Arran Residential Mortgages Funding plc.

Transcription

1 Transaction Details Contact Details Reporting Date November 2014 Matthew Richardson (Debt Investor Relations) Quarterly Reporting Period Start 01 July (0) (tel) Quarterly Reporting Period End 30 September 2014 ( ) Current Quarterly Reporting Period Start 01 October Bishopsgate, London (address) Current Quarterly Reporting Period End 31 October 2014 Ross Aucutt (Treasury Markets) Accrual Period N/A +44 (0) (tel) Next Payment Date 20 January 2015 ( ) 250 Bishopsgate, London (address) Issue Date 18 October 2011 Additional Information Transaction Documentation Investor Reporting Loan Level Reporting Cashflow Model (Arran20112_BoEABS) Definition of terms, marked with asterisk (*) can be found in glossary. This report is prepared following the requirements published in the Bank of England Market Notice "Detailed Eligibility Requirements for Residential Mortgage Backed Securities and Covered Bonds Backed by Residential Mortgages" as published on the 30th of November Investor Report Page 1

2 Portfolio Characteristics Reporting Period: 01 July 2014 to 30 September 2014 Reporting Period: 01 October 2014 to 31 October 2014 Number Balance Number Balance Mortgage Loans in pool, principal balance 19,123 2,232,780, ,926 2,203,533, Cash and other assets - - Additional collateral - - Repurchases* in period Repurchases* to date Substitutions* in period Substitution* to date Scheduled Principal in period 20,597, ,018, Unscheduled Principal in period 84,012, ,207, Further Advances (4,440,490.77) (1,947,313.54) Other Principal Movements (121,589.90) (31,334.65) Interest and Other Revenue in period 21,574, ,634, Mortgage Collections in period 121,622, ,881, Repossessions in period 2 409, Repossession to date 9 1,504, ,504, Current stock of repossessions 2 409, , Sold in period 1 81, Sold to date 7 1,039, ,039, Recoveries from sales Losses in period 1 13, Losses to date 6 67, , Average time from possession to sale 111 days 111 days Average arrears at sale 14,415 14,415 Loss severity, in period* 14.58% 0.00% Loss severity, to date* 8.80% 8.80% Pre-swap mortgage yield 3.60% 3.54% Performance Ratios In Period Annualised 3 month average Standard Variable Rate Constant Prepayment Rate (CPR)* Previous 01 August August % 14.78% 14.73% NWB RBS 01 September September % 17.32% 16.08% SVR 4.19% 4.19% 01 October October % 14.63% 15.58% Effective Date 01 Feb Feb 2009 BTL SVR 4.69% N/A Principal Payment Rate (PPR)* Effective Date 01 Feb 2009 N/A 01 August August % 11.85% 11.64% Current 01 September September % 14.16% 12.99% NWB RBS 01 October October % 11.33% 12.44% SVR 4.00% 4.00% Effective Date 01 Mar Mar 2009 Constant Default Rate (CDR)* BTL SVR 4.50% N/A 01 August August % 0.22% 0.07% Effective Date 01 Mar 2009 N/A 01 September September % 0.00% 0.07% 01 October October % 0.00% 0.07% Current LTV Indexed* LTV Mortgage Size Seasoning (months) Remaining term (years) Arrears (months) Weighted Average 58.09% 49.67% 116, Minimum 0.00% 0.00% Maximum 95.92% 89.73% 2,506, Investor Report Page 2

