Headingley RMBS Monthly Investor Report

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1 Reporting Date 11 Sep 2012 Reporting Period 1 to 31 Next Interest Payment Date 11 Sep 2012 Interest Period 12 to 11 Sep 2012 Contact Details Name Telephone Mailing Address Tracey Hill +44 (0) traceyhill@halifax.co.uk LP/3/1/SEC, 1 Lovell Park Road Mark Unsworth +44 (0) markunsworth@lloydsbanking.com Leeds LS1 1NS Investor reports, prospectus and access to key transaction documents and loan level data may be obtained at Mortgage Portfolio Summary Outstanding start period Outstanding end period 972,754, Accounts at start of period 8, ,771, Accounts at end of period Investor Principal Amount start Calculation Period less Capitalised Interest less Seller cash payment less Available Investor Principal less Principal Losses on Loans debited to PDL Investor Principal Amount Investor Percentage Seller Principal Amount Seller Percentage 883,247, ,992, , ,170, % 129,600, % Investor Percentage at start of Calculation Period % Recalculated when Seller Principal Diversion Conditions satisfied Minimum Seller Principal Amount 42,849, Minimum Seller Percentage 3.1% Mortgage Portfolio Details Arrears & Possessions s in arrears Current < 1 month 1 < 2 months 2 < 3 months 3 < 6 months 6 < 12 months >= 12 months 929,726, ,889, ,754,629 3,869, ,786, , ,771, % of 97.79% 1.15% 0.29% 0.41% 0.29% 0.08% Aggregate amount of Arrears 22, , , , , , , , % of 97.91% 1.10% 0.26% 0.36% 0.27% 0.10% Properties in possession Brought forward Repossessed Sold and loss incurred Sold and no loss incurred Relinquished to borrower Carried forward Cumulative % of % of Numbers 312, % % % 3 223, % Average days from possession to sale (this period) 75 Constant Default Rate Current month 3month average Cumulative 0.03% Jul % 0.03% 0.01% 0.01% 0.03% Loan Repurchases Reason Further Advance and/or Product Switch Breach of Seller Asset Warranty Principal proceeds 10,197, ,197, Asset Yield Yield PreBasis Swap yield PostBasis Swap yield (over 3m LIBOR) Rate % % Principal Payment Rate ly 1month 3month 12month PPR annualised average average 2.26% 24.02% 22.30% 25.45% Jul % 19.12% 27.06% 25.50% 2.23% 23.75% 31.21% 25.05% Page 1 of 9

