Sirius Funding plc: 02 July 2018
This is a managed cash flow balance-sheet collateralised loan obligation transaction, where Barclays will transfer the credit risk of a GBP 4.5bln equivalent portfolio to the Issuer. The portfolio consists of senior secured and senior unsecured loans denominated in Euro, US Dollars and British Pounds, all originated by Barclays and extended predominantly to large corporate obligors in Western Europe.
The initial reference portfolio will comprise of 706 corporate loans (in 325 reference entities). Geographically the portfolio is concentrated within Europe: UK - 71%, Netherlands - 6%, Spain - 6%, France - 5%, Ireland - 4%, Switzerland - 3%, Luxembourg - 3%, Germany - 2%, Denmark - 1% and Norway - 0.5%.
There will be a 2 year re-investment period.