Scope Ratings completed the monitoring review of North Dock No.1 Limited on 26 March 2021. The review was conducted based on available investor reports through the 19 January 2021 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 a private bank division of Barclays Bank PLC (Barclays). The replenishment period has approximately one year remaining. The transaction closed on 27 March 2020.

The credit ratings remain as follows:

Class A1 (ISIN XS2134386031): GBP 225.0m outstanding: AAA_SF

Class A2 (ISIN XS2134388086): GBP 1,125.0m outstanding: AAA_SF

Class B1 (ISIN XS2134388326): GBP 100.0m outstanding: AA-_SF

Class B2 (ISIN XS2134388912): GBP 100.0m outstanding: AA-_SF

Scope Ratings reviews its ratings yearly.

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodology/ies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in 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 three quarters of reporting. The portfolio is well within its covenanted limits and no early-amortisation triggers have been breached. Approximately 7.2% of the portfolio has replenished since closing, resulting in a tighter weighted average portfolio yield (2.0% vs. 2.5% as of closing) and a slightly longer weighted average time to maturity (6.4 years vs. 5.9 years as of closing). At closing, Scope assumed negative portfolio migration towards covenanted limits, which is common in replenishing transactions. One- and two-month arrears as a share of the outstanding portfolio are 0.04% and 0.78%, respectively.

Credit enhancement remains the same as at closing. Class A benefits from 29.0% credit enhancement and Class B benefits from 18.4% 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, 14 December 2020; Methodology for Counterparty Risk in Structured Finance, 8 July 2020 ) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst: Thomas Miller-Jones, Associate Director

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