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Credit Rating Over-Reliance in Asset Management

A Legal and Economic Analysis of Mutual Fund Prospectuses and Regulatory Law in Europe and The United States
Autor:innen:
Verlag:
 2023

Zusammenfassung

Durch die Finanzkrise 2008 wurden der weitreichende Einfluss von Kreditratings an den Kapitalmärkten in den Fokus gerückt sowie Zweifel an der Qualität der von den Agenturen veröffentlichten Ratings bestätigt. Im Kontext regulatorischer Bemühungen den Einfluss von Ratings einzuschränken, setzt sich das Werk mit der Frage auseinander, inwieweit Investmentfonds dazu verpflichtet sind, Anleihen zu veräußern, die nach einer Rating-Herabstufungen nicht mehr den Anlagerichtlinien entsprechen. Nach einer stat. Analyse von 200 europäischen und US-amerikanischen Fondsprospekten folgt eine Bewertung der Regelungsziele und Erarbeitung eines Strukturvorschlags für die Formulierung von Richtlinien im Sinne des Anleger- und Marktfunktionsschutzes.

Schlagworte

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Bibliographische Angaben

Copyrightjahr
2023
ISBN-Print
978-3-7560-1335-7
ISBN-Online
978-3-7489-1862-2
Verlag
Nomos, Baden-Baden
Reihe
Studien zum Bank-, Börsen- und Kapitalmarktrecht
Band
82
Sprache
Englisch
Seiten
262
Produkttyp
Monographie

