Issuer Information

• Name: Grosvenor Square RMBS 2023 1 plc
• Country: United Kingdom

Underwriter, Arranger, and Manager Information

• Underwriter: BofA Securities
• Arranger: Goldman Sachs International
• Joint Lead Managers:
• BofA Securities
• Goldman Sachs International

Trustee and Collateral Administrator Information

• Trustee: Apex Corporate Trustees (UK) Limited
• Address: Bastion House, 6th Floor, 140 London Wall, London EC2Y 5DN, United Kingdom
• Cash/Bond Administrator, Principal Paying Agent, Agent Bank, Account Bank, and Registrar: Citibank, N.A., London Branch
• Address: Citigroup Centre, Canada Square, Canary Wharf, London E14 5LB, United Kingdom

Name	Role	Country
Catherine Mary Elizabeth McGrath	Director	United Kingdom
Aline Sternberg	Director	United Kingdom
Charmaine De Castro	Transaction Manager	United Kingdom
Jonathan Hanley	Director	United Kingdom
Sukanthapriya Jeyaseelan	Transaction Manager	United Kingdom
Constantinos Kleanthous	Director	United Kingdom
Katherine Emily Lagoe	Associate Director	United Kingdom
Lara Nasato	Senior Manager	United Kingdom
John Paul Nowacki	Managing Director	United Kingdom
Adrianna Pawelec	Transaction Manager	United Kingdom
Debra Amy Parsall	Company Director	United Kingdom
Oreoluwa Salu	Transaction Manager	United Kingdom
Dragos Savacenco	Transaction Manager	United Kingdom
Aline Sternberg	Senior Manager	United Kingdom

Name	Role	Country
Grosvenor Square RMBS 2023 1 plc	Issuer	United Kingdom
Apex Corporate Trustees (UK) Limited	Trustee	United Kingdom
Goldman Sachs International	Arranger and Joint Lead Manager	United Kingdom
BofA Securities	Joint Lead Manager	United Kingdom
Citibank, N.A., London Branch	Cash/Bond Administrator, Principal Paying Agent, Agent Bank, Account Bank, and Registrar	United Kingdom
Clifford Chance LLP	Legal Advisers (as to English Law)	United Kingdom
CMS Cameron McKenna Nabarro Olswang LLP	Legal Advisers (as to Scots Law)	United Kingdom
Tughans LLP	Legal Advisers (as to Northern Irish Law)	United Kingdom
Arthur Cox Listing Services Limited	Listing Agent	Ireland
CSC Directors (No.1) Limited	Corporate Director	United Kingdom
CSC Corporate Services (UK) Limited	Company Secretary	United Kingdom
Lloyds Bank Corporate Markets plc	Initial Swap Counterparty	United Kingdom
Barclays Bank PLC	Collection Accounts Provider	United Kingdom
Goldman Sachs International Bank	Retention Holder	United Kingdom

Attribute	A Notes	B Notes	C Notes	D Notes	E Notes	F Notes	G Notes	XS1 Notes	XS2 Notes	Z Notes
Amount Due	1,138,323,000	68,299,000	32,524,000	26,019,000	16,262,000	9,757,000	9,756,000	9,757,000	6,505,000	13,010,000
Maturity Date	September 2062	September 2062	September 2062	September 2062	September 2062	September 2062	September 2062	September 2062	September 2062	September 2062
Issue Price (%)	100.0000	100.0000	98.9371	98.9534	98.7234	98.7520	97.5594	99.2646	91.3992	100.0000
Principal Amount	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]	[Principal Amount]
Interest Payment Date	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]	[Interest Payment Date]
Final Maturity Date	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]	[Final Maturity Date]
Clearance/Settlement	Euroclear/ Clearstream, Luxembourg	Euroclear/ Clearstream, Luxembourg	Euroclear/ Clearstream, Luxembourg	Euroclear/ Clearstream, Luxembourg	Euroclear/ Clearstream Luxembourg	Euroclear/ Clearstream Luxembourg	Euroclear/ Clearstream Luxembourg	Euroclear/ Clearstream, Luxembourg	Euroclear/ Clearstream Luxembourg	Euroclear/ Clearstream, Luxembourg
Minimum Denomination	100,000 and integral multiples of in excess 1,000 thereof	100,000 and integral multiples in 1,000 of excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof	100,000 and integral multiples of 1,000 in excess thereof
Rank Order	1	2	3	4	5	6	7	8	9	10
Pari Passu	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Priority Over	None	A Notes	B Notes	C Notes	D Notes	E Notes	F Notes	G Notes	XS1 Notes	XS2 Notes
Payment Source	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds	Available Revenue Funds