3 % of total balance % of total balance Arran Residential Mortgages Funding plc. Arrears Analysis* Number % of total number Balance % of total balance Performing Balance 18, % 2,174,903, % >0 - <=1 Months in Arrears % 17,166, % >1 - <=2 Months in Arrears % 5,654, % >2 - <=3 Months in Arrears % 2,250, % >3 - <=4 Months in Arrears % 1,313, % >4 - <=5 Months in Arrears % 1,908, % >5 - <=6 Months in Arrears % 934, % >6 - <=12 Months in Arrears % 1,949, % 12+ Months in Arrears % 2,636, % As of: 31 October 2014 Current LTV Number % of total number Balance % of total balance <=30% 3, % 198,694, % >30% - <=35% 1, % 101,014, % >35% - <= 40% 1, % 118,689, % >40% - <=45% 1, % 155,097, % >45% - <=50% 1, % 160,133, % >50% - <=55% 1, % 174,710, % >55% - <=60% 1, % 172,339, % >60% - <=65% 1, % 184,034, % >65% - <=70% 1, % 232,257, % >70% - <=75% 1, % 232,638, % >75% - <=80% 1, % 203,658, % >80% - <=85% 1, % 149,203, % >85% - <=90% % 123,899, % >90% - <=95% % 2,040, % >95% - <=100% 3 0.0% 303, % >100% - 0.0% - 0.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% <=30% >30% - <=35% >35% - <= 40% >40% - <=45% >45% - <=50% >50% - <=55% Current LTV >75% - <=80% >70% - <=75% >65% - <=70% >60% - <=65% >55% - <=60% >80% - <=85% >85% - <=90% >90% - <=95% >95% - <=100% >100% Indexed LTV Number % of total number Balance % of total balance <=30% 4, % 311,622, % >30% - <=35% 1, % 157,805, % >35% - <= 40% 1, % 185,606, % >40% - <=45% 1, % 198,232, % >45% - <=50% 1, % 197,742, % >50% - <=55% 1, % 217,690, % >55% - <=60% 1, % 229,897, % >60% - <=65% 1, % 235,240, % >65% - <=70% 1, % 207,641, % >70% - <=75% 1, % 143,174, % >75% - <=80% % 94,499, % >80% - <=85% % 26,097, % >85% - <=90% % 3,465, % >90% - <=95% - 0.0% - 0.0% >95% - <=100% - 0.0% - 0.0% >100% - 0.0% - 0.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% <=30% >30% - <=35% >35% - <= 40% >40% - <=45% >45% - <=50% >50% - <=55% Indexed LTV >75% - <=80% >70% - <=75% >65% - <=70% >60% - <=65% >55% - <=60% >80% - <=85% >85% - <=90% >90% - <=95% >95% - <=100% >100% Investor Report Page 3

4 % of total balance % of total balance Arran Residential Mortgages Funding plc. Mortgage Size Number % of total number Balance % of total balance <=30,000 1, % 28,167, % >30,000 - <=40,000 1, % 35,411, % >40,000 - <=50,000 1, % 52,990, % >50,000 - <=75,000 3, % 218,661, % >75,000 - <=100,000 3, % 284,678, % >100,000 - <=150,000 4, % 546,257, % >150,000 - <=200,000 2, % 348,540, % >200,000 - <=300,000 1, % 305,782, % >300, % 388,228, % 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% Mortgage Size Regional Analysis* Number % of total number Balance % of total balance East Anglia % 74,980, % East Midlands 1, % 105,314, % Greater London 1, % 252,662, % North % 72,388, % North West 2, % 195,519, % Scotland 2, % 231,867, % South East 4, % 724,398, % South West 1, % 226,583, % Wales % 74,121, % West Midlands 1, % 129,573, % Yorkshire 1, % 121,306, % Occupancy Status Number % of total number Balance % of total balance Investment Property (BTL) % 72,970, % Owner Occupied 18, % 2,127,278, % Right to Buy % 8,469, % 0.0% 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% <=30,000 East Anglia >30,000 - <=40,000 East Midlands Greater London >40,000 - <=50,000 North >50,000 - <=75,000 North West >75,000 - <=100,000 Reginal Analysis Scotland >100,000 - <=150,000 South East >150,000 - <=200,000 South West Wales Loan Purpose >200,000 - <=300,000 West Midlands >300,000 Yorkshire Loan Purpose Number % of total number Balance % of total balance House Purchase 7, % 1,019,250, % Remortgage 10, % 1,136,289, % Renovation % 22,463, % Equity Release % 578, % Other % 30,136, % Renovation Remortgage Equity Release Other House Purchase Investor Report Page 4

