DBRS Comments on Colonnade Global 2016-1 Following an Amendment to the Transaction

DBRS Ratings Limited (DBRS) found no rating impact on the provisional ratings of ten tranches issued by Colonnade Global 2016-1 (the Issuer) following an amendment to the transaction. Current provisional ratings are as follows:

-- USD 4,707,777,778 Tranche A, rated AAA (sf)
-- USD 68,333,333 Tranche B, rated AA (high) (sf)
-- USD 28,333,333 Tranche C, rated AA (sf)
-- USD 31,111,111 Tranche D, rated AA (low) (sf)
-- USD 58,333,333 Tranche E, rated A (high) (sf)
-- USD 15,555,556 Tranche F, rated A (sf)
-- USD 43,333,333 Tranche G, rated A (low) (sf)
-- USD 63,888,889 Tranche H, rated BBB (high) (sf)
-- USD 17,777,778 Tranche I, rated BBB (sf)
-- USD 21,111,111 Tranche J, rated BBB (low) (sf)

The ratings are expected to remain provisional until the moment the underlying agreements are executed. However,
it is important to note that Barclays (the Originator) may have no intention of executing the senior guarantee. DBRS
will maintain and monitor the provisional ratings throughout the life of the transaction or while it continues to
receive performance information.

The ratings address the likelihood of a reduction to the respective tranche notional amounts resulting from borrower
defaults within the guaranteed portfolio of the notional loan portfolio financial guarantee within the eight-year credit protection period. Borrower default events are limited to failure to pay, bankruptcy and restructuring events.

The commentary follows a review of an amendment executed on 8 November 2017, which includes changes
regarding the eligibility criteria and portfolio profile tests under which Barclays can add new reference obligations during the replenishment period. In DBRS’s view, the changes do not materially affect the ratings.

The ratings take into consideration only the creditworthiness of the reference portfolio. The ratings do not address
counterparty risk or the likelihood of any event of default or termination events under the agreement occurring.

The transaction is a synthetic balance sheet collateralised loan obligation structured in the form of a financial
guarantee. The loans were originated by Barclays’ investment banking division.

Barclays bought protection under a similar financial guarantee for the first loss piece but has not executed the contracts relating to the rated tranches. Under the unexecuted guarantee agreement, Barclays will transfer the remaining credit risk (from 9% to 100%) of the same USD 5.55 billion portfolio.

Based on the investor report dated 18 September 2017, there were no cumulative defaults and the credit enhancement (CE) levels for each of the tranches remains the same as at closing.

The transaction has a two-year and two-month replenishment period left, during which time Barclays can add new reference obligations or increase the notional amount of existing reference obligations. The replenishment period will follow rules-based selection guidelines that are designed to ensure the new reference obligations are not adversely selected. In addition, the new reference obligations also need to comply with the eligibility criteria and portfolio profile tests, which are established to ensure that the credit quality of new reference obligations proposed are similar or better than that of the reference obligations they replace.

For the recovery rate, DBRS applied the senior secured and senior unsecured recovery rates defined in its “Rating CLOs and CDOs of Large Corporate Credit” methodology. The portfolio can reference obligations from obligors based in Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hungary, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland or the United States of America. DBRS applies different recovery rates depending on the recovery tier and seniority. All of the eligible borrowers will be based in countries with a DBRS recovery Tier 1 (higher recovery) to recovery Tier 4 (lower recovery), except for Hungary, as it does not have a defined recovery tier in the methodology. However, based on the nature of the loans, DBRS considers Hungary to be a recovery Tier 4 country for the purpose of this transaction.

The portfolio weighted-average recovery rate was calculated based on the worst case concentration allowed under the portfolio profile tests and adjusted as per the analysis mentioned above.

DBRS used the CLO Asset Tool to determine expected default rates for the portfolio at each rating level. To determine the credit risk of each underlying reference obligation, DBRS relied on either public ratings or ratings mapping to DBRS ratings of Barclays’ internal ratings models. The mapping was completed in accordance with DBRS’s “Mapping Financial Institution Internal Ratings to DBRS Ratings for Global Structured Credit Transactions” methodology.

The eligibility criteria excludes obligations that are (1) subordinated, defined as either (2) project finance or (3) structured finance, (4) currently in credit watch, (5) those that have defaulted or (6) have been in arrears in the previous 12 months. The maximum borrower group concentration allowed will be 1.5% for borrower groups. The better internal rating score (i.e., a score with low borrower concentration), the lower the score of the borrower group.

PORTFOLIO PERFORMANCE AND CREDIT ENHANCEMENT
Based on the investor report dated 18 September 2017, there were no cumulative defaults, and the CE levels for the tranches remains the same as at closing.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable is: “Rating CLOs and CDOs of Large Corporate Credit”.

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

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

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this commentary include the Arranger and Beneficiary: Barclays Bank PLC.
DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this commentary to be of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 29 December 2016 when DBRS assigned provisional ratings to ten tranches of the unexecuted unfunded financial guarantee.

The lead analyst responsibilities for this transaction have been transferred to Francesco Amato.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of a change of the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- Correlation assumption Used: Base Case Correlation (15% intra-industry and 6% inter-industry), a 20% and 40% increase on the base case correlation parameters.
-- Recovery Rates Used: Base Case Recovery Rate (ranging between 25.0% and 31.9% at the AAA (sf) to BBB (low) (sf) stress level), a 10% and 20% decrease in the Base Case Recovery Rate. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.

DBRS concludes that a hypothetical increase of the base case correlation by 40% or a hypothetical decrease of the Recovery Rate by 20%, ceteris paribus, could each lead to a downgrade of the rated tranches by up to two notches.

A scenario combining both an increase in the correlation by 20% and a decrease in the Recovery Rate by 10% could lead to a downgrade of the rated tranches by up to three notches.

For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Francesco Amato, Financial Analyst
Initial Rating Date: 20 December 2016

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Rating Methodology for CLOs and CDOs of Large Corporate Credit
-- Mapping Financial Institution Internal Ratings to DBRS Ratings for Global Structured Credit Transactions
-- Unified Interest Rate Model for European Securitisations
-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.