Rating action

Scope Ratings GmbH (Scope) has affirmed the following ratings on the issued instruments:

Class A-1 Senior Secured Floating Rate Notes due 2039: USD 4,998,000,000: affirmed AAA_SF (ISIN XS0402206154 / US651343AB11)

Class A-2 Senior Secured Floating Rate Notes due 2039: USD 2,622,000,000: affirmed AAA_SF (ISIN XS0418594403 / US651343AC93)

Class B-1 Mezzanine Secured Floating Rate Notes due 2039: USD 374,119,000: affirmed A+_SF (ISIN XS1882681882 / US651343AE59)

Class B-2 Mezzanine Secured Floating Rate Notes due 2039: USD 705,881,000: affirmed A+_SF (ISIN XS1882681965 / US651343AF25)

Class C-1 Subordinated Notes due 2039: USD 650,000,000: not rated

Class C-2 Subordinated Notes due 2039: USD 650,000,000: not rated

The affirmation of the rated notes incorporates the assessment of transaction amendments effective from 20 June 2025. The main changes are the downsizing of the portfolio from USD 12,600m to USD 10,000m with a corresponding pro-rata reduction of the capital structure, and a 24- month extension of the reinvestment period to February 2028.

Transaction overview

Newfoundland is a cash securitisation of a portfolio mainly composed of corporate loans denominated in multiple currencies. The loans were granted by Barclays Bank PLC to corporate borrowers located primarily in North America and Europe. The transaction closed on 26 November 2008 and was last restructured on 27 February 2023. Legal maturity is on 26 November 2039.

Prepayments will be reinvested throughout the reinvestment period and Barclays may exchange assets at its own discretion, as long as the rules-based reinvestment criteria, eligibility criteria, profile and collateral quality tests are respected.

The portfolio as of cut-off date 25 April 2025 is composed of 1,307 loans related to 508 obligors. The portfolio is representative of Barclays’ corporate loan book and illustrates Barclays investment bank’s focus on lending to large international corporates. At present, 53.6% of the portfolio is composed of obligors incorporated in the US. The remainder is mainly exposed to the UK, continental Europe and Canada.

The portfolio is fully hedged by a swap provided by Barclays. The hedging mechanism can effectively be broken down into an interest rate swap and a series of cross-currency swaps. On a given payment date, Barclays pays the 3-month USD Term SOFR plus a spread of 3.06161% to the issuer based on the notional balance of the portfolio, while the issuer pays to Barclays all interest accrued from the portfolio. Any principal proceeds received from the portfolio are converted into USD before each payment date and then distributed according to the priority of payments. The foreign exchange spot rate is determined at the asset level, one business day prior to the inclusion of a given asset into the portfolio, thereby removing any currency risk.

Overcollateralisation is 131.23% for each of the Class A-1 and A-2 notes. Upon a breach of a minimum overcollateralisation of 125%, all available excess interest proceeds will be diverted to amortise the senior notes until the test is cured. Principal collections will also be used to cure the test before any reinvestment. Upon a breach of a minimum overcollateralisation of 131.23% during the reinvestment period, all available excess interest proceeds will be diverted for reinvestment in eligible collateral until the test is cured.

The transaction’s key counterparties are the following: Barclays as swap counterparty; ii) U.S. Bank Europe DAC as account bank, calculation agent and principal paying agent; iii) Deutsche Bank AG, London Branch as collateral administrator; and iv) Deutsche Bank Trust Company Americas as registrar, DTC Custodian and transfer agent.

Rating rationale

The ratings reflect: i) the legal and financial structure of the transaction; ii) the credit quality of the underlying portfolio and its management criteria in the context of the global macroeconomic environment, particularly in North America and Europe; and iii) the ability and incentives of Barclays as loan originator, portfolio collateral manager and swap provider. Counterparty risk is immaterial, relative to the assigned rating levels.

Key rating drivers:

Strong credit enhancement features (positive)^1,2. Class A and class B notes benefit for 23.8% and 13.0% subordination, respectively. In addition, the transaction features coverage test and excess spread reserve test with a threshold of 125% and of 131.23%, respectively. 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.

