Scope Ratings today updates its Counterparty Risk Methodology. Scope’s existing ratings of structured finance instruments, covered bonds and project finance instruments are not expected to be affected.

The main updates are:

• An extension of our counterparty replacement trigger framework, which also includes our view on the benefit of contractual collateralisation as for most derivative counterparties and the highest supported instrument rating in case of no early replacement mechanism (see section 3 of the methodology document); and
   
• A clarification regarding the loss quantification procedure for non-servicer financial counterparty exposures (Appendix IV of the methodology document).

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

Scope invited market participants to submit comments on the methodology until 10 July 2022, but did not receive comments.

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