Securitized Banking and the Run on Repo Tables 1-7

Table I: Broker-Dealer Repo Financing ($ billions) Mid-2008 GS MS LEH ML Financial instruments owned 411,194 390.393 269,409 288,925 of which pledged (and can be repledged) 37,383 140,000 43,031 27,512 of which pledged (and cannot be repledged) 120,980 54,492 80,000 53,025 of which not pledged at all 252,831 195,901 146,378 208,388 % own financial instruments pledged 38.5% 49.8% 45.7% 27.9% Source: Company 10-Qs. See King (2008) and Aitken and Singh (2009). End of 2006 Financial instruments owned of which pledged (and can be repledged) of which pledged (and cannot be repledged) of which not pledged at all % own financial instruments pledged Source: Company 10-Qs. BSC 141,104 22,903 Sum 1,501,025 270,829 54,000 64,201 54.5% 362,497 867,699 42.2% GS MS LEH ML 334,561 380,853 226,596 312,187 35,998 125,000 42,600 58,966 BSC 125,168 15,967 134,310 63,903 75,000 68,594 164,253 191,950 108,996 184,627 50.9% 49.6% 51.9% 40.9% 41,000 68,201 45.5% Sum ML* ML** 1,379,365 287,258 203,848 278,531 58,966 58,966 382,807 718,027 47.9% 68,594 159,698 44.4% Merrill Lynch (ML) did not list “Financial instruments owned.“ Instead, ML listed “Trading assets,“ “Investment securities“ and “Securities received as collateral“. In the column ML, all three asset categories were used. In the column marked ML**, only Trading assets and Investment securities were included. In the case of ML**, only Trading assets were used. 68,594 76,288 62.6% Table II Summary Statistics This table reports the summary statistics for the state variable, credit spreads, repo spreads and control variables used in this paper. For each series we show summary statistics for the whole period and four subperiods. Panel A shows statistics for the state variable LIB-OIS and the credit spreads of three categories of subprime related assets. Panel B and Panel C shows statistics for the credit spreads of U.S. and non-U.S. non-subprime asset classes. Panel D reports the statistics for the spreads between three-month repo rates and OIS. Panel E shows statistics for the five control variables used in the regression analysis. All variables given in this Table are defined in Appendix A. All spreads are measured in basis points, with spread computations explained in Appendix B. Series LIB-OIS Spread HEL BBB Mezzanine CDO BBB HELOC AAA Countrywide WAMU MBIA MGIC Radian Panel A: State Variable and Subprime Related Assets Class Periods Mean Median Std. Err. State Variable Whole period 72.43 66.44 67.57 First half of 2007 7.97 7.88 0.42 Second half of 2007 58.71 60.78 28.64 All of 2007 33.34 8.50 32.53 All of 2008 108.10 77.20 71.61 Credit Spreads of Sub-prime Related Assets Whole period 714.25 425.00 545.26 First half of 2007 273.27 250.00 93.54 Second half of 2007 1113.46 1000.00 441.03 All of 2007 693.37 425.00 528.75 Whole period 2861.93 2969.42 2023.57 First half of 2007 627.50 650.00 152.50 Second half of 2007 2178.47 1940.75 659.41 All of 2007 1402.99 1025.00 915.27 All of 2008 4858.38 4687.97 1268.88 Whole Period 121.60 18.00 157.64 First half of 2007 15.35 15.00 1.23 Second half of 2007 