Rating action

Scope Ratings GmbH (Scope) has taken the following ratings actions on the instruments issued by Duke Global Funding Ltd.:

Class A-1 Senior Secured Floating Rate Notes due 2050: GBP 1,156,000,000: affirmed AA+_SF (ISIN XS2404569746)

Class A-2 Senior Secured Floating Rate Notes due 2050: USD 1,944,000,000: affirmed AA+_SF (ISIN XS2404573003)

Subordinated Notes due 2050: GBP 1,435,880,000: not rated

The rating action incorporates the correction of the following input errors: the calculation of the interest rate for the rated Class A-2 notes did not account for the credit adjustment spread introduced in March 2023 when the Class A-2’s reference rate switched to SOFR; the senior par value test threshold for Class A-2 was incorrectly modelled above the documented 130% level; foreign exchange rate modelling did not consider the USD appreciation in recent years and the distinction between the fixed exchange rate used for the par value test and the current spot rates applied to exchange proceeds for curing shortfalls.

These errors collectively resulted in a one-notch lower cash flow model (CFM) output compared to outstanding ratings. However, the impact was mitigated by strong transaction performance to date and the decay of the ratings’ sensitivity to potential adverse portfolio migration, as the portfolio’s weighted average rating factor has moved closer to its portfolio quality test threshold. These mitigating factors are incorporated into our updated quantitative analysis.

Transaction overview

Duke Global Funding Ltd is a true-sale cash securitisation of a portfolio of corporate loans, commercial real estate loans, project finance loans and trade finance obligations denominated pound sterling, US dollar and euro. The loan obligations have been granted by Barclays Bank plc (Barclays), mainly to corporate borrowers based in the United States or the United Kingdom. The portfolio collateralises two pari-passu senior notes (classes A-1 and A-2) and subordinated notes.

The transaction features a revolving period until March 2024 which was extended to March 2027 in 2024’s amendment. Prepayments will be reinvested throughout the life of the transaction and Barclays may exchange assets at its own discretion. Rule-based reinvestment criteria help to maintain the portfolio’s credit profile.

As of 5 October 2021, the portfolio comprised 519 loans from 254 obligors. The portfolio has an average default risk commensurate with a B+ rating, based on the mapping of Barclays’ through-the-cycle default grades for the portfolio loans to Scope’s ratings. The portfolio consists of senior unsecured corporate loans, senior secured commercial real estate exposures and trade finance obligations from Barclays’ loan book. The commercial real estate exposures and the trade finance obligations are each limited to up to 10% of the portfolio. The collateral quality test based on the weighted average rating factor allows a possible deterioration of the portfolio’s current credit profile. This is mitigated by the reinvestment criteria, which ensure that the credit quality of replenished assets is at least maintained.

At inception, the transaction provides overcollateralisation of 147.1% and 138.9% for class A-1 and A-2 notes, respectively. The overcollateralisation test is set at 135% for class A-1 and 130% for class A-2 on an individual currency basis. Should overcollateralisation for any of the note classes fall below the respective test level, all available excess interest proceeds will be diverted to amortise the respective currency’s senior notes until the test is cured. Principal collections in the respective currency will also be used to cure the test before any reinvestment.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key model assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

The Class A-1 and Class A-2 current ratings reflect the updated CFM base case results. The ratings have remained unchanged since closing

Key rating drivers

Scope has made no changes to its assessment of the key rating drivers disclosed in our rating action release at closing dated 9 November 2021. None of the key rating drivers are ESG related.

Key model assumptions

• Non-parametric default rate distribution.
   
• Rating conditional recoveries.

Updates to the key assumption levels and to other relevant model parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics

At the review cut-off date, the transaction provides overcollateralisation of 147.1% and 138.3% for class A-1 and A-2 notes, respectively, well above the respective transaction trigger levels.

Key data sources

Scope’s review was based on investor reporting and loan data tape as of December 2024 payment date.

Scope’s mapping approach of Barclays’ default grades was last refreshed in December 2024.

Relevant changes to the key transaction features

The transaction is in the re-investment phase and therefore naturally subject to changes in its portfolio composition. The average default risk of the portfolio has slightly worsened to a level commensurate with a B rating compared to B+ at closing as the portfolio’s credit quality, both in terms of reported weighted average rating factor and Barclays’ default grades has worsened.

Rating-Change Drivers

A change to the levels or parameters of Scope’s key model assumptions, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transition’s key rating drivers could impact the ratings.

The sensitivity analysis below provides an indication of the resilience of the credit ratings against deviations in key model assumptions.

Sensitivity analysis

The following analysis has the sole purpose of illustrating the sensitivity of the credit ratings to CFM parameters, all else equal, and is not indicative of expected or likely scenarios.

Class A-1 and Class A-2:

• 50% increase of mean lifetime default rate: minus five notches.
   
• 50% decrease of recovery rates: minus three notches.

Quantitative analysis

This section provides a non-exhaustive list of relevant CFM parameters, and how they compare to those applied at the initial rating assignment.

• A mean default rate equal to 21.2% (30.1% at closing) and a coefficient of variation of 38.3% (26.6% at closing) over a weighted average life of 4.1 years (7.2 years at closing).
   
• Rating-level conditional recovery rates: ranging from 55.4% (59.8% at closing) at ‘B’, through 45.7% (51.3% at closing) at ‘BBB’, to 30.1% (34.9% at closing) at ‘AAA’.
   
• Portfolio spread of 1.95% (unchanged since closing).
   
• 2.25 years of re-investment period (2.4 years at closing).
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Rating Methodology (unchanged since closing).

Stress testing
Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and Credit-Rating-adjusted recoveries, contributing to sensitivity of Credit Ratings and consider the likelihood of severe collateral losses or impaired cash flows. The impact on the rated instruments is weighted by the assumptions of the likelihood of the events in such scenarios occurring.

Cash flow analysis
Scope Ratings primarily analysed the distribution of portfolio losses and its impact on the rated instruments, with the use of Scope Ratings’ Portfolio Model Version 1.1.
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Version 2.0, incorporating relevant asset assumptions, and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for these Credit Ratings (General Structured Finance Rating 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.
The models used for these Credit Ratings are (Portfolio Model Version 1.1, Cash Flow Model Version 2.0), available in Scope Ratings’ list of models, published under https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at https://scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Ratings: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting these Credit Ratings originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit was considered when preparing the Credit Ratings and it has no impact on the Credit Ratings.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Ratings and the principal grounds on which the Credit Ratings are based. Following that review, the Credit Ratings were not amended before being issued.

Regulatory disclosures
These Credit Ratings are issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Ratings are UK-endorsed.
Lead analyst: Martin Hartmann, Director
Person responsible for approval of the Credit Ratings: Antonio Casado, Managing Director
The Credit Ratings were first released by Scope Ratings on 9 November 2021.

Potential conflicts
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties.

Conditions of use / exclusion of liability
© 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab 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.