Capital Structure
Rating Tranches
Also known as: AAA, BBB, CCC, investment grade, high yield
status: draft
Credit ratings assigned to tranches based on their loss protection. AAA tranches have the most credit enhancement and get paid first; lower-rated tranches absorb losses before senior tranches are impacted.
What to watch
AAA requires significant subordination (often 15-30% for consumer ABS). BBB is still investment grade but thinner cushion. CCC is deep subordination, often equity-like risk. Ratings drive investor eligibility: insurance companies and money market funds often require investment grade (BBB- or better).
Referenced in 97 topics
ABF as an asset class for portfolio construction playbooks Accessing insurance capital for originators playbooks Advanced waterfall mechanics mechanics Aircraft leases asset-classes Auto loans and leases asset-classes Back leverage (provider perspective) capital-sources Back leverage and fund financing playbooks Bank regulatory considerations legal Basel III/IV capital treatment regulatory Bermuda and offshore insurance capital capital-sources BNPL receivables asset-classes Bridge / fix-and-flip asset-classes Broadly syndicated loan CLOs asset-classes Building your ABF pitch playbooks Cash flow modeling accounting-valuation Cash operations and waterfall execution operations-lifecycle CECL and accounting considerations accounting-valuation Cell tower and data center ABS (digital infrastructure) asset-classes Choosing the right structure playbooks CMBS (conduit, SASB, large loan) asset-classes Collateralized loan obligations (CLOs) structures Common negotiation mistakes playbooks Container leases asset-classes CRE CLOs asset-classes Credit analysis accounting-valuation Credit card receivables asset-classes Credit funds and private capital capital-sources Deal structures asset-classes Deal timeline matrix appendix DSCR investor loans asset-classes Education and vocational receivables asset-classes Equipment leases and loans asset-classes EU/UK securitization regulations legal Evaluating a credit fund's ABF strategy playbooks Evaluating portfolio quality and performance playbooks Finding capital providers market-landscape Hedging and interest rate mechanics mechanics Home equity and helocs asset-classes How ABF works (5-minute overview) foundations How to benchmark your deal against the market playbooks ILS diligence guide asset-classes Infrastructure debt asset-classes Insurance and bank investor considerations legal Insurance capital capital-sources Insurance-linked securities asset-classes Key participants asset-classes Mark-to-model practices accounting-valuation Market data and public datasets market-landscape Market spreads guide market-landscape Marketplace lending and fintech-originated asset-classes Middle market CLOs asset-classes NAIC designations and regulatory framework capital-sources NAIC filing and designation deep dive legal Non-QM lending asset-classes Pension funds as direct investors capital-sources Performance triggers mechanics Personal / unsecured consumer loans asset-classes Pharma royalties asset-classes Portfolio valuation accounting-valuation Premium finance asset-classes Preparing your data room playbooks Pricing and relative value accounting-valuation Pricing negotiation playbooks Primary market process market-landscape Prime jumbo asset-classes Private placement / bespoke structures structures Public markets and retail access capital-sources Rail cars and rolling stock asset-classes Rated note feeders structures Rating agencies counterparties Re-performing loans (RPL) asset-classes Reading the credit cycle market-landscape Repackaging structures structures Revenue-based financing asset-classes Risk retention rules legal Secondary market and liquidity market-landscape Servicing covenants mechanics Servicing operations operations-lifecycle Single-family rental (SFR) asset-classes Small business loans (including SBA 7(a)) asset-classes Solar / renewable energy (PACE, PPA, solar loan) asset-classes Sourcing capital for ABF funds playbooks Sourcing deals (originator perspective) playbooks Structuring deals for investor appeal playbooks Student loans (federal and private) asset-classes Term securitization (ABS/MBS) structures The ABF ecosystem (players, roles, and how they interact) foundations The economics of ABF for originators (worked examples) playbooks Timeshare receivables asset-classes Top capital provider mistakes playbooks Track record presentation playbooks Trade receivables and supply chain finance asset-classes Understanding ABF LPs playbooks Understanding back leverage (LP perspective) playbooks Valuation methodologies accounting-valuation What capital providers care about playbooks Whole business securitization asset-classes