Duke Global Funding Ltd is a cash securitisation of a portfolio mainly corporate loans and a smaller share of commercial real estate loans (capped at 10% of the aggregated collateral balance, as defined in the documentation) denominated in 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. The transaction originally closed on 9 November 2021. The pre-amendment transaction features a GBP 4.0bn portfolio and a revolving period ending in March 2024.

The main amendments include: i) the extension of the reinvestment period to 16 March 2027 together with an update of the weighted average maturity test; ii) the inclusion of participation exposures originated by Barclays Bank Ireland in the eligible universe with a cap of 5% of the portfolio and iii) the exclusion of Libor linked loans from the eligible universe. The amendments become effective on 15 February 2024.

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