Scope Ratings UK Limited (Scope) has completed the monitoring review for Prunelli Issuer I S.a.r.l. acting in respect of its compartment 2020-1 on 27 August 2021. The review was conducted based on available monthly investor reports up to the payment date of 15 July 2021.

Prunelli Issuer I S.a.r.l., acting in respect of its compartment 2020-1, is a USD 1.45bn securitisation of Trade Finance Exposures originated by Standard Chartered Bank (SCB) through its UK branch (SCB UK) and its subsidiaries in Hong Kong (SCB HK) and Singapore (SCB SIN). The transaction has an initial 12-month revolving period and may extend the 12-month revolving period up to three times, assuming no series 2020-1 amortisation events are breached and the conditions precedent for the revolving period extension have been satisfied.

The credit rating remains as follows:

Series 2020-1 (XS2244965245): USD 1,450m outstanding: AAA

Scope Ratings reviews its ratings yearly.

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodology/ies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

As of July 2021, the transaction is still on its first 12-month revolving period. No series 2020-1 amortisation events have been breached. Among other early amortisation events, the overcollateralisation test and the reserve account test have always been satisfied.

Since the closing date, no Trade Finance Exposure has defaulted, which is consistent with the observed low level of portfolio delinquencies. As of July 2021, there were no Trade Finance Exposures unpaid after 30 days from their due date. Only 14 bps of the total pool outstanding balance was less than 30 days in arrears, which Scope does not consider to be meaningful pool delinquencies. Collateral performance has been strong and in line with Scope’s initial expectations.

The transaction has proved resilient to the negative effects of the pandemic crisis, with a positive track record in its initial nine months. The transaction’s strength despite the negative effects of the pandemic demonstrates the effectiveness of its eligibility criteria, replenishment conditions and series 2020-1 amortisation events in preventing portfolio deterioration.

Since the closing date, the rated series 2020-1’s credit support, in the form of overcollateralisation, has always been above the minimum requirement of 19%. This was demonstrated by the overcollateralisation test, applicable during the revolving phase. As of July 2021, the rated notes’ overcollateralisation was at 26.1%, well above the minimum required level.

As of today, the SCB HK, SCB SIN and SCB UK entities, in their roles as originator and/or issuer account bank holder, still maintain the minimum required rating as per Scope’s counterparty criteria to support the current rating on the rated series 2020-1. Hence, the rating on the rated series 2020-1 is not constrained by the application of Scope’s counterparty criteria.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, published on 14 December 2020; CLO Rating Methodology, published on 4 May 2021; Methodology for Counterparty Risk in Structured Finance, published on 13 July 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings UK Limited, 52 Grosvenor Gardens, London, United Kingdom, SW1W 0AU, Tel +44020-7824-5180.
Lead analyst Miguel Barata, Director

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