2 Range of LTV ratios at origination % of % of 0% <5% 5% <10% 10% <15% 15% <20% 20% <25% 25% <30% 30% <35% 35% <40% 40% <45% 45% <50% 50% <55% 55% <60% 60% <65% 65% <70% 70% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <97% 97% <100% 69, , ,899, ,957, ,292, ,764, ,394, ,156, ,290, ,913, ,631, ,933, ,028, ,953, ,688, ,482, ,979, ,431, ,857, ,642, , % 0.09% 0.30% 0.42% 0.66% 0.92% 1.20% 1.59% 1.92% 2.20% 2.70% 4.73% 4.00% 4.20% 12.06% 10.57% 9.78% 28% 20.07% 1.43% 0.05% ,416 1, % 0.52% 1.39% 1.46% 1.98% 2.23% 2.60% 2.69% 3.01% 3.15% 3.49% 5.26% 4.22% 4.51% 10.53% 9.49% 8.38% 17.48% 16.17% 1.30% 0.05% Maximum Original LTV >=100% Minimum Original LTV 950,771, Weighted average Original LTV Range of LTV ratios at end of reporting period % of % of 0% <5% 5% <10% 10% <15% 15% <20% 20% <25% 25% <30% 30% <35% 35% <40% 40% <45% 45% <50% 50% <55% 55% <60% 60% <65% 65% <70% 70% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <97% 97% <100% 336, ,770, ,224, ,061, ,095, ,484, ,042, ,967, ,424, ,329, ,018, ,966, ,265, ,678, ,033, ,855, ,447, ,460, ,895, ,747, ,244, % 0.19% 0.44% 0.64% 6% 1.21% 1.69% 1.78% 2.46% 2.98% 3.47% 3.89% 5.29% 7.12% 9.26% 9.66% 10.78% 12.14% 11.98% 4.39% 5.71% % 1.17% 1.91% 2.01% 2.56% 2.54% 3.07% 2.58% 3.22% 3.65% 4.21% 4.10% 5.06% 6.58% 8.17% 8.37% 9.46% 10.27% 9.64% 3.35% 3.95% Maximum Current LTV >=100% 36,420, % % Minimum Current LTV 950,771, Weighted average Current LTV Range of outstanding balances at end of period % of % of 0 <25,000 25,000 <50,000 50,000 <75,000 75,000 <100, ,000 <125, ,000 <150, ,000 <175, ,000 <200, ,000 <225, ,000 <250, ,000 <275, ,000 <300, ,000 <350, ,000 <400, ,000 <450,000 5,975, ,183, ,748, ,274, ,635, ,213, ,405, ,583, ,761, ,762, ,131, ,453, ,660, ,285, ,400, % 3.38% 9.44% 12.55% 12.90% 12.12% 11.61% 9.00% 7.02% 4.81% 4.12% 3.20% 3.86% 2.24% 1.83% ,418 1,371 1, % 10.31% 17.50% 16.92% 13.58% 10.42% 8.44% 5.65% 3.90% 2.41% 1.85% 1.31% 1.41% 0.72% 0.51% Maximum current balance 450,000 <500,000 12,296, % % Minimum current balance >=500,000 Average current balance 950,771, Weighted average current balance 97.00% 2.03% 75.67% % 2.56% 75.22% 498, , , , Page 2 of 9

3 Region East Midlands East of England London North East North West Scotland South East South West Wales West Midlands Yorkshire and The Humber Unknown 45,205, ,103, ,502, ,585, ,852, ,123, ,638, ,515, ,658, ,603, ,981, ,771, % of 4.75% 9.48% 18.56% 3.01% 8.08% 11.90% 17.63% 7.84% 3.12% 7.22% 8.41% ,251 1, % of 5.80% 8.21% 11.53% 4.07% 10.49% 15.44% 13.54% 7.58% 3.83% 8.44% 16% Property type Detached house Semidetached house Terraced house House: det type unknown 1 Flat or maisonette Bungalow % of % of 221,883, % 1, % 259,984, % 2, % 280,266, % 2, % 1,875, % % 142,736, % 1, % 44,024, % % 950,771, Where the detachment type is not held in the Seller's records Seasoning in months % of % of 0 <18 18 <24 24 <30 30 <36 36 <42 42 <48 48 <54 50,334, ,039, ,724, ,246, ,629, % 20.93% 15.75% 34.94% 20.79% 434 1,967 1,548 2,743 1, % 24.28% 19.11% 33.86% 15.62% Maximum seasoning >=54 21,796, % % Minimum seasoning 950,771, Weighted average seasoning Years to maturity % of % of < 5 5 <10 10 <15 15 <20 20 <25 25 <30 27,907, ,117, ,404, ,288, ,464, ,021, % 8.74% 11.82% 22.75% 38.75% 14.83% ,091 1,769 2,806 1, % 10.83% 13.47% 21.84% 34.64% 14.34% Maximum remaining term >=30 1,565, % % Minimum remaining term 950,771, Weighted average remaining term Use of proceeds Purchase Remortgage 585,346, ,424, ,771, % of 61.57% 38.43% 4,954 3,147 % of 61.15% 38.85% Repayment terms Repayment Interest Only 484,383, ,387, ,771, % of 50.95% 49.05% 5,056 3,045 % of 62.41% 37.59% Payment method Direct debit Other % of 918,691, % 32,079, % 950,771, , % of 96.63% 3.37% Origination channel Direct Intermediary 387,675, ,095, ,771, % of 40.77% 59.23% % of 3, % 4, % Page 3 of 9