5 % of total balance % of total balance Payment Type Repayment Type Arran Residential Mortgages Funding plc. Repayment Type Number % of total number Balance % of total balance Capital and Interest 15, % 1,545,190, % Interest Only 3, % 663,527, % Part and Part - 0.0% - 0.0% Capital and Interest Fixed Tracker Interest Only Payment Type Number % of total number Balance % of total balance Fixed 13, % 1,600,761, % Tracker % 109,600, % Variable 4, % 498,356, % Variable 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% Seasoning (months) Number % of total number Balance % of total balance >=0 - <= % 58, % >12 - <=18-0.0% - 0.0% >18 - <=24-0.0% - 0.0% >24 - <=30-0.0% - 0.0% >30 - <=36-0.0% - 0.0% >36 - <=42 15, % 1,778,899, % >42 - <=48 3, % 396,763, % >48 - <= % 10,364, % > % 22,631, % 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% Seasoning (months) Remaining Term (years) Number % of total number Balance % of total balance >= 0 - < 5 1, % 70,103, % >= 5 - < 10 2, % 242,346, % >= 10 - < 15 4, % 458,304, % >= 15 - < 20 3, % 538,195, % >= 20 - < 25 3, % 549,396, % >= 25 - < 30 1, % 225,890, % >= 30 - < % 124,252, % >= % 227, % 30.0% 25.0% 20.0% 15.0% >=0 - <=12 >12 - <=18 >18 - <=24 >24 - <=30 >30 - <=36 >54 >48 - <=54 >42 - <=48 >36 - <=42 Remaining Term (years) 10.0% Employment Status Number % of total number Balance % of total balance Employed 15, % 1,747,158, % Self-Employed 2, % 440,366, % Unemployed % 3,891, % Other % 17,300, % 5.0% 0.0% >= 0 - < 5 >= 5 - < 10 >= 10 - < 15 >= 15 - < 20 >= 20 - < 25 >= 25 - < 30 >= 30 - < 35 >= 35 Investor Report Page 5

6 % of total balance Arran Residential Mortgages Funding plc. Income Multiple (Non BTL) Number % of total number Balance % of total balance 1x 6, % 432,612, % 2x 5, % 605,694, % 3x 4, % 588,200, % 4x 2, % 382,700, % 5+x % 126,256, % Total 18, % 2,135,464, % Staff Loans Number % of total number Balance % of total balance RBS % 8,023, % NWB % 18,834, % Total % 26,857, % 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% Income Multiple (Non BTL) 1x 2x 3x 4x 5+x Originator Number % of total number Balance % of total balance RBS 3, % 323,356, % NWB 15, % 1,885,361, % Property Type Property Type Number % of total number Balance % of total balance Bungalow 1, % 105,181, % Detached 4, % 765,596, % Flat 2, % 242,317, % Semi-Detached 6, % 648,567, % Terraced 4, % 447,056, % Terraced Bungalow Detached Semi- Detached Flat Investor Report Page 6

7 Product Switches In Period Number Balance Number Balance Product Classification From To Fixed 9 672, ,885,704 Tracker 3 409, ,926 SVR 148 9,436, Total ,518, ,518,630 Product Switches To Date Number Balance Number Balance Product Classification From To Fixed 15,431 1,097,200,770 13,219 1,122,641,392 Tracker 5, ,871, ,514,308 SVR 125 9,448,239 7, ,364,544 Total 21,227 1,651,520,244 21,227 1,651,520,244 Set Off (As at 31 October 2014) RBS NWB Total Set Off Amount 15,998, ,543,792 Average Set Off Amount 5,186 7,546 Total Set Off Amount (Taking into account Financial Services Compensation Scheme) 874,080 18,936,413 Average Set Off Amount (Taking into account Financial Services Compensation Scheme) 283 1,195 Investor Report Page 7

