R&R ratings fully reflect the time value of risk in ABS tranches.

There are many ways to slice a securitization but only one way to rate it: continuously.

Traditional ratings cover only a limited risk spectrum when the security goes to market. The risk measurement stops after origination.

R&R ratings reflect the evolving credit risk of tranches as new data become available. The computations are based on the data disclosures required by the U.S. Securities & Exchange Commission in Regulation AB1.  They are updated every payment period to provide a full picture of security risk and value through time.

Dynamic re-rating is good for the market. Investors benefit from an early warning signal on mispriced and underperforming transactions. Sellers whose assets meet the public performance criteria benefit from upgrade eligibility.

By reducing capital waste, R&R ratings promote capital renewability.

Rating-ΔBP
Aaa0.025
Aa10.250
Aa21.000
Aa32.500
A15.000
A29.000
A315.000
Baa123.000
Baa233.000
Baa350.000
Ba167.000
Ba2100.000
Ba3150.000
B1200.000
B2275.000
B3450.000
Caa1000.000
Ca5000.000