213.31 195.00 159.59 All of 2007 114.33 18.00 149.92 CDS Spreads of Subprime Mortgage Lenders Whole period 275.86 220.02 253.96 First half of 2007 51.10 50.79 17.64 Second half of 2007 445.43 282.34 338.99 All of 2007 248.26 71.09 310.03 All of 2008 301.04 260.00 188.39 Whole period 413.57 318.33 643.09 First half of 2007 35.39 33.68 11.11 Second half of 2007 189.27 122.03 133.36 All of 2007 112.33 50.32 121.71 All of 2008 815.23 438.90 818.44 CDS Spreads of Monoline Insurers Whole period 911.33 391.88 1116.88 First half of 2007 24.20 22.66 9.34 Second half of 2007 164.92 121.69 89.44 All of 2007 94.56 43.69 94.93 All of 2008 1656.46 1391.26 1101.33 Whole period 520.96 453.46 406.35 First half of 2007 51.42 52.40 17.82 Second half of 2007 270.97 245.95 138.90 All of 2007 161.20 79.09 147.99 All of 2008 849.17 885.61 262.06 Whole period 1072.85 809.83 956.80 First half of 2007 56.54 55.49 18.12 Second half of 2007 536.20 559.22 261.37 All of 2007 296.37 86.62 303.80 All of 2008 1781.22 1938.22 781.58 Max Min 354.20 9.15 104.73 104.73 354.20 7.45 7.45 7.70 7.45 24.33 1800.00 425.00 1800.00 1800.00 8421.76 950.00 3063.16 3063.16 8421.76 500.00 18.00 500.00 500.00 170.00 170.00 350.00 170.00 365.00 365.00 1100.00 365.00 3016.83 14.00 14.00 15.00 14.00 1185.84 77.57 1088.00 1088.00 1185.84 4352.43 57.38 438.47 438.47 4352.43 22.52 22.52 62.53 22.52 95.67 19.61 19.61 42.55 19.61 255.00 4153.55 42.20 322.96 322.96 4153.55 1411.73 81.32 528.53 528.53 1411.73 3164.27 93.39 1000.32 1000.32 3164.27 13.46 13.46 45.18 13.46 372.55 27.48 27.48 71.21 27.48 320.00 28.53 28.53 73.26 28.53 704.70 Series Auto AAA Cards AAA Student AAA CMBS AAA HG SF CDO AAA Mezzanine SF CDO AAA Australia RMBS AAA UK RMBS AAA Dutch RMBS AAA UK Cards AAA European Consumer Receivable AAA European Auto AAA Panel B:U.S. Non-Subprime Asset Classes Periods Mean Median Whole period 109.42 55.00 First half of 2007 -1.00 -1.00 Second half of 2007 23.38 20.00 All of 2007 11.19 -1.00 All of 2008 199.04 110.00 Whole period 101.92 55.00 First half of 2007 -3.31 -3.00 Second half of 2007 24.88 23.00 All of 2007 10.79 -3.00 All of 2008 185.05 100.00 Whole period 65.11 30.00 First half of 2007 -1.12 -1.00 Second half of 2007 17.92 18.00 All of 2007 8.40 0.00 All of 2008 116.84 65.00 Whole period 241.16 123.00 First half of 2007 26.27 26.50 Second half of 2007 65.88 62.00 All of 2007 46.08 31.25 All of 2008 419.12 250.00 Whole period 482.24 428.32 First half of 2007 23.73 23.00 Second half of 2007 177.88 108.09 All of 2007 100.81 38.50 All of 2008 830.22 849.77 Whole period 1094.17 1084.79 First half of 2007 54.38 55.00 Second half of 2007 567.96 444.69 All of 2007 311.17 110.00 All of 2008 1808.49 1742.65 Panel C: Non-US Non-Subprime Asset Classes Whole period 145.60 90.00 First half of 2007 6.23 7.00 Second half of 2007 48.15 50.00 All of 2007 27.19 7.00 All of 2008 257.55 200.00 Whole period 124.53 80.00 First half of 2007 4.96 5.00 Second half of 2007 45.15 50.00 All of 2007 25.06 6.00 All of 2008 218.58 180.00 Whole Period 56.56 50.00 First half of 2007 10.69 11.00 Second half of 2007 40.35 39.00 All of 2007 25.52 12.00 