KBRA Europe Assigns Preliminary Ratings to Syon Securities 2019 DAC

DUBLIN--()--Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to Syon Securities 2019 Designated Activity Company (Syon 2019 DAC). The transaction is among the first synthetic risk transfer mortgage transactions comprised of residential mortgage loans on UK properties.

The £1.08 billion reference portfolio is static and is comprised of a representative sample of mortgage loans selected by BOS which had LTV ratios in excess of 90% but less than or equal to 95% at origination, and which were originated between October 2018 and June 2019. The majority of loans are fixed rate with future conversion to standard variable rate. All of the collateral is owner occupied, and the borrowers’ credit profile is prime, as there were no adverse items on their credit report at the time of origination.

Syon 2019 DAC is part of an ongoing risk and capital optimisation program implemented by BOS across several collateral types. The rated credit linked notes are exposed to the first 15% of Losses on a 95% vertical slice of the reference portfolio, as specifically defined by a financial guarantee policy between the issuer and BOS as beneficiary.

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Disclosures

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

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical:

Gopal Narsimhamurthy, Director (Lead Analyst)
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

Adam DeJong, Associate
+353 (1) 588 1270
adejong@kbra.com

Edward DeVito, Managing Director
+1 (646) 731-2319
edevito@kbra.com

Jack Kahan, Senior Managing Director (Committee Chairperson)
+1 (646) 731-2486
jkahan@kbra.com

Contacts

Analytical:

Gopal Narsimhamurthy, Director (Lead Analyst)
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

Adam DeJong, Associate
+353 (1) 588 1270
adejong@kbra.com

Edward DeVito, Managing Director
+1 (646) 731-2319
edevito@kbra.com

Jack Kahan, Senior Managing Director (Committee Chairperson)
+1 (646) 731-2486
jkahan@kbra.com