Moody's Investors Service in January published a new methodology for rating global clearinghouses. As part of the methodology, Moody's established a new type of rating, a "clearing counterparty rating," which reflects its opinion of a CCP's ability to fulfill its clearing obligations as well as a CCP's member default management capabilities and the expected financial loss in the event of the obligation not being fulfilled.
Moody's said that clearinghouses have shown a strong history of default avoidance, but noted that the risks they face have evolved significantly in recent years, with clearing volumes undergoing a ten-fold increase and the products that they clear becoming increasingly complex.
The methodology builds on Moody's existing methodologies and leverages the rating agency's experience in analyzing the credit profiles of both clearinghouses and their members. As part of this methodology implementation, Moody's will be assigning CCRs to currently rated clearinghouses and/or clearing services and withdrawing their long-term issuer ratings. When clearinghouses offer multiple, distinct clearing services, it will assign ratings at the clearing service level within the clearinghouse in order to capture the different risks that each faces.
In February Moody's issued its first ratings under the new methodology, assigning a Baa1 CCR rating to Asigna, the derivatives clearinghouse that supports derivatives markets in Mexico.