All of 2008 97.95 90.00 Whole period 178.62 150.00 First half of 2007 10.08 10.00 Second half of 2007 44.38 40.00 All of 2007 32.95 27.00 All of 2008 281.91 215.00 Whole period 206.25 200.00 First half of 2007 15.29 15.00 Second half of 2007 54.92 55.00 All of 2007 46.52 50.00 All of 2008 302.09 235.00 Whole period 120.57 85.00 First half of 2007 7.14 7.00 Second half of 2007 37.31 35.00 All of 2007 30.91 30.00 All of 2008 174.36 115.00 Std. Err. 153.65 0.00 16.11 16.70 167.75 148.93 0.47 17.73 18.89 166.45 90.47 1.18 10.28 12.03 99.71 313.92 2.79 21.83 25.25 349.14 424.87 2.68 135.50 122.72 275.79 873.46 20.99 380.54 372.07 506.59 Max 500.00 -1.00 50.00 50.00 500.00 550.00 -3.00 55.00 55.00 550.00 325.00 0.00 35.00 35.00 325.00 1350.00 31.00 105.00 105.00 1350.00 1463.10 35.00 450.90 450.90 1463.10 2712.79 105.00 1084.79 1084.79 2712.79 Min -1.00 -1.00 -1.00 -1.00 50.00 -4.00 -4.00 -3.00 -4.00 50.00 -3.00 -3.00 0.00 -3.00 25.00 22.00 22.00 31.50 22.00 83.00 23.00 23.00 42.00 23.00 391.43 32.00 32.00 115.00 32.00 1006.25 151.22 0.91 24.66 27.32 133.86 131.25 0.72 22.23 25.58 121.08 42.40 0.74 18.96 20.02 25.38 176.97 0.28 25.94 26.67 165.05 176.36 0.76 25.05 27.59 157.19 119.56 0.38 18.62 20.68 122.14 650.00 7.00 90.00 90.00 650.00 440.00 6.00 80.00 80.00 440.00 170.00 12.00 70.00 70.00 170.00 625.00 11.00 90.00 90.00 625.00 600.00 17.00 95.00 95.00 600.00 450.00 8.00 65.00 65.00 450.00 5.00 5.00 5.00 5.00 90.00 4.00 4.00 5.00 4.00 80.00 10.00 10.00 11.00 10.00 60.00 10.00 10.00 11.00 10.00 90.00 15.00 15.00 18.00 15.00 95.00 7.00 7.00 8.00 7.00 60.00 Panel D: Repo Rate Spreads (bps; except repo haircuts) Series BBB+ / A Corporates AA-AAA Corporates A-AAA ABS-Auto / CC / SL AA-AAA ABS-RMBS / CMBS < AA ABS-RMBS / CMBS Unpriced ABS / MBS / All Sub-Prime AA-AAA CLO AA-AAA CDO Unpriced CLO / CDO Repo-Rate Index and Repo-Haircut Index (last column) Periods Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Whole period First half of 2007 Second half of 2007 All of 2007 All of 2008 Mean 86.50 2.01 61.85 32.28 136.19 77.59 -1.69 55.27 27.13 123.86 105.22 4.44 68.44 36.82 167.92 124.04 6.41 76.35 41.80 199.44 135.90 9.41 84.55 47.43 217.01 108.94 10.41 95.62 53.52 187.28 134.46 6.41 85.93 46.64 214.96 130.09 7.41 107.77 58.19 231.72 148.32 9.41 122.63 66.69 268.39 151.36 6.03 84.27 45.61 248.29 Median 82.14 1.95 65.49 2.70 103.63 74.78 -2.05 58.95 -1.35 92.11 94.76 4.00 71.78 5.25 119.81 107.78 6.00 81.78 7.00 145.08 117.78 9.00 88.20 10.00 153.95 109.69 10.00 97.83 11.00 197.88 117.14 6.00 92.65 7.00 148.76 124.69 7.00 109.35 8.00 241.39 142.60 9.00 124.42 10.00 256.58 130.89 5.67 89.18 6.98 171.20 Std. Err. 83.15 0.61 36.29 39.53 81.61 78.42 1.90 34.53 37.64 77.57 101.00 1.77 40.93 43.29 98.07 120.11 1.76 43.92 46.92 117.27 129.02 1.76 48.62 51.08 125.56 84.64 1.76 58.54 59.59 42.23 127.18 1.76 51.27 53.98 121.61 107.46 1.76 69.56 70.48 56.52 123.54 1.76 80.14 80.34 63.03 152.79 1.45 51.14 53.44 149.95 Max 429.43 5.30 126.35 126.35 429.43 409.43 10.44 116.35 116.35 409.43 479.43 11.00 141.35 141.35 479.43 520.30 13.00 151.35 151.35 520.30 550.30 16.00 166.35 166.35 550.30 295.38 17.00 