London Wall Mortgage Capital (2016-1)

The series Fleet 2016-01 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 comingling between any of the Series issued, or to be issued, under the Programme and each Series has its own separate assets, credit structure and cashflows and can be separately enforced.

For this series, 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 of 1,032 buy-to-let mortgage loans originated in the period from and including January 2015 to and including March 2016. The average mortgage loan size is £230,568 and the largest loan is for £1.357mln. Borrower type (by current balances): individual 82.44%, corporate 17.56%. Product type (by current balances): interest-only 95.34%, repayment 4.54%, part & part 0.12%. Mortgage purpose: re-mortgage 65.24%, purchase 34.76%. The WA current LTV is 67.44% (original LTV was 67.55%) and the WA seasoning is 8.78mnths. Regional concentration: Greater London 42.30%, South East 27.60% and East Anglia 10.83%.

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 Z Notes.

Compare/contrast: London Wall Mortgage Capital (RMBS Prog), Finsbury Square Plc 2016-2, Towd Point Mortgage Funding 2016 - Auburn 10