...Outlook Stable: The covered bonds' rating is based on Yorkshire Building Society's (YBS) Long-Term Issuer Default Rating (IDR) of `A-', an unchanged IDR uplift of `2', an unchanged Payment Continuity Uplift (PCU) of `6' and an asset percentage (AP) of 71.0% that Fitch Ratings gives credit to, which provides more protection than the 91.0% `AAA' breakeven AP. Breakeven AP Unchanged: The `AAA' breakeven AP is unchanged at 91.0%, which supports a `AA+' tested rating on a probability of default basis and a one-notch recovery uplift to `AAA'. The asset-disposal loss remains the main driver of the breakeven AP due to maturity mismatches between cover assets and liabilities, which create the need for a stressed asset sale to meet timely payments on the bonds should recourse against the cover pool be enforced. IDR Uplift of Two Notches: The IDR uplift reflects the fact that collateralised covered bonds in the UK are exempt from bail-in, that the risk of under-collateralisation is deemed sufficiently...