4 Type of loan Discounted variable rate loans Fixed rate loans Tracker rate loans Standard variable rate loans % of % of 238,218, % 2, % 84,962, % % 627,589, % 5, % 950,771, Distribution of fixed rate loans Fixed rate 0 <4.00% 4.00 <5.00% 5.00 <6.00% 6.00 <7.00% >=7.00% 8,756, ,192, ,009,445 74,197, ,062, ,218, % of 3.68% 20.23% 32.75% 31.15% 12.20% ,361 % of 3.09% 22.32% 33.63% 29.52% 11.44% Year in which current fixed rate period ends ,046, ,212, ,985, ,561, ,757, , ,423, ,689, ,218, % of 13.45% 39.13% 38.61% 1.91% 0.74% 0.23% 3.12% 2.81% , ,361 % of 14.23% 33.55% 42.40% 2.33% 0.85% 0.38% 2.58% 3.68% Outstanding Issuance Series Name A1a A1b A2 A3 B C Issue Date Original Rating (Moody's / S&P) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aa1(sf) / AA+(sf) Aa3(sf) / AA(sf) Current Rating (Moody's / S&P) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aaa(sf) / AAA(sf) Aa1(sf) / AA+(sf) Aa3(sf) / AA+(sf) Currency AUD EUR GBP GBP GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate Outstanding Amount 2 Pool Factor 2 Scheduled Maturity Date AUD 275,000,000 GBP 174,992, AUD 81,549, EUR 500,000,000 GBP 440,334, EUR 148,271, GBP 225,200,000 GBP 225,200,000 GBP 225,200,000 GBP 225,300,000 GBP 225,300,000 GBP 225,300,000 GBP 112,900,000 GBP 112,900,000 GBP 112,900,000 GBP 75,300,000 GBP 75,300,000 GBP 75,300,000 Final Maturity Date Bond Structure Passthrough Passthrough Passthrough Passthrough Passthrough Passthrough ISIN AU3FN XS XS XS XS XS Stock Exchange Listing London London London London London London Reference Rate 3m BBSW 3m EURIBOR 3m GBP LIBOR 3m GBP LIBOR Fixed rate Fixed rate Margin Current Rate Current Accrual Period 1.50% % 12 Jun 11 Sep % % 12 Jun 11 Sep % % 12 Jun 11 Sep % % 12 Jun 11 Sep % 12 Jun 11 Sep % 12 Jun 11 Sep 12 Interest Payment Date 11 Sep 2012 Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment AUD 1,364, AUD 1,364, AUD 0.00 AUD 0.00 EUR 960, EUR 960, EUR 0.00 EUR 0.00 GBP 1,370, GBP 1,370, GBP 1,427, GBP 1,427, GBP 2, GBP 2, GBP 1, GBP 1, Principal Paid Principal Shortfall AUD 27,743, EUR 50,441, Cumulative Principal Shortfall 2 At end of latest completed Interest Period and following waterfall reported on p8 Credit Enhancement Excess Spread Class Class A Notes Class B Notes Class C Notes Notes Reserve Amount (GBP equivalent) % of 632,970, % 112,900, % 75,300, % 821,170,565 69,000, % Support 31.32% 17.57% 8.40% Amount % 2,396, % Page 4 of 9

