This Gallo_Park_JMCB(20-141)_readme.txt file was generated on 2022-03-24 by Angela Gallo and Min Park.


GENERAL INFORMATION

1. Title of Dataset: CLO Market and Corporate Lending

2. Author Information
	Author 1
		Name: Angela Gallo
		Institution: Bayes Business School
		Address: 106 Bunhill Row, London EC1Y 8TZ, United Kingdom
		Email: angela.gallo.1@city.ac.uk

	Author 2
		Name: Min Park
		Institution: University of Bristol
		Address: 15-19 Tyndalls Park Road, Bristol BS8 1PQ, United Kingdom
		Email: min.park@bristol.ac.uk


	
DATA SETS & SOURCES 

1. DealScan 1999-2004:
- Syndicated loan data reporting borrower, lending bank, and loan characteristics including amount, maturity, spread, lead arranger, and covenant. 
- Access at the London School of Economics library in 2014 via a transfer to a USB by an LSE librarian 
(Remark: DealScan data up to 2009 were acquired and stored by LSE library for in-person access at that time.) 

2. DealScan 2016-2019: 
- Syndicated loan data reporting borrower, lending bank, and loan characteristics including amount, maturity, spread, lead arranger, and covenant. 
- Downloaded from Thomson-Refinitiv via WRDS in 2020 using an access purchased by University of Exeter 

3. Compustat-Capital IQ: 
- Borrower company industry classification 
- Downloaded via WRDS in 2016 and in 2021 using subscription by University of Exeter

4. Compustat Bank:
- Bank characteristics including total assets, equity, ROA, deposit, cash holdings, loan amount, and liquidity
- Downloaded via WRDS in 2020 and 2021 using subscription by University of Exeter

5. SNL Financial: 
- Bank characteristics including total assets, equity, ROA, deposit, cash holdings, loan amount, and liquidity
- Downloaded from SNL Financial (now S&P Global Market Intelligence) in 2015 using subscription by Bayes Business School

6. CLO data: 
- Commentary document from S&P Capital IQ in 2015 downloaded using subscription by Bayes Business School
- Title of the document: "Global CBO/CLO Deals Rated by Standard & Poor's" 
- Securitization deal information available from 1994 to 2001
- Reports transaction-level data including transaction name, deal type, identity of collateral manager/servicer and underwriter, amount of liabilities Issued, currencies, and initial rating

7. Global CLO issuance data:
- Publicly available data downloaded from www.sifma.org
- Reports total volume of global securitization deals outstanding per category of securitization (CDO, CLO etc.)



SHARING/ACCESS INFORMATION

1. Licenses/restrictions placed on the data sets 1-6: 
Proprietary: access offered to the members of the institutions which purchased subscriptions for the databases 

2. Licenses/restrictions placed on the data set 7:
Publicly downloadable from www.sifma.org
The data set can be found in the file named "sf-global-cdo-sifma.csv"



DATA FILE OVERVIEW:

Following data files are used to construct the final data set "prob(lead arranger).dta" that is used for the regressions. 
(Remark: Before the recent update in Jul 2021, DealScan stored its data in multiple files separately for every variable. The authors obtained 20 separate data files which carried syndicated loan information - offering lender/borrower company information and syndicated loan variables in each of them. DealScan now changed its data storage format to allow researchers to download multiple variables in one file. While one can still download the format that the authors used by opting for "Legacy" version of DealScan on WRDS, when the new format of data set is used, there can be fewer data files to work with and commands can be structured in a simpler way.)

1. "Pac - Borrowercompanyid - Dealactivedate - FacilityID - Lendercompanyid.dta": DealScan variables (package ID, borrower company ID, deal active date, facility ID, lender company ID) merged into one files
2. "ALL WC Lender.dta": list of banks that had syndicated loans given to WorldCom at the time of its collapse identified in DealScan 
3. "enron_lenders.dta": list of banks that had syndicated loans given to WorldCom and Enron at the time of their collapse identified in DealScan 
4. "CarillionLender_CLO2.dta": list of banks that had syndicated loans given to Carillion at the time of its collapse identified in DealScan 
5. "facstartenddate.dta": facility starting date from DealScan
6. "SecuritizingLenders.dta": list of banks with CLO access identified by S&P Capital IQ commentary document 
7. "Lead_Arranger.dta": list of lead arrangers in facilities identified by the following DealScan variables: leadarrangercredit=="Yes" or agentcredit=="Yes" or bankallocation==100
8. "packageid - dealamount.dta": total deal amount per package from DealScan
9. "pac - maturity.dta": deal maturity (number of months between deal starting and end dates) per package from DealScan
10. "Loan Spread per Package.dta": DealScan facility spread information aggregated to construct deal-level spread information using major facilities (sum of facility spreads within package using revolving and Term A and B)
11. "Facility -loantype.dta": type of facility from DealScan (revolving, Term A, Term B etc) 
12. "secured.dta": whether the facility is secured from DealScan
13. "Facility - amt, maturity, secured.dta": Facility amount and maturity (number of months from start to end date) from DealScan 
14. "CurrFacPricing-mini.dta": loan spread per facility from DealScan
15. "n_part per facility.dta": number of participants per facility from DealScan
16. "borrower_industrycode.dta": borrower industry code from DealScan
17. "DS Compustat - matching file by Roberts.dta": DealScan and GVKey matching file by Chava, Sudheer, and Michael R. Roberts, 2008, How Does Financing Impact Investment? The Role of Debt Covenants, Journal of Finance 63, 2085-2121
18. "Compustat - financials - quarterly - packageid.dta": borrower compustat matched to DealScan package ID using Roberts matching file
19. "Borrower Compustat.dta": borrower company accounting data from Compustat
20. "Lender Control.dta": bank characteristics from SNL.com
21. "Bank_Controls.dta": bank characteristics from Compustat Bank
22. "CLO Demand.dta": global CLO issuance volume download from https://www.sifma.org
23. "CLO_Amount_Pre.dta": total CLO securities issuance per bank before the WorldCom shock
24. "colmanager_underwriter_dependence.dta": list of banks that act as CLO collateral manager as well as underwriter from S&P Capital IQ commentary document 
25. "AllInDrawn_byPackage.dta": DealScan facility spread information aggregated to construct deal-level spread information (sum of facility spreads within package)
26. "packageid-covenant.dta": covenant per package constructed as in Bradley-Roberts (2015) using DealScan
27. "pac - n of part.dta": number of package participants from DealScan



DATA PROCESSING FILE OVERVIEW:

1. Gallo_Park_JMCB(20-414)_file1.do:
Lines 1-362 construction of the data set into an analyzable format 
Lines 366-957 regressions to produce Tables 1-12 & 14 using the data set constructed in the l.1-362
Method used: summary statistics, t-test, triple-differences regression 

2. Gallo_Park_JMCB(20-414)_file2.do:
Lines 1-366 construction of the data set into an analyzable format 
Lines 372-431 regressions to produce Table 13 using the data set produced in the l.1-366
Method used: triple-differences regression 

3. Gallo_Park_JMCB(20-414)_file3:
Lines 1-205 construction of the data set into an analyzable format 
Lines 209-280 regressions to produce Table 15 using the data set produced in the l.1-205
Method used: triple-differences regression 

4. Gallo_Park_JMCB(20-414)_file4.do:
Lines 1-85 produces Figure 3
Lines 89-143 produces Figure 4
Method used: two-way connected graphs using summary statistics, dynamic differences-in-differences graph 



DATA PROCESSING SOFTWARE: 

STATA17
