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      TUESDAY, 10/09/2024 - Scope Ratings UK Ltd
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      Scope has completed the monitoring review for the Series 2023-124 notes issued by SPIRE SA

      No action has been taken on Series 2023-124 notes issued by SPIRE SA, a EUR 7.8m issuance of repackaged notes of NatWest Group senior unsecured bonds due 2029.

      Scope Ratings UK Limited (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 ratings. 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 ratings’ 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.

      Scope completed the monitoring review for the Series 2023-124 notes issued by Single Platform Investment Repackaging Entity SA (SPIRE) pursuant to its secured note programme on 5 September 2024. The credit rating remains as follows:

      Series 2023-124 (ISIN XS2664934101), outstanding notional EUR 7.8m: B+

      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.

      Key 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.

      Potential losses for the issuer may occur following a default of the underlying collateral (NatWest Group bonds) or swap counterparty and early settlement of swap mark-to-market. The strong credit quality of both the underlying collateral and Barclays as swap counterparty implies a low likelihood of default and thereby mitigates the contribution of expected loss from these potential scenarios.

      Potential losses may also occur following an exercise of the underlying collateral call provision. The high likelihood of call in combination with a short remaining time until the call is applicable leads to this scenario being the main risk driver of the transaction.

      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 UK Limited at 52 Grosvenor Gardens, London, SW1W 0AU, +44 207 8245180.
      Lead analyst Mirac Ugur, Senior Specialist

      © 2024 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5, D-10785 Berlin.

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