...Five-Notch Downgrade Cushion: The covered bonds' rating is based on Lloyds Bank plc's 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 86.7% asset percentage (AP) that Fitch Ratings takes into account in its analysis, which provides more protection than the 91.0% `AAA' breakeven AP. The Stable Outlook on the covered bond rating reflects a five-notch IDR downgrade rating cushion and the Stable Outlook of Lloyds' IDR. `AAA' Breakeven AP Decreased: The `AAA' breakeven AP has fallen to 91.0% from 92.5%, corresponding to a rise to the `AAA' breakeven overcollateralisation of 1.8%. This is due to the increase in the asset disposal loss component from larger maturity mismatches as the remaining life on the bonds reduced in Fitch's worst-case scenario. The credit given to the negative carry of the Asset Coverage Test lowered due to the shorter bond maturity and the bonds' lower weighted average margin,...
