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 Sirius Funding plc on 26 September 2024. The credit ratings remain as follows:

Class A Notes (ISIN: XS1846709258), GBP 2,350,000,000: AAA_SF

Class B Notes (ISIN: XS2419777573), GBP 400,000,000: 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

Portfolio management criteria (positive). These criteria maintain the portfolio at its current credit profile, i.e. a senior unsecured loan portfolio with a default probability aligned with BB+ and a maximum weighted average maturity date that is the earliest of: i) five years after the applicable measurement date; and ii) the interest payment date in July 2032.

Overcollateralisation test (positive). The overcollateralisation and minimum excess spread reserve tests help to maintain proper collateralisation on the notes with performing collateral. Upon a breach of the overcollateralisation test, principal and interest proceeds from the portfolio are diverted to repay the senior notes. Upon a breach of the excess spread reserve test, interest proceeds are reinvested in eligible collateral. The Senior Par Value Test (Class A) was reported at 138.3% above the required 130.0% and the Excess Spread Reserve Test stood at 138.3% above the required 137.9% as per last reviewed investor report (July 2024).

Low recovery rates (negative). The portfolio comprises senior unsecured exposures, which could result in low recoveries upon default.

High concentration in specific industries (negative). About 36.0% of the portfolio is concentrated in four industries: Real Estate, Banking, Finance and Insurance. This leaves the transaction vulnerable to a downturn in these specific industries.

The methodologies applicable for the reviewed ratings (General Structured Finance Methodology, 6 March 2024; Counterparty Risk Methodology, 10 July 2024; SME ABS Rating Methodology, 16 May 2024) 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

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