Payment Cadence for Interest and Principal

Interest Payments

• Frequency: Quarterly in arrear
• Payment Dates: 22nd day of March, June, September, and December each year.
• Adjustment for Non-Business Days: If the 22nd falls on a non-Business Day, payment will be made on the next following Business Day.
• First Interest Payment Date: June 2023.

Principal Payments

• Principal Payment Structure: Specific details not provided, but typically structured to coincide with interest payment dates or follow a different schedule.

Date Type	Date	Description
Issue Date	14 March 2023	Date of initial issuance for the Notes and the Certificates.
First Interest Payment Date	June 2023	First date on which interest will be payable in respect of the Notes.
Interest Payment Dates	Quarterly (March, June, September, December)	Interest will be payable quarterly in arrear.
Final Maturity Date	September 2062	Date when all Notes and Certificates will mature.
Step Up Date	Not provided	Date on which the Issuer may exercise the Mortgage Pool Option for early redemption of the Notes.
Determination Date	Second Business Day prior to each Interest Payment Date	Date used to determine interest payments.
Interest Period	14 March 2023 to June 2023	Duration of the first Interest Period.
Conditions Post March 2026	Not specified	Specific conditions related to interest payments that may apply after this date.

Principal Priority of Payments Model (Principal Payment Waterfall Model)

• First Priority: Trustee Remuneration and Expenses
• Second Priority: Issuer's Third-Party Payments
• Third Priority: Servicing and Administration Fees
• Fourth Priority: Issuer Profit Retention
• Fifth Priority: Swap Counterparty Payments
• Sixth Priority: Payments for X Certificates
• Seventh Priority: Interest Payments on A Notes
• Eighth Priority: A Principal Deficiency Ledger
• Ninth Priority: Interest Payments on B Notes
• Tenth Priority: B Principal Deficiency Ledger
• Eleventh Priority: Interest Payments on C Notes
• Twelfth Priority: C Principal Deficiency Ledger
• Thirteenth Priority: Interest Payments on D Notes
• Fourteenth Priority: D Principal Deficiency Ledger
• Fifteenth Priority: Interest Payments on E Notes
• Sixteenth Priority: E Principal Deficiency Ledger
• Seventeenth Priority: Interest Payments on F Notes
• Eighteenth Priority: F Principal Deficiency Ledger

Interest Priority of Payments Model (Interest Payment Waterfall Model)

• First Priority: Interest Payments on A Notes
• Second Priority: Interest Payments on B Notes
• Third Priority: Interest Payments on C Notes
• Fourth Priority: Interest Payments on D Notes
• Fifth Priority: Interest Payments on E Notes
• Sixth Priority: Interest Payments on F Notes
• Seventh Priority: Interest Payments on XS1 Notes
• Eighth Priority: Interest Payments on XS2 Notes
• Ninth Priority: Interest Payments on Z Notes
• Tenth Priority: Interest Payments on X Certificates
• Eleventh Priority: Interest Payments on Y Certificates

Pre-Enforcement and Post-Enforcement Priority of Payments Models

Pre-Enforcement Priority of Payments Model

• Trustee Remuneration and Expenses
• Issuer's Third-Party Payments
• Servicing and Administration Fees
• Interest Payments on A Notes
• Interest Payments on B Notes
• Interest Payments on C Notes
• Interest Payments on D Notes
• Interest Payments on E Notes
• Interest Payments on F Notes
• Payments on XS1 Notes
• Payments on XS2 Notes
• Payments on Z Notes
• Payments on X Certificates
• Payments on Y Certificates

Post-Enforcement Payment Model (Acceleration Payment Model)

• Payments on A Notes
• Payments on B, C, D, E, and F Notes
• Payments on XS1, XS2, Z Notes, X Certificates, and Y Certificates

