The current ratings on the class A-1, class A-2, class B-1 and class B-2 notes are available here, here, here and here, respectively.

Newfoundland CLO I Limited is a balance sheet cash securitisation of corporate loans denominated in multiple currencies. The loans were granted by Barclays Bank PLC to corporate borrowers located primarily in North America and Europe. The portfolio collateralises two pari passu senior notes (class A-1 and A-2), two pari passu mezzanine notes (class B-1 and B-2) and class C notes (not rated). The transaction closed on 26 November 2008 and was restructured on 26 November 2018.

Scope’s review was based on investor reports and portfolio data through September 2019. The portfolio is comprised 1,071 loans issued to 365 obligors. The average default risk of the portfolio is commensurate with a BB+ rating, based on a mapping between Barclays’ default grades for the portfolio loans and Scope’s ratings.

The transaction has exhibited good performance. No defaults have been recorded to date and the overcollateralisation ratio stands at 125%, meeting both senior par value and excess spread reserve tests. All tests regarding the portfolio profile and collateral quality are met as of September 2019.

Scope has analysed the portfolio on a loan-by-loan basis using a Monte Carlo simulation. The resulting default distribution exhibits a mean default rate of 4.6% over a weighted average life of 4.2 years. This assumption represents a long-term view on the portfolio’s credit performance and incorporates the credit quality, the management criteria and the current weighted average life of the portfolio.

Scope assumed a base case portfolio recovery rate of 51.1%. The rating-conditional portfolio recovery rates are 30.7% at the AAA level and 38.8% at the A level.

The ratings address exposures to the key transaction counterparties: Elavon Financial Services DAC, UK Branch (Elavon) as account bank, calculation agent and principal paying agent; Deutsche Bank AG, London Branch as collateral administrator; Deutsche Bank Trust Company Americas as registrar and transfer agent; Deutsche Trustee Company Limited as trustee; and Barclays Bank PLC as total return swap counterparty. Counterparty risk has not materially changed.

Scope monitors Newfoundland CLO I Limited on an ongoing basis.

Ratings and research are freely available at www.scoperatings.com.