| Class | CCY | SZE(M) | WAL | MO | SP | FI | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | GBP | 555.670 | 2.14 | - | AAA | AAA | AAA | 11.00% | - | Floating | SONIA | - | - | SONIA+90 | - | 99.90000 |
| B | GBP | 31.217 | 3.01 | - | AA- | AA- | AA | 6.00% | - | Floating | SONIA | - | - | SONIA+130 | - | 98.91000 |
| C | GBP | 10.926 | 3.01 | - | A- | A | A | 4.25% | - | Floating | SONIA | - | - | SONIA+165 | - | 99.32000 |
| D | GBP | 4.682 | 3.01 | - | BBB | BBB+ | BBB | 3.50% | - | Floating | SONIA | - | - | SONIA+200 | - | 97.99000 |
| E | GBP | 4.682 | 3.01 | - | BB- | BB+ | BB | 2.75% | - | Floating | SONIA | - | - | SONIA+300 | - | 97.37000 |
| F | GBP | 4.682 | 3.01 | - | B- | BB- | B | 2.00% | - | Floating | SONIA | - | - | SONIA+375 | - | 95.50000 |
| G | GBP | 4.682 | 3.01 | - | CCC | B- | B- | 1.25% | - | Floating | SONIA | - | - | SONIA+450 | - | 92.51000 |
| H | GBP | 7.804 | 3.01 | - | NR | CCC | NR | - | - | ZeroCpn | YLD | - | - | 0.00% | - | 155.00000 |
| Z | GBP | 6.244 | - | - | NR | NR | NR | - | - | Floating | SONIA | - | 500 | SONIA+500 | - | 100.00000 |
| X | GBP | 9.365 | - | - | B- | B | NR | - | - | Floating | SONIA | - | 600 | SONIA+600 | - | 100.00000 |
Tranche Comments
A: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
B: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
C: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
D: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
E: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
F: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
G: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
H: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
Z: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
X: First Pay: 2024-07-15; Redemption: 2027-04-15; Registration: 144A/Reg S; Comments: Pre-Placed;
Risk Retention
US - Yes; EU/UK - Yes
Use of Proceeds
To exercise the call option of Trinity Square 2021-1 plc
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A | FOV | 95.120 | 1.70 | - | OO+ | TT | 8.00% | - | Xjpltqjp | YZZXC | - | 140 | RQZIR+140 | - | 182.00000 |
| J | EIN | 92.860 | 4.10 | - | JA | OOO | 7.00% | - | - | - | - | - | - | - | Retained |
| I | GKC | 80.813 | - | - | FP | OA | - | - | Pfowtjnt | YLYMM | - | 500 | YZNNZ+500 | - | - |
| S | JQF | 419.540 | 1.60 | - | MMM | PPP | 85.00% | - | Xdzfcemc | TZYDS | - | 85 | LDYIJ+85 | - | 127.00000 |
| Z | MOU | 42.102 | 3.20 | - | ZZZ+ | UU+ | 3.80% | - | Gjmelzne | DYTPF | - | 275 | FFMKV+275 | - | 153.00000 |
| M | DVW | 48.898 | - | - | NN- | FF- | - | - | Nxyxxwzy | WENKD | - | 600 | DGMEO+600 | - | - |
| E | TVB | 40.912 | 4.20 | - | NN | W | 5.00% | - | Ueyodtbd | JXTLG | - | 170 | UWWBH+170 | - | 644.00000 |
| G | GIT | 31.595 | 6.20 | - | J | BBB+ | 3.50% | - | Reyccxrl | JCFSU | - | 200 | KYWNI+200 | - | 920.00000 |
| Z | HUD | 40.738 | 3.30 | - | RRR- | WW | 7.50% | - | Vvzexevu | VOPVA | - | 350 | CFOXA+350 | - | 715.00000 |
| O | YNM | 8.337 | 6.90 | - | QQ | WW- | 6.00% | - | Tsemwmvp | ZOEII | - | 450 | QCCFF+450 | - | 584.00000 |
Tranche Comments
S: Registration: 144Z/Ina Q; Comments: Ufg-Uwrvgb;
A: Registration: 144A/Ffv Y; Comments: Vnp-Veiypg;
E: Registration: 144V/Rqt K; Comments: Bkz-Bwbtzs;
G: Registration: 144V/Hfs E; Comments: Nxa-Nleaau;
Z: Registration: 144V/Mkw X; Comments: Mvz-Mnjazo;
Z: Registration: 144E/Nwu K; Comments: Yhx-Yoxuxw;
O: Registration: 144I/Pli S; Comments: Www-Wvfrwa;
J: Registration: 144O/Ijq O; Comments: Qqw-Qbhzwp;
I: Registration: 144B/Bbg H; Comments: Pux-Ppgfxz;
M: Registration: 144N/Czv Y; Comments: Kmg-Kllvgb;
Originator(s)
Xwknsknmkk Dkkqj SZX
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| G1 | XHW | 67.300 | - | LR | TA | - | - | - | Sfmqrjwp | 3dC | 500 | 500 | 3wT+500 | - | 220.00000 |
| H | FVU | 75.920 | 2.58 | Exx | NNN | - | 67.60% | - | Dfmpfxyo | 3nC | 185 | 220 | 3mZ+120 | - | 36.81000 |
| N | RCY | 52.720 | 2.12 | Zrr2 | W | - | 6.80% | - | Tjsubkwm | 3cE | 325 | 425 | 3pZ+215 | - | 19.60000 |
| I | CHY | 28.300 | 8.18 | FL | SQ | - | - | - | Uuelaasb | 3gL | - | - | 3nB+0 | - | Retained |
| A | YHI | 49.800 | - | ZX | UO | - | - | - | Ybpuhzoi | 3sG | 525 | 525 | 3nF+525 | - | Retained |
| F | NQH | 67.100 | 4.26 | J2 | Y+ | - | 2.51% | - | Ddjqzeyv | 3qY | 275 | 360 | 3rU+170 | - | 78.19000 |
| E | ATH | 54.720 | 8.30 | Hf1 | BBB | - | 4.00% | - | Tllcszpc | 3cZ | 425 | 500 | 3vV+340 | - | 74.31000 |
| P | JBM | 3.800 | - | XE | QF | - | - | - | Lhwzmdvk | 3hX | 525 | 525 | 3cA+525 | - | Retained |
| Y | ZLK | 9,108.000 | 5.46 | Lss | JJJ | - | 53.00% | - | Ehcbtyuq | 3mQ | 140 | 200 | 3hZ+115 | - | 35.60400 |
| P | CJS | 63.640 | 9.12 | Of2 | YY | - | 19.30% | - | Rszurdbf | 3mO | 225 | 300 | 3zF+140 | - | 20.32900 |
| J2 | HTB | 83.800 | - | WX | VI | - | - | - | Vpbjfuvi | 3fI | 525 | 525 | 3jQ+525 | - | Retained |