The Series 2022-308 transaction is a repackaged issuance of the Czech Republic’s 0.45% 2023, 1.25% 2025, 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. 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.

The interest and currency mismatch between the underlying collateral and the rated notes was addressed through an embedded swap between counterparty Credit Suisse International (CSI) and the issuer of the rated notes. The transaction also had counterparty risk exposures to HSBC Bank plc as the custodian and to CSI 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 substitution of CSI with UBS AG, London branch (UBS) following UBS Group AG's acquisition of Credit Suisse Group AG. The substitution was made on the 31st of January 2024. The transfer of roles sees UBS replacing CSI as the dealer, swap counterparty, vendor, calculation agent and disposal agent for the Series 2022-308 transaction. All rights, liabilities or obligations with respect to payments due before the date of substitution will remain upheld in accordance with the terms of the transaction documentation.

Scope’s analysis only covers the credit impact associated with the substitution 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.