The transaction is a true-sale securitisation of loans secured by UK residential properties. The loans were granted in the ordinary course of business by Barclays Private Bank, a private bank division of Barclays Bank PLC. The loans were originated to high net worth clients and are denominated in sterling (GBP). The transaction features a replenishment period during which loans may be exchanged in the portfolio on a discretionary basis, but rules-based reinvestment criteria protect the transaction from adverse portfolio migration.

As of 1 February 2024, the GBP 2.6bn loan portfolio comprises 1070 loans granted to 823 borrowers. The loans together with the accumulated cash which can be reinvested in additional loans form part of the aggregate collateral balance of GBP 2.9bn.

As a result of the current transaction amendment, the replenishment period extends and it will end on the October 2025 interest payment date, instead of April 2024. Accordingly, the maximum weighted average maturity portfolio test changes, the latest possible weighted average portfolio maturity is the interest payment date falling in October 2035, instead of April 2034.

The amendment became effective on 22 March 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.