Permanent Master Trust Monthly Investor Report. Securitisation - Lloyds Banking Group plc

Transcription

1 Reporting Date 17 Jul 2017 Reporting Period 1 Jun 2017 to 30 Jun 2017 ext Funding 2 Interest Payment Date 17 Jul 2017 Funding 2 Interest Period Contact Details ame Telephone Mailing Address Tracey Hill +44 (0) traceyhill@halifax.co.uk LP/4/2/SEC, 1 Lovell Park Road Dean Fawcett +44 (0) DeanFawcett@Halifax.co.uk Leeds LS1 1S Investor reports, prospectus and access to key transaction documents and loan level data may be obtained at Securitisation Lloyds Banking Group plc Mortgages Trust Summary Outstanding start period Outstanding end period 12,211,465, at start of period at end of period 178,639 Funding 2 Issuer otes outstanding (GBP) 5,389,837, Funding 1 Issuer otes outstanding (GBP) plus Funding 2 Z Loans outstanding 231,500, plus Funding 1 Z Loans outstanding less Cash Accumulation Ledger balance less Cash Accumulation Ledger balance less Funding 2 Principal Ledger balance less Funding 1 Principal Ledger balance less Principal Deficiency Ledger balance less Principal Deficiency Ledger balance Funding 2 Share 5,491,593, Funding 1 Share Funding 2 Share % % Funding 1 Share % 0% Seller Share Seller Share % Minimum Seller Share Minimum Seller Share % Highest Minimum Seller Share subcomponent 6,527,884, % 600,973, % i(b) EU Risk Retention Other Mortgages Trust assets: 100 cash at bank Mortgages Trust Portfolio Details Arrears & Possessions Months in arrears Current < 1 month 1 < 2 months 2 < 3 months 3 < 6 months 6 < 9 months 9 < 12 months >= 12 months % of Aggregate amount of Arrears 11,834,077, % 648, ,755, % 1,100, ,213, % 615, ,432, % 270, ,635, umber of accounts 174,154 1, % of 98.76% 0.88% 0.27% 0.08% 10 Properties in possession Brought forward Repossessed Sold and loss incurred Sold and no loss incurred Relinquished to borrower Loan repurchased Carried forward Cumulative % of % of umbers 6,461 4,263 1, Average days from possession to sale (this period) 0 Asset Yield Yield Halifax Variable Rate 1 Halifax Homeowner Variable Rate PreFunding Swap yield PostFunding Swap yield (over 3m LIBOR) Minimum Trust Property Yield Margin % 3.74% 3.74% % % 1.50% Loan Repurchases Reason Further Advance and/or Product Switch Arrears >3 months Breach of Loan Warranty Principal proceeds 16,103, ,975, , ,108, umber of accounts Loans Added Balance of accounts umber of accounts Principal Payment Rate Monthly 1month 3month 12month Month PPR annualised average average Jun % 17.36% 17.10% 17.52% May % 18.01% 17.17% 17.53% Apr % 15.91% 16.93% 17.47% Page 1 of 11

2 Range of LTV ratios at origination % of % of 0% <25% 25% <50% 50% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <100% 157,246, ,189,090, ,343,236, ,342,238, ,311, ,425,120, ,593,612, ,622, % 9.89% 36.13% 11.17% 8.11% 11.86% 13.26% 8.27% 6,999 30,700 61,867 14,843 11,400 16,073 19,157 15, % 17.41% 35.09% 8.42% 6.47% 9.12% 10.86% 8.67% Maximum Original LTV >=100% Minimum Original LTV Weighted average Original LTV 97.00% 0.17% 73.46% Range of LTV ratios at end of reporting period % of % of 0% <25% 25% <50% 50% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <100% 2,235,045, ,204,563, ,843,853, ,211, ,483, ,101, ,152, ,568, % 43.30% 31.98% 2.44% 1.67% 9% 0.58% 0.23% 77,774 59,661 33,404 2,294 1, % 33.83% 18.94% 1.30% 0.81% 0.54% 0.29% 0.11% Maximum Current LTV >=100% 13,498, % % Minimum Current LTV Weighted average Current LTV % 15.49% 43.91% 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, ,558, ,466,542, ,859,506, ,708,303,337 1,421,958, ,159,126, ,224, ,734, ,997, ,065, ,339, ,570, ,440, ,976, ,276, % 12.20% 15.47% 14.21% 11.83% 9.64% 7.49% 5.56% 4.18% 3.26% 2.44% 1.88% 2.67% 1.89% 1.43% 48,290 39,579 30,145 19,740 12,728 8,476 5,582 3,587 2,378 1,657 1, % 22.45% 17.10% 11.19% 7.22% 4.81% 3.17% 2.03% 1.35% 0.94% 0.64% 0.45% 0.57% 0.35% 0.23% Maximum current balance 450,000 <500, ,859, % % Minimum current balance >=500,000 Average current balance Weighted average current balance 499, , , , Region East of England East Midlands London orth East orth West Scotland South East South West Wales West Midlands Yorkshire and The Humber Unknown % of 1,094,848, % 738,793, % 2,157,573, % 478,415, % 1,172,581, % 1,168,267, % 1,782,605, % 855,499, % 442,044, % 1,040,074, % 1,086,645, % 2,128, % 10 13,613 12,747 19,347 9,600 21,944 21,722 19,481 11,304 8,058 17,390 21, % of 7.72% 7.23% 10.97% 5.44% 12.44% 12.32% 15% 6.41% 4.57% 9.86% 11.96% 0.02% 10 Property type Detached house Semidetached house Terraced house House: det type unknown 1 Flat or maisonette Bungalow Unknown 2,912,082, ,514,679, ,509,289, ,677, ,647,624, ,958, ,165, % of 24.23% 29.24% 29.20% 0.21% 13.71% 3.39% 0.02% 10 30,972 57,084 60, ,675 5, % of 17.56% 32.37% 34.13% 0.19% 12.86% 2.85% 0.05% 10

3 Seasoning in months % of % of 12 <24 24 <36 36 <48 48 <60 60 <72 72 <84 84 <96 96 < < ,037, ,197, ,043,088, ,156,142, % 6.44% 17.00% 9.62% 2,290 9,857 20,504 10, % 5.59% 11.63% 5.90% Maximum seasoning >=120 7,875,012, % 133, % Minimum seasoning Weighted average seasoning Years to maturity % of % of < 5 5 <10 10 <15 15 <20 20 <25 25 <30 1,263,313, ,617,572, ,767,233, ,619,397, ,741, , % 21.78% 39.66% 21.79% 6.25% 0.01% 33,807 49,273 58,272 26,661 8, % 27.94% 33.05% 15.12% 4.71% Maximum remaining term >=30 267, Minimum remaining term Weighted average remaining term Use of proceeds Purchase Remortgage 7,486,399, ,533,079, % of 62.29% 37.71% ,356 57,976 % of 67.12% 32.88% 10 Repayment terms Repayment Interest Only 6,121,144, ,898,334, % of 50.93% 49.07% ,864 51,468 % of 70.81% 29.19% 10 Payment method Direct debit Other 11,016,278, ,003,200, % of 91.65% 8.35% ,633 14,699 % of 91.66% 8.34% 10 Origination channel Direct Intermediary / Other 4,494,118, ,525,360, % of 37.39% 62.61% 10 83,353 92,979 % of 47.27% 52.73% 10 Type of loan Added variable rate loans Discounted variable rate loans Fixed rate loans Tracker rate loans Standard variable rate loans of which Flexible Loans 71,108, ,570, ,599,394, ,129, ,502,276, ,809, % of 0.59% 0.43% 29.95% 6.62% 62.42% % umber of accounts ,397 15, , % of 0.49% 0.30% 25.18% 8.61% 65.42% % Distribution of fixed rate loans Fixed rate % % % % % % % 2,648,908, ,858, ,315, ,410, ,870, , ,599,394, % of 73.59% 19.58% 2.93% 1.65% 2.25% 10 30,650 10,018 1, , ,397 % of 69.04% 22.56% 2.27% 2.18% 3.95% 10 Year in which current fixed rate period ends % of % of 504,471, % 6, % 1,794,321, % 21, % 938,266, % 10, % 362,334, % 5, % 3,599,394, , Page 3 of 11

