Bletchley Park Funding 2026-1 wins provisional RMBS ratings from Morningstar DBRS

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Bletchley Park Funding 2026-1 RMBS

Highlights

Morningstar DBRS assigns provisional ratings up to (P) AAA (sf) for Bletchley Park Funding 2026-1 PLC, covering Class A to Class X2 Notes.
The RMBS features an initial 12.25% credit enhancement to Class A Notes and a fixed-to-floating rate swap applied to 99.7% fixed-rate loan collateral.
Quantum Mortgages' third UK buy-to-let RMBS since May 2022 sources professional portfolio landlord loans, with NatWest Markets as swap counterparty.

Provisional ratings and transaction structure

As reported by Morningstar DBRS, DBRS Ratings Limited assigns provisional credit ratings to the bonds to be issued by Bletchley Park Funding 2026-1 PLC, with the Class A Notes rated (P) AAA (sf), Class B at (P) AA (sf), Class C at (P) A (low) (sf), Class D at (P) BBB (low) (sf), Class X1 at (P) BB (high) (sf), and Class X2 at (P) BB (sf). The agency does not rate the residual certificates also expected to be issued in the transaction.

The issuer is a bankruptcy-remote special-purpose vehicle incorporated in the UK and is expected to issue four tranches of collateralised mortgage-backed securities, Class A through Class D, to finance the purchase of the portfolio. It is also expected to issue two classes of noncollateralised notes, the Class X1 and Class X2 Notes.

The structure initially provides 12.25% of credit enhancement to the Class A Notes, including subordination from the Class B to Class D Notes. The transaction also includes a fixed-to-floating interest rate swap because nearly the entire pool, 99.7% by loan balance, consists of fixed-rate loans that later revert to floating rates.

Quantum Mortgages' UK lending platform and market context

The collateral pool consists of first-lien, buy-to-let mortgage loans granted by Quantum Mortgages Limited, a UK specialist property finance lender serving customers in England, Wales, and Northern Ireland since May 2022. Its buy-to-let business targets professional portfolio landlords, often real estate companies or SPVs, sourced through the broker marketplace.

This is Quantum Mortgages' third RMBS transaction following Bletchley Park Funding 2024-1, which closed in August 2024, and Bletchley Park Funding 2025-1, which closed in June 2025. NatWest Markets Plc is set to act as swap counterparty at closing, while the liabilities pay a coupon linked to the daily compounded Sterling Overnight Index Average.

In our earlier article on Bletchley Park Funding 2026-1 PLC, we outlined the planned UK RMBS deal backed by a static £286.0 million pool of first-ranking buy-to-let mortgages originated by Quantum Mortgages across England, Wales, and Northern Ireland. We also highlighted the preliminary ratings across six note classes and key structural features such as sequential amortisation, a liquidity reserve and interest-rate hedging, underscoring Quantum Mortgages’ continued access to capital markets via its third public securitisation.

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