London Wall Mortgage Capital (RMBS Prog)

The Issuer, London Wall Capital Investments, has established a residential mortgage backed securities programme on 1 November 2016 for the issuance of a segregated series of transactions. The Programme provides arrangements whereby the Issuer may from time to time issue Notes and DCIs in separate segregated series (each being a Series). There will be no cross collateralisation or comingling between any of the Series issued, or to be issued, under the Programme and each Series will have its own separate features as indicated in the relevant Series Prospectus (including, without limitation, its own assets, Notes and DCIs, credit structure and cash flows) and will be able to be separately enforced. Each Series of Notes will be subject to final terms (the Series Note Final Terms) or a drawdown prospectus (each a Series Prospectus). Where a Series also includes DCIs, those DCIs will be subject to a pricing supplement (the Series DCI Pricing Supplement) or the relevant Series Prospectus.

The Issuer will make payments on the Notes and DCIs in respect of a Series from, among other things, payments of principal and revenue received from the Series Portfolio backing that Series, which will comprise Mortgages secured over residential properties located in England and Wales, Scotland and/or Northern Ireland and originated by the Series Portfolio Originator(s) indicated in the relevant Series Note Final Terms or, as applicable, in C.1 Table of Transaction Parties in the relevant Series Prospectus. The Series Portfolio will have been acquired prior to the relevant Series Closing Date by London Wall Capital Investments LLP and will be purchased by the Issuer on the Series Closing Date.

LWCI's core business is originating and holding term investments in financial assets, currently focussed on the UK residential mortgage sector. As part of its business, LWCI develops and maintains business relationships with independent mortgage originators who are prepared to originate residential mortgages according to criteria and terms pre-agreed with LWCI and then, after origination, to sell and assign those mortgages to LWCI.

LWCI's business is funded by its members. In accordance with its constitution (being the agreement between LWCI and its members), LWCI is funded solely through capital contributions (ie equity) from its investment members. LWCI uses a 'segregated account' approach to its business whereby each investment funded by an investment member and made by LWCI using those funds is kept separate and ring-fenced from each other investment. This means that assets (including receipts) relating to one of its investments are not available in connection with any of its other investments. It also means that the relevant investment is impacted by any losses incurred in connection with it and are not mitigated by any of LWCI's other investments.

LWCI's business is operated by its members. LWCI does not out-source its administration or activities to third party services providers. Each investment member has separately appointed BlackRock Investment Management (UK) Limited as its investment manager in relation to LWCI and each such investment member deploys the capability of the BlackRock European Mortgage Strategies team in operating LWCI's business.

CRR 405: In relation to each Series issued under the Programme, some regulatory disclosures of the relevant Series Prospectus will indicate whether or not the Series Portfolio Seller will undertake to the Issuer and the Series Note Trustee 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 (in each case, not taking into account any corresponding national measures) and, if so, what such interest will consist of as at the relevant Series Closing Date.