4 Outstanding Issuance Series ame A A A A A4 Issue Date 1 ov 2011 Orig Rating (Fitch/Moody's/S&P) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) Curr Rating (Fitch/Moody's/S&P) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) Currency GBP USD GBP EUR GBP Issue Size Issue Size (GBP equivalent) Exchange Rate GBP 500,000,000 GBP 500,000,000 USD 400,000,000 GBP 259,487, EUR 500,000,000 GBP 370,350, GBP 1,000,000,000 GBP 1,000,000,000 Outstanding Amount 1 Pool Factor 1 Scheduled Maturity Date GBP 500,000, Jul 21 & 15 Oct 21 USD 200,000, Jul 17 & 15 Oct Jul 18 & 15 Oct 18 EUR 500,000, Jul 20 & 15 Oct 20 GBP 1,000,000, Oct 2025 Final Maturity Date Bond Structure Scheduled Am Scheduled Am Scheduled Am Scheduled Am Passthrough Placement at Origination Retained by Originator Publiclyplaced US71419GAW06 & Publiclyplaced XS & Publiclyplaced Retained by Originator ISI XS XS XS XS & XS XS Stock Exchange Listing London London London London London Reference Rate 3m GBP LIBOR 3m USD LIBOR 3m GBP LIBOR 3m EURIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period 1.95% % 0.50% % 0.60% % 0.42% % 0.75% % Funding 2 Interest Payment Date 17 Jul 2017 Expected Coupon Amount GBP 2,817, Coupon Amount Paid GBP 2,817, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall USD 1,658, USD 1,658, USD 0 USD 0 USD 200,000,000 USD 200,000,000 USD 0 USD 0 GBP 576, GBP 576, EUR 110, EUR 110, GBP 2,676, GBP 2,676, Series ame B M C A A2 Issue Date 28 ov ov 2016 Orig Rating (Fitch/Moody's/S&P) AA(sf)/ Aa2(sf)/ AA(sf) A(sf)/ A2(sf)/ A(sf) BBB(sf)/ Baa2(sf)/ BBB(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) Curr Rating (Fitch/Moody's/S&P) AA(sf)/ Aa2(sf)/ AA(sf) A(sf)/ A2(sf)/ A(sf) BBB(sf)/ Baa2(sf)/ BBB(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) AAA(sf)/ Aaa(sf)/ AAA(sf) Currency GBP GBP GBP GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate GBP 270,000,000 GBP 270,000,000 GBP 1,750,000,000 GBP 1,750,000,000 Outstanding Amount 1 Pool Factor 1 Scheduled Maturity Date Final Maturity Date Bond Structure 15 Oct 2025 Passthrough GBP 270,000, Oct 2025 Passthrough 15 Oct 2025 Passthrough 15 Jul 19 & 15 Jan Jul 2058 Scheduled Am GBP 1,750,000, Oct Jul 2058 Passthrough Placement at Origination Retained by Originator Retained by Originator Retained by Originator Publiclyplaced Retained by Originator ISI XS XS XS XS XS Stock Exchange Listing London London London London London Reference Rate 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period 1.10% % 1.50% % 1.85% % 0.40% % 0.45% % Funding 2 Interest Payment Date 17 Jul 2017 Expected Coupon Amount GBP 1,309, Coupon Amount Paid GBP 1,309, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall GBP 1,222, GBP 1,222, GBP 1,993, GBP 1,993, GBP 453, GBP 453, GBP 3,389, GBP 3,389, As at end of latest completed Interest Period and following waterfall reported on p10.

