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 methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for North Dock No.1 Limited on 3 March 2023. The review was conducted based on available investor reports through the 19 January 2023 payment date. North Dock No.1 is a revolving cash securitisation comprised of residential mortgages originated by Barclays Private Bank (PB) and granted to predominantly high net worth clients. PB is the private bank division of Barclays Bank PLC (Barclays). The replenishment period has approximately sixteen months remaining. The transaction closed on 24 March 2022.

The credit ratings remain as follows:

Class A1 (ISIN XS2134386031) Senior Fixed Rate Notes due 2057: GBP 435,000,000: AAA_SF

Class A2 (ISIN XS2134388086) Senior Floating Rate Notes due 2057: GBP 1,670,000,000: AAA_SF

Class B1 (ISIN XS2134388326) Mezzanine Fixed Rate Notes due 2057: GBP 160,000,000: A+_SF,

Class B2 (ISIN XS2134388912) Mezzanine Floating Rate Notes due 2057: GBP 160,000,000: 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

The transaction is still in its replenishment phase and performance has been benign through its first four quarters of reporting. Barring a breach of the Minimum Weighted Average Margin test, the portfolio remained within limits with the early-amortisation trigger not triggered (0% cumulative losses and assets greater than 180 days in arrears). In respect of the breach, Barclays will continue to manage the test on a maintain or improve system of replenishments.

At closing, Scope assumed negative portfolio migration towards portfolio test limits, which is common in replenishing transactions. One- and two-month arrears as a share of the outstanding portfolio are 0.01% and 0.51%, respectively. Credit enhancement remains the same as at closing. Class A benefits from 27.4% credit enhancement and Class B benefits from 16.4% credit enhancement. The cash reserve has remained fully funded at 2.0% of the rated notes.

All transaction counterparties continue to support the ratings. 

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 14 July 2022) 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 Mark Vrdoljak, Associate Director

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