London Wall Mortgage Capital (Fleet 2017-1)

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 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 1,760 buy-to-let mortgage loans originated in the period from and including January 2016 to and including October 2016. None of the loans have been self-certified. The average mortgage loan size is £225,361 and the largest loan is for £1.010mln. Borrower type (by current balances): individual 80.08%, corporate 19.92%. Product type (by current balances): interest-only 94.42%, repayment 5.19%, part & part 0.39%. Mortgage purpose: re-mortgage 68.05%, purchase 31.95%. The WA current LTV is 66.46% (original LTV was 66.61%) and the WA seasoning is 12.71mnths. Regional concentration: Greater London 56.99%, South East 16.04% and East Anglia 8.00%.


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.

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 (2016-1), Twin Bridges 2017-1