5 Credit Enhancement Permanent Master Issuer notes 1 Class Class A notes Class B notes Class M notes Class C notes notes Funding 2 Z Loan Reserve Amount (GBP equivalent) % of Support 4,250,093, % 26.63% 370,000, % 19.89% 270,000, % 14.98% 370,000, % 8.24% 5,260,093, % 231,500, % 5,491,593, ,000, % Z Loan Required Amounts Funding 2 231,500,000 Excess Spread Permanent Funding 2 Amount % 19,266, % Liquidity Support Liquidity support in relation to shortfalls of interest payable on the otes and certain principal of the otes is available in the form of the Funding 2 Liquidity Reserve Fund, which will funded upon the requisite ratings downgrade (see Rating Triggers) up to the Funding 2 Liquidity Reserve Fund Required Amount, being 3% of the outstanding otes. Ledgers Funding 1 Share / Funding 2 Share / Seller Share Ledger Date Collateral pool balance Funding 1 Share Funding 2 Share 04Jul17 5,491,593, Jun17 12,211,465, ,491,593, May17 12,414,078, ,491,593, Seller Share 6,527,884, ,719,871, ,922,484, Funding 1 Share % % % % Funding 2 Share % % % % Seller Share % % % % Losses Ledger Month Jun 2017 May 2017 Apr 2017 Losses in month Funding 1 share of losses Funding 2 share of losses Seller share of losses Cumulative losses 144,552, ,552, ,552, Funding 2 Principal Deficiency Ledger (Z Loan subledger) Month Debit Jun 2017 May 2017 Apr 2017 Credit Balance Funding 2 Reserve Ledger Month Jun 2017 May 2017 Apr 2017 Debit Credit Balance Funding 2 Reserve Required Amount Funding 2 Yield Reserve Ledger 2 Month Debit Jun 2017 May 2017 Apr ,224, Credit Balance 2 Only Funding 2 Yield Reserve otes benefit from the Funding 2 Yield Reserve. Page 5 of 11

6 Bank Accounts Balance Mortgages Trustee GIC Account Date Revenue Ledger 30 Jun ,626, May ,852, Apr ,634, Principal Ledger 192,518, ,789, ,570, Other Bank Balance 3 225,144, ,641, ,204, Including cash from assets for last day of month collected first working day of following month. Funding 2 GIC Account / Collateralised GIC Account Date Revenue Ledger Principal Ledger Cash Accumulation Ledger 30 Jun ,102, May ,846, Apr , , General Reserve Ledger Yield Reserve Ledger GIC Account Collateralised GIC Balance Account Balance 38,200, ,298, ,197, ,045, ,201, ,498, Funding 2 Transaction Account Date Retained Profit Amount 30 Jun ,255, May ,255, Apr ,255, Startup Loans Proceeds 4, , , Bank Balance 2,259, ,259, ,259, Funding 2 Authorised Investments: nil Master Issuer Capital & Transaction Accounts Date 30 Jun May Apr 2017 Issuer Profit 281, , , Capital 12, , , Aggregate Bank Balance 294, , , Funding Swaps Funding 2 Swap Provider Calculation Period 1 Jun 30 Jun May 31 May Apr 30 Apr A negative figure represents a payment by Funding 2 and a positive figure is a receipt. Funding 2 Swap otional Provider Amount Funding 2 Amount 5,491,593, ,423, ,025, ,491,572, ,793, ,582, ,621,278, ,674, ,414, Amount paid or received at end of latest completed Funding 2 Interest Period et Funding 2 Amount 4 4,602, ,789, ,740, ,131, Issuing Entity Swaps Issue & Class Currency Swap Provider A1 IG Bank V A3 IG Bank V Currency Swap Provider Amounts 5 Permanent Master Issuer GBP Amounts 5 Floating Amount Exchange Amount Floating Amount Exchange Amount USD 1,658, USD 200,000, GBP 584, GBP EUR 110, EUR GBP 1,126, GBP Issue & Class Interest Rate Swap Provider Interest Rate Swap Provider Fixed Amnts 5 Permanent Master Issuer Floating Amnts 5 5 Paid in latest waterfall, reported on p10.

