Penarth Master Issuer plc - Monthly Report December 2016 Combined Series Report For IPD Ending: 18 January 2017

Transcription

1 Combined Series Report For IPD Ending: 18 January 2017 Reporting Date 17 January 2017 Reporting Period 01 December December 2016 Interest Payment Date 18 January 2017 Contact Details Name Telephone Address Sarah Jackson st Floor Alexander House, Pier Head Street, Cardiff Bay, CF10 4PB Chris Morteo st Floor Alexander House, Pier Head Street, Cardiff Bay, CF10 4PB Stephen Davies st Floor Alexander House, Pier Head Street, Cardiff Bay, CF10 4PB Key Parties Name Receivables Trustee Depositors Transferor Material Originator Servicer Cash Manager Account Bank Issuer Issuing Entity Issuer Corporate Servicers Provider Security Trustee Note Trustee Principal Paying Agent Paying Agent Agent Bank Calculation Agent Registrar Exchange Agent US Paying Agent Arranger & Dealer Swap provider Role Penarth Receivables Trustee Ltd Penarth Funding 1 Ltd Penarth Master Issuer plc Penarth Funding 1 Ltd Structured Finance Management Wells Fargo Bank, N.A. Credit Card Trust Portfolio Data Trust Receivables BOP Principal Receivables 7,688,596, Principal Collections - 1,676,199, Customer New Advances & Adjustments 1,610,476, New Principal Additions 0.00 Removals - breach of warranty 0.00 Charge Offs - 12,931, EOP Principal Receivables 7,609,942, BOP Receivables % Share Minimum Requirement Investor Share 5,470,289, % Sellers Share 2,218,307, % 6% Principal Receivables 7,688,596, % confirms that it continues to retain a material net economic interest of not less than 5 per cent in accordance with Article 405 of Regulation 575/2013. At the date of this report, retains a material net economic interest in the form of the transferor interest in the securitised exposures (Article 405 paragraph 1 (b)). The current transferor interest is disclosed in the relevant section of this report. Principal Payment Rate 21.80% The Payment Rate numerator excludes non-cash collections Monthly Payment Rate 22.35% Includes Principal and Finance Charges Investor Yield and Expense Rate Gross Yield Rate 19.33% Less Charge off Rate 1.99% Portfolio Yield (net of charge offs) 17.34% Less Expense Rate 1.83% Excess Available Funds Percentage 15.51% Delinquent Principal Receivables EOP Principal Receivables % of Total Principal Receivables days delinquent 23,558, % 10, % days delinquent 18,197, % 6, % days delinquent 12,502, % 4, % days delinquent 7,118, % 3, % days delinquent 6,009, % 2, % 180+ days delinquent 4,104, % 2, % Non-Delinquent 7,538,451, % 6,874, % Total 7,609,942, % 6,904, %

2 Credit Card Trust Portfolio Data Unaudited Stratification Tables as at 31 December 2016 Composition by Account Credit - 29,209, % 648, % No % 2,093, % , ,590,540, % 3,726, % 5, , ,429,607, % 354, % 10, , ,232, % 77, % 15, , ,860, % 2, % 20, or more 7,911, % % Composition by Credit Limit Less than 5, ,346,075, % 3,892, % 5, , ,141,775, % 2,116, % 10, , ,379,275, % 862, % 15, , ,706, % 28, % 20, or more 17,110, % 2, % Composition by Account Age Not More Than 6 Months 65,281, % 45, % Over 6 Months to 12 Months 438,888, % 245, % Over 12 Months to 24 Months 980,348, % 677, % Over 24 Months to 36 Months 668,247, % 653, % Over 36 Months to 48 Months 480,643, % 561, % Over 48 Months to 60 Months 392,843, % 414, % Over 60 Months to 72 Months 385,514, % 431, % Over 72 Months 4,568,175, % 3,873, % Geographic Distribution East Anglia 977,995, % 809, % London 580,984, % 463, % Midlands 960,985, % 889, % North East England 978,130, % 889, % North West England 901,019, % 800, % Scotland 709,747, % 639, % South Central England 894,248, % 721, % South East England 829,160, % 650, % South West England 733,201, % 677, % Wales 334,724, % 291, % Other 79,746, % 70, %

