Scope Ratings calls for comments on its annual update of its SME ABS Rating Methodology. Besides clarifications and editorial adjustments, the proposed update introduces the possibility to adjust provided historical data to determine key assumptions of a single default probability distribution when originator performance data is limited, while the use of the combination of two default probability distributions applies only in certain cases.

Additionally, we propose that the default analysis can be based on the transaction’s default definition, instead of a fixed 90 days overdue definition.

The proposed changes are minor and as a result, outstanding ratings are not affected.

Scope invites market participants to provide comments on this proposed methodology update by 09 May 2020. In accordance with regulatory requirements, Scope will publish the content of any written response unless the respondent has specifically requested confidentiality.

Scope’s SME ABS Rating Methodology complements the General Structured Finance Rating Methodology and should be read with the Methodology for Counterparty Risk in Structured Finance. The publication of this methodology update does not have any rating implication on outstanding ratings by Scope.

Download the methodology here or from www.scoperatings.com.