196.35 196.35 295.38 545.30 13.00 171.35 171.35 545.30 380.38 14.00 226.35 226.35 380.38 413.75 16.00 256.35 256.35 413.75 688.10 11.33 172.46 172.46 688.10 Min 0.50 0.50 1.70 0.50 44.33 -3.50 -3.50 -2.30 -3.50 39.33 1.70 1.70 3.70 1.70 54.33 3.70 3.70 5.70 3.70 64.33 6.70 6.70 8.70 6.70 69.33 7.70 7.70 9.70 7.70 99.33 3.70 3.70 5.70 3.70 79.33 4.70 4.70 6.70 4.70 129.33 6.70 6.70 8.70 6.70 154.33 3.81 3.81 5.37 3.81 81.55 Mean of Haircut 0.5% 0.0% 0.0% 0.0% 0.9% 0.5% 0.0% 0.0% 0.0% 0.9% 5.2% 0.0% 0.9% 0.5% 9.5% 9.4% 0.0% 1.8% 0.9% 17.1% 10.6% 0.0% 3.7% 1.9% 18.6% 37.3% 0.0% 7.7% 3.9% 68.0% 10.2% 0.0% 1.8% 0.9% 18.7% 30.0% 0.0% 8.3% 4.3% 53.5% 32.4% 0.0% 10.5% 5.4% 57.3% 15.1% 0.0% 3.9% 2.0% 27.2% Series ABX Index (bps) 10Year Treasury Rate OIS Return of S&P 500 VIX Slope of Yield Curve Panel E: Control variables Periods Mean Median Whole period 4090.11 3604.00 First half of 2007 302.15 329.50 Second half of 2007 1657.69 1752.00 All of 2007 979.92 481.50 All of 2008 6927.48 6938.67 Whole period 4.07% 4.04% First half of 2007 4.77% 4.73% Second half of 2007 4.52% 4.51% All of 2007 4.64% 4.66% All of 2008 3.56% 3.72% Whole period 3.26% 3.53% First half of 2007 5.28% 5.28% Second half of 2007 4.65% 4.60% All of 2007 4.96% 5.27% All of 2008 1.70% 2.00% Whole period -0.40% 0.20% First half of 2007 0.25% 0.18% -0.06% 0.01% Second half of 2007 0.09% 0.18% All of 2007 All of 2008 -0.85% 0.22% Whole period 25.94 22.49 First half of 2007 13.05 13.07 Second half of 2007 21.88 21.2 All of 2007 17.47 15.68 All of 2008 33.68 25.59 Whole period 1.01% 1.22% First half of 2007 -0.02% -0.04% Second half of 2007 0.59% 0.55% All of 2007 0.29% 0.18% 1.66% 1.57% All of 2008 Std. Err. 3524.76 139.54 894.91 933.01 2447.64 0.71% 0.20% 0.32% 0.29% 0.56% 1.79% 0.01% 0.42% 0.43% 0.94% 3.83% 1.45% 2.02% 1.75% 4.98% 14.93 1.97 4.02 5.45 16.59 0.78% 0.09% 0.31% 0.38% 0.34% Max 10940.98 552.00 3286.00 3286.00 10940.98 5.19% 5.19% 5.14% 5.19% 4.50% 5.29% 5.29% 5.28% 5.29% 3.96% 17.97% 3.04% 3.74% 3.74% 17.97% 80.86 17.06 30.83 30.83 80.86 2.62% 0.22% 1.39% 1.39% 2.62% Min 121.00 121.00 368.00 121.00 3373.00 2.08% 4.51% 3.96% 3.96% 2.08% 0.18% 5.26% 4.07% 4.07% 0.18% -18.34% -3.65% -4.53% -4.53% -18.34% 10.18 10.18 15.23 10.18 16.3 -0.13% -0.13% 0.17% -0.13% 1.08% Table III Credit Spreads Regression Results For each bond i, we estimate equation (2) using weekly data from January 4, 2007 to January 29, 2009, ∆LIB-OIS is the percentage change of the spread between the 3-month LIBOR and the Overnight Index Swap (OIS). ∆ABX is the parentage change of the ABX index at period t. ∆OIS is the Overnight Index Swap. ∆r-10 is the change in yield on the 10-year Treasury, with its square given by (∆r-10)^2. ∆Slope is the change in 10-year minus 2-year Treasury yields. ∆VIX is the change in implied volatility of S&P 500, and ∆S&P is the return on S&P 500. t-statistics are given in parentheses below the coefficient estimates. The last two rows report F-statistics and p-values for the key state variables. The null hypothesis of the LIB-OIS F-Test is that the sum of all coefficients of ∆LIB-OIS and its lags is zero. The null