Permanent Master Trust Monthly Investor Report

Transcription

1 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 Mailing Address Tracey Hill +44 (0) traceyhill@halifax.co.uk LP/4/2/SEC, 1 Lovell Park Road Helen Conway +44 (0) helen.conway@lloydsbanking.com Leeds LS1 1NS Investor reports, prospectus and access to key transaction documents and loan level data may be obtained at Mortgages Trust Summary Outstanding principal balance start period Outstanding principal balance end period 16,006,645, ,804,194, Number of accounts at start of period Number of accounts at end of period 222, ,099 Funding 2 Issuer Notes outstanding (GBP) 6,135,869, Funding 1 Issuer Notes outstanding (GBP) plus Funding 2 Z Loans outstanding 160,000, plus Funding 1 Z Loans outstanding less Cash Accumulation Ledger balance 496,032, 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 5,799,837, Funding 1 Share Funding 2 Share % % Funding 1 Share % 0% Seller Share Seller Share % Minimum Seller Share Minimum Seller Share % 10,004,356, % 330,170, % 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 principal balance 15,434,996, ,430, ,310, ,401, , ,804,194, % of Aggregate amount of Arrears 97.66% 1,238, % 2,037, % 1,210, % 397, , ,898, Number of accounts 216,131 2, ,099 % of 98.20% 1.29% 0.41% 0.10% 10 Properties in possession Brought forward Repossessed Sold and loss incurred Sold and no loss incurred Relinquished to borrower Loan repurchased Carried forward principal balance 43, , % of Number of accounts % of 1 1 Cumulative Numbers 6,456 4,260 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 % 3.99% 3.99% % % Loan Repurchases Reason Further Advance and/or Product Switch Arrears >3 months Breach of Loan Warranty Number of Principal proceeds accounts 12,464, ,246, , ,831, Loans Added Balance of accounts Number of accounts Principal Payment Rate Monthly 1month 3month 12month Month PPR annualised average average Jan % 14.29% 16.80% 17.24% Dec % 17.66% 19.94% 19.14% Nov % 18.45% 20.50% 19.07% Page 1 of 13

2 Range of LTV ratios at origination principal balance % of Number of accounts % of 0% <25% 25% <50% 50% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <100% 225,658, ,638,099, ,657,711, ,734,747, ,297,896, ,891,434, ,080,135, ,278,510, % 10.36% 35.80% 10.98% 8.21% 11.97% 13.16% 8.09% 9,692 39,829 76,209 18,257 14,278 20,041 23,461 18, % 18.10% 34.62% 8.29% 6.49% 9.11% 10.66% 8.33% Maximum Original LTV >=100% Minimum Original LTV 15,804,194, , Weighted average Original LTV 97.00% 0.17% 73.17% Range of LTV ratios at end of reporting period principal balance % of Number of accounts % of 0% <25% 25% <50% 50% <75% 75% <80% 80% <85% 85% <90% 90% <95% 95% <100% 2,336,272, ,816,209, ,015,687, ,099, ,833, ,858, ,153, ,705, % 36.80% 38.06% 3.75% 2.70% 1.78% 1.11% 0.68% 84,601 70,464 52,410 4,827 3,303 2,078 1, % 32.01% 23.81% 2.19% 0.94% 0.57% 0.35% Maximum Current LTV >=100% 51,374, % % Minimum Current LTV 15,804,194, , Weighted average Current LTV % 26.61% 48.63% Range of outstanding balances at end of period principal balance % of Number of accounts % 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, ,893, ,770,705, ,353,697, ,305,886, ,966,555, ,598,613, ,240,459, ,656, ,620, ,673, ,767, ,599, ,243, ,348, ,309, % 11.20% 14.89% 14.59% 12.44% 10.12% 7.85% 5.80% 4.34% 3.26% 2.45% 1.84% 2.70% 1.93% 1.36% 54,861 47,793 38,043 26,620 17,603 11,696 7,688 4,916 3,246 2,174 1,481 1,012 1, % 21.71% 17.28% 12.09% 8.00% 5.31% 3.49% 2.23% 1.47% 0.99% 0.67% 0.46% 0.60% 0.37% 0.23% Maximum current balance 450,000 <500, ,164, % % Minimum current balance >=500,000 Average current balance 15,804,194, , Weighted average current balance 498, , , , Region East of England East Midlands London North East North West Scotland South East South West Wales West Midlands Yorkshire and The Humber Unknown principal balance % of 1,462,766, % 985,249, % 2,777,233, % 620,722, % 1,538,744, % 1,548,056, % 2,366,864, % 1,143,948, % 571,704, % 1,356,586, % 1,429,273, % 3,044, % 15,804,194, Number of accounts 17,287 15,993 23,865 11,827 27,226 27,235 24,712 14,464 9,906 21,361 26, ,099 % of 7.85% 7.27% 10.84% 5.37% 12.37% 12.37% 11.23% 6.57% 4.50% 9.71% 11.89% 0.02% 10 Property type Detached house Semidetached house Terraced house House: det type unknown 1 Flat or maisonette Bungalow Unknown principal balance 3,861,656, ,601,364, ,589,720, ,826, ,176,201, ,637, ,786, ,804,194, % of 24.43% 29.11% 29.04% 0.22% 13.77% 3.40% 0.02% 10 Number of accounts % of 39, % 71, % 73, % % 28, % 6, % % 220, Page 2 of 13

