Scope Ratings GmbH (“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 methodology/ies, 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 following notes issued by Sirius Funding plc on 5 November 2021.

Class A1 Senior Secured Floating Rate Notes due 2039 (ISIN XS1846706585), EUR 1,265,625,000: AAA_SF

Class A2 Senior Secured Floating Rate Notes due 2039 (ISIN XS1846709175), USD 1,527,525,000: AAA_SF

Class A3 Senior Secured Floating Rate Notes due 2039 (ISIN XS1846709258), GBP 2,900,000,000: AAA_SF

Subordinated Notes due 2039: GBP 1,850,000,000: not rated

Sirius Funding plc is a true-sale cash securitisation of a portfolio comprised of corporate loans denominated in sterling (GBP), US dollars (USD) and euros (EUR). The loans were granted by Barclays Bank plc (Barclays), predominantly to its United Kingdom and European corporate borrowers. The currency portfolios collateralise three pari-passu senior notes denominated in EUR, USD and GBP. The transaction closed on 28 June 2018.

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

The class A1, A2 and A3 notes continue to benefit from 25%, 25% and 27.5% subordination, respectively, as well as cross-collateralisation upon shortfalls, and are protected by overcollateralisation tests.

The portfolio shared as of 26 October 2021 is comprised of 609 loans to 350 obligors. The portfolio has an average default risk commensurate with a BB+ rating, based on a mapping of the default grades that Barclays assigned to each loan in the portfolio to Scope’s ratings. The portfolio is representative of Barclays’ corporate loan book and is managed according to criteria aimed at maintaining credit quality and adequate diversification.

Credit-positive (+)

Transaction performance (positive). There has been no reduction in the portfolio par balance. It currently stands at an aggregate GBP 7,000m equivalent, the same level as at the last restructuring date of December 2019. Therefore, the class A1, A2 and A3 notes continue to benefit from robust 25%, 25% and 27.5% subordination, respectively, in addition to cross-collateralisation upon shortfalls.

Portfolio management criteria (positive). The portfolio management criteria essentially result in a maintenance of the portfolio’s current credit profile, i.e. a senior unsecured loan portfolio with a maximum weighted average life of 3.2 years and limited concentrations.

Overcollateralisation test (positive). The overcollateralisation tests help to maintain the proper collateralisation of the notes with performing collateral. Upon a test breach, principal and interest proceeds from the portfolios are diverted to repay the senior notes.

Credit-negative (-)

Market risk exposure (negative). The transaction is exposed to fluctuations in foreign exchange rates and interest rates, which are partially mitigated by the natural hedge provided by the senior notes.

UK SME obligors (negative). About 21.8% of the portfolio consists of obligors whose Barclays’ default grade was derived using Barclays’ rating models which are specific to UK small and medium enterprises. These obligors are usually more sensitive to economic downturns and provide lower recoveries upon default.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, published on 14 December 2020; Methodology for Counterparty Risk in Structured Finance, published 13 July 2021; SME ABS Rating Methodology published 17 May 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Benoit Vasseur, Executive Director

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