7 Rating Triggers Transaction Party Seller: Funding 2 Swap Provider: Issuing Entity Swap Provider: IG Bank V Servicer: Required Ratings (Fitch / Moody's / S&P) BBB / Baa2 / BBB BBB / Baa3 / BBB F1 / / A / A3 / A F1 / / A1 A / A3 / A F3 / / BBB / Baa1 / BBB+ F1 / / A1 A / A3 / A F3 / / BBB / Baa1 / BBB+ F1 / P1 / A1 Consequence of Trigger The Seller shall prepare draft letter of notice to each borrower of the sale and purchase effected by the Mortgage Sale Agreement. The Minimum Seller Share will be recalculated as the rating agencies require; The Seller shall give notice to each borrower of the sale and purchase effected by the Mortgage Sale Agreement; Loan assignments or assignations (as appropriate) to be perfected. Establishment of the Funding 2 Liquidity Reserve Fund, unless the relevant rating agency confirms the then current ratings of the notes are not affected. Requirement to post collateral, replace the Funding 2 Swap Provider or obtain a guarantee of the Funding 2 Swap Provider's obligations or take such other action as is required to maintain the rating of the notes by the relevant rating agency. Requirement to replace the Funding 2 Swap Provider or obtain a guarantee of the Funding 2 Swap Provider's obligations or take such other action as is required to maintain the rating of the notes by the relavant rating agency (and in the interim post collateral). Requirement to post collateral, replace the Issuing Entity Swap Provider or obtain a guarantee of the Issuing Entity Swap Provider's obligations or take such other action as is required to maintain the rating of the notes by the relevant rating agency. Requirement to replace the Issuing Entity Swap Provider or obtain a guarantee of the Issuing Entity Swap Provider's obligations or take such other action as is required by the relevant rating agency to maintain the rating of the notes (and in the interim post collateral). The Servicer shall use reasonable endeavours to ensure that the title deeds are identified as distinct from the title deeds of other properties and mortgages which do not form part of the mortgage portfolio. Current Ratings (Fitch / Moody's / S&P) F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 Account Bank: F1 / P1 / A1 A / / A (or A+ if the short term rating is below A1) Requirement to close the Funding 2 Bank Accounts, with the exception of, and providing the conditions in Clause 4.8 of the Cash Management Agreement are satisfied, the Funding 2 Collateralised GIC Account, and seek a replacement account bank, unless the relevant rating agency confirms the then current ratings of the notes are not affected or a guarantee of the Account Bank's obligations is obtained. F1 / P1 / A1 Account Bank: Account Bank: F2 / P2 / A2 BBB / / BBB F1 / P1 / A1 A / / A Requirement to transfer amounts standing to the credit of the Funding 2 Collateralised GIC Account to the Funding 2 GIC Account and close the Funding 2 Collateralised GIC Account. Requirement to close the Mortgages Trustee GIC Account and seek a replacement Account Bank, unless, within 60 days a standby account is opened with a suitably rated standby account bank or the relevant rating agency confirms the then current ratings of the notes are not affected or a guarantee of the Account Bank's obligations is obtained. F1 / P1 / A1 F1 / P1 / A1 Account Bank: Issuing Entity Account Bank: BBB / / F1 / P1 / A1 A / / A (or A+ if the short term rating is below A1) Requirement to close the Mortgages Trustee GIC Account and seek a replacement Account Bank, unless the relevant rating agency confirms the then current ratings of the notes are not affected or a guarantee of the Account Bank's obligations is obtained. Requirement to close the Issuing Entity bank accounts and seek a replacement Issuing Entity Account Bank, unless the relevant rating agency confirms the then current ratings of the notes are not affected or a guarantee of the Issuing Entity Account Bank's obligations is obtained. F1 / P1 / A1 Eligible GIC Custodian: The Bank of ew York Mellon F2 / / BBB+ / / BBB The security provider shall, with the prior written approval of the secured party, revoke its appointment of the custodian by not less than 3 calendar days' notice to the custodian; provided that such revocation shall not take effect until a successor had been duly appointed in accordance with the custody agreement. F1+ / P1 / A1+ AA+ / Aa1 / AA Page 7 of 11

