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Bluestep Mortgage Securities No. 4 Limited: 12 March 2017

As per the previous three issues, the issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising mortgage loans originated by Bluestep Finans AB and Bluestep Bostadslån AB and secured by Pantbrev Security and Bostadsrätt Security, which will be purchased by the issuer on the closing date.

At the cut-off date (31 December 2016) the pool comprised of 3.083 mortgage loans, advanced to 3.079 borrowers, each of which was secured by Pantbrev Security in respect of single-family houses or by Bostadsrätt Security in respect of multi-family properties in Sweden. The average principal outstanding balance is SEK1.018mln and there are 16 loans of +SEK4mln in the pool (representing 2.50% of current outstandings).

Mortgage type (by current balance): Serial Amortising – 73.8%, Straight-line Amortisation – 26.1%. Interest rate type: Fixed 3 Year – 82.0%, SVR – 15.5%, others – 2.5%. Loan purpose: Purchase – 50.6%, Re-mortgage – 49.4%. Income Certification: Certified – 61.50%, Self Certified 38.50%. The WA current LTV is 74.91% (original WA LTV was 75.93%) and the WA seasoning is 14.3mnths. Regional concentration (by current balances): Stockholm 43.5%, Vastra Gotalands 13.5% and Ostergotlands 10.9%.

Significant Investor: Bluestep Bank AB will, on the closing date, purchase all of the Class Z Notes. In holding all of the Class Z Notes, Bluestep Bank AB will be able to pass, or hold a sufficient number of votes to block, certain noteholder resolutions.

CRR 405: The Mortgage Loan Seller will retain a material net economic interest of at least 5% in the securitisation in accordance with each of Article 405 of Regulation (EU) No. 575/2013 and Article 51 of Regulation (EU) No.231/2013. As at the Closing Date, such interest will be comprised of an interest in the first loss tranche (being the Class Z Notes).

Compare/contrast: Bluestep Mortgage Securities No. 3 Ltd, SRM Investment No 3 Ltd