Morningstar DBRS Assigns Provisional Credit Ratings to Aldbrook Mortgage Transaction 2025-1 plc

DBRS Ratings Limited (Morningstar DBRS) assigned provisional credit ratings to the bonds to be issued by Aldbrook Mortgage Transaction 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 (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 December 2066. 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 senior-most 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.

CREDIT RATING RATIONALE
The transaction represents the issuance of UK residential mortgage-backed securities (RMBS) backed by first-lien mortgage loans. The provisional portfolio has been originated and will be serviced by The Mortgage Lender Limited (TML). In 2021, TML was acquired by Shawbrook Bank Limited (Shawbrook or the Seller), the Seller and sponsor of the transaction.

The portfolio is mainly composed of buy-to-let (BTL) mortgages (80%) and has a weighted-average (WA) original loan-to-value ratio (OLTV) of 74.2% and WA seasoning of one year. The initial WA coupon of the portfolio of 5.7% and the pool will benefit from a reversionary margin above the Bank of England Rate of about 4.2%.

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 initial portfolio. Additionally, the Issuer is expected to issue one class of noncollateralised notes, the Class X notes, the proceeds of which the Issuer will partly use to fund the general reserve fund (GRF) and the liquidity reserve fund (LRF).

The LRF will be available to cover shortfalls of senior fees and interest on the Class A and Class B notes. The LRF will be amortising and will be sized at closing at 1.0% of the initial Class A and Class B notes. On each interest payment date (IPD), the target level will be 1.0% of the current amount outstanding of the Class A and Class B notes until the Class B notes have redeemed, at which point the target amount shall be zero. The amortisation of the LRF would stop if either: (1) the collateralised notes are not redeemed in full at the first optional redemption date or (2) the cumulative defaults are greater than 5% of the closing portfolio balance.

The GRF will provide liquidity and credit support to the rated notes. The GRF will have a target amount on each IPD equal to 1.0% of the initial collateralised notes balance minus the LRF target amount until the collateralised notes have been fully redeemed, at which point the target amount shall be zero. The GRF will be available to cover shortfalls on senior fees, interest, and any principal deficiency ledger (PDL) debits on the Class A to Class E notes after the application of revenue available funds and LRF draws. The amortisation of the GRF is subject to the same conditions of the LRF amortisation. On the final maturity date, all amounts held in the GRF will form part of available principal funds and the GRF target will be zero.

Morningstar DBRS' provisional credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the final maturity date in December 2066. The provisional credit ratings on the Class B to Class E notes address the timely payment of interest when most senior and the ultimate payment of principal on or before the final maturity date.

Citibank, N.A., London Branch is the account bank in the transaction and will hold the Issuer's transaction account, the GRF, the LRF (all held in the Deposit Account), and a separate swap collateral account. Barclays Bank plc is the collection account bank in the transaction. Lloyds Bank Corporate Markets plc will act as the swap counterparty of the transaction. The transaction documents feature credit rating triggers for the aforementioned counterparties, which if breached shall trigger remedial actions, in line with our Legal and Derivative Criteria for European Structured Finance Transactions methodology.

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 loan portfolio and the ability of the parties to perform servicing and collection activities.
-- Morningstar DBRS' calculated probability of default, loss given default (LGD), and expected loss assumptions on the portfolio using the European RMBS Insight Model.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the noteholders according to the terms and conditions of the notes. Morningstar DBRS analysed the transaction cash flows using Intex DealMaker.
-- The 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 addressing the assignment of the assets to the Issuer.
-- The relevant counterparties, as rated by Morningstar DBRS, being appropriately in line with Morningstar DBRS' legal criteria to mitigate the risk of counterparty default or insolvency.
-- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as 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 report.

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 are the Class Balances and related Interest Amounts.

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

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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 at (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 rating is: 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 this credit rating include Shawbrook and its representatives. Morningstar DBRS received a loan-by-loan data tape as of 30 April 2025, as well as historical data sets, covering both BTL and owner-occupied (OO) originations with regards to dynamic arrears, dynamic defaults, cumulative prepayments, and annualised monthly prepayments. The data covered the period 2018 to 2025 for BTL and 2021 to 2025 for OO originations.

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 final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize 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 https://dbrs.morningstar.com.

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

-- In respect of the Class A notes, a PD of 21.9% and an LGD of 39.3% corresponding to the (P) 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 17.4% and an LGD of 31.9% corresponding to the (P) 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 13.5% and an LGD of 25.7% corresponding to the (P) 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 10.0% and an LGD of 20.4% corresponding to the (P) 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 6.8% and an LGD of 17.3% corresponding to the (P) BB (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 (P) AA (high) (sf)
-- 50% increase in LGD, expected credit rating of (P) AA (sf)
-- 25% increase in PD, expected credit rating of (P) AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of (P) AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of (P) A (high) (sf)
-- 50% increase in PD, expected credit rating of (P) AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of (P) A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of (P) A (sf)

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

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

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

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of (P) BB (low) (sf)
-- 50% increase in LGD, expected credit rating of (P) B (high) (sf)
-- 25% increase in PD, expected credit rating of (P) B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of (P) B (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of (P) B (sf)
-- 50% increase in PD, expected credit rating of (P) B (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of (P) B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of (P) B (low) (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: Lorenzo Coccioli, Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 21 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