| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | GBP | 209.200 | 2.43 | Aaa | AAA | - | 22.10% | - | Floating | SONIA | 70 | 70 | SONIA+70 | - | 100.00000 |
| B | GBP | 17.050 | 3.00 | Aa2 | AA+ | - | 15.60% | - | Floating | SONIA | 110 | 110 | SONIA+110 | - | 100.00000 |
| C | GBP | 11.150 | 3.00 | A3 | A+ | - | 11.35% | - | Floating | SONIA | 135 | 140 | SONIA+140 | - | 100.00000 |
| D | GBP | 5.250 | 3.00 | Baa3 | A | - | 9.35% | - | Floating | SONIA | 160-165 | 160 | SONIA+160 | - | 100.00000 |
| E | GBP | 5.250 | 3.00 | Ba2 | BBB | - | 7.35% | - | Floating | SONIA | 215 | 215 | SONIA+215 | - | 100.00000 |
| F | GBP | 5.250 | 3.00 | B3 | BB | - | 5.25% | - | Floating | SONIA | - | 250 | SONIA+250 | - | 99.14000 |
| Z1 | GBP | 4.600 | - | NR | NR | - | 1.85% | - | - | - | - | - | - | - | Retained |
| Z2 | GBP | 1.350 | - | NR | NR | - | - | - | - | - | - | - | - | - | Retained |
| X1 | GBP | 0.000 | - | NR | NR | - | - | - | Floating | SONIA | - | 400 | SONIA+400 | - | Retained |
| X2 | GBP | 0.000 | - | NR | NR | - | - | - | Floating | SONIA | - | 400 | SONIA+400 | - | Retained |
Tranche Comments
A: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
B: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
C: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
D: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
E: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
F: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
Z1: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
Z2: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
X1: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
X2: First Pay: 2021-09-12; Redemption: 2024-06-12; Registration: 144A/Reg S;
Collateral
£271.1m portfolio of first lien non-conforming residential mortgages