Kroll Bond Rating Agency Europe Limited (KBRA) assigns ratings to Syon Securities 2020-2 Designated Activity Company (Syon 2020-2 DAC). The transaction is the third synthetic risk transfer mortgage transaction issued by Bank of Scotland plc (BOS) comprised of residential mortgage loans on UK properties.
Syon 2020-2 DAC consists of reference assets that are originated and serviced by BOS under the Halifax brand. Unlike prior Syon transactions, at closing Syon 2020-2 will consist of an in-place pool comprised of recent originations (the "initial reference portfolio") with the ability to add future originations (the "ramp-up reference portfolio") in the months after closing. At the time of this preliminary rating the initial reference portfolio represents £536.24 million (30%) of the maximum reference portfolio size of £1.78 billion, with the ramp-up reference portfolio comprising the remaining 70%.
The ramp-up reference portfolio will be subject to certain criteria outlined by the sponsor. In total, it is expected that the mortgage loans in the reference portfolio will have LTV ratios in excess of 90% but less than or equal to 95% at origination. However, any loans in the ramp-up reference portfolio will be capped at 90% original LTV. The initial reference portfolio was originated between January and June 2020. The majority of loans are fixed rate with future conversion to standard variable rate (SVR). 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. BOS is a subsidiary of Lloyds Bank plc (Lloyds), an affiliate of which, Lloyds Bank Corporate Markets plc, is the arranger and lead manager for the transaction. Lloyds Banking Group (LBG) has executed several risk sharing transactions, and the subject transaction is their third to reference residential mortgage collateral.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the EU Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the EU Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
About KBRA Europe
KBRA Europe is a full-service credit rating agency (CRA) registered with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency, LLC (KBRA) is a CRA registered as an NRSRO with the U.S. Securities and Exchange Commission and is a certified CRA with ESMA. KBRA is also recognized by the U.S. National Association of Insurance Commissioners as a Credit Rating Provider and 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. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.
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