Events or Triggers for Changes in Priority of Payments

• Service of an Enforcement Notice
• Occurrence of a Redemption Event

Triggers for Events of Default or Enforcement

• Winding Up of the Issuer
• Insolvency Proceedings
• Unlawful Performance
• Material Prejudice Certification
• Service of an Enforcement Notice
• Indemnification and Direction

Fee Type	Amount/Description	Priority in Cashflow	Frequency
Cash/Bond Administrator Fees	Estimated at 17,540 (inclusive of VAT)	Not Applicable	On or about the Issue Date
Servicing Fee	Base Fee: 0.165% of aggregate Current Balance; Supplemental Fee: 50 per Loan	Subject to Senior Servicing Fee Cap	Quarterly in arrear on each Interest Payment Date
Legal Title Holder Costs and Expenses	Estimated at 37,000 per year (exclusive of VAT)	Ahead of outstanding Notes	Quarterly in arrear on each Interest Payment Date
Other Fees and Expenses	Not specified in detail	Ahead of outstanding Notes	Generally semi-annually or quarterly, paid in arrear

Impact of Fees and Expenses on Cash Flow

• Reduction in Available Cash Flow
• Priority of Payments
• Increased Costs
• Impact on Financial Stability
• Long-term Implications

Underlying Assets

• Loans: The Issuer's present and future rights, title, benefit, and interest in the Loans and their related Collateral Security.
• Mortgages: Related to the Loans, providing additional security.
• Insurance Contracts: The Issuer's interests in Insurance Contracts related to the Loans.

Security Type	Description
First Fixed Equitable Charges	Over the Issuer's rights in the Loans and Mortgages.
Equitable Assignment	Of the Issuer's interests in the Insurance Contracts.
Assignment of Rights	In various agreements including the Bank Agreement, Collection Account Agreements, and other Charged Obligation Documents.
First Fixed Charge	Over the Issuer's interest in Bank Accounts, Authorised Investments, and Collection Accounts.
Scottish Trust Security	Assignation in security of the Issuer's beneficial interest in Scottish Loans and their Collateral Security.
First Floating Charge	Over the whole of the Issuer's undertaking, property, assets, and rights, ranking after the fixed charges.

Provision Type	Details
Optional Redemption	- The Issuer may redeem the Notes in whole on any Interest Payment Date on or after the Call Option Date, with a notice period of 5 to 30 days.
- Conditions include:
- Aggregate Principal Amount Outstanding of Senior Notes is ≤ 20% of the aggregate Principal Amount Outstanding upon issue.
- Necessary funds from a sale of Charged Property are available.
- No Enforcement Notice has been served prior to the Interest Payment Date.
- Redemption Amount: Principal Amount Outstanding + accrued (and unpaid) interest up to the date of redemption.
Mandatory Redemption	- Risk Retention Regulatory Change Option: If a Risk Retention Regulatory Change Event occurs, the Issuer will notify Noteholders 5 to 10 Business Days prior.
- Redemption on the Interest Payment Date following the exercise of the option, provided necessary funds are available.
- Redemption Amount: Principal Amount Outstanding + accrued (and unpaid) interest up to the relevant Interest Payment Date.
Notice of Redemption	Any notice of redemption shall be irrevocable, and upon expiration, the Issuer is bound to redeem the Notes at the Principal Amount Outstanding + accrued and unpaid interest.

Fund Reserve

Fund Reserve Details

General Reserve Fund

• Establishment: The General Reserve Fund is established on the Issue Date.
• Funding Source: Fully funded by the proceeds from the Z Notes.
• Required Amount: 1.00% of the Principal Amount Outstanding of the aggregate of the A Notes, B Notes, C Notes, D Notes, E Notes, F Notes, and G Notes on the Issue Date, which amounts to 13,009,400.00.
• Minimum Balance: The Issuer must maintain a minimum balance equal to the General Reserve Fund Required Amount at all times.
• Excess Amounts: Any amounts exceeding the General Reserve Fund Required Amount will be transferred to the Transaction Account on the relevant Determination Date.
• Redemption: After the redemption of the A Notes to G Notes, the required amount will be zero.

