Kroll Bond Rating Agency Europe Limited: KBRA Europe Assigns Ratings to Fontwell II Securities 2020 DAC

Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to three Senior Tranches, two Tranches and two Credit Linked Notes relating to the Fontwell II Securities 2020 DAC transaction, a £1.87bln partially-funded synthetic securitisation of United Kingdom agricultural mortgage loan agreements originated by Agricultural Mortgage Corporation PLC ("AMC"), a wholly owned subsidiary of Lloyds Bank PLC ("Lloyds").

Fontwell II Securities 2020 DAC will issue three classes of Credit Linked Notes, the Class A Portfolio Credit Linked Notes ("Class A CLNs"), the Class B Portfolio Credit Linked Notes ("Class B CLNs") and the Class Z Credit Linked Notes ("Class Z CLNs"), together, the ("Credit Linked Notes"), which reference certain tranches of the reference portfolio. KBRA has assigned preliminary ratings to the Class A CLNs and the Class B CLNs and to the related tranches of the reference portfolio, Tranche A and Tranche B. KBRA has also assigned preliminary ratings to three senior tranches of the reference portfolio, Senior Tranches B, Senior Tranche C and Senior Tranche D, which are the subject of a senior financial guarantee between Lloyds as beneficiary and AMC as guarantor.

As of the pool cut-off date of 31^st October 2020, the Reference Obligations consisted of 6,833 agricultural mortgage loans and loan participations extended to 4,062 obligors in the United Kingdom ("UK") by AMC. The outstanding balance of the obligation is £1,866 million. The Reference Obligations are secured by agricultural property and land and they have a weighted average unindexed LTV of 41.4%. The mortgage loan agreements have original terms up to 35 years, a weighted average remaining term of 19.4 years and have been seasoned for on average 6.2 years. The Reference Obligations were all underwritten based on AMC's credit guidelines and originated through the AMC platform.

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Disclosures
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the EU Information Disclosure Form located here

Information on the meaning of each rating category can be located here

Further disclosures relating to this rating action are available in the EU Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com

About KBRA Europe
KBRA Europe is a full-service credit rating agency (CRA) registered with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency, LLC (KBRA) is a CRA registered as an NRSRO with the U.S. Securities and Exchange Commission and is a certified CRA with ESMA. KBRA is also recognized by the U.S. National Association of Insurance Commissioners as a Credit Rating Provider and is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

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Contacts:

Analytical Contacts

Killian Walsh, Director (Lead Analyst)
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Adam DeJong, Associate
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Yee Cent Wong, Senior Managing Director
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Rosemary Kelley, Senior Managing Director (Rating Committee Chair)
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Business Development Contact

Mauricio Noe, Senior Managing Director
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