8 onrating Triggers onasset Trigger Events ature of Trigger Description of Trigger Consequence of onasset Trigger Event Insolvency Event An Insolvency Event in relation to the Seller Substitution of Servicer The Seller's role as Servicer is terminated and a new servicer is not appointed within 30 days Breach of Minimum Seller Share Breach of required loan balance amount The Seller share ot the trust is less than the Minimum Seller Share The outstanding of the loans comprising the trust property is less than the required amount specified in the latest Final Terms, currently zero. Mortgages Trust Available Principal Receipts will be applied first to Funding 1 and Funding 2 according to their respective shares in the trust until their shares are zero and then to the Seller Trigger occurred? Asset Trigger Events ature of Trigger Description of Trigger Consequence of onasset Trigger Event Principal deficiency Principal losses on the loans in the portfolio reach a level causing an amount to be debited to the Funding 2 AAA Principal Deficiency Subledger or the Funding 1 AAA Principal Deficiency Subledger and the debit amount will not be cleared on the next Interest Payment Date Mortgages Trust Available Principal Receipts will be applied to Funding 1, Funding 2 and the Seller according to their respective shares in the trust until the Funding 1 and Funding 2 shares in the trust are zero and then to the Seller Trigger occurred? Other Triggers ature of Trigger Description of Trigger Consequence of Trigger Loans with an arrears amount which is more than three times the monthly payment due account for more than 5% of the aggregate outstanding of the Loans in the Mortgages Trust. Mortgage Sale Agreement: Breach of these (or any other) conditions under Clause 4.2 The product of the weighted average foreclosure frequency (WAFF) and the weighted average loss severity (WALS) of the Loans exceeds the product of the WAFF and WALS of the Loans at the most recent closing date plus 0.25%. The sale of any ew Portfolio or completion of Product Switch does not result in the Fitch Portfolio Tests exceeding the most recently agreed Fitch Portfolio Test Value for each such Fitch Portfolio Test; or Where the above would not be satisfied in respect of any Fitch Portfolio Test, the sale of any ew Portfolio or completion of Product Switch does not result in the margin by which the relevant Fitch Portfolio Test is exceeded being greater than the margin by which the Portfolio exceeded the most recently agreed Fitch Portfolio Test Value prior to completion of such sale or Product Switch. Seller unable to sell new portfolio to Mortgages Trustee and requirement for the Seller to repurchase any Loans subject to a Product Switch. Trigger occurred? The yield of the Loans in the Mortgages Trust is less than three month Sterling LIBOR plus the Minimum Trust Property Yield Margin. The weighted average credit enhancement value as determined by the application of the LTV Test to the Loans exceeds the weighted average credit enhancement value as determined by the application of the LTV Test to the Loans at the most recent closing date plus 0.25%. Loans other than Fixed Rate Loans which yield, post Funding Swap, less than three month Sterling LIBOR plus 0.50% and which have more than two years remaining on their incentive period account for more than 15% of the aggregate outstanding of the Loans in the Mortgages Trust. Fixed Rate Loans which have more than one year remaining on their incentive period account for more than 50% of the aggregate outstanding of the Loans in the Mortgages Trust.

9 Cashflows Revenue receipts and principal receipts are allocated in accordance with 'The Mortgages Trust' and 'Cashflows' sections of the Base Prospectus. Briefly, on a monthly basis Mortgages Trust Revenue Receipts are allocated on a prorata basis between Funding 1, Funding 2 and the Seller based upon their respective shares in the Trust and Mortgages Trust Principal Receipts are allocated first on a prorata basis between Funding 1 and Funding 2 based upon their respective shares in the Trust and their outstanding cash accumulation requirements, until their requirements have been satisfied, and then to the Seller. On a quarterly basis, Funding 2 will distribute its receipts to the Master Issuer and in turn the issuing entity will distribute its respective receipts to the noteholders, via the paying agents and issuing entity swap providers.` Mortgages Trust Waterfall 5 Jul 2017 Mortgages Trust Revenue Receipts 32,626, Mortgages Trust Principal Receipts 192,518, Distribution Amounts due to the Servicer 501,846 Paid to Funding 1 Other amounts due 2, Paid to Funding 2 Paid to Funding 1 Paid to the Seller Paid to Funding 2 Paid to the Seller 14,465, ,656, ,626, ,518, ,518, Funding 2 Waterfall 17 Jul 2017 Funding 2 Available Revenue Receipts Funding 2 Available Principal Receipts All Mortgages Trust Revenue Receipts distributed Amounts paid by the Seller to Funding 2 Interest on the Funding 2 bank accounts Amounts received under the Funding 2 Swap Amounts standing to credit General Reserve Amounts made available from Yield Reserve Amounts made available from Liquidity Reserve Amount startup loan not required for issue costs Distribution 43,968, , , ,109, All Mortgages Trust Principal Receipts distributed Funding 2 Principal on Cash Accumulation Ledger Amounts to be credited to PDL Amounts made available from General Reserve Amounts made available from Liquidity Reserve Any other amount on Funding 2 Principal Ledger 129,718, , Trustee and Agent fees Amounts due to the Master Issuer Other senior fees Amounts due to the Cash Manager Amounts due to the Corporate Services Provider Amounts payable under the Funding 2 Swap Interest on AAA nonyield Reserve Loan Tranches Towards Yield Reserve Primary Loan Interest Amt Interest