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Moody's Investors Service Inc.

Moody's Assigns Provisional Rating to Albion No.7 PLC Mortgage-Backed Floating Rate Notes

Strategic Insights

— 2 min read

The Moody's Investors Service has assigned a provisional rating to Notes to be issued by Albion No.7 PLC, a UK-based mortgage-backed securities issuer. The rating is primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity. The Notes are backed by a static pool of UK Prime residential mortgage loans originated by Leeds Building Society, with a portfolio of assets amounting to approximately £678.9 million as of the March 2025 pool cutoff date.

Key Takeaways:

  • The Notes are backed by a static pool of UK Prime residential mortgage loans originated by Leeds Building Society, with a portfolio of assets amounting to approximately £678.9 million as of the March 2025 pool cutoff date.
  • The rating is primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity.
  • The transaction benefits from various credit strengths, such as a granular portfolio of prime borrowers and an amortising General Reserve Fund sized at 1.5% of the Class A note balance.
  • The transaction features some credit challenges, including concentration of counterparty risk as Leeds Building Society acts as originator, servicer, cash manager, issuer account bank, and swap provider.
  • The expected loss captures our expectations of performance considering the current economic outlook, while the MILAN Stressed Loss captures the loss we expect the portfolio to suffer in the event of a severe recession scenario.
  • Portfolio expected loss of 0.5% and MILAN Stressed Loss of 3.0% are lower than the UK Prime RMBS sector average.
  • The principal methodology used in this rating was "Residential Mortgage-Backed Securitizations" published in October 2024.
  • The analysis undertaken by Moody's at the initial assignment of a rating for an RMBS security may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage.

Statistics:

  • Portfolio of assets amount to approximately £678.9 million as of the March 2025 pool cutoff date.
  • Credit enhancement for the Class A Notes will be 10.0%.
  • The General Reserve Fund will be funded to 1.5% of Class A Notes balance at closing.
  • The expected loss captures 0.5% of the portfolio's future potential losses.
  • MILAN Stressed Loss captures 3.0% of the portfolio's future potential losses in a severe recession scenario.

Sources:

  • Moody's Ratings (Moody's)
  • Albion No.7 PLC
  • Leeds Building Society ("LBS")
  • Moody's "Residential Mortgage-Backed Securitizations" methodology published in October 2024
  • https://ratings.moodys.com/rmc-documents/429877
  • https://ratings.moodys.com

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