Shelby Real Estate Funding Limited (Shelby) is a cash securitisation composed of commercial real estate (CRE) mortgage loans originated in the UK in the ordinary course of business by Barclays Bank PLC. The proceeds from the notes were used to acquire from the vendor the beneficial interest in the portfolio. During the two-year scheduled reinvestment period, further eligible loans can be purchased through the reinvestment of past portfolio collections, subject to reinvestment criteria. The notes have a mandatory final redemption in November 2039.

The transaction has an initial two-year scheduled reinvestment period. Associated risks related to the replenishment of new loans are mitigated mostly through eligibility criteria, portfolio profile tests, collateral quality tests, an excess spread reserve test and stop reinvestment triggers. All are designed to ensure a minimum portfolio credit quality at the start of the amortisation phase.

Scope’s announcement addresses the credit impact of the portfolio replenishment related to nineteen new loans added into the securitised portfolio. The added new loans relate to a total replenishment amount of GBP 517.8m and are a part of the portfolio which we analysed. In line with the portfolio profile tests, no single borrower in relation to the new loans accounted for more than 2% of the aggregated collateral balance. Upon completion of this confirmation the new loans will be marked as reviewed for purposes of the respective test (there is a 15% limit for the maximum allowable new loans).

Scope’s analysis only covers the credit impact associated with the new CRE loans added into the securitised pool during the reinvestment period 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 the replenishment. The inclusion of the new loans is expected to become effective on 14 December 2023.

This announcement does not constitute a rating action nor indicates the likelihood of a credit rating action in the short term. The latest information on the credit rating along with the associated rating history can be found on www.scoperatings.com.