The report published today contains Scope´s credit analysis regarding the ratings assigned to the credit protection agreements Tranche A to Tranche F.

Click here to access the full rating report.

Red 2 is a synthetic securitisation of a static GBP 2,785m portfolio of 837 commercial real estate loans, originated by Santander and secured by more than 2,800 properties in the United Kingdom. Red 2 sells credit protection on the portfolio through seven strictly sequential, fully funded credit protection agreements – Tranches A to G – entered into with Santander. Red 2 covers up to 95% of the losses from the reference portfolio. The loss protection for the tranches, i.e. the respective credit enhancements, are: 18.00% for Tranche A; 14.25% for Tranche B; 10.00% for Tranche C; 8.00% for Tranche D; 5.3% for Tranche E; 3.00% for Tranche F and 0.00% for Tranche G.