Inhaltsverzeichnis

KapitelSeiten
  1. Titelei/Inhaltsverzeichnis Kein Zugriff 1 - 20
    1. A. Background Kein Zugriff
      1. 1. Regulation of Rating Over-Reliance in Asset Management Kein Zugriff
      2. 2. Credit Rating Downgrades as Threat to Financial Stability Kein Zugriff
      3. 3. Investment Guidelines as Subject of Regulation and Supervision Kein Zugriff
    3. C. Research Questions Kein Zugriff
    4. D. Methodology and Approach Kein Zugriff
      1. 1. Historic Development Kein Zugriff
        1. (i) Role of Creditworthiness Information for Financial Markets Kein Zugriff
        2. (ii) Function of Credit Rating Agencies as Information Intermediary for Market Participants Kein Zugriff
      3. 3. Market for Intermediated Financial Information as Structural Determinant Kein Zugriff
      4. 4. Credit Ratings Agencies within the Efficient Market Hypothesis Kein Zugriff
      5. 5. Credit Ratings between Transaction and Information Markets Kein Zugriff
      6. 6. Summary Kein Zugriff
      1. 1. Assessment of Default Probability Kein Zugriff
        1. (i) Subjective Third-Party Opinion Kein Zugriff
        2. (ii) Relative Grading of Creditworthiness Kein Zugriff
        3. (iii) Symbolical Expression of Credit Rating Kein Zugriff
        1. (i) Investor Pays vs. Issuer Pays Model Kein Zugriff
        2. (ii) The Rating Process: Solicited vs. Unsolicited Ratings Kein Zugriff
        1. (i) Issuer Rating Kein Zugriff
          1. (a) Bonds Kein Zugriff
          2. (b) Structured Financial Products Kein Zugriff
          3. (c) Preferred Stock Kein Zugriff
          4. (d) Sovereigns Kein Zugriff
      5. 5. Summary: Credit Ratings as Universal and Subjective Third-Party Opinions on Credit Risk Kein Zugriff
      1. 1. Regulation of Banks – Basel I, II & III Kein Zugriff
      2. 2. Regulation of Market Access Kein Zugriff
        1. (i) Insurances & Pension Funds Kein Zugriff
          1. (a) US Money Market Funds Kein Zugriff
          2. (b) EU Money Market Funds Kein Zugriff
          1. (a) Types of Debt Contract Rating Triggers Kein Zugriff
          2. (b) Implications of Debt Contract Rating Triggers Kein Zugriff
        2. (ii) Rating-Based Risk Limits and Strategies within Investment Mandates Kein Zugriff
        3. (iii) Summary: Credit Ratings’ Regulatory Function with Evident Trigger Effects Kein Zugriff
        1. (i) East-Asian Financial Crisis Kein Zugriff
        2. (ii) Corporate Bankruptcies: Enron and WorldCom Kein Zugriff
          1. (a) US Residential House Financing – Mortgage-Backed Securities and Collateralized Debt Obligations Kein Zugriff
          2. (b) Wide-Ranging Rating Downgrades Following Collapse of US Housing Market Kein Zugriff
        4. (iv) Sovereign Rating Downgrades as Crisis Contagion Kein Zugriff
        1. (i) Cognitive Biases and Skewed Incentives Kein Zugriff
        2. (ii) Parallels in Proposed Policy Implications Kein Zugriff
        1. (i) Flawed Rating Processes and Models as Source of Error Kein Zugriff
        2. (ii) Inaccurate Ratings as Result of Flawed Models and Processes Kein Zugriff
      4. 4. Misconceptions of Credit Ratings’ Meaning – Rating Over-Reliance Kein Zugriff
        1. (i) Structural Implications of Debt Markets Kein Zugriff
        2. (ii) Market Timing Implications Kein Zugriff
        3. (iii) Contagion through Credit Rating Agencies’ Rules Kein Zugriff
        4. (iv) Liquidity Squeeze Resulting from Sell-Offs Kein Zugriff
      6. 6. Summary: Consequences to Downgrades Following Ratings’ Failed Information Function Fortified through Rating Over-Reliance and Disadvantageous Structural and Situational Determinants Kein Zugriff
      1. 1. IOSCO Code of Conduct and Reputation Kein Zugriff
        1. (i) Credit Rating Agency Reform Act of 2006 Kein Zugriff
        2. (ii) Dodd Frank Act of 2010 Kein Zugriff
      3. 3. Regulation and Liability of CRAs in the EU Kein Zugriff
      4. 4. Summary Kein Zugriff
      1. 1. Market Segmentation through Rating Defined Investment Limits Kein Zugriff
      2. 2. Evidence for Synchronizing References to the Investment Grade Boundary Kein Zugriff
        1. (i) Results of Studies on Bond, Credit Default Swaps and Stock Prices Kein Zugriff
        2. (ii) Strong Price Movements around the Investment-/Non-Investment Grade Barrier Kein Zugriff
        3. (iii) Significance of Market Reactions of Solicited and Unsolicited Ratings Kein Zugriff
        4. (iv) Market Reactions in Advance of Rating Changes Kein Zugriff
        5. (v) Stronger Market Reactions to Downgrades Compared to Upgrades Kein Zugriff
        1. (i) Market Segmentation through Rating-Based Investment Limits Kein Zugriff
        2. (ii) Investment Grade Barrier as Synchronizer of Rating-Based Rules Kein Zugriff
      3. 3. Summary: Material Informational Value Inexplicable by the Semi-Efficient Market Hypothesis and Need for Regulation of Forced Sell-Offs with Focus on Investment Grade Barrier Kein Zugriff
        1. (i) US Approach to Reduce Rating Reliance: Early Initiatives and Dodd Frank Kein Zugriff
          1. (a) Content of Financial Stability Board Guidelines Kein Zugriff
            1. (1) CRA III Kein Zugriff
            2. (2) Non CRA III initiatives Kein Zugriff
      2. 2. Summary: Orchestrated and Wide-Ranging Initiatives to Reduce Rating Reliance within the US and Europe Kein Zugriff
      1. 1. Rationale for Collective Investments & Significance of Asset Management Kein Zugriff
        1. (i) Money Market Funds Kein Zugriff
        2. (ii) Investment Grade Index Funds Kein Zugriff
          1. (a) Collateral Downgrades Kein Zugriff
          2. (b) Counterparty Downgrade Kein Zugriff
          3. (c) Downgrade through Investment Guideline Minimum Risk Boundary Kein Zugriff
      1. 1. Historic Emergence of Investment Guidelines for Mutual Funds Kein Zugriff
        1. (i) Discretion, Moral Hazard and Economic Incentives Kein Zugriff
        2. (ii) Governance of Collective Investments Kein Zugriff
      3. 3. Emergence and Driver of Credit Rating References in Investment Guidelines Kein Zugriff
