Moody’s Releases RFC on Proposed Changes to Global Approach to Counterparties and Related RFC on Rat

Yesterday, March 22nd, Moody's Investors Services released a Request for Comment (RFC) on Proposed Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance. According to Moody's, it is proposing "to clarify, consolidate and revise its approaches to assessing the following structured finance-related counterparty risks, currently found in five separate cross-sector methodologies: its approach to assessing swap counterparty related exposures, its analysis of operational risk, its assessment of commingling risk, its approach to assessing risks relating to account banks and investments, and its analysis of set-off risks, namely deposit related set-off."

In addition, Moody's has published a related RFC proposing limited changes to their approach to rating Credit Card ABS. If adopted, Moody's expects the proposed changes described in the Credit Card RFC together with the proposed changes relating to commingling described in the RFC on assessing counterparty risks in structured finance to have a limited positive impact on the ratings of a limited number of EMEA credit card receivables-backed securities.

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