Moody's Assigns Provisional Ratings to Bletchley Park Funding 2025-1 PLC's Notes

Strategic Insights -

Moody's Ratings has assigned provisional ratings to Notes issued by Bletchley Park Funding 2025-1 PLC, a UK buy-to-let mortgage-backed securities deal. The ratings are primarily based on the credit quality of the portfolio, structural features of the transaction, and its legal integrity. The Notes are backed by a static portfolio pool of 1,144 mortgage loans with a current balance of £274.7 million as of April 30, 2025.

Key Takeaways:

  • The Notes are backed by a portfolio of 1,144 mortgage loans with a current balance of £274.7 million as of April 30, 2025, making it a significant asset pool.
  • The ratings are primarily based on the credit quality of the portfolio, with a weighted-average current LTV of 73.6% and a portfolio expected loss of 1.6%, which is higher than the UK buy-to-let RMBS sector average.
  • The transaction benefits from a liquidity reserve fund sized at 1.4% of the Classes A and B notes, which will amortize to the lower of the initial amount and 2% of the outstanding principal balance of the Class A and B notes.
  • The liquidity reserve fund will be available to cover senior fees and costs, and Class A and B interest, with all excess amounts released into the principal waterfall and providing an additional cash flow to Classes A to E notes.
  • The cash manager, Citibank, N.A., London Branch (Aa3(cr) / P-1(cr)), and the servicer, BCMGlobal Mortgage Services Limited, are both reputable institutions with strong credit profiles.
  • The transaction documents incorporate estimation language to mitigate operational risk, with CSC Capital Markets UK Limited acting as the back-up servicer facilitator.
  • A fixed-floating scheduled amortisation swap has been provided by NatWest Markets Plc (A1(cr) / P-1(cr)) to mitigate the interest rate risk mismatch between the loans in the pool and the Notes.
  • The expected loss of 1.6% captures Moody's expectations of performance considering the current economic outlook, while the MILAN Stressed Loss of 14.1% captures the loss expected in the event of a severe recession scenario.
  • The ratings of the Notes are subject to Moody's ongoing surveillance, which may consider various factors, including changes in the portfolio composition, interest rates, and economic conditions.

Statistics:

  • Portfolio expected loss: 1.6%
  • MILAN Stressed Loss: 14.1%
  • Weighted-average current LTV: 73.6%
  • Portfolio balance: £274.7 million as of April 30, 2025
  • Number of mortgage loans: 1,144
  • Liquidity reserve fund size: 1.4% of Classes A and B notes
  • Fixed-floating scheduled amortisation swap: provided by NatWest Markets Plc (A1(cr) / P-1(cr))

Sources:

  • Moody's Ratings, "Residential Mortgage-Backed Securitizations" methodology published in October 2024, available at https://ratings.moodys.com/rmc-documents/429877.
  • Moody's Ratings, "Rating Methodologies" page on https://ratings.moodys.com.