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      Scope has completed a monitoring review for Sirius Funding plc - Corporate CLO
      TUESDAY, 01/10/2024 - Scope Ratings UK Ltd
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      Scope has completed a monitoring review for Sirius Funding plc - Corporate CLO

      No action has been taken on the Class A and Class B notes following the monitoring review.

      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 monitoring 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 monitoring review.

      Monitoring 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 monitoring review on its website.

      Scope completed the monitoring review for Sirius Funding plc on 26 September 2024. The credit ratings remain as follows:

      Class A Notes (ISIN: XS1846709258), GBP 2,350,000,000: AAASF

      Class B Notes (ISIN: XS2419777573), GBP 400,000,000: A+SF


      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

      Portfolio management criteria (positive). These criteria maintain the portfolio at its current credit profile, i.e. a senior unsecured loan portfolio with a default probability aligned with BB+ and a maximum weighted average maturity date that is the earliest of: i) five years after the applicable measurement date; and ii) the interest payment date in July 2032.

      Overcollateralisation test (positive). The overcollateralisation and minimum excess spread reserve tests help to maintain proper collateralisation on the notes with performing collateral. Upon a breach of the overcollateralisation test, principal and interest proceeds from the portfolio are diverted to repay the senior notes. Upon a breach of the excess spread reserve test, interest proceeds are reinvested in eligible collateral. The Senior Par Value Test (Class A) was reported at 138.3% above the required 130.0% and the Excess Spread Reserve Test stood at 138.3% above the required 137.9% as per last reviewed investor report (July 2024).

      Low recovery rates (negative). The portfolio comprises senior unsecured exposures, which could result in low recoveries upon default.

      High concentration in specific industries (negative). About 36.0% of the portfolio is concentrated in four industries: Real Estate, Banking, Finance and Insurance. This leaves the transaction vulnerable to a downturn in these specific industries.

      The methodologies applicable for the reviewed ratings (General Structured Finance 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.
      This monitoring note is issued by Scope Ratings UK Limited at 52 Grosvenor Gardens, London, SW1W 0AU, +44 207 8245180
      Lead analyst Adam Plajner, Associate Director

      © 2024 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis 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.

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