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Assets

Last updated: September 8, 2026

The Asset Rating Framework is a layered, integrated set of methodologies that captures the unique characteristics and risks of each asset's structure across a wide range of asset types. Outputs from anchoring methodologies serve as inputs to subsequent layers, ensuring foundational risk evaluations propagate consistently through the broader assessment.

Default Definition. Probability of Default (PD) is the likelihood that an asset fails to meet its redemption or reserve commitments. In Credora's framework, a default occurs when a token fundamentally fails to maintain necessary reserves or ensure redemption, tied to its Redemption Price. Either of the following qualifies as a default event:

  • Redemption Failure: when eligible holders cannot redeem tokens for a sustained period, whether due to operational failures, technical malfunctions, liquidity constraints, or insolvency. Credora treats a Redemption Failure lasting two weeks as a default, analogous to a missed debt payment in traditional finance, where even eventual recovery signals distress. Temporary delays, such as those from withdrawal queues, do not qualify.

  • Reserve Insolvency: the fair value of reserves is at least 1% below outstanding issuance (circulating supply × Redemption Price) for seven or more consecutive days.

Asset Categories​

Assets are grouped into three primary categories, Derivative Assets, Stablecoins and Tokenized Assets, with risk methodologies tailored to the structural features of each.

Derivative Assets​

  • Wrapped Tokens are digital assets pegged to the value of another cryptocurrency, often issued on a different blockchain to enable cross-chain interoperability. WTs are backed by collateral held in custody via smart contracts or centralized entities; the key risks arise from the security and integrity of this custodial structure.
  • Liquid Staking Tokens represent ownership claims on staked digital assets that support network operations such as transaction validation in exchange for rewards. Beyond smart contract custody risk, LSTs expose holders to validator performance and slashing risk. Slashing, a protocol-enforced penalty for validator misconduct or downtime, can directly reduce the collateral backing the token.
  • Liquid Restaking Tokens represent ownership claims on Liquid Staking Tokens that have been re-staked across additional protocols to generate incremental yield. LRTs inherit validator and smart contract risks from underlying LSTs while introducing additional layers of complexity. By extending staking across multiple protocols, LRTs compound both reward potential and slashing exposure, heightening sensitivity to validator's performance, coordination failures, and governance vulnerabilities.
  • Index Tokens represent a weighted basket of underlying assets, providing diversified exposure within a single instrument. Examples include cryptocurrency index funds and sector-specific baskets. Key risks arise from rebalancing mechanics, the volatility and liquidity of the underlying constituents, the integrity of the index methodology, and the smart contracts implementing the rebalancing logic.

Stablecoins​

Stablecoins are designed to maintain a stable value, typically pegged to a fiat currency. Their risk profile depends on the mechanism used to preserve price stability, including fiat-backed reserves, tokenized cash equivalents, and alternative collateral structures. Key risks include reserve adequacy, peg maintenance, and resilience under stress.

  • Fiat Backed Stablecoins are fully or predominantly backed by reserves held directly in cash and cash-equivalent instruments denominated in the reference fiat currency (e.g., Circle's USDC). Their stability depends on the quality, liquidity, and transparency of these reserves, as well as the operational integrity of the issuing entity.
  • RWA-Backed Stablecoins are backed by tokenized real-world assets, typically tokenized U.S. Treasury Bills, money market fund shares, or similar instruments, held by the issuer rather than the underlying cash or paper directly. The wrapping layer introduces additional structural considerations: the custodian of the underlying RWA, the redemption mechanics of the wrapper, and the transferability constraints of the held tokens.
  • Alternative Asset Stablecoins maintain price stability while generating yield through actively managed strategies, often delta-neutral positions across decentralized or centralized venues (e.g., Ethena's USDe). Risk exposures arise from strategy execution and the operational soundness of associated trading and custody arrangements.
  • Active Strategy Stablecoins are primarily collateralized by non-fiat assets, typically crypto assets held within collateralized debt positions or comparable structures (e.g., Sky's USDS). Their stability relies on loan parameters, liquidation mechanisms, and underlying smart contract infrastructure.

Tokenized Assets​

Tokenized assets are on-chain representations of real-world assets, investment funds, private credit, real estate, equities, and more, where the token is a claim on an underlying asset rather than a pegged liability. Even though the framework covers several tokenized-asset families, this documentation focuses on tokenized funds, the most developed tokenized-asset class: token holders own a beneficial interest in a pooled investment vehicle and the token tracks the fund's net asset value, distinguishing it from stablecoins (which target a 1:1 peg). Risk profile depends on the asset class held, the legal structure of the fund (registered fund, SPV, trust), and the on-chain wrapper enforcing transfer restrictions and redemption mechanics.

  • Tokenized Funds, on-chain shares of pooled investment vehicles where the token tracks the fund's net asset value:
    • Sovereign Debt / Cash: U.S. Treasury bills, repurchase agreements, and government money market fund shares (e.g., BlackRock BUIDL, Franklin Templeton FOBXX). Risk turns on the regulatory framework of the underlying fund, the bankruptcy-remoteness of the issuer, and the reliability of the transfer agent.
    • Fixed Income: corporate bonds, mortgage-backed securities, and other fixed income beyond sovereign debt, adding issuer credit risk and interest-rate risk.
    • Private Credit funds: pooled off-chain private credit (direct lending, asset-backed lending, trade finance), where underwriting quality, borrower concentration, and recovery drive the rating.
    • Active DeFi Yield: capital deployed across DeFi yield sources (lending markets, liquidity provision, curator-managed vaults), adding strategy-execution, integrated-protocol, and contagion risk.
  • Tokenized Credit, tokenized claims on off-chain credit exposures, rated on the credit book itself rather than a peg or wrapper:
    • Private Credit: direct and asset-backed lending, trade finance.
    • Diversified Credit: multi-sector or multi-obligor books that spread idiosyncratic default risk.
    • Corporate Credit: investment-grade and high-yield corporate bonds.
    • Structured / Unstructured: tranched, credit-enhanced structures (CLO, ABS) that place a senior claim above subordination, versus flat unstructured pools with no such protection.
  • Tokenized Equities (Stocks): tokenized single-name shares or equity baskets. Value is the underlying share price, so the rating turns on backing integrity (a share held per token), claim enforceability, and the price oracle rather than credit; ordinary price movement is the product working, not a default.
  • Tokenized Real Estate: tokenized property, usually through a per-property SPV. Illiquid and appraisal-valued rather than mark-to-market, with title and lien priority, an operator/property manager, and exit liquidity as the binding risks.
  • Tokenized Active Strategies: tokens whose backing is an actively-managed strategy (for example delta-neutral positions). Risk is strategy execution, basis, funding, and counterparty exposure rather than a static reserve, and is modelled at the anchor rather than as a passive reserve read.