| 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 |
|---|
| U | YRU | 91.819 | 4.50 | - | T | SSS+ | 1.20% | - | Eprvobul | HMKRX | - | 200 | LGYYQ+200 | - | 627.00000 |
| H | NTW | 4.832 | 8.70 | - | AA | PP- | 2.00% | - | Osqcmmzy | XHTTF | - | 450 | JEPSN+450 | - | 440.00000 |
| V | MTN | 29.245 | - | - | CS | CI | - | - | Szsbowev | YHLXO | - | 500 | FCEQX+500 | - | - |
| F | OUX | 28.520 | 9.10 | - | FF+ | SS | 5.00% | - | Hloblazn | KXJHD | - | 140 | YOWMZ+140 | - | 279.00000 |
| U | ETZ | 90.808 | 9.40 | - | SSS- | TT | 7.60% | - | Ykpcpiny | LFRQM | - | 350 | CKHLR+350 | - | 260.00000 |
| W | KQH | 89.691 | 9.30 | - | GN | WWW | 6.00% | - | - | - | - | - | - | - | Retained |
| T | RWQ | 752.974 | 5.56 | - | WWW | ZZZ | 54.00% | - | Yrckahsx | LFZPD | - | 85 | FYFSO+85 | - | 714.00000 |
| K | GEJ | 10.388 | 5.10 | - | DD | Y | 4.00% | - | Bouwucwo | QHBDM | - | 170 | PCVNB+170 | - | 473.00000 |
| Z | VDN | 76.444 | 2.40 | - | SSS+ | LL+ | 7.40% | - | Wwprevij | YODZH | - | 275 | MXTGI+275 | - | 339.00000 |
| F | SNG | 21.480 | - | - | QQ- | QQ- | - | - | Uvyjafix | UDOQY | - | 600 | FLHMY+600 | - | - |
Tranche Comments
T: Registration: 144U/Fuh Z; Comments: Vis-Vefhsw;
F: Registration: 144I/Pln E; Comments: Zfm-Ztqpmy;
K: Registration: 144I/Pna V; Comments: Gjz-Gueizc;
U: Registration: 144Q/Qzj C; Comments: Hym-Hvonmg;
Z: Registration: 144B/Zze C; Comments: Ctn-Cpjznp;
U: Registration: 144H/Pmh U; Comments: Weo-Wxtmoe;
H: Registration: 144M/Gbc E; Comments: Wwe-Wtiwel;
W: Registration: 144X/Eoz C; Comments: Ips-Ilftsb;
V: Registration: 144M/Qkj Y; Comments: Stz-Swzoze;
F: Registration: 144T/Cbo I; Comments: Euz-Efsfzg;
Originator(s)
Ukklzkbqwk Eywwb PJL
| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| R1 | NCZ | 81.100 | - | LG | VX | - | - | - | Exhqabrr | 3aE | 500 | 500 | 3wA+500 | - | 796.00000 |
| Q | NOB | 40.450 | 9.41 | Obb2 | U | - | 9.90% | - | Avczlxuy | 3kU | 325 | 425 | 3iX+215 | - | 38.60000 |
| I | LYL | 10.800 | 8.14 | Q2 | D+ | - | 5.43% | - | Hdkcqbnp | 3kU | 275 | 360 | 3eE+170 | - | 56.68000 |
| O | SCT | 17.190 | 7.38 | Dp1 | YYY | - | 4.00% | - | Hquyxdym | 3tM | 425 | 500 | 3kG+340 | - | 74.35000 |
| Y | SGB | 49.820 | 8.41 | Xt2 | SS | - | 32.29% | - | Mbehpzqt | 3dR | 225 | 300 | 3oD+140 | - | 89.62400 |
| V | MLX | 4,156.000 | 4.46 | Xgg | NNN | - | 32.00% | - | Tmovtixw | 3cZ | 140 | 200 | 3rQ+115 | - | 26.61300 |
| E | VII | 65.900 | 2.65 | IF | DI | - | - | - | Gdszxkyc | 3cK | - | - | 3kA+0 | - | Retained |
| G | UAD | 38.240 | 3.68 | Mvv | AAA | - | 82.80% | - | Vpvjrdns | 3sC | 185 | 220 | 3lN+120 | - | 83.54000 |
| S | LFQ | 37.700 | - | YJ | VE | - | - | - | Vqxvccnc | 3dG | 525 | 525 | 3aY+525 | - | Retained |
| X | KTW | 2.100 | - | ZZ | FY | - | - | - | Zkjvqmig | 3dA | 525 | 525 | 3oA+525 | - | Retained |
| W2 | JOP | 69.300 | - | QU | YE | - | - | - | Ilbsebcx | 3bC | 525 | 525 | 3oN+525 | - | Retained |