3 Seasoning in months principal balance % of Number of accounts % of 12 <24 24 <36 36 <48 48 <60 60 <72 72 <84 84 <96 96 < < ,528, ,412,586, ,311,405, ,990,772, ,093,538, % 8.94% 14.63% 18.92% 13.25% 5,292 16,162 20,873 27,361 24, % 7.34% 9.48% 12.43% 19% Maximum seasoning >=120 6,559,362, , % Minimum seasoning 15,804,194, , Weighted average seasoning Years to maturity principal balance % of Number of accounts % of < 5 5 <10 10 <15 15 <20 20 <25 25 <30 1,396,839, ,879,484, ,586,223, ,388,658,075 1,552,273, , % 18.22% 35.35% 27.77% 9.82% 37,077 54,198 70,988 41,662 16, % 24.62% 32.25% 18.93% 7.34% Maximum remaining term >=30 102, Minimum remaining term 15,804,194, , Weighted average remaining term Use of proceeds Purchase Remortgage principal balance 9,916,155, ,888,039, ,804,194, % of 62.74% 37.26% 10 Number of accounts % of 147, % 72, % 220, Repayment terms Repayment Interest Only principal balance 8,334,208, ,469,985, ,804,194, % of 52.73% 47.27% 10 Number of accounts 154,884 65, ,099 % of 70.37% 29.63% 10 Payment method Direct debit Other principal balance % of 14,483,946, % 1,320,248, % 15,804,194, Number of accounts 201,845 18, ,099 % of 91.71% 8.29% 10 Origination channel Direct Intermediary / Other principal balance % of Number of accounts % of 6,050,112, % 105, % 9,754,082, % 114, % 15,804,194, , 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 Number of principal balance % of accounts % of 86,215, % 1, % 70,053, % % 4,286,929, % 50, % 1,060,803, % 19, % 10,300,193, % 148, % 15,804,194, , ,203, % % Distribution of fixed rate loans Fixed rate % % % % % % % principal balance 2,885,537, ,469, ,808, ,396, ,481, , ,286,929, % of 67.31% 20.42% 5.45% 3.97% 2.83% 0.01% 10 Number of accounts 31,463 10,756 2,793 2,739 2, ,074 % of 62.83% 21.48% 5.58% 5.47% 4.63% 0.01% 10 Year in which current fixed rate period ends principal balance % of Number of accounts % of 1,252,492, % 14, % 1,217,623, % 14, % 1,398,813, % 16, % 290,664, % 3, % 127,335, % 1, % 4,286,929, , The following section details performance against selected loan warranties from clause 9 of the Mortgage Sale Agreement. The breach of any of these loan warranties will Page 3 of 13

