Morningstar DBRS Confirms Credit Ratings on BFS Funding I Limited Following Amendment

DBRS Ratings Limited (Morningstar DBRS) confirmed its AA (sf) credit ratings on the Euro Variable Funding Note, the Sterling Variable Funding Note, and the U.S. Dollar Variable Funding Note (together, the VFNs) issued by BFS Funding I Limited (the Issuer).

The transaction is a securitisation collateralised by a portfolio of trade receivables granted by subsidiaries of Bibby Financial Services Limited (BFS). Bibby Invoice Finance UK Limited (BIF UK) acts as the master seller and the master servicer of the trade receivables portfolio.

The Issuer acquired the trade receivables through the issuance of VFNs in British pound sterling, euros, and U.S. dollars (together, the approved currencies) purchased directly by Bayerische Landesbank and HSBC UK Bank plc, or indirectly by Barclays Bank plc (Barclays) and Lloyds Bank plc through their respective conduits, Sunderland Receivables S.A. and Gresham Receivables (No. 37) UK Limited.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- A structural amendment to the transaction executed on 29 April 2025 and effective as of 8 May 2025.
-- Portfolio performance, in terms of delinquencies, defaults, dilutions, and days of sales outstanding.
-- Current sizing of the reserves sufficient to withstand stresses at the AA (sf) credit rating level.
-- No early amortization events have occurred.

AMENDMENT
-- The revolving period has been extended to May 2028 from October 2025. The legal final maturity date of the VFNs is defined as the date falling one year after termination of the revolving period, and as such has been implicitly extended to May 2029.
-- The funding commitments for the VFNs, Mezzanine B Notes, and Mezzanine C Notes have been reduced to GBP 600.0 million, 60.0 million, and 10.0 million, respectively.
-- The pre- and post-amortisation drawn margins and commitment fee on the VFNs have been reduced.

PORTFOLIO PERFORMANCE
As of 31 March 2025, the three-month average delinquency ratio, default ratio, dilution ratio and days of sales outstanding for the pool of receivables were 9.5%, 2.2%, 3.9% and 43 days, below their respective trigger levels of 18.5%, 3.5%, 6.0%, and 70 days.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS evaluates the adequacy of available credit enhancement through compliance with transaction definitions of the loss reserve, the dilution reserve, and the carrying cost reserve as well as the size of the stress factors incorporated in these definitions. The loss and dilution stress factors expected at the AA (sf) credit rating level are 2.25.

CREDIT ENHANCEMENT
Credit enhancement to the VFNs is provided by the subordination of the Mezzanine B Notes and Mezzanine C Notes, the subordinated loan, and overcollateralisation in the form of various reserves. Morningstar DBRS's calculation of credit enhancement takes into account the portfolio's gross receivables balance as well as available cash held in the Issuer's accounts. As of 31 March 2025, the credit enhancement to the VFNs was 57.73% and the required reserve percentage was 32.8%.

Barclays acts as the account bank for the transaction. Based on the account bank reference credit rating of A (high) on Barclays (which is one notch below its Morningstar DBRS Long Term Critical Obligations Rating of AA (low)), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the VFNs, as described in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

Morningstar DBRS's credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Master European Structured Finance Surveillance Methodology" (4 February 2025): https://dbrs.morningstar.com/research/447081.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the eligibility criteria and maximum potential borrowing set forth in the transaction legal documents.

Morningstar DBRS has conducted a review of the transaction legal documents provided in the context of the aforementioned amendment. The other transaction legal documents have remained unchanged since the most recent rating action and as such, a review has not been conducted.
For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include monthly reports, a foreign exchange risk model, and a credit enhancement model provided by BIF UK.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 22 August 2024, when Morningstar DBRS confirmed the credit ratings on the VFNs at AA (sf).

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available at https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expect loss stress factors and dilution stress factors commensurate with the credit ratings on the VFNs, as per the standards described in its "Global Methodology for Rating Trade Receivable Securitizations". Changes to the transaction documents with respect to the loss stress factor and the dilution stress factor can have a direct impact on the credit ratings on the VFNs.
-- The loss stress factor and dilution stress factor expected at the AA (sf) credit rating level are 2.25.

VFN Risk Sensitivity:
-- A decrease of the loss stress factor and the dilution stress factor to 2.00 from 2.25, expected credit rating of A (sf)
-- A decrease of the loss stress factor and the dilution stress factor to 1.75 from 2.25, expected credit rating of BBB (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 23 October 2015

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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196
-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Global Methodology for Rating Trade Receivable Securitizations (28 March 2025), https://dbrs.morningstar.com/research/450833
-- Currency Stresses for Global Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443202
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.