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Rating Action Commentary

ֳ Assigns Newgate Funding's Series 2007-3 Mortgage-Backed Notes Expected Ratings

Thu 22 Nov, 2007 - 11:57 AM ET

ֳ-London-22 November 2007: ֳ has today assigned Newgate Funding Plc's Series 2007-3 GBP850m-equivalent mortgage-backed floating-rate notes due in 2050 expected ratings as follows:

GBP-equivalent 300m Class A1: 'AAA'/'F1+'
GBP-equivalent 285m Class A2: 'AAA'
GBP-equivalent 148.1m Class A3: 'AAA'
GBP-equivalent 61.20m Class B: 'AA-' (AA minus)
GBP-equivalent 31.45m Class C: 'A-' (A minus)
GBP-equivalent 12.75m Class D: 'BBB+' (BBB plus)
GBP-equivalent 11.5m Class E: 'BBB-' (BBB minus)
Mortgage early redemption certificates: 'AAA'

The final ratings are contingent upon the receipt of final documents conforming to information already received.

This transaction is a securitisation of sub-prime residential mortgages originated and located in the UK. The expected ratings are based on the quality of the collateral, available credit enhancement, underwriting criteria and servicing capabilities of Mortgages PLC, back-up servicing of capabilities of Homeloan Management Limited and the transaction's sound legal structure.

Credit enhancement for the Class A1 and A2 notes totals 33.98% and will be provided by the subordination of the Class A3 (17.42%), Class B (7.2%), Class C (3.7%), Class D (1.5%) and Class E (1.35%) notes, as well as an initial and target reserve fund of 2.8%.

To determine appropriate credit enhancement levels, ֳ analysed the collateral using its UK Residential Mortgage Default Criteria. The agency also modelled cash flows using the results of the default model, with structural stresses including various prepayment and interest rate scenarios. The cash flow tests showed that each Class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by legal final maturity.

The presale report on this transaction is available on the agency's website, .

Contact: Ketan Thaker, London, Tel: +44 20 7862 4124; Kali K Sirugudi, +44 20 7682 7257.

Media Relations: Mayra Cunningham, London, Tel: +44 20 7417 3557.

ֳ's rating definitions and the terms of use of such ratings are available on the agency's public site, . Published ratings, criteria and methodologies are available from this site, at all times. ֳ's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

PARTICIPATION STATUS

The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer’s available public disclosure.

Solicitation Status

The ratings above were solicited and assigned or maintained at the request of the rated entity/issuer or a related third party. Any exceptions follow below.

ENDORSEMENT POLICY

ֳ's approach to ratings endorsement so that ratings produced outside the EU may be used by regulated entities within the EU for regulatory purposes, pursuant to the terms of the EU Regulation with respect to credit rating agencies, can be found on the EU Regulatory Disclosures page. The endorsement status of all International ratings is provided within the entity summary page for each rated entity and in the transaction detail pages for all structured finance transactions on the ֳ website. These disclosures are updated on a daily basis.