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Albion No 4 Plc: 01 October 2019

After a 4-year hiatus, this will be the fifth RMBS issue from Leeds Building Society and will be the fourth to use the Albion name. (For history of Leeds Building Society, please see market commentary on earlier Albion transactions).

The issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising 4,574 mortgage loans originated by Leeds Building Society and secured over residential properties located in England and Wales, purchased by the Seller between 15 June 2005 and 25 June 2019.

At cut-off all loans are current, the average current balance is £131,177 and the largest loan is for £900,971. Purpose of loan (by current balances): purchase 57.29%, re-mortgage 42.71%. Repayment type: repayment 80.88%, interest-only 19.12%. Product type: fixed 95.52%, variable 4.48%. The WA current LTV is 64.03% although there are 281 loans with an LTV of greater than 90% in the pool. WA seasoning is 20.55mnths. Regional concentration (By current balances): South East 23.25%, Greater London 11.95%, the North West 11.13%, Yorks & Humberside 11.10% and the West Midlands 10.35%.

Significant Investor: LBS will on the Closing Date purchase £150,000,000 of the Class A Notes and £43,780,500 of the Class Z VFN.

EU Risk Retention: LBS will undertake that it will retain on an on-going basis a material net economic interest of at least 5% in the securitisation as required by Article 6(1) of the Regulation (EU) 2017/2402. As at the Closing Date, such retention requirement will be satisfied by LBS holding the first loss tranche.

US Risk Retention: LBS, as the sponsor under the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, does not intend to retain at least 5% of the credit risk of the Notes for the purposes of the U.S. Risk Retention Rules, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Albion 3, Guildford No.1 plc, Brass RMBS No 8 plc