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Fitch Ratings upgrades Newgate Funding Plc Series 2006-2's notes.

London: Fitch Ratings, a nationally recognized statistical rating organization (NRSRO) designated by the U.S. Securities and Exchange Commission, upgraded Newgate Funding (NF) Plc Series 2006-2's class C and D notes and affirmed NF Series 2006-1 and 2006-3.

The three transactions have similar portfolio characteristics with high portions of self-certified borrowers, ranging between 57.8% and 74.6% and interest-only loans representing roughly 80% of the respective pools. The NF series is a securitisation of UK non-conforming residential mortgages originated by Mortgages PLC, a subsidiary of Bank of America Merrill Lynch.

CE has built up sufficiently on the notes being upgraded to withstand higher stresses than those associated with the previous ratings. Credit enhancement (CE) has increased across the series, despite pro rata amortisation since the previous review, due to the reserve fund in each transaction no longer amortising having breached the cumulative loss trigger.

Performance since the last review has been improved across the transactions. 3m+ arrears have fallen for all three transactions over the past 12 months to 15.27% from 19.31% for NF 2006-1, to 14.87% from 17.39% for NF 2006-2 and to 15.16% from 17.86% for NF 2006-3. The portion of the original balance that has been repossessed has only increased by a low amount since the last review by 0.14% for NF 2006-1, 0.16% for NF 2006-2 and 0.21% for NF 2006-3.

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Publication:Daily the Pak Banker (Lahore, Pakistan)
Date:Jun 3, 2018
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