Scope Ratings UK Limited (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 North Dock No.1 Limited on 26 February 2024. The credit ratings remain as follows:

Class A1 Notes (ISIN XS2134386031), GBP 435,000,000: AAA_SF

Class A2 Notes (ISIN XS2134388086), GBP 1,670,000,000: AAA_SF

Class B1 Notes (ISIN XS2134388326), GBP 160,000,000: A+_SF

Class B2 Notes (ISIN XS2134388912), GBP 160,000,000: A+_SF

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 transaction is still in its replenishment period and performance has been sound with no principal deficiency ledger allocations or losses. As of the January 2024 reporting, arrears – all of which are two-month arrears – account for 0.11% of the outstanding portfolio.

The weighted average portfolio margin has reduced further (-0.15% vs. 0.45% at our previous review), due to the increase in Bank of England’s base rate which is considered to determine the margin on the fixed rate loans. Accordingly, the minimum weighted average margin test remained in breach. A further portfolio test has also been breached, as the number of loans with a borrower above 1% portfolio share increased to four vs. the threshold of three. The rest of the portfolio tests remained within limits. At closing, Scope assumed negative portfolio migration towards portfolio test limits, which is common in replenishing transactions. Barclays endeavours to manage the portfolio tests on a maintain or improve system of replenishments. Replenishment period end has not been triggered by cumulative losses and more-than-180-days arrears (0% vs. the 2% threshold).

Credit enhancement remains the same as at the transaction’s upsize in 2022. Class A benefits from 27.4% credit enhancement and Class B benefits from 16.4% credit enhancement. The transaction is supported by a non-amortising liquidity facility, which accounts for 2.0% of the initial collateral balance as of the upsize.

All transaction counterparties continue to support the ratings.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings UK Limited at 52 Grosvenor Gardens, London, SW1W 0AU, +44 207 8245180
Lead analyst Adam Plajner, Associate Director

© 2024 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis 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.