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Moody's Investors Service Inc.

Moody's Assigns Definitive Ratings to Braccan Mortgage Funding 2025-1 plc

Strategic Insights

— 2 min read

Moody's Investors Service has assigned definitive ratings to Notes issued by Braccan Mortgage Funding 2025-1 plc, a transaction backed by a static portfolio of UK buy-to-let and UK non-conforming residential mortgage loans originated by Paratus AMC Limited. The ratings are primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity. The transaction benefits from a non-amortising general reserve and a liquidity reserve fund, which will mitigate operational risk and ensure payment continuity over the transaction's lifetime.

Key Takeaways:

  • The Notes are backed by a static portfolio of 1,947 mortgage loans with a current balance of GBP 438.4 million as of 30 April 2025 pool cut-off date.
  • The securitized portfolio consists of 99.6% fixed-rate loans that will revert to Bank of England Base Rate (BBR) plus a margin, while the Notes are floating-rate securities with reference to compounded daily SONIA.
  • A fixed-floating scheduled amortisation swap provided by Lloyds Bank Corporate Markets plc will be used to mitigate the interest rate risk mismatch.
  • The collateral trigger level is set at loss of A3(cr) and the transfer trigger level is set at loss of Baa3(cr), which are in line with typical UK standalone RMBS transactions.
  • The expected loss for the portfolio is 1.2%, which is in line with the UK buy-to-let RMBS sector average, and the MILAN Stressed Loss is 8.3%, which is lower than the sector average.
  • The principal methodology used in these ratings was "Residential Mortgage-Backed Securitizations" published in October 2024.

Statistics:

  • GBP 493.35M: Definitive rating assigned on the Class A Mortgage Backed Floating Rate Notes.
  • Aaa(sf): Definitive rating assigned on the Class A Mortgage Backed Floating Rate Notes.
  • GBP 27.5M: Definitive rating assigned on the Class B Mortgage Backed Floating Rate Notes.
  • Aa2(sf): Definitive rating assigned on the Class B Mortgage Backed Floating Rate Notes.
  • GBP 17.325M: Definitive rating assigned on the Class C Mortgage Backed Floating Rate Notes.
  • A1(sf): Definitive rating assigned on the Class C Mortgage Backed Floating Rate Notes.
  • GBP 11.825M: Definitive rating assigned on the Class D Mortgage Backed Floating Rate Notes.
  • Baa1(sf): Definitive rating assigned on the Class D Mortgage Backed Floating Rate Notes.
  • GBP 11M: Definitive rating assigned on the Class X Floating Rate Notes.
  • B1(sf): Definitive rating assigned on the Class X Floating Rate Notes.
  • 1.2%: Expected loss for the portfolio.
  • 8.3%: MILAN Stressed Loss for the portfolio.

Sources:

  • Moody's Investors Service: Moody's Ratings (Moody's) has assigned definitive ratings to Notes issued by Braccan Mortgage Funding 2025-1 plc.
  • https://ratings.moodys.com/rmc-documents/429877
  • https://ratings.moodys.com
  • "Residential Mortgage-Backed Securitizations" published in October 2024.

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