4 Outstanding Issuance Permanent Master Trust Monthly Investor Report The following section details performance against selected loan warranties from clause 9 of the Mortgage Sale Agreement. The breach of any of these loan warranties will Series Name A A Issue Date 4 Feb Feb 2010 Orig Rating (Fitch/Moody's/S&P) 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) Currency GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate GBP 600,000,000 GBP 600,000,000 GBP 400,000,000 GBP 400,000,000 Outstanding Amount 1 Pool Factor 1 Final Maturity Date Bond Structure GBP 600,000, Jan 2017 GBP 400,000, Jan 2017 ISIN XS XS Stock Exchange Listing London London Reference Rate Fixed 3m GBP LIBOR Margin Current Rate Current Accrual Period 4.805% 15 Jan 16 to 15 Jul % % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount GBP 14,415, Coupon Amount Paid GBP 14,415, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall GBP 1,894, GBP 1,894, Series Name A A A Issue Date 13 Jul Jul Jul 2010 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) 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) Currency USD USD GBP Issue Size Issue Size (GBP equivalent) Exchange Rate USD 750,000,000 GBP 496,032, USD 750,000,000 GBP 496,032, Outstanding Amount 1 Pool Factor 1 Final Maturity Date Bond Structure Jan 2016 USD 750,000, Apr Jul 2016 Passthrough ISIN XS XS XS Stock Exchange Listing London London London Reference Rate 3m USD LIBOR 3m USD LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period % % % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount USD 3,489, Coupon Amount Paid USD 3,489, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment USD 750,000,000 Principal Paid USD 750,000,000 Principal Shortfall Cumulative Principal Shortfall USD 3,489, USD 3,489, GBP 2,619, GBP 2,619, Page 4 of 13

5 Series Name A A A3 Issue Date 20 Apr Apr Apr 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) 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) Currency EUR GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate EUR 200,000,000 GBP 176,680, GBP 200,000,000 GBP 200,000,000 Outstanding Amount 1 Pool Factor 1 Final Maturity Date Bond Structure Jan Jan Jan 2016 XS & ISIN XS XS XS Stock Exchange Listing London London London Reference Rate 3m EURIBOR 3m GBP LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period 1.40% % % % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount EUR 690, Coupon Amount Paid EUR 690, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment EUR 200,000,000 Principal Paid EUR 200,000,000 Principal Shortfall Cumulative Principal Shortfall GBP 1,047, GBP 1,047, GBP 200,000,000 GBP 200,000,000 GBP 2,619, GBP 2,619, Series Name A A A M Issue Date 1 Nov Nov Apr Apr 2013 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) A(sf)/ A2(sf)/ A(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) A(sf)/ A2(sf)/ A(sf) Currency GBP GBP GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate GBP 750,000,000 GBP 750,000,000 GBP 1,250,000,000 GBP 1,250,000,000 Outstanding Amount 1 Pool Factor 1 GBP 750,000, Jul 16 & 15 Oct Jul 21 & 15 Oct Jan Jan 2016 Final Maturity Date Bond Structure GBP 52,062 Scheduled Am GBP 52,062 Scheduled Am Passthrough Passthrough ISIN XS XS XS XS Stock Exchange Listing London London London London Reference Rate 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period 1.65% % 1.95% 2.54% 0.45% 4% 1.10% % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount GBP 4,212, Coupon Amount Paid GBP 4,212, Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall GBP 3,186, GBP 3,186, GBP 3,241, GBP 3,241, GBP 1,250,000,000 GBP 1,250,000,000 GBP 2,115, GBP 2,115, Page 5 of 13

