London Wall Mortgage Capital (2024-1): 20 August 2024

The Series 2024-01 will constitute a separate segregated Series issued under the residential mortgage backed securities programme of the Issuer, where the Issuer will make payments on the Notes from, among other things, payments of principal and revenue received from the Series Portfolio which comprises Mortgages secured over residential properties located in England and Wales originated by Fleet Mortgages Limited, and also Mortgages secured over residential properties located in England, Wales and Scotland originated by Charter Court Financial Services Limited, and also Mortgages secured over residential properties located in England, Wales and Scotland originated by The Mortgage Lender Limited. The portfolio will include both Buy to Let Mortgages and Owner Occupied Mortgages.

As at the Provisional Portfolio Date (31 May 2024) the pool consisted of 2,281 full valuation mortgage loans, where the average mortgage loan size is £161,506 and the largest is £1.325mln. Originators by number of loans / % of outstanding balance: TML – 939/44.06%, Precise 874/28.52%, Fleet 468/27.43%. Occupancy type: BTL – 86.49%, owner-occupied – 13.51%. Repayment type: Interest only – 80.37%, Repayment – 19.36%, P&P – 0.28%. Interest rate type: Floating (for life) – 53.89%, Fixed to Floating – 46.11%. Additional information: 3+ Months in Arrears; Self employed at application – 55.03%; First time buyer – 5.79%. The WA current LTV is 68.25% (original LTV was 70.80%) and the WA seasoning is 70.16 months. Geographical distribution: London – 41.88%, South East – 11.47% and East of England – 8.51%.

UK Risk Retention: The Series Risk Retention Holder (Continental Structured Ventures Ltd) will undertake that it will retain on an ongoing basis a material net economic interest of not less than 5% in respect of the Series in accordance with Article 6(1) of the UK Securitisation Regulation. At the Series Closing Date, such interest will consist of the retention by the Series Risk Retention Holder of not less than 5% of the nominal value of each of the 'tranches' of Notes sold or transferred to investors.

US Risk Retention: The Series Portfolio Seller is the sponsor of the Series for the purposes of the US Risk Retention Rules and it intends to rely on the US Risk Retention Exemption.

STS: The Issuer and the Risk Retention Holder have not designated, and do not intend to designate, the Series as a UK STS Securitisation.

Compare/contrast: London Wall Mortgage Capital (Fleet 2021-2), Bletchley Park Funding 2024-1 plc, Duncan Funding 2024-1 plc