Bletchley Park Funding 2025-1 notes draw upgrades after annual Morningstar DBRS review

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Bletchley Park notes upgrades

Highlights

Morningstar DBRS upgrades Bletchley Park Funding 2025-1 Class B Notes to AA (sf), Class X1 to BB (low) (sf), and Class X2 to B (low) (sf) after annual review.
Loan arrears remain low at 0.1% for both two-to-three month and greater-than-three month buckets, with a zero cumulative loss ratio and base case probability of default updated to 2.2%.
Credit enhancement rises for Class A to 13.0%, Class B to 7.4%, and Class C to 4.1%, while a GBP 3.6 million liquidity reserve fund supports senior note payment continuity through stress scenarios.

Annual review lifts junior note ratings

As reported by Morningstar DBRS, the annual review of Bletchley Park Funding 2025-1 PLC results in rating upgrades for the Class B Notes to AA (sf) from AA (low) (sf), the Class X1 Notes to BB (low) (sf) from B (low) (sf), and the Class X2 Notes to B (low) (sf) from CCC (sf). The agency confirms the Class A Notes at AAA (sf), Class C at A (low) (sf), Class D at BBB (low) (sf) and Class E at BB (sf).

The issuer is backed by a securitisation of buy-to-let mortgage loans originated by Quantum Mortgages Limited in the United Kingdom. Morningstar DBRS says its rating actions reflect portfolio performance, updated assumptions on probability of default and loss given default for the remaining receivables, and the level of credit enhancement available to absorb expected losses.

As of the May 2026 payment date, loans two to three months in arrears account for 0.1% of the outstanding portfolio balance, while loans more than three months in arrears also stand at 0.1%. The cumulative loss ratio is zero, and Morningstar DBRS updates its base case assumptions at the B (sf) rating level to a probability of default of 2.2% and a loss given default of 17.6%.

Credit support strengthens transaction profile

Credit enhancement has increased modestly since the initial rating date for most senior and mezzanine classes. Enhancement for the Class A Notes rises to 13.0% from 12.8%, for Class B to 7.4% from 7.3%, and for Class C to 4.1% from 4.0%, while Class D remains approximately stable at 2.0%.

The transaction also benefits from a GBP 3.6 million liquidity reserve fund, currently at its target level and equal to 2.0% of the outstanding balance of the Class A and Class B notes. The reserve is available to cover senior fees, swap payments, and interest on the Class A and Class B Notes, supporting payment continuity under stress.

Citibank N.A., London Branch serves as account bank, and NatWest Markets Plc acts as swap counterparty. Morningstar DBRS says the counterparty arrangements and downgrade provisions remain consistent with the ratings, while its sensitivity analysis shows the most senior notes retain strong resilience under higher default and loss assumptions, although lower-rated classes remain more vulnerable to adverse performance shifts.

In our earlier report on private credit’s next growth phase, we highlighted how the market is expanding beyond traditional direct lending into more specialized areas such as asset-backed finance and infrastructure debt. We also noted that this shift raises the bar for underwriting, valuation, and operational execution, potentially widening performance gaps among managers as volatility and refinancing pressures evolve.

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