6 Series Name A A A A B Issue Date 20 Oct Oct Oct Oct Oct 2015 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) AA(sf)/ Aa2(sf)/ AA(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) AA(sf)/ Aa2(sf)/ AA(sf) Currency USD GBP EUR GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate USD 400,000,000 GBP 259,487, GBP 250,000,000 GBP 250,000,000 EUR 500,000,000 GBP 370,350, GBP 1,000,000,000 GBP 1,000,000,000 GBP 370,000,000 GBP 370,000,000 Outstanding Amount 1 Pool Factor 1 USD 400,000, Jul 17 & 15 Oct 17 GBP 250,000, Jul 18 & 15 Oct 18 EUR 500,000, Jul 20 & 15 Oct 20 GBP 1,000,000, Oct 2025 GBP 370,000, Oct 2025 Final Maturity Date Bond Structure Scheduled Am Scheduled Am Scheduled Am Passthrough Passthrough US71419GAW06 & XS & ISIN XS XS & XS XS XS XS Stock Exchange Listing London London London London London Reference Rate 3m USD LIBOR 3m GBP LIBOR 3m EURIBOR 3m GBP LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period 0.50% % 0.60% % 0.42% % 0.75% % 1.10% % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall USD 779, USD 779, GBP 699, GBP 699, EUR 441, EUR 441, GBP 3,156, GBP 3,156, GBP 1,476, GBP 1,476, Series Name M C Issue Date 20 Oct Oct 2015 Orig Rating (Fitch/Moody's/S&P) A(sf)/ A2(sf)/ A(sf) BBB(sf)/ Baa2(sf)/ BBB(sf) Curr Rating (Fitch/Moody's/S&P) A(sf)/ A2(sf)/ A(sf) BBB(sf)/ Baa2(sf)/ BBB(sf) Currency GBP GBP Issue Size Issue Size (GBP equivalent) Exchange Rate GBP 270,000,000 GBP 270,000,000 GBP 370,000,000 GBP 370,000,000 Outstanding Amount 1 Pool Factor 1 Final Maturity Date Bond Structure GBP 270,000, Oct 2025 Passthrough GBP 370,000, Oct 2025 Passthrough ISIN Stock Exchange Listing XS London XS London Reference Rate 3m GBP LIBOR 3m GBP LIBOR Margin Current Rate Current Accrual Period % 1.85% % Funding 2 Interest Payment Date 15 Jan 2016 Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall GBP 1,334, GBP 1,334, GBP 2,137, GBP 2,137, As at end of latest completed Interest Period and following waterfall reported on p12. Page 6 of 13

7 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) 5,125,869, ,000, ,000, ,000,000 6,135,869, ,000,000 6,295,869, ,000,000 % of 81.42% 5.88% 4.29% 5.88% 97.46% 2.54% % Support 22.01% 16.14% 11.85% 5.97% Z Loan Required Amounts Funding 2 160,000,000 Excess Spread Permanent Funding 2 Amount 13,148,400 % 0.86% Liquidity Support Liquidity support in relation to shortfalls of interest payable on the Notes and certain principal of the Notes 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 Notes. Ledgers Funding 1 Share / Funding 2 Share / Seller Share Ledger Date Collateral pool balance 01Feb16 15,804,194, Jan16 15,912,392, Jan16 16,006,645, Funding 1 Share Funding 2 Share 5,799,837, ,799,837, ,221,781, Seller Share 10,004,356, ,112,555, ,784,863, Funding 1 Share % % % % Funding 2 Share % % % % Seller Share % % % % Losses Ledger Month Jan 2016 Dec 2015 Nov 2015 Losses in month 6, , Funding 1 share of losses Funding 2 share of losses 3, , Seller share of losses 3, , Cumulative losses 144,486, ,486, ,479, Funding 2 Principal Deficiency Ledger (Z Loan subledger) Month Debit Jan 2016 Dec , Nov , Credit Balance 11, , , Funding 2 Reserve Ledger Month Jan 2016 Dec 2015 Nov 2015 Debit 189,000, Credit Balance 216,000, ,000, ,000, Funding 2 Reserve Required Amount 216,000, ,000, ,000, Funding 2 Yield Reserve Ledger 2 Month Jan 2016 Dec 2015 Nov 2015 Debit 7,212, Credit Balance 70,460, ,673, ,673, Only Funding 2 Yield Reserve Notes benefit from the Funding 2 Yield Reserve. Page 7 of 13

