FINSIGHT

London Wall Mortgage Capital PLC Series Fleet

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	GBP	223.047	3.59	Aaa	AAA	-	13.50%	-	Floating	SONIA	80	80	SONIA+80	-	100.00000
B	GBP	17.207	4.49	Aa2	AA-	-	6.75%	-	Floating	SONIA	120	120	SONIA+120	-	100.00000
C	GBP	8.285	4.49	Aa3	A-	-	3.50%	-	Floating	SONIA	130-135	135	SONIA+135	-	100.00000
D	GBP	3.824	4.49	A1	BBB	-	2.00%	-	Floating	SONIA	200	200	SONIA+200	-	100.00000
E	GBP	2.549	4.49	A3	BB	-	1.00%	-	Floating	SONIA	350	350	SONIA+350	-	100.00000
Z	GBP	2.549	-	NR	NR	-	-	-	ZeroCpn	-	-	-	0%	0%	Retained
X	GBP	10.300	-	B2	B-	-	-	-	Floating	SONIA	-	390	SONIA+390	-	100.00000
S	GBP	2.549	-	NR	NR	-	-	-	ZeroCpn	-	-	-	0%	0%	Retained

More Details

Tranche Comments

A: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; B: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; C: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; D: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; E: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; Z: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; X: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only; S: First Pay: 2022-02-15; Redemption: 2026-05-15; Registration: Reg S Only;

Risk Retention

UK/EU - Yes

BlackRock Inc