Scope Ratings publishes the rating report for Red 1 Finance CLO 2017-1 DAC, a synthetic securitisation of UK commercial real estate loans originated and serviced by Santander UK plc. The report elaborates on Scope’s credit analysis regarding the ratings assigned to the credit protection agreements, Tranche A to Tranche F.

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Red 1 is a synthetic securitisation of a static GBP 916.8m portfolio of 25 commercial real estate loans, originated by Santander for the acquisition of 144 properties in the United Kingdom. Red 1 sells credit protection on the portfolio through seven strictly sequential, fully funded credit protection agreements – Tranches A to G – entered into with Santander. Red 1 covers 95% of the losses from the reference portfolio. The loss attachment points for the tranches, i.e. the respective credit enhancements, are: Tranche A, 24.00%; Tranche B, 16.50%; Tranche C, 12.00%; Tranche D, 9.50%; Tranche E, 6.75%; Tranche F, 4.25%; and Tranche G, 0.00%.