8 The Bank following Accounts section Balance details performance against selected loan warranties from clause 9 of the Mortgage Sale Agreement. The breach of any of these loan warranties will Mortgages Trustee GIC Account Date 31 Jan Dec Nov 2015 Revenue Ledger 14,573, ,504, ,200, Principal Ledger 120,137, ,960, ,781, Other Bank Balance 3 134,711, ,465, ,982, Including cash from assets for last day of month collected first working day of following month. Funding 2 GIC Account / Collateralised GIC Account Date 31 Jan Dec Nov 2015 Funding 2 Transaction Account Revenue Ledger 14,625, ,256, ,040, Principal Ledger Cash Accumulation Ledger 496,032, General Reserve Ledger 216,000, Yield Reserve Ledger 70,460, GIC Account Balance 61,051, Collateralised GIC Account Balance 736,066, ,646, ,279,181, ,000, ,673, ,119, ,089,638, ,484, ,279,181, ,000, ,673, ,325, ,089,054, Date 31 Jan Dec Nov 2015 Retained Profit Amount 2,163, ,116, ,116, Startup Loans Proceeds 264, , , Bank Balance 2,428, ,380, ,647, Funding 2 Authorised Investments: nil Master Issuer Capital & Transaction Accounts Date 31 Jan Dec Nov 2015 Issuer Profit Capital 273, , , , , , Aggregate Bank Balance 285, , , Funding Swaps Funding 2 Swap Provider Calculation Period 23 Dec 31 Dec Dec 22 Dec Nov 30 Nov Oct 31 Oct Oct 19 Oct A negative figure represents a payment by Funding 2 and a positive figure is a receipt. Funding 2 Swap Notional Provider Amount Funding 2 Amount 7,258,590, ,594, ,407, ,483,110, ,581, ,152,969 7,761,915, ,402, ,934, ,383,995, ,774, ,270, ,637,553, ,224, ,294, Amount paid or received at end of latest completed Funding 2 Interest Period Net Funding 2 Amount 4 1,812, ,571, ,531, ,496, ,070, ,483, Issuing Entity Swaps Issue & Class Currency Swap Provider A Natixis A Natixis A A1 ING Bank NV A3 ING Bank NV Currency Swap Provider Amounts 5 Floating Amount Exchange Amount USD 3,489, USD 750,000, USD 3,489, USD EUR 690, EUR 200,000, USD 779, USD EUR 441, EUR GBP GBP GBP GBP GBP Permanent Master Issuer GBP Amounts 5 Floating Amount Exchange Amount 2,777, GBP 496,032, ,689, GBP 1,145, GBP 176,680, , GBP 1,300, GBP Issue & Class Interest Rate Swap Provider A Interest Rate Swap Provider Fixed Amnts 5 Permanent Master Issuer Floating Amnts 5 GBP 14,415, GBP 3,135, Paid in latest waterfall, reported on p11. 6 The A currency swap was novated from The Royal Bank of Scotland to Natixis on 26 Nov Page 8 of 13

9 Bank Rating of Triggers Scotland was downgraded by Moody's 21 Jun 2012 and no longer holds the requisite ratings under the Funding 1 swap agreement. In accordance with the terms of the Funding 1 Transaction Party Seller: Funding 2 Swap Provider: Issuing Entity Swap Provider: Issuing Entity Swap Provider: Natixis Issuing Entity Swap Provider: ING Bank NV Servicer: Account Bank: Required Ratings (Fitch / Moody's / S&P) BBB / Baa2 / BBB BBB / Baa3 / BBB / A3 / A F1 / / A1 A / A3 / A F3 / / BBB / Baa1 / BBB+ F1 / P1 / A1 A / A2 / A F3 / / BBB / / F1 / P1 / A1 A / A2 / A F3 / / 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). 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). 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. Requirement to close the Funding 2 Bank Accounts, with the exception of, and providing the F1 / P1 / A1 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 A / / A (or A+ if the short agency confirms the then current ratings of the notes are not affected or a guarantee of the Account term rating is below A1) Bank's obligations is obtained. Current Ratings (Fitch / Moody's / S&P) F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 A / A2 / A F1 / P1 / A1 A / A2 / A F1 / P1 / A1 A / A2 / A F1 / P1 / A1 A / A2 / A F1 / P1 / A1 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 / / 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 F1 / P1 / A1 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. A / / A (or A+ if the short term rating is below A1) F1 / P1 / A1 Page 9 of 13

