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
M	JAV	6.000	-	BI	FC	-	-	-	-	-	-	-	-	-	Retained
S	TUF	80.940	-	DZ	JM	-	-	-	-	-	-	-	-	-	Retained
S	GTN	331.334	6.90	Vdd	WWW	-	69.90%	-	Yvldudqf	VJLVA	-	75	URYZE+75	-	661.00000
K3	SUG	8.990	-	VW	ED	-	-	-	-	-	-	-	-	-	Retained
B	AQZ	53.158	1.50	Sp1	PP-	-	7.60%	-	Xmuaabug	HVNQH	-	120	CDWET+120	-	282.00000
U	FKT	1.638	5.90	Ao1	P	-	8.00%	-	Wsrhdtkp	UZPEJ	-	155	XBWFY+155	-	430.00000
T1	FMV	1.493	-	Fy3	SSS	-	6.00%	-	-	-	-	-	-	-	Retained
Q2	XEB	4.572	-	V1	ZZ+	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

S: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Fhs D Umth; B: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Mrm B Vkel; U: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Nzi Y Xsec; T1: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Pko P Lhqd; Q2: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Gbq I Eaby; K3: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Zid X Rhrj; S: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Xoz N Yegg; M: First Pay: 2021-08-16; Redemption: 2026-05-15; Registration: Ccv K Rewk;

Deal Comments

Whflshzslhenm Xt Ysshfghylhenm YPm 65.5%. JYm 34.5%. Xt Ttirm HNm 82%. Xxnem 17.5%. JX/FMm 0.5%.

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	MJS	60.800	2.70	Pi1	-	GG	95.00%	-	Vlpeslnh	3cZk	-	145	3iLb+145	-	-
C	ODQ	90.200	6.70	J1	-	S	7.00%	-	Mwdlzimc	3gVr	-	200	3kRb+200	-	-
Q	EVJ	957.500	9.82	Xll	-	BBB	34.00%	-	Eskqvyld	3jMk	-	85	3iHd+85	-	-
A	MJE	14.600	-	WS	-	ZR	9.00%	-	-	-	-	-	-	-	-

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Tranche Comments

Q: First Pay: 2017-11-15; Registration: Lpj I Evob; A: First Pay: 2017-11-15; Registration: Irb Y Ruoc; C: First Pay: 2017-11-15; Registration: Ntu Q Nzsx; A: First Pay: 2017-11-15; Registration: Utm N Hkoo;

Originator(s)

Jnxxf Cuufblbxt Ffm

WA Seasoning (Months)

37.68

Reset

Yes

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	ROH	95.720	-	-	-	-	6.00%	-	-	-	-	-	-	-	Retained
Z	VLG	68.460	1.20	Vi1	-	AA	36.00%	-	Jxdfkkjx	3vDn	-	220	3pSq+220	-	495.00000
Z	ZET	36.290	3.80	A1	-	L	3.00%	-	Twxpvyaf	3aWd	-	325	3oSv+325	-	182.00000
Q	EUQ	319.280	4.50	Rgg	-	YYY	72.00%	-	Kpzehaaz	3cOb	-	95	3eVm+95	-	402.00000