Every AiGLe Score is produced by independent assessment across four pillars. Each pillar carries a published weighting; the final grade is the ordinal minimum of the scorable chain — no pillar can be overridden by strength elsewhere.
The economic and legal substance of the underlying claim, right, or cashflow. For litigation pools: precedent strength, remedy definition, limitation posture, and claim screening discipline.
How the instrument is built. Overcollateralisation, waterfall seniority, bankruptcy remoteness of the SPV, disbursement caps, and trigger mechanics. Weaker assets inside stronger structures are scorable; the inverse rarely is.
Precedent binding-ness, forum risk, limitation defences, procedural cost exposure, and the integrity of the ATE wrapper. An AiGLe Score cannot exceed the weakest enforceable element of the claim chain.
The solvency and willingness-to-pay of defendants, the credit strength of the ATE insurer or capital guarantor, and — where applicable — the credit quality of the SPV sponsor. SIFIs weigh differently from mid-tier finance houses.
The four pillars produce a qualitative ordinal. The quantitative layer converts expected outcomes into a risk-adjusted return profile benchmarked against a risk-free baseline, stress-tested against downside scenarios.
p is the modelled success probability; R_floor is the contractually guaranteed downside return where applicable.
Total volatility derived from the binary distribution. Risk-free rate: UK 2Y Gilt.
Downside-only semi-deviation. For instruments with a contractual floor, dispersion compresses — producing Sortino > Sharpe under positive skew.
Reported pre-diversification. Realised portfolio volatility typically lower due to imperfect correlation across genres.
The AAA-to-B scale is ordinal and methodology-driven. The Sharpe and Sortino metrics sit alongside the letter score as risk-adjusted indicators, not as the score itself. Investors receive both.
All risk-adjusted return metrics use the prevailing UK 2-Year Gilt yield as the risk-free rate, sourced from a single public feed and fixed at the score date. Directly comparable to conventional asset classes.
Where an instrument embeds a contractual capital-plus-floor guarantee from an investment-grade insurer, the downside distribution is truncated. We reflect this in the Sortino ratio rather than pretending returns are normally distributed — which they are not.
Blended pool metrics are computed as pre-diversification weighted averages. Benefits from imperfect correlation are discussed qualitatively and, where material, modelled under a disclosed correlation matrix.
The OC ratio is the face value of the claim pool divided by the par value of notes issued against it. An OC of 6.4:1 means £640,000 of assessed claim value backs every £100,000 of investor notes — the pool must lose more than 84% of its value before investor capital is at risk. Higher OC translates directly to higher score grades and lower capital charges for regulated holders. OC is Pillar II’s primary structural metric for all LBS score outputs.
Full methodology is set out in AiGLe’s published criteria papers. Access the Criteria Archive →