���������ֳ�

Link to ���������ֳ�' Report:

���������ֳ�-London-24 June 2014: ���������ֳ� has downgraded 11 and affirmed 44 tranches of the Newgate Funding Plc (NF) RMBS series; ���������ֳ� has also withdrawn the Short-term rating of the NF 2007-3 class A1 notes as it is no longer applicable following the expiry of the re-marketability of the notes.. A full list of ratings actions is available at or by clicking on the link above.

The NF programme is a securitisation of UK non-conforming residential mortgages originated by Mortgages PLC, a subsidiary of Bank of America Merrill Lynch. The six transactions in the series have similar portfolio characteristics with high portions of self-certified borrowers, ranging between 54% to 75% of the outstanding portfolio and interest-only loans representing 74% to 78% of the respective pools.

KEY RATING DRIVERS
Downgrades Driven by Criteria Change
The downgrades have predominantly been driven by credit enhancement (CE) that is insufficient to withstand their respective rating stresses based on the assumptions defined under ���������ֳ�'s updated criteria. Under the new criteria mortgage pools originated around the peak of the housing market, and in particular combined with adverse features such as self-certified loans, a high proportion of interest-only loans as well as loans granted to borrowers with adverse credit histories will tend to have higher default assumptions and expected losses. For this reason, the NF pools comprising a large portion of loans originated in 2006 and more so 2007 have been more adversely affected by the criteria change.

High but Stable Arrears
Arrears levels have remained stable, supported by low interest rates. The absolute levels of loans three months or more behind on their payments exceed 23% in all transactions except NF 2007-3. This is significantly higher than the sector average of 11%. Additionally nearly one in three loans in the portfolio made no payment at all, as of the last reported dates. Arrears levels as well as the proportion of borrowers unable to make any payments could increase if interest rates rise modestly, as expected. These factors have also contributed towards the downgrades. Furthermore, with portfolio payment rates expected to remain low at under 10% for all six transactions, credit support is unlikely to build-up quickly.

Absence of Basis Swap
There are no hedging agreements in place in any of the transactions to mitigate the basis risk arising from the Libor-linked notes and underlying mortgages linked to standard variable rates or the bank base rates. Consequently, in its analysis, ���������ֳ� has applied haircuts to the coupons received to reduce the credit given to the excess spread generated by the structure.

RATING SENSITIVITIES
���������ֳ� believes that the expected increase in interest rates, before the end of 2015, will put a strain on borrower affordability, particularly given the weaker profile of the underlying borrowers in the NF portfolios, as evidenced by the relatively high level of arrears despite prevailing low interest rates. If defaults and associated losses increase beyond the agency's stresses, further downgrades could result on the junior tranches.

Contact:
Lead Surveillance Analyst
Jiaxin Huang
Analyst
+44 20 3530 1572
���������ֳ� Limited
30 North Colonnade
London E14 5GN

Committee Chairperson
Ketan Thaker
Senior Director
+44 20 3530 1392

Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com.

Additional information is available on

Sources of information - investor and servicer reports, as well as loan-by-loan level data.

Applicable criteria 'Global Structured Finance Rating Criteria' dated 20 May 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds' dated 14 May 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum' dated 14 May 2014, 'Criteria Addendum - UK - Residential Mortgage and Cash Flow Assumptions' dated 30 May 2014, 'EMEA Residential Mortgage Loss Criteria' dated 28 May 2014, 'EMEA RMBS Cash Flow Analysis Criteria' dated 28 May 2014, 'EMEA RMBS Master Rating Criteria' dated 28 May 2014 and 'Global Criteria for Lenders' Mortgage Insurance in RMBS' dated 23 June 2014 are available at .

Applicable Criteria and Related Research:









Additional Disclosure