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 periodic 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 periodic review.

Periodic 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 periodic review on its website.

Scope completed the periodic review for Wolf Receivables Financing 3 Plc on 3 December 2024. The credit rating remains as follows:

Class A (XS2712625669), GBP 85,263,848 outstanding: A+_SF

Class B (XS2712625743), GBP 126,560,000 outstanding: not rated

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 key rating drivers remain aligned with those disclosed by Scope at closing (2023). Scope conducted the periodic review considering the investor and servicer reports up to the payment date of 20 November 2024.

Class A has amortised by 28.5% since closing and its credit enhancement has increased from 51.5% to 60%. Class A is well protected against higher interest rates since current cap notional is above the outstanding amount. Cumulative collection ratio is 97.8% as gross collections are slightly below the projected collections in the business plan. Senior expenses are in line with Scope’s expectations at closing.

The rating also addresses transaction’s exposure to key counterparties including risk due to the servicer (Lowell Financial Ltd), which has increased since closing as evidenced by the deterioration of the public ratings of the servicer group entity (Garfunkelux Holdco 2 S.A.). Scope has updated its commingling risk analysis considering these developments.

Mitigants against operational risk due to the servicer disruption are still deemed effective. Scope considers the occurrence of servicer termination event due to the servicer group entity’s potential debt restructuring unlikely. Servicer disruption risk is further mitigated by the presence of replacement servicer facilitator and agreements that ensure the replacement of the servicer within sixty calendar days in case of a servicer termination event. Debtor collections are directed to a trust account held for the benefit of the issuer, from which there are weekly sweeps to the issuer’s transaction account. Lastly, liquidity reserve covers around four months of senior expenses and Class A coupon by Scope’s estimations. Scope continues to monitor servicer group entity’s credit situation.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Rating Methodology, 2 August 2024; Counterparty Risk Methodology, 10 July 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 Mirac Ugur, Senior Analyst

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