hypothesis of the ABX F-Test is the sum of all coefficients of ∆ABX and its lags is zero. Panel A shows the results of six U.S. non-subprime assets and Panel B shows the results of six non-US non-subprime assets. Panel A: U.S. Non-Subprime Asset Classes Credit Spreads Intercept ∆LIB-OIS ∆LIB-OIS, t-1 ∆LIB-OIS, t-2 ∆LIB-OIS, t-3 ∆ABX ∆ABX, t-1 ∆ABX, t-2 ∆ABX, t-3 ∆OIS ∆r-10 (∆r-10)^2 ∆S&P ∆VIX ∆Slope LIB-OIS F-test ABX F-test Cards 0.003 (0.1) 0.341 (3.24) 0.264 (2.64) 0.132 (1.32) 0.027 (0.27) -0.141 (-0.66) 0.079 (0.36) 0.315 (1.48) -0.277 (-1.3) -0.253 (-0.78) 0.111 (0.58) 0.174 (0.57) -0.443 (-0.29) -0.006 (-0.5) -0.155 (-0.74) 20.16 (< 0.01) 0.00 (0.95) Auto 0.016 (0.33) 0.079 (0.54) 0.486 (3.55) 0.012 (0.08) 0.170 (1.25) -0.331 (-1.13) -0.025 (-0.09) 0.250 (0.86) -0.351 (-1.2) -0.147 (-0.33) -0.092 (-0.36) 0.076 (0.18) 1.518 (0.7) 0.004 (0.23) 0.189 (0.64) 10.26 (< 0.01) 0.73 (0.40) Student -0.010 (-0.33) 0.461 (5.23) 0.131 (1.59) 0.138 (1.67) -0.013 (-0.16) 0.455 (2.32) 0.119 (0.6) -0.202 (-1.06) -0.150 (-0.69) -0.358 (-1.34) 0.059 (0.36) 0.037 (0.14) -0.757 (-0.57) -0.003 (-0.29) -0.039 (-0.23) 26.13 (< 0.01) 0.42 (0.52) CMBS 0.036 (2.41) 0.025 (0.26) 0.078 (0.84) -0.082 (-0.92) -0.030 (-0.33) 0.012 (0.27) -0.013 (-0.32) -0.072 (-1.71) -0.052 (-1.24) -0.096 (-0.69) -0.214 (-2.65) -0.042 (-0.33) -1.622 (-2.42) 0.003 (0.56) 0.298 (3.29) 2.99 (0.08) 0.00 (0.95) HG SF CDO 0.042 (2.86) -0.051 (-1.16) -0.042 (-1.00) 0.038 (0.91) -0.030 (-0.72) 0.001 (0.00) 0.016 (0.18) -0.020 (-0.23) 0.049 (0.54) 0.156 (1.14) -0.227 (-2.87) -0.094 (-0.75) -0.580 (-0.89) 0.002 (0.41) 0.269 (3.02) 1.38 (0.24) 0.08 (0.78) Mezz SF CDO 0.052 (3.96) -0.037 (-0.94) 0.055 (1.45) -0.081 (-2.15) -0.004 (-0.1) 0.070 (0.86) 0.061 (0.74) -0.040 (-0.5) -0.011 (-0.14) 0.106 (0.85) -0.132 (-1.85) -0.144 (-1.26) 0.592 (0.99) 0.006 (1.26) 0.075 (0.92) 1.08 (0.30) 0.39 (0.59) Intercept ∆LIB-OIS ∆LIB-OIS, t-1 ∆LIB-OIS, t-2 ∆LIB-OIS, t-3 ∆ABX ∆ABX, t-1 ∆ABX, t-2 ∆ABX, t-3 ∆OIS ∆r-10 (∆r-10)^2 ∆S&P ∆VIX ∆Slope LIB-OIS F-test ABX F-test Australia RMBS 0.014 (0.52) 0.126 (1.57) 0.575 (7.56) -0.181 (-2.44) 0.138 (1.86) 0.025 (0.15) -0.002 (-0.02) -0.171 (-1.09) 0.173 (1.09) 0.034 (0.1) -0.207 (-1.36) 0.194 (0.85) -0.915 (-0.76) -0.006 (-0.64) 0.179 (1.05) 25.57 (< 0.01) 0.01 (0.93) Panel B: Non-US Non-Subprime Asset Classes Credit Spreads European Dutch Consumer UK RMBS RMBS UK Cards Receivable 0.017 0.014 0.031 0.032 (0.93) (1.14) (2.4) (3.21) 0.100 0.109 0.240 0.049 (4.38) (2.71) (2.86) (1.76) 0.021 0.071 0.136 0.237 (4.57) (2.11) (3.72) (0.8) -0.051 0.115 0.019 0.033 (-1.01) (3.42) (0.52) (1.26) 0.067 -0.015 -0.019 0.020 (1.32) (-0.47) (-0.55) (0.77) 0.116 0.095 0.094 0.029 (0.26) (1.65) (1.37) (1.03) 0.002 0.028 0.022 0.001 (0.19) (0.01) (0.03) (0.34) -0.018 -0.037 0.011 0.037 (-0.17) (-0.54) (0.13) (0.54) 0.072 -0.109 -0.084 -0.060 (0.66) (-1.6) (-1.05) (-0.9) -0.237 -0.051 -0.031 -0.054 (-0.63) (-0.33) (-0.15) (-0.48) -0.140 -0.067 -0.106 -0.134 (-0.81) (-1.84) (-1.34) (-1.97) -0.058 -0.036 -0.022 -0.096 (-0.15) (-0.5) (-0.34) (-1.23) -0.272 -0.709 0.194 0.164 (-0.33) (-0.86) (0.28) (0.45) -0.001 -0.002 0.000 