KBRA Assigns Preliminary Ratings to Valley Funding PLC

LONDON--(BUSINESS WIRE)--KBRA UK (KBRA) assigns preliminary ratings to six classes of notes issued by Valley Funding PLC, a static RMBS securitisation backed by a non-conforming portfolio of performing, reperforming, in-arrears and past term mortgage loans (RPLs). The portfolio aggregates to £1.1 billion of first lien loans which are secured by owner occupied (OO, 79.0%), buy-to-let (BTL, 20.6%) and second or holiday homes (0.4%) properties located in the United Kingdom (UK). The seasoning of the portfolio is approximately 14.0 years.

The portfolio includes loans originated under the Halifax (53.6%) and the Birmingham Midshires (BirmMid, 46.4%) brands. Both Halifax and BirmMid are banking brands operating as trading divisions of Bank of Scotland plc which is owned by the Lloyds Banking Group. Bank of Scotland is the servicer for the portfolio.

The Notes’ payment priority is strictly sequential. The notes also benefit from a fully funded liquidity reserve fund that provides liquidity support.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publications

• UK RMBS: Growth of Specialist Lenders to Continue?
• UK Mortgage and Housing Trends: May 2024 Update
• KBRA Releases Research – Equity Release Mortgages: Supportive Environment for UK Expansion … and Beyond?
• UK Buy-to-Let: A Brewing Remortgage Storm?

Methodologies

• RMBS: European RMBS Rating Methodology
• RMBS: European RMBS Rating Methodology Country Addendum: United Kingdom
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA UK

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider. Kroll Bond Rating Agency UK is located at 1 Connaught Place, 2nd Floor London, England.

Doc ID: 1007205