      1. 1. Introduction of KAGB §29 (2a) on the Basis of CRA III Article 5a Kein Zugriff
      2. 2. Amendments to Investment Act of 1940 Following Section 939 of Dodd Frank Kein Zugriff
        1. (i) Response by German Financial Market Authority BaFin Kein Zugriff
        2. (ii) Response by the SEC Kein Zugriff
        1. (i) Demand of Individual Credit Risk Assessments & Communication of Downgrade Procedures Kein Zugriff
        2. (ii) Access to Underlying Credit Rating Information Kein Zugriff
        3. (iii) Disclosure on Uses of External Ratings Kein Zugriff
        4. (iv) Quality of Counterparties and Collateral Kein Zugriff
        5. (v) Managing External Credit Rating Changes Kein Zugriff
        6. (vi) Investor Reliance on External Credit Ratings Kein Zugriff
        7. (vii) Summary: Confirmation of Ratings’ Market Relevant Role within Investment Guidelines & Proposals for Adjustment Kein Zugriff
        1. (i) General Joint Committee Good Practices Kein Zugriff
        2. (ii) Specific Joint Committee Good Practices Kein Zugriff
      6. 6. Comparative Summary of IOSCO and Joint Committee Good Practices Kein Zugriff
        1. (i) Pre-Crisis Survey Study by Cantor, Thomas and Gwilym Kein Zugriff
        2. (ii) Text Recognition Study on US Mutual Fund Investment Guidelines Kein Zugriff
      2. 2. Need for Comprehensive Empirical Review of Status-Quo Kein Zugriff
      1. 1. Do mutual fund investment guidelines pose a source of mechanistic rating reliance that can trigger forced sell-offs in a downgrade scenario? Kein Zugriff
      2. 2. Is there a consistent approach between US and EU issued documentation to address mechanistic rating reliance? Kein Zugriff
      3. 3. What constitutes non-mechanistic investment guidelines? Kein Zugriff
      4. 4. Which implications derive from investment guidelines that do not mechanistically rely on external credit ratings? Kein Zugriff
      1. 1. Model Requirements Kein Zugriff
        1. (i) Score Computation Structure Kein Zugriff
        2. (ii) Screening Process and Data Kein Zugriff
          1. (a) US Fund Database Kein Zugriff
          2. (b) E.U. Fund Database Kein Zugriff
        1. (i) Variable 1: Jurisdiction of Offering Kein Zugriff
        2. (ii) Variable 2: Size of Asset Management Firm Kein Zugriff
          1. (a) European Investment Objectives Kein Zugriff
          2. (b) US Investment Objectives Kein Zugriff
        1. (i) Group 1: Determinants of Rating Reliance Kein Zugriff
        2. (ii) Group 2: Divestment Controls Kein Zugriff
        3. (iii) Group 3: Divestment Alleviating Factors Kein Zugriff
      1. 1. Determining the Appropriate Econometric Methodology Kein Zugriff
      2. 2. Statistical Analysis of Results – Mann Whitney U-Test Kein Zugriff
      3. 3. Hypothesis Based Test Procedure Kein Zugriff
      1. 1. Hypothesis 1: There is no significant reliance on credit ratings. Kein Zugriff
      2. 2. Hypothesis 2: Mutual funds will not be forced to sell-off portfolio positions following a rating downgrade below the investment grade boundary by either S&P, Moody’s or Fitch. Kein Zugriff
      3. 3. Hypothesis 3: There is equal rating reliance between mutual fund prospectuses issued in the EU and the US. Kein Zugriff
      4. 4. Hypothesis 4: Large asset management firms are less reliant on external ratings compared to smaller firms Kein Zugriff
      5. 5. Hypothesis 5: Mutual funds categorized as “Investment Grade” funds are on average more reliant on external ratings. Kein Zugriff
      6. 6. Hypothesis 6: Mutual funds categorised as High Yield and Specialised Funds rely, on average, less mechanistically on external ratings compared to other all funds. Kein Zugriff
        1. (i) Structure of the Two-Sample Z-Test Kein Zugriff
        2. (ii) Rating Reliance Criteria and Jurisdiction Kein Zugriff
        3. (iii) Rating Reliance Criteria and Fund Size Kein Zugriff
        1. (i) Do mutual fund investment guidelines pose a source of mechanistic rating reliance that can trigger forced sell-offs in a downgrade scenario? Kein Zugriff
        2. (ii) Is there a consistent approach between US and EU issued documentation to address mechanistic rating reliance? Kein Zugriff
        3. (iii) What constitutes non-mechanistic investment guidelines? Kein Zugriff
        1. (i) Lack of Rating References and Contract Elements as Source of Low Rating Reliance Kein Zugriff
        2. (ii) Varied Results by Hypotheses Tests on Firm Size and Fund Type Kein Zugriff
        3. (iii) Non-Expressive Results from Differentiation between Fund Size and Reliance Categories Kein Zugriff
        4. (iv) Characteristics of Non-Mechanistically Rating Relying on Investment Guidelines Kein Zugriff
        1. (i) Theoretical Drawbacks to Elements of Divestment Controls Kein Zugriff
        2. (ii) Implications Deriving from Theoretical Drawbacks of Divestment Controls Kein Zugriff
      4. 4. Discussion on Conflict between Investor Protection and Enablement of Market Functioning Kein Zugriff
        1. (i) Decline in Role of Internal Risk Assessments Kein Zugriff
        2. (ii) Unclarity over Share of Rating-Based Investment Guidelines Kein Zugriff
        3. (iii) No Utilisation of Rating Outlooks or Watchlist Conditions Kein Zugriff
        4. (iv) Fewer Retention Clauses than Stated in 2007 Kein Zugriff
        5. (v) Equal Share of Proportionate Rating Definitions Kein Zugriff
        6. (vi) Confirmation of Results on US funds Kein Zugriff
        7. (vii) Concluding the Comparative Review of Empirical Findings Kein Zugriff
        8. (v) Relative Positioning to Previous Studies Kein Zugriff
  6. V. Summary and Conclusion Kein Zugriff 231 - 236
      1. 1. List of EU Funds Analysed (Table 9) Kein Zugriff
      2. 2. List of US Funds Analysed (Table 10) Kein Zugriff
    2. B. Empirical Model Structure (Table 11) Kein Zugriff
      1. 1. Reliance Score Distribution (Figure 2) Kein Zugriff
      2. 2. Immediacy Score Distribution (Figure 3) Kein Zugriff
  8. Bibliography Kein Zugriff 251 - 262

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