...`AAA/Stable' Unchanged: The covered bonds' rating is based on Yorkshire Building Society's (YBS) Long-Term Issuer Default Rating (IDR) of `A-' (Outlook Stable), an unchanged IDR uplift of `0', an unchanged Discontinuity Cap (D-Cap) of `4' and an asset percentage (AP) of 88.0% that Fitch Ratings takes into account, which is equal to the 88% `AAA' breakeven AP. Criteria Changes Drive WAFF/WARR: Fitch published an updated criteria addendum for UK residential mortgage loans on 16 December 2015, which drives the cover pool's credit analysis. Based on the loan-by-loan data as of end-September 2015, the overall impact on the `AAA' credit loss is positive by about 1%. The `AAA' weighted average foreclosure frequency (WAFF) reduces to 11.3% from 16.0%, while the `AAA' weighted average recovery rate (WARR) decreases to 64.1% from 69.0% mostly because of the introduction of a loss severity floor. Unchanged Breakeven AP: The `AAA' breakeven AP of 88.0% remains unchanged from the last analysis in December...
