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Essential Intelligence: Special Purpose

Swap Risk Ratings

Swap Risk Ratings

A Swap Risk Rating takes into consideration S&P Global Rating's view on the terms of the Swap Transaction including, without limitation, the creditworthiness of one or more reference or underlying obligations or obligors (the "portfolio") above a certain specified threshold percentage/amount, termination events, and potential recovery percentage or amount on the Portfolio. All Swap Risk Ratings take into consideration the creditworthiness of the portfolio.

A Swap Risk Rating may be modified by the designation:
  • Portfolio
  • Single Counterparty--Protection Buyer
  • Single Counterparty--Protection Seller

Swap Risk Ratings will be modified by a suffix that identifies the type of swap risk rating assigned. The letter ratings will be followed by the designations 'srp,' 'srb,' and 'srs' to correspond with related designations:
  • Portfolio ('srp') Ratings only take into consideration the creditworthiness of the reference portfolio of the credit default swap.
  • Single Counterparty--Protection Buyer ('srb') Ratings take into consideration the creditworthiness of the reference portfolio and the buyer of protection under the swap transaction.
  • Single Counterparty--Protection Seller ('srs') Ratings take into consideration the creditworthiness of the reference portfolio and the seller of protection under the swap transaction.

Because the terms of each Swap Transaction are highly customized, a Swap Risk Rating may address different risks; therefore the Swap Risk Ratings should not be viewed as benchmarks related to swap risk across different swap transactions. 
  • A Swap Risk Rating (Portfolio) does not address either counterparty risk (including risk of periodic payments).  
  • Each of Swap Risk Ratings (Single Counterparty--Protection Buyer) or (Single Counterparty--Protection Seller) addresses the counterparty risk of one of the Counterparties to the Swap Transaction, respectively.  
  • None of the Swap Risk Ratings address the specific amount of termination payments that would be payable under the Swap Transaction.

The specific risks addressed by each Swap Risk Rating are stated in the rating letter and the terms and conditions issued for each rated Swap Transaction.

Swap Risk Ratings will be assigned upon request to all credit default swaps. 

Historically, S&P Global Ratings assigned credit estimates or credit assessments to these types of obligations, primarily because no securities were issued at the inception of the transaction. As such, they did not qualify for ratings under S&P Global Ratings existing definitions for traditional debt issue ratings. With the introduction of Swap Risk Ratings, S&P Global Ratings has broadened its definition of ratings to acknowledge the special structural features of these transactions.

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