KBRA Assigns Preliminary Ratings to Harvest Funding PLC £2.0 Billion UK RMBS

KBRA UK has assigned preliminary ratings to seven classes of notes issued by Harvest Funding PLC. This action concerns a static residential mortgage-backed securitisation (RMBS) backed by a seasoned non-conforming portfolio of residential mortgage loans within the United Kingdom.

The portfolio consists of first lien loans totaling £2.0 billion. These assets include a mix of performing, in-arrears, and past-term exposures. The composition of the security is primarily owner-occupied properties, which account for 85.8% of the portfolio, followed by buy-to-let properties at 14.1% and second or holiday homes at 0.1%.

According to the rating agency, the portfolio has a seasoning of approximately 18.5 years.

Loan Origination and Servicing

The loans within the Harvest Funding PLC securitisation were originated under two primary brands. Birmingham Midshires (BirmMid) accounts for 70.3% of the loans, while the Bank of Scotland (BOS Platform) accounts for 29.7%.

Both the BirmMid and BOS Platform brands originated from legacy UK mortgage banking platforms. These platforms were previously integrated under the HBOS group and currently operate within Bank of Scotland plc (BOS). Bank of Scotland plc is owned by Lloyds Banking Group.

Bank of Scotland plc also serves as the servicer for the mortgage portfolio.

Structure and Credit Support

The notes issued by Harvest Funding PLC feature a strictly sequential payment priority. To provide additional liquidity support, the notes benefit from a fully funded liquidity reserve fund.

KBRA UK utilized several specific methodologies to determine these preliminary ratings. These include the European RMBS Rating Methodology and its corresponding Country Addendum for the United Kingdom. The agency also applied the Global Structured Finance Counterparty Methodology and the ESG Global Rating Methodology.

Further details regarding the credit ratings, including sensitivity analyses and ESG factors that may drive rating changes or outlooks, are contained within the full rating report. The agency has also provided an Information Disclosure Form detailing the material sources and models used to determine the ratings.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use within the European Union.

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 a Nationally Recognized Statistical Rating Organization (NRSRO). Its European arm, Kroll Bond Rating Agency Europe Limited, is registered with the European Securities and Markets Authority, while Kroll Bond Rating Agency UK Limited is registered with the UK Financial Conduct Authority.

KBRA is further recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and as a Credit Rating Provider (CRP) by the National Association of Insurance Commissioners in the U.S. The Ontario Securities Commission designates KBRA as a Designated Rating Organization (DRO) for issuers of asset-backed securities filing short form or shelf prospectuses.