In this paper, we empirically explore the effect of the complexity of a security’s design on hypotheses relating to credit rating shopping and rating catering in the collateralized loan obligation (CLO) market in the period before and after the global financial crisis in 2007. We find that complexity of a CLO’s design is an important factor in explaining the likelihood that market participants display behaviors consistent with either rating shopping or rating catering. In the period prior to 2007, we observe for more complex CLOs a higher incidence of dual-rated tranches, which are more likely to have been catered by credit rating agencies to match each other. Conversely, in the period after 2007, for CLOs, it is more likely that issuers shopped for ratings, in particular opting for a single credit rating by Moody’s, not by S&P. Furthermore, contrary to what market participants might expect, investors do not value dual ratings more than single ratings in the determination of the offering yield at issuance. Looking at the explanatory power of credit ratings for a dual rated CLO, the degree to which investors increase their reliance on credit ratings depends to a large extent on the disclosure of an S&P rating, not Moody’s. This suggests that investors recognize credit rating risk by agency in pricing CLOs. In sum, the policy implication is that, to effectively regulate CLOs, the regulatory environment ought to differentiate between complex and non-complex CLOs.

在本文中，我们通过实证研究了2007年全球金融危机之前和之后，证券设计的复杂性对与抵押贷款义务（CLO）市场中的信用评级购物和评级服务假设有关的假设的影响。我们发现CLO设计的复杂性是解释市场参与者显示与评级购物或评级餐饮一致的行为的可能性的重要因素。在2007年之前的一段时间内，我们观察到更复杂的CLO发生的双重评级档次更高，而信用评级机构更可能会提供这种双重评级档次来相互匹配。相反，在2007年之后的时期，对于CLO，发行人更有可能购买评级，尤其是选择穆迪而非标准普尔的单一信用评级。此外，与市场参与者的预期相反，在确定发行时的收益率时，投资者对双重评级的评价不比单一评级高。从双重评级CLO的信用评级的解释力来看，投资者对信用评级的依赖程度在很大程度上取决于标准普尔评级的披露，而不是穆迪的披露。这表明投资者在定价CLO时会通过代理商认识到信用评级风险。总之，政策含义是，要有效地监管CLO，监管环境应区分复杂CLO和非复杂CLO。从双重评级CLO的信用评级的解释力来看，投资者对信用评级的依赖程度在很大程度上取决于标准普尔评级的披露，而不是穆迪的披露。这表明投资者在定价CLO时会通过代理商认识到信用评级风险。总之，政策含义是，要有效地监管CLO，监管环境应区分复杂CLO和非复杂CLO。从双重评级CLO的信用评级的解释力来看，投资者对信用评级的依赖程度在很大程度上取决于标准普尔评级的披露，而不是穆迪的披露。这表明投资者在定价CLO时会通过代理商认识到信用评级风险。总之，政策含义是，要有效地监管CLO，监管环境应区分复杂CLO和非复杂CLO。