0.001 (-0.11) (-0.31) (0.07) (0.39) 0.051 0.133 0.091 0.077 (0.51) (1.64) (0.66) (1.53) 6.56 20.89 14.40 30.71 (< 0.01) (< 0.01) (< 0.01) (0.01) 0.28 0.14 0.09 0.51 (0.60) (0.71) (0.77) (0.48) European Auto 0.037 (2.35) 0.081 (1.8) 0.019 (0.45) 0.104 (2.51) 0.022 (0.53) 0.095 (0.84) -0.010 (-0.09) 0.044 (0.4) -0.265 (-2.47) -0.164 (-0.91) -0.146 (-1.71) -0.018 (-0.15) 0.695 (1.01) 0.003 (0.6) 0.190 (2) 8.62 (< 0.01) 0.41 (0.52) Table IV Summary of F-Test Results for Different Asset Categories For each bond i, we estimate equation (2) using weekly data from January 4, 2007 to January 29, 2009, ∆LIB-OIS is the percentage change of the spread between the 3-month LIBOR and the Overnight Index Swap (OIS). This table summarizes the F-test results for the LIB-OIS state variable and its lags. The null hypothesis of F-test is the sum of all coefficients of ∆LIB-OIS and its lags is zero. The numbers in the table indicate how many F-tests of bonds in each category are significant at various confidence levels. Asset categories are listed in Panel A of Table I. “Negative” and “Positive” indicate the sign of the sum of coefficients for ∆LIB-OIS and its lags. Panel A: Whole Period: January 4, 2007 to January 29, 2009 Negative Positive Categories Total Number 10% 5% 1% 10% 5% 1% Subprime Nonsubprime_US Nonsubprime_Europe Financial Industrial 63 176 59 46 48 1 3 0 0 0 1 0 0 0 0 0 0 0 0 0 2 4 0 3 5 1 7 6 2 14 2 106 39 6 9 Total 392 4 1 0 14 30 162 Panel B: Subperiod I: January 4, 2007 to December 27, 2007 Negative Positive Categories Total Number 10% 5% 1% 10% 5% 1% Subprime Nonsubprime_US Nonsubprime_Europe Financial Industrial 63 176 59 46 48 2 4 0 3 0 4 0 0 1 0 2 1 0 0 0 0 8 5 1 0 2 21 10 2 1 1 75 24 1 4 Total 392 9 5 3 14 36 105 Panel C: Subperiod II: January 3, 2008 to January 29,2009 Negative Positive Categories Total Number 10% 5% 1% 10% 5% 1% Subprime Nonsubprime_US Nonsubprime_Europe Financial Industrial 63 176 59 46 48 1 8 0 0 0 0 0 0 0 0 0 0 0 0 0 0 23 0 6 6 0 26 1 10 9 0 41 0 6 21 Total 392 9 0 0 35 46 68 Table V Summary of F-Test Results for Different Rating Classes For each bond i, we estimate equation (2) using weekly data from January 4, 2007 to January 29, 2009, ∆LIB-OIS is the percentage change of the spread between the 3-month LIBOR and the Overnight Index Swap (OIS).This table summarizes the F-test results for the LIB-OIS state variable and its lags. The null hypothesis of F-test is the sum of all coefficients of ∆LIB-OIS and its lags is zero. The numbers in the table indicate how many F-tests of bonds in each rating class are significant at various confidence levels. “Negative” and “Positive” indicate the sign of the sum of the coefficients for ∆LIB-OIS and its lags. Panel A: Whole Period: January 4, 2007 to January 29, 2009 Negative Positive Rating Total Number 10% 5% 1% 10% 5% 1% AAA AA A BBB Other 157 47 74 83 31 4 0 0 0 0 0 1 0 0 0 0 0 0 0 0 4 1 3 2 4 10 3 5 6 6 83 9 33 36 1 Total 392 4 1 0 14 30 162 Panel B: Subperiod I: January 4, 2007 to December 27, 2007 Negative Positive Rating Total Number 10% 5% 1% 10% 5% 1% AAA AA A BBB Other 157 47 74 83 31 5 0 0 1 3 1 0 2 1 1 