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 the beneficial interest in the loan portfolio. During the reinvestment period, which is scheduled to end in November 2028, 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 scheduled end of the reinvestment period, or before, if certain triggers are breached. The transaction closed in December 2022 and the notes have a final maturity date in November 2039.

Scope’s announcement addresses the credit impact of the portfolio replenishment. For this rating agency confirmation, we analysed a loan portfolio with 9 October 2025 cut-off date. The analysed portfolio contains 14 loans with a total loan amount of GBP 392.6m in the securitisation which were not in the analysed portfolio at the time of our previous rating agency confirmation. Upon completion of this confirmation, those loans will be marked as reviewed for the purpose of the relevant reinvestment criterion, which requires that the balance of the loans to borrowers which have not been reviewed by the rating agencies does not exceed 15% of the aggregate collateral balance.

Scope’s analysis only covers the credit impact associated with the addition of the new CRE loans to the securitised pool during the reinvestment period as 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 the 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 scoperatings.com.