Stratton Mortgage Funding 2024-1 PLC is issuing loan notes to refinance Stratton Mortgage Funding 2021-2 PLC, which closed in February 2021.
The transaction is a securitization of U.K. loans originated by multiple lenders and previously securitized in the Stratton Mortgage Funding 2021-2 transaction, Fitch Ratings says. The portfolio comprised 56.8% prime and 43.2% nonconforming loans.
S&P Global Ratings says the deal is a static RMBS transaction that securitizes a portfolio of a randomly selected subpool of £1.03 billion ($1.32 billion) owner-occupied and buy-to-let mortgage loans secured on 7,824 U.K. properties. According to Asset Securitization Report’s deal database, the transaction closes on Jan. 31, 2024.
The issuer is Stratton Mortgage Funding 2024-1 PLC, the arranger is BofA Securities, and originators include Bradford and Bingley, Mortgage Express Limited and GMAC-RFC Ltd. The seller is Ertow Holdings XI Designated Company Activity, and the servicer is Topaz Finance Ltd. Citicorp Trustee Company Ltd. is the trustee.
The pool is well seasoned with a weighted-average seasoning of over 10 years for almost the full pool, according to S&P. Of the preliminary pool, there is high exposure to interest-only loans at 93.7%. Also, 19.2% of the mortgage loans are currently in arrears greater than or equal to one month.
About 99% of the portfolio was originated between 2003 and 2008. The mortgage loans have a weighted-average indexed current loan-to-value (CLTV) of 50.4% leading to a WA sustainable LTV of 64.1%, Fitch says. The owner-occupied loans, making up 44.8% of the portfolio, contain a high proportion of self-certified, interest-only and restructured loan arrangements. Total WA arrears stand at 23.9%.
According to Fitch, credit enhancement is provided by the notes’ subordination to each class. The liquidity reserve fund and general reserve fund also provides credit enhancement for the class A notes. Class X1 and X2 notes are excess spread notes and are not collateralized.
Fitch expects to assign AAA to the class A notes, AA- to the B notes, A- to the C notes, BBB- to the D notes, BB- to the E notes, CCC to the F and X1 notes, and CC to the X2 notes. It didn’t rate the Z notes. Fitch says that interest can be deferred for all notes other than the class A.
S&P expects to assign AAA to the class A loan notes and to the class A notes, AA to the B notes, A- to the C notes, BBB- to the D notes, BB to the E notes, and B- to the F notes. It didn’t rate the Z, X1, and X2 notes or the RC1 and RC2 certificates.