10 NonRating Triggers Nonasset Trigger Events Nature of Trigger Description of Trigger Consequence of Nonasset 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 principal balance 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? N N N N Asset Trigger Events Nature of Trigger Description of Trigger Consequence of Nonasset 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? N Other Triggers Nature of Trigger Mortgage Sale Agreement: Breach of these (or any other) conditions under Clause 4.2 Description 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 principal balance of the Loans in the Mortgages Trust. 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 New 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 New 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. Trigger Consequence of Trigger occurred? Seller unable to sell new N portfolio to Mortgages Trustee and requirement for the Seller to repurchase any Loans subject to a Product Switch. 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 principal balance 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 principal balance of the Loans in the Mortgages Trust. Page 10 of 13

11 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 Waterfalls 19 Jan & 3 Feb 2016 Mortgages Trust Revenue Receipts 46,270, Mortgages Trust Principal Receipts 204,433, Distribution Amounts due to the Servicer 677, Paid to Funding 1 Other amounts due 12, Paid to Funding 2 Paid to Funding 1 Paid to the Seller Paid to Funding 2 Paid to the Seller 19,333, ,246, ,270, ,433, ,433, Funding 2 Waterfall 15 Jan 2016 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 67,024, , ,864, ,000, ,986, 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 917,607, ,279,181, , ,196,800, 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 662, , ,483, ,955, ,837, , ,115, , , ,000, , ,338, , , ,746, ,986, 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 1,700,768, ,032, ,196,800, Page 11 of 13

12 Master Issuer Waterfall 15 Jan 2016 Master Issuer Revenue 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 Master Issuer Principal Receipts 41,504, Principal repaid by Funding 2 per Master ICL 3,122,712, , ,170, ,122,712, 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 Notes Interest due on Class A Notes Amounts due to swap providers re Class B Notes Interest due on Class B Notes Amounts due to swap providers re Class M Notes Interest due on Class M Notes Amounts due to swap providers re Class C Notes Interest due on Class C Notes Balance to the Master Issuer 204, , , , ,762, ,677, ,476, ,450, ,137, , ,170, Amounts due to swap providers re Class A Notes Principal due on Class A Notes Amounts due to swap providers re Class B Notes Principal due on Class B Notes Amounts due to swap providers re Class M Notes Principal due on Class M Notes Amounts due to swap providers re Class C Notes Principal due on Class C Notes 672,712, ,950,000, ,000, ,122,712, Page 12 of 13

13 Key Counterparties Issuing Entities Permanent Master Issuer plc (Master Issuer), Mortgages Trustee Permanent Mortgages Trustee Limited Depositors Permanent Funding (No. 1) Limited (Funding 1), Permanent Funding (No. 2) Limited (Funding 2) Seller Servicer Cash Manager Account Bank Issuing Entity Account Bank Security & Note Trustee The Bank of New York Mellon Agent Bank & Paying Agent(s) Citibank, N.A. Funding 2 Swap Provider Issuing Entity Swap Providers Natixis ING Bank NV Glossary Capitalised arrears Constant Prepayment Rate Current LTV Indexed Valuation Defaulted Loan Excess Spread Months in arrears Mortgage Account Original LTV Outstanding principal balance 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 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 principal balance 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 November 2011, this was labelled CPR. Reported regions are NUTS1 classifications. NUTS is Nomenclature 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) No 575/2013 (the Capital Requirements Regulation), and Article 51(1) of Regulation (EU) No 231/2013 (the AIFM Regulation) and Article 254 of Regulation (EU) No 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 RNS 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 13 of 13