DUBLIN--(BUSINESS WIRE)--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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