Assets

Mortgages plc Securitisation Investment

BBGIL owns 50% of  two classes of certificates issued by Newgate Funding 2006-3 plc (Newgate), which closed a securitisation of non-conforming mortgages originated by Mortgages plc on 2 Nov 2006 in the UK.

The initial capital structure of the notes and certificates issued by Newgate is:

Initial principal amount Ratings (Moody's/S&P/Fitch) Interest rate Weighted life (years) Maturity date

Class A1b €95,200,000 Aaa/AAA/AAA EURIBOR +0.07% 0.99 1 Dec 2050 Class A1c USD271,000,000 Aaa/AAA/AAA USD LIBOR +0.06% 0.99 1 Dec 2050 Class A2 ₤177,450,000 Aaa/AAA/AAA LIBOR +0.14% 2.22 1 Dec 2050 Class A3a ₤108,800,000 Aaa/AAA/AAA LIBOR +0.17% 4.81 1 Dec 2050 Class A3b €80,000,000 Aaa/AAA/AAA EURIBOR +0.17% 4.81 1 Dec 2050 Class Mb €24,300,000 Aa1/AAA/AAA EURIBOR +0.22% 4.03 1 Dec 2050 Class Ba ₤10,000,000 Aa3/AA/AA LIBOR +0.27% 4.03 1 Dec 2050 Class Bb €44,000,000 Aa3/AA/AA EURIBOR +0.24% 6.08 1 Dec 2050 Class Cb €36,800,000 A3/A/A EURIBOR +0.45% 4.03 1 Dec 2050 Class Da ₤5,000,000 Baa3/BBB/BBB LIBOR +0.87% 4.03 1 Dec 2050 Class Db €15,800,000 Baa3/BBB/BBB EURIBOR +0.85% 4.03 1 Dec 2050 Class E ₤5,900,000 Ba2/BB/BB LIBOR +3.00% 4.03 1 Dec 2050 Class T ₤6,200,000 NR/BBB/BBB- LIBOR +0.90% 0.81 1 Dec 2050 Class Q ₤6,500,000 NR/BB/BB- LIBOR +3.50% 2.20 1 Dec 2050 Series MERCs * ₤7,526,000 N/R N/A 1.00 1 Dec 2050 Series Residuals * ₤12,613,000 N/R N/A 3.50 1 Dec 2050

^* As determined by BBGIL. The rest of the information in the table above is taken from the Pricing Supplement issued by Newgate in relation to series 2006-3.

BBGIL owns 50% of each of the following:

• Series MERCS, which grant entitlement to the prepayment penalties paid by borrowers when they repay loans early.  Prepayment penalties are not passed through the payment waterfalls but are passed directly to the MERC noteholders; and
• Series Residuals, which grant entitlement to the residual amount remaining following payments on all higher rated notes.