5 Liquidity Support The Liquidity Reserve Fund will be funded from Available Investor Principal upon a Liquidity Trigger Event (see Rating Triggers) up to the Liquidity Reserve Fund Required Amount, being 3% of the outstanding Notes. Basis Swap Basis Swap Provider Basis Swap Provider Amount Issuer Amount Net Issuer Amount 3 7,015, ,179, ,164, A negative figure represents a payment by the Issuer and a positive figure is a receipt. See latest waterfall, reported on p8. Currency Swaps Class A1a A1b Currency Swap Provider National Australia Bank Royal Bank of Scotland 4 At end of most recently completed Interest Period 5 Paid in latest waterfall, reported on p8 Notionals 4 Currency Swap Provider Amounts 5 Issuer GBP Amounts 5 Currency GBP Floating Amount Exchange Amount Floating Amount Exchange Amount AUD 81,549,208 GBP 51,892,592 AUD 1,364, AUD 27,743, GBP 451, GBP 17,653, EUR 148,271,288 GBP 130,277,973 EUR 960, EUR 50,441, GBP 1,308, GBP 44,422, Collateral posted by Royal Bank of Scotland under the A1b currency swap Ledgers The currency swap mark to market is in favour of Royal Bank of Scotland Investor Percentage / Seller Percentage Ledger Investor Principal Investor Seller Date Amount Seller Principal Amount Percentage Percentage 3 Sep ,170, ,600, % % 1 883,247, ,389, % % 1 Mar ,468, ,172, % % Losses Ledger As % of Losses in month Cumulative losses Issuance 50, , % Jul , , , Principal Deficiency Ledger (Class C Subledger) Jul 2012 Credit Debit Balance General Reserve Ledger Credit Jul 2012 Debit Balance 69,000, ,000, ,000, General Reserve Required Amount 69,000, ,000, ,000, Revenue Ledger Jul 2012 Principal Ledger. Credit 3,463, ,540, ,536, Debit 10,963, Balance 10,539, ,076, ,536, Credit 22,018, Jul ,349,487 22,624, Debit Balance 61,992, ,974, ,221, ,624, Page 5 of 9

6 . Bank Accounts Balance GIC Account Revenue Ledger 10,539, Jul ,076, ,536, Principal Ledger 61,992, ,974, ,624, General Reserve Ledger 69,000, ,000, ,000, Bank Balance 6 141,532, ,050, ,161, Including cash from assets for last day of month collected first working day of following month. Transaction Account Issuer Profit Ledger 8, Jul , , Capital Ledger Bank Balance 12, , , , , , Rating Triggers Transaction Party Basis Swap Provider: A1a Currency Swap Provider: National Australia Bank A1b Currency Swap Provider: Royal Bank of Scotland Account Bank: Seller: Collection Account Bank: Required Ratings (Moody's / S&P) Short Term: P1 / A1 Short Term: P1 / A1 Short Term: P1 / A1 Short Term: P1 / A1 Long Term: A1 / A Long Term: Baa3 / BBB Short Term: / A2 Long Term: Baa3 / BBB Current Ratings Consequence of Trigger (Moody's / S&P) Requirement to post collateral, replace the Basis Swap Provider Short Term: P1 / A1 or obtain a guarantee of the Basis Swap Provider's obligations. Requirement to post collateral, replace the Currency Swap Provider or obtain a guarantee of the Currency Swap Provider's obligations. Requirement to post collateral, replace the Currency Swap Provider or obtain a guarantee of the Currency Swap Provider's obligations. Requirement to replace the Account Bank or obtain a guarantee of the Account Bank's obligations. Under the Mortgage Sale Agreement, the Seller shall be obliged to (only) prepare the documentation required to perfect title to the Mortgage Loans and Related Security. Under the Servicing Agreement, the Seller shall be required to transfer the Collection Account to a suitably rated account bank. Short Term: P1 / A1+ Long Term: Aa2 / AA Short Term: P2 / A1 Long Term: A3 / A Short Term: P1 / A1 Short Term: P1 / A1 Servicer: Liquidity Trigger Event (Seller rating) Long Term: Baa3 / Long Term: A3 / Under the Servicing Agreement, requirement to appoint a Backup Servicer. The Liquidity Reserve Fund will be required to be funded up to the Liquidity Reserve Fund Required Amount. On 21, Moody's downgraded Bank of Scotland's long term, unsecured, unguaranteed and unsubordinated debt ratings to A2 from A1. The Issuer has obtained a RAC from Moody's and is satisfied that the Account Bank holds the minimum ratings that are required to support the rating of the most senior class of notes, per the definition of Minimum Rating. Page 6 of 9

