No rating impact on Series 2022-308 after amendments to transaction documents - Structured Credit

Scope Ratings GmbH (Scope) announces that certain amendments to the transaction documents will not, in and of themselves, result in a Rating Action or withdrawal of the current ratings of the Series 2022-308 notes issued by SPIRE SA.

The Series 2022-308 transaction is a repackaged issuance of the Czech Republic’s 0.45% 2023, 2.4% 2025, 0.25% 2027, FRN 2027, 2.5% 2028, 0.05% 2029, 1.2% 2031, FRN 2031 and 1.75% 2032 bonds to euro-denominated instalment notes. The rated notes are issued by SPIRE acting in respect of its Compartment Series 2022-308 pursuant to its secured note programme. The notes offer investors a fixed schedule of interest and principal instalment repayments in euro, whereas the underlying Czech sovereign bonds pay fixed and floating interest rates in Czech koruna (CZK).

The interest and currency mismatch between the underlying collateral and the rated notes was addressed through an embedded swap between counterparty UBS AG, London branch (UBS) and the issuer of the rated notes. The transaction also had counterparty risk exposures to HSBC Bank plc as the custodian and to UBS as the disposal and calculation agent.

SPIRE is a securitisation programme created on 26 May 2016 and domiciled in Luxembourg.

Scope’s announcement addresses the credit impact of the restructuring that was effective on 7 January 2025, pursuant to which the issuer removed a Czech sovereign bond consisting of CZK 439.2m from the basket of Czech assets making up the underlying collateral for the transaction. The issuer paid a bonus amount to the noteholder on 8 January 2025 which reflects the asset redemption and interest amounts that are otherwise amended from the outstanding fixed interest and instalment schedules.

Scope’s analysis only covers the credit impact associated with the amendments described above. Scope has not addressed other non-credit related effects that may be relevant for investors and/or counterparties when assessing the impact of said amendments.

This announcement 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 announcement along with the associated rating history can be found on www.scoperatings.com.