Shelby Real Estate Funding Limited (Shelby) is a cash securitisation composed of commercial real estate (CRE) mortgage loans originated in the UK in the ordinary course of business by Barclays Bank PLC. The proceeds from the notes were used to acquire from the vendor the beneficial interest in the portfolio. During the two-year scheduled reinvestment period, further eligible loans can be purchased through the reinvestment of past portfolio collections, subject to reinvestment criteria. The notes have a mandatory final redemption in November 2039.

As per its documentation the transaction has an initial two-year scheduled revolving period. Associated risks related to the replenishment of new loans are mitigated mostly through eligibility criteria, portfolio profile tests, collateral quality tests, an excess spread reserve test and stop reinvestment triggers. All are designed to ensure a minimum portfolio credit quality at the start of the amortisation phase.

Scope’s announcement addresses the credit impact of the portfolio replenishment related to twenty-two new loans added into the securitised portfolio. The added new loans relate to a total replenishment amount of GBP 448.78m and are a part of the portfolio analysed. In line with the portfolio profile tests, no single borrower in relation to the new loans accounted for more than 2% of the aggregated collateral balance. Upon completion of this confirmation exercise the new loans will be marked as reviewed for purposes of the respective concentration test (there is a 15% maximum allowable).

Scope’s analysis only covers the credit impact associated with the new CRE loans added into the securitised pool during the replenishment period 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 replenishment. The inclusion of the new loans is expected to become effective on the 5 April 2023.

This announcement does not constitute a rating action nor indicates the likelihood of a credit rating action in the short term. The latest information on the credit rating along with the associated rating history can be found on www.scoperatings.com