Rating action

Scope Ratings UK Limited (Scope) has taken the following rating actions on the instruments issued by North Dock No.1 Limited:

Class A1 Fixed Rate Notes (ISIN XS2134386031): GBP 435,000,000: affirmed at AAA_SF

Class A2 Floating Rate Notes (ISIN XS2134388086): GBP 1,670,000,000: affirmed at AAA_SF

Class B1 Fixed Rate Notes (ISIN XS2134388326): GBP 160,000,000: upgraded to AA_SF from AA-_SF

Class B2 Floating Rate Notes (ISIN XS2134388912): GBP 160,000,000: upgraded to AA_SF from AA-_SF

Key transaction features

Initial analysis

The transaction is a GBP 2.9bn true-sale securitisation of loans secured by UK residential properties. The loans were granted in the ordinary course of business by Barclays Private Bank & Overseas Services, a private bank division of Barclays Bank PLC. The loans were originated to high-net-worth clients and are denominated in sterling (GBP). The transaction featured a reinvestment period during which loans could be exchanged in the portfolio on a discretionary basis, but rules-based reinvestment criteria protected the transaction from adverse portfolio migration.

The structure features separate interest and principal priorities of payments. Class A, Class B and Class C notes will amortise on a strictly sequential basis. The transaction was restructured in 2022, setting credit enhancement for Class A and Class B notes at 27.4% and 16.4%, respectively. The structure is also supported by a non-amortising liquidity facility, provided by Barclays Bank PLC. The liquidity facility accounts for GBP 58.0m or 2% of the initial collateral balance and can be used only to cover temporary shortfalls of interest on the rated notes.

The key counterparties are Barclays Bank PLC and U.S. Bank Europe DAC, UK Branch.

Relevant updates

The reinvestment period has ended, and deleveraging will start at the January 2026 payment date.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

Given the end of the reinvestment period, the risk of negative portfolio migration has been eliminated. In addition, the accumulated cash which formed part of the aggregate collateral balance but was not invested in loans will be applied to amortize the loans on the payment date, which we estimate will increase credit enhancement on Class A and Class B notes to 32.7% and 19.6%, respectively.

The Class A1 and Class A2 notes’ current ratings reflect the updated quantitative analysis base case results.

Key rating drivers

The key rating drivers have evolved since our last rating action release in January 2025. Scope considers the below listed drivers as transaction’s the key rating drivers. None of the key rating drivers are ESG related.

• Robust structure (positive)¹. The deal features a strictly sequential structure, and separate principal and interest waterfalls. Since the restructuring of the transaction in 2022, the Class A and Class B notes benefit from 27.4% and 16.4% credit enhancement provided by subordination of the Class C notes, which will increase further, once the part of the aggregate collateral balance, which is not invested in loans, will be repaid.
   
• Strong liquidity (positive)¹. Liquidity shortfalls are very unlikely for the Class A notes, as Class A is supported by a non-amortising liquidity facility, consisting of 2% of the initial total collateral balance. In addition, principal proceeds can be diverted to cover Class A interest shortfall risk, in accordance with the transaction’s waterfalls (principal-to-interest). Liquidity support for the Class B notes is heavily reliant on the liquidity facility. Class B does not benefit from the principal-to-interest mechanism until Class A is fully redeemed.
   
• Volatility of the historical data (negative)². Scope’s lifetime portfolio default rate distribution captures relatively high expected defaults, which reflect the volatility of the historical data which Scope was provided with before closing, as well as underlying refinancing risks owing to the bullet nature of most underlying assets. The coefficient of variation, which is embedded in the default distribution addresses the high regional- and borrower concentration.
   
• Uncertain recoveries (negative)³. Given the illiquid nature of the financed properties of high-net-worth individuals, recoveries are more uncertain than in other RMBS transactions. There are no observed recoveries available in the context of the transaction, therefore, the class B ratings incorporate the potential impact of lower recovery than in Scope’s base case.

Key quantitative assumptions

• The portfolio’s lifetime default rate which follows an inverse Gaussian distribution.
   
• The stochastic recovery rate from the defaulted assets, which follows a beta distribution.

Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis.’

Key portfolio metrics

• Weighted average interest rate: 4.5%
   
• Weighted average remaining term: 5.8 years
   
• Weighted average seasoning: 4 years
   
• Weighted average original LTV: 59.9%

Key data sources

Scope’s review was based on investor reporting as of the October 2025 payment date and portfolio data as of 15 October 2025.

Rating-change drivers

The ratings may change in the event of i) changes to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources; ii) significant changes to the transaction’s collateral and structural features; and/or iii) a change in Scope’s view regarding the transaction’s key rating drivers.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, does not reflect expected or likely scenarios.

Class A1:

• 50% increase of mean lifetime default rate: 0 notches
   
• a parallel shift by -10 percentage points in the portfolio recovery rate: 0 notches

Class A2:

• 50% increase of mean lifetime default rate: 0 notches
   
• a parallel shift by -10 percentage points in the portfolio recovery rate: 0 notches

Class B1:

• 50% increase of mean lifetime default rate: 0 notches
   
• a parallel shift by -10 percentage points in the portfolio recovery rate]: 0 notches

Class B2:

• 50% increase of mean lifetime default rate: 0 notches
   
• a parallel shift by -10 percentage points in the portfolio recovery rate: 0 notches

Quantitative analysis

The following key quantitative parameters have changed since our last review:

• Default rate distribution parameters: the cumulative mean default rate assumption has remained 8.0%, while the Distressed Default Rate assumption has been adjusted to 30.3% from 33.7% as result of removal of stresses addressing potential negative portfolio migration during the reinvestment phase.
   
• The 2% assumed portfolio loss before the beginning of the amortisation phase has been removed.
   
• Rating conditional interest rate vectors: as disclosed in Scope´s General Structured Finance Methodology.

Rating driver references
1. Transaction documents (Confidential)
2. Historical data from the originator (Confidential)
3. Investor reports and portfolio data (Confidential)

Stress testing
Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and 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’ Cash Flow Model Version 2.3 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 (Residential Mortgage-Backed Securities Rating Methodology, 7 July 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Version 2.3), 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 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 scoperatings.com/governance-and-policies/regulatory/uk-regulation. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at 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 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 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 received a third-party asset due diligence assessment/asset audit at closing. The external due diligence assessment/asset audit 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 UK Limited at 52 Grosvenor Gardens, London, United Kingdom, SW1W 0AU, Tel +44 20 7824 5180. The Credit Ratings are EU-endorsed.
Lead analyst: Adam Plajner, Director
Person responsible for approval of the Credit Ratings: Antonio Casado, Managing Director
The Credit Ratings were first released by Scope Ratings on 27 March 2020. The Credit Ratings were last updated on 20 January 2025.

Potential conflicts
See 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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