...High IDR, Large Rating Cushions: All issuers in this peer review have a Viability Rating (VR) of `a' and all but one have their Issuer Default Rating (IDR) one notch above their VR. Notably, Barclays, San UK and NatWest's IDRs were upgraded to `A+' in 4Q18/1Q19 following an increase in subordinated debt buffers or qualifying junior debt. All major UK banks' covered bond `AAA' ratings can sustain an IDR downgrade of up to five notches, while Nationwide Building Society's `AAA' ratings have a four-notch buffer against a downgrade of their IDR of `A'. High Credit Quality, Well-Seasoned Cover Pools: The cover pools' credit quality remains high, despite uncertainty about a possible no-deal Brexit, with potential negative repercussions on the UK housing market. Cover assets are characterised by low loan/value (LTV), highly seasoned loans (average of eight years) with limited adverse characteristics. The pools are also not overly exposed to London (20% or less) where we expect home prices to stagnate...