3 Waterfall Revenue Waterfall Trust Finance Charge Collections 125,825, Sellers Share 36,284, Investor Share 89,540, Funding 1 Finance Charge Collections 58,939, Interchange 3,853, Recoveries 26,684, Investment proceeds 63, Principal Funding Account Interest 0.00 Interest and earnings accrued on Accumulation Reserve 0.00 Accumulation reserve Draw Amount 0.00 Total LNI Available Funds 89,540, Application of Funds: Senior Cost Items 14, Monthly Distribution Amount 3,826, Servicer Payment 4,529, Aggregate Investor Default Amount 9,200, Excess Available Funds 71,968, Expenses Loan 0.00 Accumulation reserve funding 0.00 Junior Costs 2, Excess Spread 71,966, Principal Waterfall Trust Principal Collections 1,676,199, Distributed to Funding Funding 1 Principal Collections 0.00 Investor Defaults transferred from LNI Available Funds 9,200, Total LNI Available Principal Amounts 9,200, Application of Funds: Senior costs shortfall 0.00 Monthly distribution shortfall 0.00 Servicer payment shortfall 0.00 Expenses loan shortfall 0.00 Accumulated principal deposited to Principal Funding Account 0.00 Principal payments 0.00 Targeted pre-funding amounts deposited to Principal Funding A/c 0.00 Loss make Up (Investor Defaults) transferred to Investment A/c 9,200, Total 9,200,340.31

4 Notes in Issue as at 31 December 2016 Series Name Class A: Series A2 Class A: Series A2 Class A: Series A1 Class A: Series A1 Issue Date 21 November April October March 2015 ISIN XS XS XS XS XS XS US70659PAF80 Stock Exchange Listing LSE LSE LSE LSE Original Rating* Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Current Rating* Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Currency GBP GBP GBP USD Issue Size 1,300,000, ,000, ,000,000 $750,000,000 Issue Size (GBP Equivalent) 1,300,000, ,000, ,000, ,141,180 Outstanding Amount (GBP) 1,300,000, ,000, ,000, ,141,180 Nominal Liquidation Amount (GBP) 1,300,000, ,000, ,000, ,141,180 Scheduled Redemption Date 18 November March October March 2017 Final Maturity Date 18 November March October March 2019 Reference Rate 1 month LIBOR 1 month LIBOR 1 month LIBOR 1 month USD LIBOR Current Reference Rate % % % % Margin 0.45% 0.50% 0.37% 0.40% Expected Interest Amount** 760, , , , Interest Amount Paid** 760, , , , Interest paid in currency of Note n/a n/a n/a $710, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment** Principal Amount Paid** Principal Shortfall Cumulative Principal Shortfall Series Name Class A: Series A2 Class A: Series A1 Class A: Series A2 Class A: Series A1 Issue Date 31 March June June April 2016 ISIN XS XS XS XS US70659PAG63 XS XS US70659PAH47 Stock Exchange Listing LSE LSE LSE LSE Original Rating* Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Current Rating* Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Aaa/AAA/AAA Currency GBP USD GBP USD Issue Size 500,000,000 $600,000, ,000,000 $500,000,000 Issue Size (GBP Equivalent) 500,000, ,000, ,000, ,148,254 Outstanding Amount (GBP) 500,000, ,000, ,000, ,148,254 Nominal Liquidation Amount (GBP) 500,000, ,000, ,000, ,148,254 Scheduled Redemption Date 18 March May May March 2018 Final Maturity Date 18 March May May March 2020 Reference Rate 1 month LIBOR 1 month USD LIBOR 1 month LIBOR 1 month USD LIBOR Current Reference Rate % % % % Margin 0.50% 0.40% 0.50% 0.50% Expected Interest Amount** 313, , , , Interest Amount Paid** 313, , , , Interest paid in currency of Note n/a $568, n/a $577, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment** Principal Amount Paid** Principal Shortfall Cumulative Principal Shortfall Series Name Class B: Series B1 Class C: Series C1 Class D: Series D1 Issue Date 20 October October October 2014 ISIN XS XS XS Stock Exchange Listing LSE LSE LSE Original Rating* Aa3/A+/A Baa1/A-/BBB+ n/a Current Rating* Aa3/AA-/A Baa1/A/BBB+ n/a Currency GBP GBP GBP Issue Size 600,000, ,000, ,000,000 Issue Size (GBP Equivalent) 600,000, ,000, ,000,000 Outstanding Amount (GBP) 600,000, ,000, ,000,000 Nominal Liquidation Amount (GBP) 600,000, ,000, ,000,000 Scheduled Redemption Date 18 October October October 2021 Final Maturity Date 18 October October October 2023 Reference Rate 1 month LIBOR 1 month LIBOR 1 month LIBOR Current Reference Rate % % % Margin 0.70% 1.00% 1.50% Expected Interest Amount** 474, , , Interest Amount Paid** 474, , , Interest paid in currency of Note n/a n/a n/a Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment** Principal Amount Paid** Principal Shortfall Cumulative Principal Shortfall * Rating - Moody's/S&P/Fitch ** Includes payment up to interest payment date.