Liquidity Reserve Fund

• Establishment: The Liquidity Reserve Fund is also established on the Issue Date.
• Initial Required Amount: Initially set to zero.
• Trigger Event: On any Interest Payment Date where the General Reserve Fund balance is less than 0.50% of the aggregate Principal Amount Outstanding, the Liquidity Reserve Fund Required Amount will be 1.50% of the aggregate Principal Amount Outstanding of the A Notes and B Notes.
• Subsequent Amount: After the Trigger Event, the required amount remains at 1.50% of the aggregate Principal Amount Outstanding of the A Notes and B Notes on subsequent Interest Payment Dates.
• Excess Amounts: Any surplus above the Liquidity Reserve Fund Required Amount will be transferred to the Transaction Account on the relevant Determination Date.

Fund Type	Usage Description
General Reserve Fund	Used first in the event of a Shortfall.
Liquidity Reserve Fund	Used for any remaining Revenue Shortfall after the General Reserve Fund is depleted.

Summary

• The General Reserve Fund and Liquidity Reserve Fund are essential financial structures designed to provide coverage for potential shortfalls in revenue and ensure the stability of payments to noteholders.
• The General Reserve Fund is primarily funded by Z Notes, while the Liquidity Reserve Fund is contingent upon the performance of the General Reserve Fund and specific trigger events.

Risk Retention Overview

United Kingdom

• Legal Requirement: UK Retention Requirement (5% retention) - Statutory
• Contractual Undertaking: Retention Letter (5% retention) - Voluntary Commitment

United States

• Legal Requirement: U.S. Risk Retention Rules (5% retention) - Statutory Obligation
• Contractual Undertaking: Retention Holder Agreement (5% retention) - Voluntary Commitment

European Union

• Legal Requirement: EU Retention Requirement (5% retention) - Statutory Obligation
• Contractual Undertaking: Retention Letter (5% retention) - Voluntary Commitment

Region	Legal Requirement	Contractual Undertaking	Modality Type
United Kingdom	UK Retention Requirement (5%)	Retention Letter (5%)	Statutory / Voluntary
United States	U.S. Risk Retention Rules (5%)	Retention Holder Agreement (5%)	Statutory / Voluntary
European Union	EU Retention Requirement (5%)	Retention Letter (5%)	Statutory / Voluntary

Types and Details of Credit Enhancements

1. Overcollateralization

• Definition: Value of collateral exceeds securities issued.
• Example: Total assets = $120 million, securities issued = $100 million (20% overcollateralization).

2. Reserve Accounts

• Definition: Funds set aside for cash flow shortfalls.
• Example: Reserve account holds 5% of total issuance. For $100 million issuance, reserve = $5 million.

3. Subordination

• Definition: Tranching structure prioritizing payments.
• Example: 70% senior tranche, 20% mezzanine, 10% junior.

Type	Description	Example Details
Overcollateralization	Provides a cushion against defaults	20% overcollateralization
Reserve Accounts	Funds set aside to cover cash flow shortfalls	5% of total issuance
Subordination	Tranching structure that prioritizes payments	70% senior, 20% mezzanine, 10% junior

Impact of Credit Enhancements on Cash Flow

1. Credit Enhancement Mechanisms

• General Reserve Fund: Supports various Notes, covering cash flow shortfalls.
• Liquidity Support: Addresses Revenue Shortfalls for A and B Notes.
• Excess Spread: Additional income enhancing cash flow stability.

2. Subordination

• Subordination of Junior Notes: Protects cash flows of senior tranches.

3. Application of Available Principal Funds

• Revenue and Interest Shortfalls: Funds applied to cover shortfalls for A, B, C, D, E, F, and G Notes.

Mechanism	Impact on Cash Flow
General Reserve Fund	Provides a buffer for cash flow shortfalls across multiple Notes.
Liquidity Support	Ensures timely payments to senior Notes during cash flow distress.
Excess Spread	Enhances cash flow stability by providing additional income.
Subordination	Protects senior Notes by absorbing losses at the junior level.
Available Principal Funds	Covers Revenue and Interest Shortfalls, ensuring obligations are met.

