...`AAA/Stable' Unchanged: The covered bonds' rating is based on HSBC Bank plc's (HSBC) Long-Term Issuer Default Rating (IDR) of 'AA-', an unchanged IDR uplift of 1 notch and the 87.0% asset percentage (AP) that Fitch takes into account in its analysis, which provides a cushion compared to the 92.5% 'AAA' breakeven AP and supports a two-notch recovery uplift to the 'AAA' rating. The unchanged Discontinuity Cap (D-Cap) of 4 notches does not factor in the current rating, but provides a buffer against a downgrade of HSBC. 4% Minimum `AAA' Expected Loss: Based on an updated Criteria Addendum for UK residential mortgage loans published on 16 December 2015 and the loan-by-loan data as of 10 January 2016, the 'AAA' weighed average (WA) foreclosure frequency (FF) has declined to 8.6% from 12.4%, while the 'AAA' WA recovery rate (RR) decreased to 53.5% from 67.6% mostly because of the introduction of a loss severity floor. The `AAA' expected loss which is calculated by WAFF times (1-WARR) remains unchanged...
