If adopted after the consultation period, the proposed methodology would supersede the version published on 13 February 2025.

Summary of key changes

• Implementation of a stochastic distribution as the preferred method for modelling recovery rate assumptions
   
• Implementation of a simplified framework to capture interest rate risk
   
• Disclosure of benchmark senior expense assumptions
   
• Disclosure of benchmark portfolio yield compression assumption
   
• Extended guidance on rating obligations under bilateral financial contracts

All changes combined could affect up to 20% of our outstanding ratings. Among the rated tranches potentially impacted, approximately 80% could experience a rating change of up to one notch, while around 20% may see a more significant impact.

The proposed updates provide additional guidance on our analytical approach, aim to improve transparency and ensure greater consistency across Scope’s asset-class-specific methodologies, and -under certain circumstances- allow for a simplification of analytical methods and assumptions.

Scope’s General Structured Finance Rating Methodology should be read alongside the Counterparty Risk Methodology and the complementary asset-class-specific structured finance methodologies.

Scope invites issuers, investors and other interested parties to comment on the methodology 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 all written responses in accordance with regulatory requirements, unless the respondent specifically requests confidentiality.

Download the proposed update here or on scoperatings.com.