Scope Ratings UK Limited (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review of North Dock No.1 Limited on 14 February 2022. The review was conducted based on available investor reports through the 19 January 2022 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 the private bank division of Barclays Bank PLC (Barclays). The replenishment period has approximately two months 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

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 seven quarters of reporting. The portfolio is well within its covenanted limits and no early-amortisation triggers have been breached. Approximately 27.8% of the portfolio has replenished since closing, resulting in a tighter weighted average portfolio margin (1.79% vs. 2.01% as at last monitoring) and a slightly longer weighted average time to maturity (6.31 years vs. 6.37 years at last monitoring). It should be noted that the maximum weighted average maturity exceeded the test threshold by 3 months. In this regard Barclays will continue to manage the test on a maintain or improve system of replenishments. 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 0.63% and 0.28%, 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, published 17 December 2021; Methodology for Counterparty Risk in Structured Finance, published 13 July 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by issued by Scope Ratings UK Limited at 52 Grosvenor Gardens, London, United Kingdom, SW1W 0AU, Tel +44 20 7824 5180. The Credit Rating(s) and/or Outlook(s) is/are EU-endorsed.
Lead analyst Mark Vrdoljak, Associate Director

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