KBRA Europe Assigns Preliminary Ratings to Syon Securities 2020 DAC

DUBLIN--()--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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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:

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

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

Ashish Sharda, Senior Director
+1 (646) 731-2415
asharda@kbra.com

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

Business Development:

Mauricio Noé, Senior Managing Director
+44 208 148 1010
mnoe@kbra.com

Contacts

Analytical:

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

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

Ashish Sharda, Senior Director
+1 (646) 731-2415
asharda@kbra.com

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

Business Development:

Mauricio Noé, Senior Managing Director
+44 208 148 1010
mnoe@kbra.com