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

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York is a synthetic securitisation of a GBP 3.080m portfolio of 3177 referenced obligations granted to 1268 SMEs and self-employed borrowers, originated or acquired by Santander UK. York sells credit protection on the portfolio through protection agreements entered into with Santander. The amortisation mechanism will be modified pro-rata subject to performance and concentration triggers among the senior credit protections – Class A to C – and strictly sequential among the subordinated junior credit protections – Class D and E. The loss protection for the classes, i.e. the respective credit enhancements, are: 23.00% for Tranche A; 14.50% for Tranche B; 11.50% for Tranche C; 7.50% for Tranche D; and 0.00% for Tranche E.