7 NonRating Triggers Nature of Trigger Principal Payments Trigger Event Seller Principal Diversion Conditions Perfection Event Cash Manager Event / Servicer Event Description of Trigger The occurrence of any of: (a) (b) the StepUp Date; or there is a debit balance on the Class B PDL on any Interest Payment Date; or (c) the Seller Principal Amount is less than the Minimum Seller Principal Amount. Means: (a) the Class A1 Notes and the Class A2 Notes have been redeemed in full; (b) no Principal Payments Trigger Event has occurred; (c) the Seller Principal Amount is greater than the Minimum Seller Principal Amount and at all times has been; (d) there is no debit balance on the Class C PDL and has at no time been any debit balance on the Class C PDL; (e) no Insolvency Event in relation to the Seller has occurred; and (f) no Enforcement Notice has been served by the Trustee on the Issuer. The occurrence of any of: (a) perfection is required by an order of court or regulatory authority; (b) it being necessary by law to take action to perfect legal title to the Mortgages; (c) the Seller requesting perfection; or (d) Insolvency Event of the Seller. The occurrence of any of: (a) default in payment of amount due and unremedied for five Business Days after Cash Manager or Servicer, as applicable, becoming aware; (b) material noncompliance with other covenants or obligations and unremedied for 20 Business Days after Cash Manager or Servicer, as applicable, becoming aware; or (c) Insolvency Event of the Cash Manager or Servicer, as applicable. Consequence of Trigger Following the occurrence of a Principal Payments Trigger Event, payments of principal on the Class A Notes, will thereafter be made pro rata and pari passu. If all of the Seller Principal Diversion Conditions are satisfied on an Interest Payment Date, Principal Receipts will be applied as Seller Principal to pay, amongst other things, Principal Deferred Consideration to the Seller until the Seller Principal Amount is equal to the Minimum Seller Principal Amount. If any of the Seller Principal Diversion Conditions cease to be satisfied on an Interest Payment Date, Principal Receipts will cease to be applied as Seller Principal and will be applied as Available Investor Principal towards redemption of the Class A3 Notes, the Class B Notes and the Class C Notes. Borrower will be notified of the sale to the Issuer and legal title to the Mortgage Portfolio will be transferred to the Issuer. Substitute Cash Manager or Servicer, as applicable, to be appointed. Status No event has occurred. Conditions not satisfied. No event has occurred. No event has occurred. Article 122a The Seller confirms that, as at the date of this report, it continues to hold the net economic interest in the securitisation as disclosed in the Prospectus, in accordance with paragraph 1(d) of Article 122a of Directive 2006/48/EC (as amended) (which does not take into account any implementing rules of the CRD in a relevant jurisdiction). The Seller retains a net economic interest of at least 5% in the form of the Seller Principal Amount. Page 7 of 9

8 Cashflows Revenue receipts and principal receipts are allocated in accordance with the 'Cashflows' section of the Prospectus. Briefly, revenue receipts are allocated on a prorata basis to the Investor Principal Amount and the Seller Principal Amount based upon the Investor Percentage and Seller Percentage and principal receipts are allocated to the Investor Principal Amount when the Investor Percentage is greater than zero and the Seller Principal Diversion Conditions are not satisfied. If all of the Seller Principal Diversion Conditions are satisfied on an Interest Payment Date, Principal Receipts will be applied as Seller Principal to pay, amongst other things, Principal Deferred Consideration to the Seller until the Seller Principal Amount is equal to the Minimum Seller Principal Amount. Waterfall Summary 11 Sep 2012 Net Revenue Principal Receipts received by Issuer 10,311, ,992, ,303, Investor Revenue Seller Revenue Available Investor Revenue 8,993, ,317, ,311, Seller Principal Available Investor Principal Investor Revenue prior to Stepup Date Seller % Senior Expenses Interest on the Issuer Accounts Amounts received under Basis Swap Agreement Other net income, incl payment Capitalised Interest plus if a Revenue Shortfall occurs: General Reserve drawings Available Investor or Seller Principal as applicable Liquidity Reserve drawings Distribution 8,993, , , ,664 9,303, Principal Receipts received by the Issuer Released from Liquidity Reserve Fund Available Investor Revenue applied to PDL 61,992, , ,076, Trustee and Agent fees Cash Manager fee Servicer fee Other senior fees Amounts due to the Basis Swap Provider Interest due on Class A1a Notes Interest due on Class A1b Notes Interest due on Class A2 Notes Interest due on Class A3 Notes Interest due on Class B Notes Interest due on Class C Notes CR to Class C Principal Deficiency SubLedger CR to General Reserve Fund to required amount Issuer Profit Amount Subordinated Loan Revenue Deferred Consideration to the Seller To fund any Revenue Shortfall 55, CR Liquidity Reserve Fund to required amount 125, Towards redeeming Class A1a Notes 17,653, Towards redeeming Class A1b Notes 44,422, ,164, Towards redeeming Class A2 Notes 451, Towards redeeming Class A3 Notes 1,308, Towards redeeming Class B Notes 1,370, Towards redeeming Class C Notes 1,427, To be applied as Available Investor Revenue 2, , , , ,098, ,303, ,076, Page 8 of 9

