���������ֳ�

���������ֳ� - London - 12 May 2025: ���������ֳ� has affirmed the Newgate Funding Plc 2007 series. ���������ֳ� has revised the Outlooks on 2007-1 and 2007-2 class Db, E, F notes to Negative from Stable. A full list of rating actions is below.

Transaction Summary

The three transactions are seasoned securitisations of mixed pools containing mainly residential non-conforming owner-occupied mortgage loans with a few residential buy-to let mortgage loans.

KEY RATING DRIVERS

Asset Performance Deterioration: Since the last review, late-stage arrears have increased in each transaction: by 6.9% for 2007-1, 4.2% for 2007-2 and 5.2% for 2007-3. This has resulted in an increased weighted average foreclosure frequency (WAFF) being applied in ���������ֳ�'s asset modelling. If further loans move into arrears, or those already in arrears accrue higher arrears balances, ���������ֳ�'s WAFF may increase at future rating reviews. The continued performance deterioration and build up in late-stage arrears drives the Negative Outlooks in 2007-1 and 2007-2. 2007-3 shows less sensitivity given its larger reserve fund.

Weak Recovery Performance: Transaction reporting suggests a loss severity of around 25% for all three transactions, which is significantly weaker than that estimated in ���������ֳ�'s ResiGlobal: UK model. ���������ֳ� examined the weighted average recovery rate (WARR) sensitivities to align its base case with the observed performance. The notes' model-implied ratings (MIRs) are sensitive to a lower WARR so the ratings on the class B, C, D, E and F notes are up to four notches lower than their MIRs.

Increasing Credit Enhancement: Credit enhancement (CE) has increased in each transaction due to the amortisation of the asset pool alongside a non-amortising reserve fund. This is most beneficial for the senior notes as the notes are currently amortising sequentially. The buildup of CE has offset the increase in expected loss resulting from the higher WAFF and contributes to the affirmations.

Excessive Counterparty Exposure: CE for 2007-3's class E notes is solely from the transaction's reserve fund held by Barclays Bank Plc (A+/Stable) as there are no collateralised subordinated notes. The notes' rating is therefore capped at and linked to Barclays' Long-Term Issuer Default Rating (IDR), reflecting their excessive dependence on Barclays.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade

The transaction's performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes.

Additionally, unanticipated declines in recoveries could result from lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. ���������ֳ� conducted sensitivity analyses by stressing each transaction's WAFF and WARR assumptions and examining the rating implications for the notes. A 15% increase in the WAFF and a 15% decrease in the WARR indicates downgrades of no more than six notches for 2007-1, six notches for 2007-2 and no downgrades for 2007-3.

Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade

Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE and potential upgrades.

���������ֳ� tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%. The results indicate upgrades of up to four notches for 2007-3 and six notches for 2007-1 and 2007-2.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action.

DATA ADEQUACY

���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. ���������ֳ� has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

���������ֳ� did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and ���������ֳ� is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, and together with any assumptions referred to above, ���������ֳ�'s assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

Newgate Funding Plc Series 2007-1, 2007-2, 2007-3 has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the underlying asset pools with limited affordability checks and self-certified income, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors.

Newgate Funding Plc Series 2007-1, 2007-2, 2007-3 has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a material concentration of interest-only loans, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors.

The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ���������ֳ�'s ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on ���������ֳ�'s ESG Relevance Scores, visit /topics/esg/products#esg-relevance-scores.

Additional information is available on

APPLICABLE MODELS

Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).

• Multi-Asset Cash Flow Model, v3.5.0 (1)
• ResiGlobal Model: UK, v2.0.2 (1)

ADDITIONAL DISCLOSURES

• Dodd-Frank Rating Information Disclosure Form
• Solicitation Status
• Endorsement Policy

ENDORSEMENT STATUS