Scope Ratings today proposes an update of its General Structured Finance Rating Methodology. Scope’s existing ratings of structured finance instruments are not expected to be affected. The agency calls for comments from market participants by 24 February 2024.

The proposed update provides:

• Guidance on what constitutes a Key Rating Assumption;
   
• Guidance on Scope’s local- and foreign-currency structured finance instrument ratings;
   
• Clarifications regarding the recovery analysis;
   
• Clarifications regarding the scope of the liquidity risk analysis;
   
• Clarifications regarding the foreign exchange risk analysis;
   
• Clarifications regarding the potential impact of transaction-governance related ESG factors;
   
• Clarifications regarding the information used during monitoring;
   
• Clarifications regarding the inputs to Scope’s cash-flow model;
   
• Clarifications regarding the analysis of historical credit performance data for transactions that securitise highly granular homogeneous portfolios;
   
• A disclosure of Scope’s interest rate stress framework;
   
• A reframing regarding the framework for fundamental recovery rate analysis; and
   
• Clarifications regarding analytical considerations for guarantee contracts.

Scope’s General Structured Finance Rating Methodology should be read in combination with the Counterparty Risk Methodology, along with complementary structured finance methodologies that are asset class specific.

Scope invites issuers, investors and other interested parties to comment on the methodology by 24 February 2024, as part of the agency’s ongoing commitment to transparency and open dialogue with market participants.

Please send your comments to consultation@scoperatings.com.

Scope will review and publish the content of any written response in accordance with regulatory requirements, unless the respondent has specifically requested confidentiality.

Download the proposed update here or on www.scoperatings.com.