Shelby Real Estate Funding Limited (Shelby) is a cash securitisation of a granular portfolio composed of commercial real estate mortgage loans originated in the UK by Barclays Bank PLC in its ordinary course of business. The proceeds from the notes were used to acquire from the vendor the beneficial interest in the loan portfolio. During the reinvestment period eligible loans can be purchased through the reinvestment of past portfolio collections, subject to reinvestment criteria. The class A, B and C notes will amortise on a sequential basis from the end of the scheduled reinvestment period, or before if certain triggers are breached. The transaction closed in December 2022. The notes have a final maturity date in November 2039.

This rating agency confirmation follows the amendment of the transaction which was executed on 26 November 2024. The main changes are: i) downsize of the transaction from GBP 3.5bn to GBP 3.0bn, with a pro-rata reduction in the capital structure; ii) proportional reduction of the liquidity facility (remaining 4% of the notes’ amount); iii) extension of the reinvestment period by a four-year period to November 2028; iv) extension of the maximum weighted average maturity date to the earlier of: a) the date five years after the applicable measurement date; and b) 14 November 2033; v) amendment of certain portfolio profile tests with respect to minimum/maximum exposure to certain property types; vi) inclusion of a new early amortisation trigger (‘Principal Account Redemption Test’) which will require application of principal proceeds to redeem the rated notes once the uninvested cash in the transaction reaches the trigger level of 15% of the total aggregate collateral balance.

Scope’s announcement also addresses the credit impact of the portfolio replenishment related to new loans added into the securitised portfolio. The added new loans are part of the portfolio which we analysed. 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 amendments and replenishment 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 and replenishment.

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.