S&P Global Ratings has introduced a new framework titled Analytical Approach: Vault Risk Assessments (VRA) to evaluate risks associated with onchain lending vaults. The methodology, published on October 4, 2026, is designed to estimate the likelihood of impairment for investor positions within these digital asset pools.
The framework covers vaults that utilize crypto or tokenized real-world assets as collateral. However, direct exposure to tokenized bonds is excluded from the scope. S&P emphasizes that the VRA is not a credit rating, despite using a letter-based grading system that includes a v suffix, such as AAA(v) for minimal risk.
The assessment process evaluates four primary factors: portfolio quality, liquidity pressures, protocol risks, and curator oversight. Liquidity analysis focuses on the ability of depositors to withdraw funds, while protocol risks examine the underlying market infrastructure. Curator oversight reviews the entities responsible for capital allocation strategies.
The framework applies to both permissioned and permissionless vault structures. S&P considers allocation caps embedded directly into smart contracts as significant risk management tools. By establishing these criteria, the firm provides a checklist that may influence how operators design and manage their lending vaults to achieve higher scores.
