...Rating Driven by IDR: The covered bond rating is based on Yorkshire Building Society`s (YBS) Long-Term IDR of 'BBB+', a Discontinuity Cap (D-Cap) of 4 (moderate risk) and the asset percentage (AP) between the covered bonds and the cover pool. Fitch Ratings takes into account the AP used in the asset coverage test (ACT; 83.7%). This provides a cushion compared with the breakeven AP of 86.0% for the 'AA+' rating. The Outlook on the covered bonds' rating is Stable, which reflects the Stable Outlook on YBS's IDR. No IDR Uplift: An IDR uplift of 0 has been assigned to this programme. This reflects the fact that it doesn`t satisfy Fitch`s conditions (defined in its criteria) that would allow covered bonds to benefit under the bank resolution frameworks where covered bonds are exempt from bail-in. Moderate Discontinuity Risk: The D-Cap of 4 is driven by the moderate risk assessment of the liquidity gap and systemic risk, systemic alternative management and privileged derivatives, which are the...
