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      TUESDAY, 12/05/2020 - Scope Ratings GmbH
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      York 2019-1 CLO DAC– SRT SME CLO

      Scope Ratings has reviewed the performance of York 2019-1 CLO DAC. No rating action is warranted as a result.

      The class A, B and C notes have amortised to GBP 1,675.9m, 185.0m and 65.2m (70% of their initial balances) respectively based on the latest transaction report dated 13 March 2020. The credit enhancement has increased since the closing date for class A to 26.6% from 23.0%, for class B to 18.5% from 14.5%, for class C to 15.7% from 11.5% and for Class D to 10.2% from 7.5%. There are no defaults as of this reporting date. The portfolio performed better and amortised faster than expected increasing the credit enhancement available to the rated notes. This creates some resilience for the notes to probable Covid-19 scenarios that we have tested. However, the uncertainty remains about the severity and the length of the Covid-19 crisis and its impact on the UK SMEs.

      York is a synthetic securitisation of a GBP 2,283m (GBP 3,080 at closing) portfolio of 2528 referenced obligations (3177 at closing) granted to 1121 SMEs and self-employed borrowers (1268 at closing), originated or acquired by Santander UK. York sells credit protection on the portfolio through protection agreements entered into with Santander. The amortisation mechanism is 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 transaction closed in June 2019. (Current ratings on the transaction are available here.)

      Scope continuously monitors York 2019-1 CLO DAC

      Ratings and research are freely available at www.scoperatings.com.

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