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CASPR-1: 16 December 2020

The transaction is a static synthetic Belgian RMBS transaction, and based on a portfolio of fixed interest owner-occupied and BTL mortgage loans which have been originated by AXA Bank Belgium S.A./N.V. and secured on properties in Belgium.

The Reference Portfolio as at the Portfolio Cut-Off Date (30 September 2020): Number of Reference Obligations – 7,509. Number of Reference Debtors and Reference Debtor Groups – 4,233. Average Outstanding Balance per Reference Debtor / Reference Debtor Group – Eur177,643. The WA Current LTV – 67.85% (original LTV was 85.00%) and the WA seasoning is 4.38 years.

EU Risk Retention: ABB or a consolidated subsidiary will retain on an ongoing basis a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of the Securitisation Regulation. As at the Closing Date, such interest will be comprised of 5% of the gross nominal value of each of the securitised exposures on an unhedged basis.