Dublin Bay Securities 2018-1: 30 September 2018

The Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising mortgage loans, the beneficial interest in which will be sold to the Issuer by the seller, which were purchased by the Seller from Bank of Scotland plc (the Original Seller) and secured over residential properties located in Ireland.

The portfolio consists of 2,601 accounts (3,089 sub-accounts), with all of the mortgage loans in the mortgage portfolio being originated by the Original Seller between 2000 and 2010. The average current balance per account is Eur224,544 and the largest is for Eur4.493mln. Repayment type (by current balances): interest only – 57.38%, repayment – 41.31%, part & part – 1.30%. Interest rate type: variable – 99.96%, fixed – 0.04%. Valuation type: full – 88.34%, desktop – 1.13%, drive by – 0.91%, other – 9.62%. Occupancy type: owner occupier – 80.14%, BTL – 19.86%. The WA current LTV is 60.16%, WA indexed is 68.30% and the WA original LTV was 62.71%. The WA seasoning is 140.43 months. Regional concentration: Dublin – 57.26%, Cork – 6.72% and Kildare – 6.61%.

EU Risk Retention: On the Closing Date, Barclays Bank PLC (the Retention Holder) will, as an originator for the purposes of the CRR, the AIFM Regulation and the Solvency II Regulation retain a material net economic interest of not less than 5.0% in the securitisation in accordance with Article 405(1)(a) of Regulation (EU) No 575/2013, Article 51(1)(a) of Commission Delegated Regulation (EU) No 231/2013 (Article 51), and Article 254(2)(a) of Commission Delegated Regulation (EU) No 2015/35. As at the Closing Date, the Retention will comprise the Retention Holder holding no less than 5.0% of the nominal value of each Class of Notes sold or transferred to investors on the Closing Date, as required by the text of each of Article 405(1)(a) of the CRR, Article 254(2)(a) of the Solvency II Regulation and Article 51(1)(a) of the AIFM Regulation.

US Risk Retention: The Retention Holder as "sponsor" under the U.S. Credit Risk Retention Requirements (in such capacity, the Sponsor) intends to satisfy the U.S. Credit Risk Retention Requirements by directly acquiring and retaining an eligible vertical interest (an EVI) equal to a minimum of 5.0% of the nominal value of each Class of Notes issued by the Issuer on the Closing Date.

Compare/contrast: Roundstone Securities, European Residential Loan Securitization 2018-1, Fastnet Securities 15