DUBLIN--(BUSINESS WIRE)--Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to Syon Securities 2020 Designated Activity Company (Syon 2020 DAC). The transaction is the second synthetic risk transfer mortgage transaction issued by Bank of Scotland plc (BOS) comprised of residential mortgage loans on UK properties.
The £550.0 million 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 September 2019 and December 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 2020 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 up to a 95% vertical slice of the reference portfolio, as specifically defined by a financial guarantee between the issuer and BOS as beneficiary.
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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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Related Publications: (available at www.kbra.com)
- Syon 2020 DAC Pre-Sale Report
- Syon 2020 DAC Tear Sheet
- European RMBS Rating Methodology
- Global Structured Finance Counterparty Methodology
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