...Five-Notch Rating Cushion: The covered bonds' rating is based on Bank of Scotland Plc's (BOS) Long-Term Issuer Default Rating (IDR) of `A+' with an unchanged IDR uplift of two, an unchanged Payment Continuity Uplift (PCU) of six and the 87.0% asset percentage (AP) that Fitch Ratings takes into account in its analysis, which provides more protection than the 89.5% `AAA' breakeven AP. The Stable Outlook on the covered bond rating reflects a five-notch IDR downgrade rating cushion and the Stable Outlook on BOS's IDR. `AAA' Breakeven AP Increased: The `AAA' breakeven AP has increased to 89.5% from 87.5%. The over-collateralisation equivalent at 11.7% is mainly driven by the asset disposal loss component, reduced to 17.7% from 18.6% due to the conversion into soft bullet of the last two hard-bullet bonds remaining in May 2018. This is despite lower stressed prepayment assumption ¡ to 2% from 5% ¡ which increases the stressed life of the asset. The reduction is also derived from the lower `AA+'...
