Morningstar DBRS Assigns Provisional Credit Ratings to Bletchley Park Funding 2025-1 PLC

DBRS Ratings Limited (Morningstar DBRS) assigned provisional credit ratings to the bonds to be issued by Bletchley Park Funding 2025-1 PLC (the Issuer) as follows:

-- Class A Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (low) (sf)
-- Class C Notes at (P) A (low) (sf)
-- Class D Notes at (P) BBB (low) (sf)
-- Class E Notes at (P) BB (low) (sf)
-- Class X1 Notes at (P) B (low) (sf)
-- Class X2 Notes at (P) CCC (sf)

The provisional credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in January 2070. The provisional credit ratings on the Class B, Class C, Class D, and Class E notes address the timely payment of interest once they are the most senior class of notes outstanding and, until then, the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. The provisional credit ratings on the Class X1 and Class X2 notes address the ultimate payment of interest and principal on or before the final maturity date.

Morningstar DBRS does not rate the residual certificates also expected to be issued in this transaction.

CREDIT RATING RATIONALE
The transaction represents the issuance of residential mortgage-backed securities (RMBS) backed by first-lien, buy-to-let (BTL) mortgage loans granted by Quantum Mortgages Limited (QML or the Originator) in the UK.

The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in the UK. This is QML's second RMBS transaction, with the inaugural transaction, Bletchley Park Funding 2024-1, closing in August 2024. QML is a UK specialist property finance lender that has been offering loans to customers in England, Wales, and Northern Ireland since May 2022. QML's BTL business targets professional portfolio landlords, often real estate companies or SPVs, which it acquires through the broker marketplace.

The Issuer is expected to issue five tranches of collateralised mortgage-backed securities (the Class A, Class B, Class C, Class D, and Class E notes) to finance the purchase of the portfolio. Additionally, the Issuer is expected to issue two classes of noncollateralised notes (the Class X1 and Class X2 Notes).

The transaction is structured to initially provide 12.75% of credit enhancement to the Class A notes. This includes subordination of the Class B to the Class E notes.

The transaction features a fixed-to-floating interest rate swap, given that nearly the entire pool (99.5% by loan balance) is composed of fixed-rate loans with a compulsory reversion to floating-rate in the future. The liabilities will pay a coupon linked to the daily compounded Sterling Overnight Index Average. NatWest Markets Plc (NatWest) will be appointed as the swap counterparty as of closing. Based on Morningstar DBRS' credit rating on NatWest (A (high) with a Stable trend), the downgrade provisions outlined in the documents, and the transaction structural mitigants, Morningstar DBRS considers the risk arising from the exposure to the swap counterparty to be consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Citibank, N.A., London Branch (privately rated by Morningstar DBRS) will act as the issuer account bank in the transaction and will hold the Issuer's transaction account, the liquidity reserve fund (LRF), and the swap collateral account, while Barclays Bank PLC will be appointed as the collection account bank. Morningstar DBRS has a Long Term Critical Obligations Rating of AA (low) and a Long-Term Issuer Rating of "A" on Barclays Bank PLC, both with Stable trends. Both entities meet the eligible credit ratings in structured finance transactions and are consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Liquidity in the transaction is provided by an LRF, which is amortising and sized at the lower of 1.4% of the Class A and Class B notes' balance at closing and 2.0% of the Class A and Class B notes' outstanding balance. It covers senior costs and expenses, swap payments, and interest shortfalls for the Class A and Class B notes. The LRF will be fully funded at closing a using part of the Class X1 and Class X2 Notes' issuance proceeds and through excess spread thereafter. Any liquidity reserve excess amount will be applied as available principal receipts, and the reserve will be released in full once the Class B Notes are fully repaid. In addition, the Issuer can use principal to cover senior costs and expenses, swap payments, and interest on the most senior class of notes outstanding and on the Class B to Class E notes provided their relevant principal deficiency ledger is not greater than 10% of the respective class outstanding principal amount. Principal can be used once the LRF has been exhausted. Interest shortfalls on the Class B to Class E notes, as long as they are not the most senior class outstanding, may be deferred and not be recorded as an event of default until the final maturity date or such earlier date on which the notes are fully redeemed or become the most senior class. Interest shortfalls on the Class X1 and Class X2 Notes can be deferred until the notes' redemption or maturity.

Morningstar DBRS based its credit ratings on a review of the following analytical considerations:
-- The transaction's capital structure, including the form and sufficiency of available credit enhancement;
-- The credit quality of the mortgage portfolio and the servicer's ability to perform collection and resolution activities. Morningstar DBRS estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine and analysed the mortgage portfolio in accordance with its "European RMBS Insight Methodology";
-- The transaction's ability to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, Class X1, and Class X2 notes according to the terms of the transaction documents;
-- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents;
-- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland of AA with a Stable trend as of the date of this press release; and
-- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer.

Morningstar DBRS' credit ratings on the rated notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Amounts and the related Class Balances.

Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to each of the rated notes if the rated notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025) https://dbrs.morningstar.com/research/454196.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the credit ratings is the European RMBS Insight Methodology (8 May 2025) https://dbrs.morningstar.com/research/453613.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include QML and its representatives. Morningstar DBRS received a loan-by-loan data tape as of 30 April 2025 and historical performance data of the originator's loan book (origination volumes, outstanding balance, arrears, and prepayments) from May 2022 to February 2025.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- In respect of the Class A notes, a PD of 18.7% and an LGD of 44.1% corresponding to the AAA (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class B notes, a PD of 14.3% and an LGD of 36.9% corresponding to the AA (low) (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class C notes, a PD of 10.7% and an LGD of 30.8% corresponding to the A (low) (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class D notes, a PD of 7.6% and an LGD of 25.3% corresponding to the BBB (low) (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class E notes, a PD of 4.2% and an LGD of 21.1% corresponding to the BB (low) (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class X1 notes, a PD of 2.2% and an LGD of 18.8% corresponding to the B (low) (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class X2 notes, a PD of 1.2% and an LGD of 16.1% corresponding to the CCC (sf) credit rating scenario was stressed assuming a 25% and 50% increase in the PD and LGD.

Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD, expected credit rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of B (high) (sf)
-- 50% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of B (sf)
-- 50% increase in PD, expected credit rating of B (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (sf)

Class X1 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in LGD, expected credit rating of Below B (sf)
-- 25% increase in PD, expected credit rating of Below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of Below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in PD, expected credit rating of Below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of Below B (sf)

Class X2 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in LGD, expected credit rating of Below B (sf)
-- 25% increase in PD, expected credit rating of Below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of Below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in PD, expected credit rating of Below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of Below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of Below B (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Roger Bickert, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 20 May 2025

DBRS Ratings Limited
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London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- European RMBS Insight Methodology (8 May 2025),
https://dbrs.morningstar.com/research/453613 and European RMBS Insight model v 10.1.0.0.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025),
https://dbrs.morningstar.com/research/454196.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.