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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
Authors:
Publisher:
 2023

Summary

The 2008 financial crisis brought the far-reaching influence of credit ratings on capital markets into focus and confirmed doubts about the quality of ratings published by rat-ing agencies. In the context of regulatory efforts to limit the influence of ratings, Marius Müller addresses the question to what extent investment funds are obliged to sell bonds that no longer comply with investment guidelines following a rating downgrade. Results of a statistical analysis of 200 European and U.S. fund prospectuses are evaluated in the light of regulatory objectives. Subsequently, a structural proposal for the formulation of investment guidelines is developed, accounting for the protection of investor interests and market functioning.

Keywords

Bibliographic data

Copyright year
2023
ISBN-Print
978-3-7560-1335-7
ISBN-Online
978-3-7489-1862-2
Publisher
Nomos, Baden-Baden
Series
Studien zum Bank-, Börsen- und Kapitalmarktrecht
Volume
82
Language
English
Pages
262
Product type
Book Titles

Table of contents

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

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