Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit rating. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit rating performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodologies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

On 12 July 2024, Scope completed a monitoring review for the Series 2022-308 notes issued by Single Platform Investment Repackaging Entity SA (SPIRE) pursuant to its secured note programme. The credit rating remains as follows:

Series 2022-308 (ISIN XS2563843296), outstanding notional EUR 117.4m: A+

The review was conducted considering available information up to July 2024.

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Rating factors

Rating factors assessed during the monitoring review include: i) the credit quality and characteristics of the underlying assets; ii) the credit quality of the counterparties and potential mitigants to counterparty risk; iii) the swap mark-to-market evolution of the embedded swap; and iv) the legal and financial structure of the transaction.

The substitution of Credit Suisse International (CSI) with UBS AG, London branch (UBS) occurred on 31 January 2024 following UBS Group AG’s acquisition of Credit Suisse Group AG. The transfer of roles saw UBS replacing CSI as the dealer, swap counterparty, vendor, calculation agent and disposal agent for the transaction.

The notes benefit from overcollateralisation and repayment of note principal in the form of instalments as opposed to a bullet repayment at maturity. The current outstanding balance on the notes after the first scheduled instalment payment in November 2023 stands at EUR 117.4m.

Potential losses for the issuer may occur following a default of the underlying collateral (sovereign bonds issued by the Czech Republic) and early settlement of swap mark-to-market or in the event of a replacement of the swap counterparty. The strong credit quality of both the underlying collateral and UBS implies a low likelihood of default and thereby mitigates the contribution of expected loss from these potential scenarios.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; Counterparty Risk Methodology, 10 July 2024) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Jack Holbrook, Specialist

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