An empirical analysis of the effect of multiple credit ratings on reducing asset securitisation financing costs

Abstract

This paper delves into the correlation between multiple credit ratings and the financing costs associated with asset securitisation, utilising data spanning from 2012 to 2022 pertaining to credit, corporate asset-backed securities, and asset-backed notes. The research reveals that incorporating multiple credit ratings, as opposed to relying solely on a single rating, favourably impacts the accessibility of more favourable financing costs. Furthermore, the employment of both the "issuer pays" and "investor pays" rating models, as compared to utilising just the "issuer pays" model, proves to be more effective in mitigating the financing costs of asset securitisation products.