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London Wall Mortgage Capital (Fleet 2018-1): 07 February 2018


The series Fleet 2018-01 will constitute a separate segregated series issued under the residential mortgage backed securities programme of the Issuer (as per the Programme Prospectus dated 1 November 2016) issued in respect of that programme. There is no cross-collateralisation or co-mingling between any of the Series issued, or to be issued, under the Programme and each Series has its own separate assets, credit structure and cash flows, and can be separately enforced.

This series will be virtually the same as the initial London Wall issuance, where the issuer will make payments on the Notes and DCIs from, among other things, payments of principal and revenue received from the Series Portfolio which comprises Buy to Let Mortgages secured over residential properties located in England and Wales originated by Fleet Mortgages Limited and acquired by London Wall Capital Investments LLP, which will be purchased by the Issuer on the Series Closing Date.

The provisional portfolio comprises 1,373 buy-to-let mortgage loans originated in the period from and including December 2016 to and including 6 December 2017. None of the loans have been self-certified. Self-employed account for 28.4% of current balances. The average mortgage loan size is £225,996 and the largest loan is for £1.010mln. Borrower type (by current balances): individual 73.0%, corporate 27.0%. Product type (by current balances): interest-only 95.30%, repayment 4.60%, part & part 0.20%. Mortgage purpose: re-mortgage 66.60%, purchase 33.40%. The WA current LTV is 68.30% (original LTV was 68.40%) and the WA seasoning is 6.10mnths. Regional concentration: Greater London 52.60%, South East 16.90% and East Anglia 11.10%.

Significant Investor: On the Series Closing Date the Series Portfolio Seller will purchase all of the Retained Notes (being the Z1 Notes, the Z2 Notes and the S Notes), and all of the DCIs will be issued to the Series Portfolio Seller as part consideration for the sale of the Series Portfolio by the Seller to the Issuer.

CRR 405: The Series Portfolio Seller will undertake that it will retain a material net economic interest of at least 5% in respect of the Series in accordance with Articles 405-409 of the Capital Requirements Regulation, Article 51 of the AIFM Regulation and Article 254 of the Solvency II Regulation. As at the Series Closing Date, such interest will consist of an interest in the first loss tranche of the Series by holding all of the Z1 & Z2 Notes.

Volcker Rule: The Issuer is of the view that it is not now and, immediately following the issuance of the Notes and DCIs, it will not be a 'covered fund' for the purposes of the regulations adopted to implement section 619 under the Dodd-Frank Act, commonly known as the Volcker Rule.

Compare/contrast: London Wall Mortgage Capital (RMBS Prog), London Wall Mortgage Capital (2017-1), Precise Mortgage Funding 2018-1B