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

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