Grafton CLO 2016-1: 24 December 2016

A credit-linked CLO transaction, where the initial Reference Portfolio comprises 104 revolving loans and/or term loans originated or acquired by the Protection Buyer or an Affiliate of the Protection Buyer to 91 large corporate obligors. Certain characteristics of the Reference Portfolio are set forth below and refer to the composition of the Reference Portfolio as at the Portfolio Cut-Off Date. The weighted average life of the Reference Portfolio as of the Portfolio Cut-Off Date is approximately 3.05 years. The Reference Obligations complied with the Eligibility Criteria and the Reference Portfolio complied with the Replenishment Criteria as at the Portfolio Cut-Off Date.

Moody's Industry Classification %

CORP - Services: Business 13.65%
CORP - Beverage, Food & Tobacco 9.66%
CORP - Retail 9.66%
CORP - Hotel, Gaming & Leisure 5.95%
CORP - FIRE: Real Estate 4.19%
CORP - Construction & Building 5.81%
CORP - Transportation: Consumer 5.76%
CORP - Utilities: Water 3.15%
CORP - Consumer goods: Non-durable 3.00%
CORP - Aerospace & Defense 2.86%
CORP - FIRE: Finance 2.51%
CORP - Wholesale 2.81%
CORP - Media: Advertising, Printing & Publishing 4.00%
CORP - Energy: Oil & Gas 4.00%
CORP - Telecommunications 2.00%
CORP - Healthcare & Pharmaceuticals 2.33%
CORP - Automotive 2.16%


CRR: Abbey National Treasury Services plc undertakes that it will retain, at all times until the redemption of the notes, a material net economic interest which shall in any event be not less than 5% of the nominal value of each Reference Obligation as contemplated by Article 405(1)(a) of the Capital Requirements Regulation, Article 51(1)(a) of the Level 2 AIFM Regulation and Article 254(2)(a) of the Solvency II Regulation. Such holding will be achieved by the Relevant Lender being a member of the Santander consolidated group and the Defaulted Notional Amount for a Reference Obligation being capped at 95% of the Total Exposure Amount for that Reference Obligation.