on AA nonyield Reserve Loan Tranches Towards Yield Reserve Primary Loan Interest Amt Interest on A nonyield Reserve Loan Tranches Towards Yield Reserve Primary Loan Interest Amt Interest on BBB nonyield Reserve Loan Tranches Towards Yield Reserve Primary Loan Interest Amt CR to General Reserve Fund to required amount Towards a credit to the Z Loan PDL Interest on Z Loans Other amounts due to Master Issuer Payment to Funding 2 in respect of profit Amounts due under the Startup Loans Deferred Consideration to the Seller 383, , ,131, ,131, ,028, , , , , , , ,533, ,109, Towards replenishment General Reserve CR Liquidity Reserve Fund to required amount Towards redeeming AAA Loan Tranches Towards redeeming AA Loan Tranches Towards redeeming A Loan Tranches Towards redeeming BBB Loan Tranches CR Cash Accumulation Ledger CR Funding 2 Principal Ledger Page 9 of 11

10 Master Issuer Waterfall 17 Jul 2017 Master Issuer Revenue Receipts Master Issuer Principal Receipts Interest received in respect of Loan Tranches Fees received under Master Intercompany Loan Interest on the Master Issuer bank accounts Any other net income Distribution 16,151, , ,536, Principal repaid by Funding 2 per Master ICL Trustee and Agent fees Other senior fees Amounts due to the Cash Manager Amounts due to the Corporate Services Provider Amounts due to swap providers re Class A otes Interest due on Class A otes Amounts due to swap providers re Class B otes Interest due on Class B otes Amounts due to swap providers re Class M otes Interest due on Class M otes Amounts due to swap providers re Class C otes Interest due on Class C otes Balance to the Master Issuer 22, Amounts due to swap providers re Class A otes 17, Principal due on Class A otes 332, Amounts due to swap providers re Class B otes 11, Principal due on Class B otes 1,711, Amounts due to swap providers re Class M otes 9,914, Principal due on Class M otes Amounts due to swap providers re Class C otes 1,309, Principal due on Class C otes 1,222, ,993, , ,536,466.90

11 Key Counterparties Issuing Entities Permanent Master Issuer plc (Master Issuer), Mortgages Trustee Permanent Mortgages Trustee Limited Depositors Permanent Funding (o. 1) Limited (Funding 1), Permanent Funding (o. 2) Limited (Funding 2) Seller Servicer Cash Manager Account Bank Issuing Entity Account Bank Security & ote Trustee The Bank of ew York Mellon Agent Bank & Paying Agent(s) Citibank,.A. Funding 2 Swap Provider Issuing Entity Swap Provider(s) IG Bank V Glossary Capitalised arrears Constant Prepayment Rate Current LTV Indexed Valuation Defaulted Loan Excess Spread Months in arrears Mortgage Account Original LTV Outstanding Principal Payment Rate Region Scheduled Maturity Date 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 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 remaining Available Revenue Receipts after crediting the General Reserve Fund into the weighted average principal amount outstanding of the notes during the Interest Period. 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 at origination of the initial loan in a mortgage account, where this is still held in the Seller's records. Where this original valuation is no longer held, the latest valuation has been used in the calculation. 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. Monthly PPR reflects the aggregate of scheduled and unscheduled principal receipts, including the proceeds from any loan repurchases by the Seller. It should be noted that in reports prior to ovember 2011, this was labelled CPR. Reported regions are UTS1 classifications. UTS is omenclature of Units for Territorial Statistics. The date or dates when principal is scheduled to be repaid on bullet and scheduled amortisation notes and from when principal becomes payable on passthrough notes. 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 accounts 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. Risk Retention The seller confirms that, if it sells one or more new loans and their related security to the mortgages trustee on or after 1 January 2015, then the seller, in its capacity as originator, (i) on or immediately following the relevant sale date, will retain on an ongoing basis a material net economic interest in the securitisation of not less than 5 per cent. in accordance with the text of each of Article 405(1) of Regulation (EU) o 575/2013 (the Capital Requirements Regulation), and Article 51(1) of Regulation (EU) o 231/2013 (the AIFM Regulation) and Article 254 of Regulation (EU) o 2015/35 (the Solvency II Regulation) (which, in each case, does not take into account any relevant national measures) and (ii) will disclose via an RS announcement (or in such other manner as the seller may determine) such retained interest and the manner in which it is held as contemplated by the relevant rules, provided that the seller would only be required to do so to the extent that the retention and disclosure requirements under the relevant rules remain in effect at the time of the relevant sale date. Any change to the manner in which such interest is held will be notified to noteholders. Page 11 of 11