013,furtheramendmentsandanadditionalsetofmeasures(i.e.CRAIII)wereintroducedaimingatimprovingtransparencyandreducingratingover-reliance.Specifically,thenewregulationrequiredissuersofstructuredfinancialproductstoobtaincreditratingsfromatleasttwoindependentCRASandmakethesepublic.WeexaminehowratingbehaviourshavechangedintheEuropeansecuritisationmarketaftertheintroductionofthesenewregulations.Employingalargesampleof12,469ABStranchesissuedbetween1998and2018,weexaminetheinformationcontentofyieldspreadsofABSatissuanceandcomparepre-andpost-GFCperiods.InitialyieldspreadsreflectallrisksconsideredbyinvestorswheninvestinginABSandanysuspicionofconflictsofinterestarefoundtobereflectedintheinitialpriceofthesecurities(Heetal.,2012;EfingandHau,2015).WeutilisetheexistenceofmultipleratingsandraringagreementsbetueenCRAstoidentifytheexistenceofratingshoppingandratingcatering,respectively(Griffinetal.,2013;Heetal.,2012;2016).WefindthattheregulatorychangeshavebeeneffectiveintacklingconflictsofinterestbetweenissuersandCRAsinthestructuredfinancemarket.Ratingcatering,whichisadirectconsequenceofissuerandCRAcollusion,seemstohavedisappearedaftertheintroductionoftheseregulations.Regardingratingshopping,Wefindthattheeffectivenessofthechangeshasbeenlimited.Wealsofindthatratingoverreliancemightstillbeanissue,especiallyforinvestorsofhigher-qualitybonds.1. IntroductionThe2008GlobalFinancialCrisis(GFC)revealedweaknessesintheexistingEuropeanUnion(EU)rulesoncreditratings,especiallythoseforstructuredfinancialproductssuchasasset-backedsecurities(ABS).TheinherentcomplexityintheABSmarketmakesitextremelychallengingforinvestorstoconductduediligenceonsuchinstruments,makingcreditratingsavitalsourceofinformation.Indeed,duringthepre-GFCperiod,creditratingswerebyfarthegreatestsinglefactorconsideredbyinvestorsindeterminingABSrisks(Adelino,2009;Covaletal.,2009b;Mahlmann,2012).ItiswelldocumentedthatmanyinvestorsboughtABSwithoutunderstandingthetrueriskexposureduringthisperiod(Bolton,FreixasandShapiro,2012;KisgenandStrahan,2010;Miihlmann,2012).Unfortunately,itisnowclearthatintheyearsprecedingthefinancialcrisis,creditratingagencies(CRAs)failedtocompletelycapturetherisksinvolvedinABSm