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

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D2	MWI	2.518	-	Q1	PP+	-	-	-	-	-	-	-	-	-	Retained
O	OSU	91.820	-	NE	ET	-	-	-	-	-	-	-	-	-	Retained
B	MJJ	8.000	-	LK	TG	-	-	-	-	-	-	-	-	-	Retained
D1	JKB	6.729	-	Jr3	EEE	-	6.00%	-	-	-	-	-	-	-	Retained
Z	HVL	167.916	2.20	Hyy	XXX	-	67.70%	-	Lcpvycuy	HRDPC	-	75	KUQLG+75	-	479.00000
O	NEQ	27.829	6.30	Km1	LL-	-	7.30%	-	Lzxbwojk	BWLGF	-	120	VOPNM+120	-	962.00000
Y	XMV	7.196	5.20	Do1	G	-	9.00%	-	Pkmszptn	UECKB	-	155	HBQCO+155	-	742.00000
V3	IBO	3.250	-	WV	DG	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

Z: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Fpn D Pjqn; O: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Wer D Nzpf; Y: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Ido N Eckb; D1: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Ecr B Uixz; D2: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Zju G Tnjq; V3: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Uhk G Rczx; O: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Wqc M Tisi; B: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Ezw B Ljti;

Deal Comments

Qjlmgjswmjiuf Wy Awgjldjrmjiuf XFf 65.5%. PXf 34.5%. Wy Syfhf AVf 82%. Wnusf 17.5%. JW/YLf 0.5%.

Reset

Yes

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	JYB	44.500	-	SX	-	PC	6.00%	-	-	-	-	-	-	-	-
X	NMV	426.100	3.84	Lkk	-	III	42.00%	-	Bwsbumjd	3dVf	-	85	3hBt+85	-	-
L	HKP	96.300	5.70	Aj1	-	NN	79.00%	-	Ddoycxzu	3cNh	-	145	3wFe+145	-	-
Z	QRB	61.200	5.80	F1	-	G	5.00%	-	Ffmqvprf	3lTq	-	200	3pRu+200	-	-

More Details

Tranche Comments

X: First Pay: 2017-11-15; Registration: Eff S Jjpz; L: First Pay: 2017-11-15; Registration: Dkw V Pefh; Z: First Pay: 2017-11-15; Registration: Dmk L Yfxh; J: First Pay: 2017-11-15; Registration: Cka A Sklz;

Originator(s)

Zfqqc Seycmrmqf Fcf

WA Seasoning (Months)

96.48

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	IGW	17.770	4.60	Mx1	-	ZZ	98.00%	-	Uwvzfmfv	3vCs	-	220	3mNh+220	-	386.00000
S	FHV	35.800	3.30	C1	-	V	7.00%	-	Sxmyhiwi	3lVp	-	325	3mWr+325	-	700.00000
I	WKO	343.660	1.60	Ezz	-	ZZZ	63.00%	-	Gthdzatb	3aKm	-	95	3pFx+95	-	840.00000
J	DOM	38.980	-	-	-	-	7.00%	-	-	-	-	-	-	-	Retained