Canada Square Funding PLC (CSFP) 2020-1

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AGBP244.3734.05AaaAAA-14.00%-FloatingSONIA-160SONIA+120-98.45600
BGBP24.1535.00Aa2AA--5.50%-FloatingSONIA-290SONIA+180-94.95000
CGBP8.5245.00A3A--2.50%-FloatingSONIA-400SONIA+180-90.17500
DGBP4.2625.00Baa3BBB-1.00%-FloatingSONIA-500SONIA+210-87.36700
EGBP2.8415.00B2BBB----FloatingSONIA-700SONIA+310-83.82200
XGBP9.945-Caa3B---FloatingSONIA-310SONIA+310-96.75000
Tranche Comments
A: Registration: Reg S Only; Comments: Placed; B: Registration: Reg S Only; Comments: Placed; C: Registration: Reg S Only; Comments: Placed; D: Registration: Reg S Only; Comments: Placed; E: Registration: Reg S Only; Comments: Placed; X: Registration: Reg S Only; Comments: Placed;
Risk Retention
EU risk retention requirements will be satisfied by the continued holding by CBNA, London Branch as originator of the VRR Loan Note. It is intended that the VRR Loan Note will constitute a five per cent. vertical exposure under Article 6(3) of the Securitisation Regulation. The Issuer will be the designated reporting entity under Article 7 of the Securitisation Regulation. Reports will be provided in accordance with, and as frequently as required by, Article 7 of the Securitisation Regulation.