9 Key Counterparties Issuer Seller Servicer Cash Manager Account Bank Trustee Agent Bank & Principal Paying Agent Australian Calculation Agent & Paying Agent Basis Swap Provider A1a Currency Swap Provider A1b Currency Swap Provider Headingley RMBS plc The Bank of New York Mellon, acting through its Australian branch The Bank of New York Mellon, acting through its London branch BTA Institutional Services Australia Limited National Australia Bank Limited The Royal Glossary Capitalised arrears Constant Default Rate Constant Prepayment Rate Current LTV Indexed Valuation Defaulted Loan Excess Spread s in arrears Mortgage Account Original LTV Outstanding Principal Payment Rate Region Seasoning Type of Loan Arrears of interest may be capitalised with the agreement of the borrower once a borrower has made six consecutive scheduled payments of at least the contractual amount. The Constant Default Rate (CDR) is a percentage rate reflecting the amount that Defaulted Loans represent of the original Portfolio. CDR is calculated by dividing the aggregate outstanding on the closing date of the Defaulted Loans into the aggregate outstanding of the Portfolio on the closing date. The Constant Prepayment Rate (CPR) is an annualised percentage reflecting the amount of principal prepaid in excess of scheduled principal receipts. CPR is currently unavailable. Current LTV is calculated using the latest Indexed Valuation held in the Seller's records. Indexation is applied quarterly in January, April, July and October to property valuations using the Halifax House Price Index. A loan is defined as being in default when the property relating to that loan has been taken into possession. Excess Spread (%) is calculated by dividing the annual equivalent of the sum of the remaining Available Investor Revenue after payment of interest on the Class C Notes into the principal amount outstanding of the notes at the start of the last completed Interest Period. The number of months in arrears based on the most recent payments due. It is not the amount of arrears divided by the current payment due. The arrears table on page 1 includes repossessions. A mortgage account consists of one or more loans secured, by way of equal ranking first charge, on the same property and thereby forming a single mortgage account. LTV at origination has been calculated using the valuation, where this is still held in the Seller's records, at origination of the initial loan in a mortgage account, or where this is not held in the Seller's records, the latest valuation. Any fees added to the initial loan at origination have been excluded from the calculation. The aggregate of the loans including (without double counting) the initial advance, any further advance, any flexible loan drawing, capitalised expenses, capitalised arrears and capitalised interest less any prepayments, repayments or payments of the foregoing prior to the relevant date, plus accrued interest on the loans as at the relevant date. ly PPR reflects the aggregate of scheduled and unscheduled principal receipts, including the proceeds from any loan repurchases by the Seller. Reported regions are NUTS1 classifications. NUTS is Nomenclature of Units for Territorial Statistics. Seasoning is reported on an aggregated basis for each mortgage account. It is calculated using the origination date of the original loan in the mortgage account and ignores any subsequent loans in the mortgage account. The 'Type of loan' and 'Distribution of fixed rate loans' tables have been prepared on the basis of the type of loan applicable to each mortgage account's primary product holding. In addition to the primary product holding, a mortgage account may have other active product holdings which may or may not be the same type as the primary product holding. Page 9 of 9

Permanent Master Trust Monthly Investor Report

Permanent Master Trust Monthly Investor Report Reporting Date 15 Feb 2016 Reporting Period 1 Jan 2016 to 31 Jan 2016 Next Funding 2 Interest Payment Date 15 Apr 2016 Funding 2 Interest Period 15 Jan 2016 to 15 Apr 2016 Contact Details Name Telephone