5 Issuing Entity Swaps Payments to Swap Provider Payments to Investor Issue & Class Currency Swap Provider Principal Interest Principal Interest Class A: Series A1 Wells Fargo Bank, N.A , $0.00 $710, Class A: Series A1 Wells Fargo Bank, N.A , $0.00 $568, Class A: Series A1 Wells Fargo Bank, N.A , $0.00 $577, Credit Enhancement Nominal Liquidation Amount % of Total Actual Credit Enhancement Required Credit Enhancement* Class A Notes 4,250,289, % 22.3% 17.5% Class B Notes 600,000, % 11.3% 9.0% Class C Notes 120,000, % 9.1% 7.0% Class D Notes 500,000, % Total notes 5,470,289, % Swaps and Credit Enhancement * Credit enhancement represents subordinated notes as a proportion of total notes in issue. Required credit enhancement is currently 17.5% for the A2, A2 and A1 notes, 17.0% for the A1 and A2 notes and A1 and A2 notes and 15.5% for the A1 notes. All Class A notes will benefit from the highest then outstanding requirement, currently 17.5% credit enhancement until the A2 notes are redeemed - which is expected in March The numbers stated above are exclusive of any Required Series Cash Reserve Account Amount (typically 3.77% of the Nominal Liquidation Amount of the Related Loan Note where the Originator Rating Trigger is not satisfied and 0% where it is satisfied) (see [Reserve and Step-Up Triggers] section below). Excess Available Funds Percentage Current Month 15.51% 1 Month Previous 10.47% 2 Month Previous 12.05% 3 Month Average 12.67% Excess Available Funds - 3 Month Average Trigger 0% Reserves Accumulation Reserve Accumulation Reserve - Required Amount Accumulation Reserve - Actual Amount 20,230,677 20,230,677 Series Cash Reserve Series Cash Reserve - Required Amount 0.00 Series Cash Reserve - Actual Amount 0.00 Provides liquidity support in relation to shortfalls of interest payable on certain Class A series. A Cash Reserve Fund will be funded upon the requisite ratings downgrade, (see Ratings Triggers). Rating Triggers Ratings and Triggers Transaction Party Name Required Rating (Moody's/S&P/Fitch) Swap provider Wells Fargo Bank, N.A. Short Term: P-1/A-1/F1 Long Term: A2/A/A Account Bank Short Term: P-1 / A-1 / F1 Long Term: A2/ n/a / A Account Bank Short Term: P-1 / A-1 / F1 Long Term: A2/ n/a / A Current Rating (Moody's/S&P/Fitch) Short term: P-1/A-1+/F1+ Long term: Aa1/AA-/AA Short term: P-1/A-1/F1 Short term: P-1/A-1/F1 Requirement to post collateral or transfer rights and obligations to a replacement swap provider or obtain a guarantee from a guarantor that satisfies the minimum rating. Within 30 days from the downgrade below the minimum rating open substitute accounts at a suitable Qualified Institution and transfer all funds standing to the credit of the accounts to the substitute accounts. Within 30 days from the downgrade below the minimum rating open substitute accounts at a suitable Qualified Institution and transfer all funds standing to the credit of the accounts to the substitute accounts. Transferor Long Term: Baa2,BBB+,BBB+ Short term: P-1/A-1/F1 Material Originator Long Term: Baa2,BBB+,BBB+ Short term: P-1/A-1/F1 Rapid amortisation of notes, principal and interest paid monthly and all series of notes become pass through. Rapid amortisation of notes, principal and interest paid monthly and all series of notes become pass through. Non Rating Triggers Trigger Type Trigger Event Level Breached Non Asset Trigger Breach of minimum sellers share < 6% No Non Asset Trigger Insolvency event n/a No Non Asset Trigger Servicer default n/a No Regulated amortisation of notes, principal is accumulated as defined in the final terms. Rapid amortisation of notes Termination of Servicer and appointment of Successor Servicer Asset Trigger Breach of excess available funds percentage 3 month average less than or equal to 0% No Regulated amortisation of notes, principal is accumulated as defined in the final terms. Reserve & Step Up Triggers Test Level Breached Reserve Fund Trigger Short term P1, long term A2 No ( credit rating) (Moody's); Short term A2 (S&P) Step Up Trigger Any notes not paid on step up date No Requirement to increase the series cash reserve account to the specified targeted amount for certain class A notes. Step up premium applies to future interest payments on certain Class A notes. Ratings values taken at 31 December 2016