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 Duke Global Funding Ltd – Multi-currency CLO on 28 August 2023. The credit ratings remain as follows:

Class A-1 Senior Secured Floating Rate Notes due 2050: GBP 1,156,000,000: rated AA+_SF (ISIN XS2404569746)

Class A-2 Senior Secured Floating Rate Notes due 2050: USD 1,944,000,000: rated AA+_SF (ISIN XS2404573003)

Subordinated Notes due 2050: GBP 1,435,880,000: not rated

Duke Global Funding Ltd is a cash securitisation of a portfolio of corporate loans, commercial real estate loans and trade finance obligations denominated pound sterling, US dollar and euro. The loan obligations have been granted by Barclays Bank plc (Barclays), mainly to corporate borrowers based in the United States or the United Kingdom. The portfolio collateralises two pari-passu senior notes (classes A-1 and A-2) and subordinated notes.

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

Scope’s review was based on the latest available investor reporting and portfolio information. As of 02 June 2023, the portfolio comprised 794 loans from 543 obligors. The average default risk of the portfolio is commensurate with a BB- rating, based on mapping between Barclays’ default grades of loans in the portfolio and Scope’s ratings.

The transaction is still in its replenishment phase until March 2024 and Barclays continues to apply its “maintain-or-improve” approach to replenishment. There is no breach of portfolio profile tests. Portfolio credit quality improved slightly, this reflected in the improvement of the default grade ratings of the portfolio. At closing however, Scope assumed and tested negative portfolio migration towards covenanted limits as well as additional sensitivities.

The transaction continues to provide overcollateralisation above the test levels, with the class A-1 Senior Par Value test reported at 146.1% above the trigger of 135.0% (however below the inception ratio of 147.1%). Similarly, the class A-2 test was reported at 137.9% but above the trigger of 130.0% (however below the inception ratio of 138.9%). Should overcollateralisation for any of the note classes fall below the respective test level, all available excess interest proceeds and principal proceeds will be diverted to amortise the respective currency’s senior notes until the test is cured. Owing to losses recorded, the credit enhancement on the rated notes has slightly decreased since closing to 35.4% from 35.8% at closing. Barclays have since repurchased the defaulted loans.

The methodologies applicable for the reviewed ratings ( General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 13 July 2023; SME ABS Rating Methodology, 16 May 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Guang Yang, Analyst

© 2023 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.