Experienced corporate lender and asset manager (positive)². Barclays’ corporate lending business sits at the heart of its Corporate & Investment Bank franchise and is explicitly highlighted in the bank’s strategic reorganisation as a core growth engine. Leveraging its expertise and infrastructure, Barclays is well placed to manage the underlying portfolio throughout the revolving period.

Swap (positive)². The swap mitigates any risk from currency mismatches between portfolio assets and the issued notes and also effectively eliminates interest rate risk.

Subordinated vulnerability of class B notes (negative)². Class B notes’ lower credit enhancement and subordinated interest make them vulnerable to portfolio yield-compression and defaults.

Low recovery rates (negative)^3. The portfolio generally comprises senior unsecured exposures, which results in low expected recoveries upon default.

Geography and industry portfolio concentration (negative)^2,3. A significant share of the portfolio consists of US obligors and a large share have classifications in the Moody’s financial services industry categories. Portfolio concentrations may further increase due to: i) the transaction’s priority levels which favour obligors incorporated in North America; and ii) the single largest industry exposure limit set at 45%.

Key analytical assumptions:

• Non-parametric default rate distribution
   
• Rating-level conditional recovery rates

The analytical assumptions take into account the credit quality of the securitised portfolio, considering internal or public ratings, as well as eligibility criteria. They may also incorporate qualitative judgments based on a range of factors, including (a) the asset manager’s strategic approach, (b) Scope’s macroeconomic forecasts, and (c) the credit committee’s outlook for the asset class over the life of the transaction. Details on these assumptions and other parameters are provided under the section ‘Quantitative analysis’ below.

Key data sources:

The information to derive the key quantitative assumptions is predominantly sourced from: rating agency presentation, data tape, and draft supplemental trust deed.

Rating-change drivers

A change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the ratings.

In particular, increased credit enhancement from deleveraging accompanied by good underlying portfolio performance could result a rating upgrade on the class B notes.

The sensitivity analysis below provides an indication of the resilience of the credit rating(s) against deviations in key analytical assumptions.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit ratings to the assumed parameters and, all else being equal, is not reflect expected or likely scenarios. The following shows how the results for each rated tranche change compared to the assigned ratings when the assumed mean default rate increases by 50% or the portfolio’s expected recovery rate decreases by 50%, respectively:

• Class A-1: sensitivity to mean default rate, one notch; sensitivity to recovery rate, zero notches;
   
• Class A-2: sensitivity to mean default rate, one notch; sensitivity to recovery rate, zero notches;
   
• Class B-1: sensitivity to mean default rate, three notch; sensitivity to recovery rate, three notches;
   
• Class B-2: sensitivity to mean default rate, three notch; sensitivity to recovery rate, three notches;

Quantitative analysis

This section provides a non-exhaustive list of relevant quantitative parameters:

• Default rate (DR) distribution parameters: Mean default rate equal to 8.5% and a coefficient of variation of 52.0% over a weighted average life of 6.3 years.
   
• Rating-level conditional recovery rates: ranging from 51.6% at ‘B’ to 31.0% at ‘AAA’.

Rating driver references
1. Investor payment reports (Confidential)
2. Transaction documentation (Confidential)
3. Loan-by-loan data tape (Confidential)

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 performed a cash flow analysis of the transaction with the use of Scope Ratings’ Portfolio Model Version 1.1 and 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, 13 February 2025; Counterparty Risk Methodology, 10 July 2024; SME ABS Rating Methodology, 16 May 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The models used for these Credit Ratings are the Portfolio Model Version 1.1 and Cash Flow Model Version 2.0, available in Scope Ratings’ list of models, published under 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  participate 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 not received a third-party asset due diligence assessment/asset audit. Scope Ratings has performed its own analysis of the data quality, based on information received from the Rated Entity or Related Third Parties, which is not and should be not deemed equivalent to the performance of due diligence or an audit. The internal analysis 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: Guang Yang, Senior Analyst
Person responsible for approval of the Credit Ratings: Antonio Casado, Managing Director
The Credit Ratings were first released by Scope Ratings on 26 November 2018. The Credit Ratings were last updated on 27 February 2023.

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
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