Factor	Description
Investment Company Act of 1940	The Issuer has not registered and does not intend to register under this Act, avoiding classification as a \"covered fund\" under the Volcker Rule.
Unfair Terms in Consumer Contracts Regulations (UTCCR)	The subjective nature of UTCCR may lead to unenforceability of Loan terms, affecting payments to Noteholders.
Financial Services (Distance Marketing) Regulations 2004	Cancellable Loans could negatively impact Issuer's receipts and payment capabilities.
Mortgage Conduct of Business (MCOB) and Financial Services and Markets Act (FSMA)	Changes could adversely affect the Mortgage Pool and operations of involved parties.
Consumer Rights Act 2015 (CRA)	Evolving law may impact the Seller, Legal Title Holder, and Issuer, affecting cash flows.
Prohibition of Sales to Retail Investors	Restriction on offering Notes to retail investors limits investor base, influencing liquidity and pricing.

Compliance Requirement	Impact
SEC Final Rules on Asset-Backed Securities	Requires Form ABS 15G, increasing compliance costs and potentially impacting cash flows.
Volcker Rule Compliance	Avoiding classification as a \"covered fund\" is crucial for market liquidity and pricing.
Consumer Credit Regulations	Changes may necessitate forbearance actions, delaying cash inflows from Loans.
Consumer Rights Act 2015 (CRA)	Unforeseen liabilities from unfair Loan terms could adversely affect cash flows.
Legal and Regulatory Compliance Costs	Significant costs may reduce net cash flows available for distribution.
Impact of Regulatory Changes	Future changes could impose additional compliance requirements, straining cash flow.

Tax Consideration	Description
Taxation of Securitisation Companies Regulations	Issuer taxed on retained cash profit, affecting cash flows for distribution.
Potential Tax Liabilities	Non-qualification for special tax regime may lead to unforeseen taxable profits.
Deduction of Interest Payments	Disallowance of interest deductions could create gaps between cash and taxable profits.
Withholding Tax on Interest Payments	Interest payments may be subject to withholding tax, impacting cash flows.
Impact of FATCA and IGAs	Withholding under FATCA could reduce cash flows available to Noteholders.
Changes in Tax Law	Future changes in tax laws could significantly impact tax liabilities and cash flows.

Jurisdiction	Tax Implication
United Kingdom Withholding Tax	Imposed on interest payments unless Notes are listed on a recognized stock exchange.
U.S. Foreign Account Tax Compliance Act (FATCA)	May require withholding on certain payments, affecting cash flows.
Proposed Financial Transactions Tax (FTT)	Could apply to transactions involving Notes, affecting liquidity and cash flows.
Taxation of Securitisation Companies Regulations	Specific tax regulations dictate taxation on retained cash profits.
Impact of Changes in Tax Law	Changes in tax laws could have significant implications for tax liabilities and cash flows.

Liquidity and Trading in the Secondary Market for Mortgage-Backed Securities

• Market Disruptions: Significant disruptions due to reduced investor demand can lead to limited liquidity.
• Risks Affecting Liquidity:
• Prepayment risk
• Credit risk
• Interest rate risk
• Investor Sensitivity: Securities structured for specific investor categories may experience heightened sensitivity to risks.

Central Bank Liquidity Schemes

• Key Initiatives:
• Bank of England's Discount Window Facility
• Bank of England's Sterling Monetary Framework
• European Central Bank's liquidity scheme
• Impact of Eligibility Criteria: Future restrictions on eligibility could negatively impact liquidity, regardless of Notes' qualification.

Eligibility and Investor Considerations

• Eligibility Criteria:
• Notes must meet specific criteria to qualify for liquidity schemes.
• No Guarantees:
• Issuer, Arranger, Joint Lead Managers, Legacy Originators, Legal Title Holder, and Trustee do not guarantee eligibility.
• Investor Due Diligence: Investors should assess eligibility and consider funding haircuts.

Expected Trading Volumes and Bid-Ask Spreads in the Secondary Market

• Trading Volumes:
• Fluctuate widely based on market conditions and investor sentiment.
• Increase during high market activity; decrease during market stress.
• Bid-Ask Spreads:
• Indicator of market liquidity; narrower spreads indicate higher liquidity.
• Influenced by:
  • Market Conditions (economic indicators, interest rates)
  • Security Characteristics (credit quality, prepayment risk)

Conclusion

• Market Dynamics: Investors should monitor market conditions and be prepared for fluctuations in trading volumes and bid-ask spreads.