1 1 0 0 1 9 0 3 1 1 25 1 4 5 1 47 7 27 23 1 Total 392 9 5 3 14 36 105 Panel C: Subperiod II: January 3, 2008 to January 29,2 009 Negative Positive Rating Total Number 10% 5% 1% 10% 5% 1% AAA AA A BBB Other 157 47 74 83 31 0 1 4 4 0 0 0 0 0 0 0 0 0 0 0 4 3 14 9 5 13 12 9 11 1 44 4 5 5 10 Total 392 9 0 0 35 46 68 Table VI Repo Spreads Regression Results For each class of securitized bonds, we estimate equation (3) using weekly data from January 4, 2007 to January 29, 2009. ∆LIB-OIS is the percentage change of the spread between the 3-month LIBOR and the Overnight Index Swap (OIS). ∆ABX is the parentage change of the ABX index at period t. ∆OIS is the Overnight Index Swap. ∆r-10 is the change in yield on the 10-year Treasury, with its square given by (∆r-10)^2. ∆Slope is the change in 10-year minus 2-year Treasury yields. ∆VIX is the change in implied volatility of S&P 500, and ∆S&P is the return on S&P 500. tstatistics are given in parentheses below the coefficient estimates. The last two rows report F-statistics and p-values for the key state variables. The null hypothesis of the LIB-OIS F-Test is that the sum of all coefficients of ∆LIB-OIS and its lags is zero. The null hypothesis of the ABX F-Test is the sum of all coefficients of ∆ABX and its lags is zero. The null hypothesis of the VOL F-Test is the sum of all coefficients of VOL and its lags is zero. Intercept ∆LIB-OIS ∆LIB-OIS, t-1 ∆LIB-OIS, t-2 ∆LIB-OIS, t-3 ∆ABX ∆ABX, t-1 ∆ABX, t-2 ∆ABX, t-3 ∆VOL ∆VOL, t-1 ∆VOL, t-2 ∆VOL, t-3 ∆OIS ∆r-10 (∆r-10)^2 ∆S&P ∆VIX ∆Slope LIB-OIS F-Test ABX F-Test VOL F-Test A-AAA ABSAuto / CC / SL 0.035 (0.86) 1.321 (12) -0.168 (-1.58) 0.084 (0.8) -0.134 (-1.27) -0.188 (-0.86) 0.227 (1.03) 0.435 (1.99) 0.018 (0.08) -0.002 (-0.32) 0.000 (0.03) -0.002 (-0.32) 0.001 (0.18) 0.060 (0.11) 0.085 (0.4) -0.178 (-0.52) -0.374 (-0.21) 0.004 (0.29) -0.218 (-0.98) 32.56 (< 0.01) 1.44 (0.23) 0.53 (0.47) < AA ABSRMBS / CMBS 0.015 (0.89) 0.825 (17.26) -0.004 (-0.1) 0.071 (1.57) 0.004 (0.09) -0.152 (-1.59) 0.020 (0.21) 0.007 (0.07) 0.064 (0.67) 0.000 (0.15) 0.000 (-0.35) 0.000 (0.76) 0.000 (-0.78) -0.044 (-0.19) 0.023 (0.27) -0.019 (-0.13) 0.136 (0.17) 0.000 (-0.01) -0.080 (-0.81) 129.61 (< 0.01) 0.12 (0.73) 0.01 (0.93) Repo Rate Spreads AA-AAA ABSRMBS / CMBS AA-AAA CLO 0.016 0.017 (0.71) (0.71) 1.043 1.025 (16.45) (15.66) -0.056 -0.068 (-0.93) (-1.08) 0.099 0.115 (1.65) (1.85) -0.040 -0.021 (-0.66) (-0.35) -0.169 -0.183 (-1.32) (-1.4) 0.072 0.076 (0.57) (0.58) 0.092 0.086 (0.73) (0.66) 0.057 0.085 (0.44) (0.66) 0.000 0.000 (0.42) (0.25) -0.001 -0.001 (-0.73) (-0.6) 0.001 0.001 (0.98) (0.45) -0.001 -0.001 (-1.19) (-1.3) -0.078 -0.005 (-0.21) (-0.01) 0.085 0.028 (0.73) (0.23) 0.010 0.019 (0.05) (0.09) -0.158 0.430 (-0.15) (0.39) 0.001 0.006 (0.09) (0.64) -0.122 -0.027 (-0.92) (-0.2) 100.87 96.07 (< 0.01) (< 0.01) 0.05 0.07 (0.82) (0.79) 0.34 1.80 (0.56) (0.18) AA-AAA CDO 0.024 (0.93) 0.558 (7.26) 0.044 (0.67) 0.062 (0.85) 0.010 (0.15) -0.031 (-0.23) 0.206 (1.5) 0.037 (0.28) 0.052 (0.38) 0.000 (0.25) -0.002 (-0.84) 0.001 (0.26) 0.002 (0.8) 0.184 (0.21) 0.142 (0.79) -0.082 (-0.35) -2.373 (-1.38) 0.000 (-0.01) -0.196 (-0.99) 30.37 (< 0.01) 1.07 (0.3) 0.14 (0.71) Table VII Haircut Regression Results For each class of securitized bonds, we estimate equation (7) using weekly data from January 4, 2007 to January 29, 2009, ∆LIB-OIS is the percentage change of the spread between the 3-month LIBOR and the Overnight Index Swap (OIS). ∆ABX is the parentage change of the ABX index at period t. ∆OIS is the Overnight Index Swap. ∆r-10 is the change in yield on the 10-year Treasury, with its square given by (∆r-10)^2. ∆Slope is the change in 10-year minus 2-year Treasury yields. ∆VIX is the change in implied volatility of S&P 500, and ∆S&P is the return on S&P 500. tstatistics are given in parentheses below the coefficient estimates. The last two rows report F-statistics and p-values for the key state variables. The null hypothesis of the LIB-OIS F-Test is that the sum of all coefficients of ∆LIB-OIS and its lags is zero. The null hypothesis of the ABX F-Test is the sum of all coefficients of ∆ABX and its lags is zero. The null hypothesis of the VOL F-Test is the sum of all coefficients of VOL and its lags is zero. Intercept ∆LIB-OIS ∆LIB-OIS, t-1 ∆LIB-OIS, t-2 ∆LIB-OIS, t-3 ∆ABX ∆ABX, t-1 ∆ABX, t-2 ∆ABX, t-3 ∆VOL ∆VOL, t-1 ∆VOL, t-2 ∆VOL, t-3 ∆OIS ∆r-10 (∆r-10)^2 ∆S&P ∆VIX ∆Slope LIB-OIS F-Test ABX F-Test VOL F-Test A-AAA ABSAuto / CC / SL 0.00096 (0.69) -0.00010 (-1.44) -0.00010 (-1.53) 0.00005 (0.75) -0.00001 (-0.12) 0.00001 (1.05) 0.00000 (0.06) 0.00000 (0.12) 0.00000 (-0.79) 0.00036 (2.31) -0.00049 (-2.01) 0.00049 (2.09) -0.00005 (-0.28) 0.00476 (0.4) 0.00413 (0.6) 0.00703 (0.64) 0.03663 (0.66) 0.00037 (0.77) 0.01253 (1.63) 1.47 (0.23) 0.05 (0.83) 4.66 (0.03) Haircut Regression with Lags Change of Haircuts < AA ABSAA-AAA ABSRMBS / CMBS RMBS / CMBS AA-AAA CDO 0.00266 0.00194 -0.00514 (1.19) (1.08) (-0.34) 0.00009 0.00010 0.00121 (0.89) (1.25) (0.85) 0.00001 -0.00002 0.00079 (0.07) (-0.24) (0.55) 0.00008 0.00011 -0.00053 (0.75) (1.31) (-0.41) -0.00014 -0.00010 0.00073 (-1.2) (-1.18) (0.62) 0.00000 0.00001 0.00004 (0.33) (1.19) (0.69) -0.00001 0.00000 0.00001 (-1.05) (-0.64) (0.2) 0.00001 0.00001 0.00002 (0.67) (0.86) (0.32) -0.00001 -0.00001 0.00003 (-1.4) (-1.58) (0.44) 0.00001 0.00000 0.00311 (0.52) (-0.06) (3.19) -0.00001 -0.00001 -0.00345 (-0.24) (-0.12) (-2.37) 0.00002 0.00003 0.00235 (0.36) (0.34) (1.57) -0.00001 -0.00004 0.00006 (-0.52) (-0.69) (0.05) -0.01801 -0.01655 -0.09061 (-0.92) (-1.02) (-0.67) -0.01072 -0.00689 0.04610 (-1.02) (-0.82) (0.51) -0.00617 -0.00882 -0.13209 (-0.36) (-0.62) (-0.97) -0.02488 -0.06200 0.07360 (-0.28) (-0.89) (0.09) -0.00014 -0.00042 0.00098 (-0.18) (-0.68) (0.14) 0.01069 0.00682 -0.07066 (0.85) (0.67) (-0.7) 0.06 0.69 0.89 (0.81) (0.41) (0.35) 0.58 0.01 0.64 (0.45) (0.92) (0.43) 0.07 0.29 5.33 (0.80) (0.60) (0.02) AA-AAA CLO 0.00311 (1.59) 0.00003 (0.27) 0.00008 (0.67) -0.00016 (-1.45) 0.00006 (0.74) 0.00000 (-0.34) 0.00000 (0.18) 0.00000 (0.43) -0.00001 (-1.34) 0.00015 (2.05) 0.00000 (0.04) -0.00016 (-1.61) 0.00017 (1.99) -0.01967 (-1.2) 0.00241 (0.26) -0.00100 (-0.06) -0.00699 (-0.09) -0.00074 (-1.07) -0.00906 (-0.85) 0.01 (0.91) 0.32 (0.57) 5.53 (0.02)