8 Liabilities Details A1c A2a A2b A2c A3a A3c A4c1 A4c2 A4c3 Ratings (Fitch/Moody's) - Original AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) - Current AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAAsf/Aaa (sf) Currency USD GBP EUR USD GBP USD USD USD USD Issue Size 725,000,000 70,000, ,000, ,000, ,000, ,000, ,000, ,000, ,000,000 Applicable exchange rate Sterling equivalent 463,110,827 70,000, ,304, ,978, ,000, ,386, ,896, ,693, ,693,389 Outstanding Amount (in default CCY) - Current Period ,320, ,402, ,000, ,000, ,000,000 - Previous Period - 2,954,563 9,285,770 28,279, ,000, ,000, ,000, ,000, ,000,000 WAL at Closing Date (1) 1.01 years 2.77 years 4.56 years 5.22 years Legal final maturity date 20-Oct Oct Oct Oct Oct Oct Oct Oct Oct-48 ISIN 144A US04271HAA41 XS US04271HAB24 US04271HAC07 US04271HAD89 US04271HAE62 US04271HAF38 Reg S XS XS XS XS XS XS XS XS XS Stock Exchange Listing London London London London London London London London London CRD II Retention of Scotland plc confirms that it continues to retain a material net economic interest of not less than 5 per cent of the nominal value of the securitisation in accordance with Article 405 of Regulation 575/2013. At the date of this report, of Scotland plc retains an economic interest in Arran Residential Mortgages Funding plc in the form of the Class R Notes (option (d)). of Scotland plc retains the total amount outstanding of the Class R Notes as disclosed in the relevant section of this report. Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Accrual Start Date 21-Jul Jul Jul Jul Jul Jul Jul Jul Jul-14 Accrual End Date 19-Oct Oct Oct Oct Oct Oct Oct Oct Oct-14 Applicable Day Count Actual/360 Actual/365 Actual/360 Actual/360 Actual/365 Actual/360 Actual/360 Actual/360 Actual/360 Rate Type Floating Floating Floating Floating Floating Floating Floating Floating Floating Margin Up to and excluding the IPD falling in Jan % 1.60% 1.55% 1.60% 1.75% 1.75% 1.80% 1.825% 1.85% From and including the IPD falling in Jan % 3.20% 3.10% 3.20% 3.50% 3.50% 3.60% 3.65% 3.70% Reference Rate 3m USD LIBOR 3m GBP LIBOR 3m EURIBOR 3m USD LIBOR 3m GBP LIBOR 3m USD LIBOR 3m USD LIBOR 3m USD LIBOR 3m USD LIBOR Applicable Coupon % % % % % % % % % Current Period Scheduled Coupon Amount - 15,879 41, , ,242 2,507,050 4,626,440 1,300,921 1,316,719 Current Period Actual Coupon Amount - 15,879 41, , ,242 2,507,050 4,626,440 1,300,921 1,316,719 Current Period Interest Shortfall Cumulative Interest Shortfall Next Interest Payment Date N/A N/A N/A N/A 20-Jan Jan Jan Jan Jan-15 Bond Structure Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Pass-through Current Period Scheduled Principal Amount N/A N/A N/A N/A N/A N/A N/A N/A N/A Current Period Actual Principal Amount - 2,954,563 9,285,770 28,279,389 22,679,169 75,597, Current Period Principal Shortfall N/A N/A N/A N/A N/A N/A N/A N/A N/A Cumulative Principal Shortfall N/A N/A N/A N/A N/A N/A N/A N/A N/A Pool Factor (1) Weighted Average Life (years) of relevant class of notes with optional redemption at pricing speed of 5% in the first 18 months, followed by 10% thereafter. For assumptions used please see Prospectus p. 37 onwards. Investor Report Page 8

9 Liabilities Details A4c4 A4c5 M B R Ratings (Fitch/Moody's) - Original AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAsf/Aa1(sf) Not Rated Not Rated - Current AAAsf/Aaa (sf) AAAsf/Aaa (sf) AAsf/Aa1(sf) Not Rated Not Rated Currency USD USD GBP GBP GBP Issue Size 250,000, ,000,000 66,900, ,900, ,400,000 Applicable exchange rate Sterling equivalent 159,693, ,719,898 66,900, ,900, ,400,000 Outstanding Amount (in default CCY) - Current Period 250,000, ,000,000 66,900, ,900, ,400,000 - Previous Period 250,000, ,000,000 66,900, ,900, ,400,000 WAL at Closing Date (1) 5.22 years 5.22 years 5.22 years 5.22 years Legal final maturity date 20-Oct Oct Oct Oct Oct-48 ISIN 144A US04271HAG11 US04271HAH93 Reg S XS XS XS XS XS Stock Exchange Listing London London London London London CRD II Retention of Scotland plc confirms that it continues to retain a material net economic interest of not less than 5 per cent of the nominal value of securitisation in accordance with Article 405 of Regulation 575/2013. At the date of this report, of Scotland plc retains an economic interest in Arran Residential Mortgages Funding plc in the form of the Class R Notes (option (d)). of Scotland plc retains the total amount outstanding of the Class R Notes as disclosed in the relevant section of this report. Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Accrual Start Date 21-Jul Jul Jul Jul Jul-14 Accrual End Date 19-Oct Oct Oct Oct Oct-14 Applicable Day Count Actual/360 Actual/360 Actual/365 Actual/365 Actual/365 Rate Type Floating Floating Floating Floating Floating Margin Up to and excluding the IPD falling in Jan % 1.75% 2.40% 1.00% 1.00% From and including the IPD falling in Jan % 3.50% 4.80% N/A N/A Reference Rate 3m USD LIBOR 3m USD LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR Applicable Coupon % % % % % Current Period Scheduled Coupon Amount 1,269,324 1,308, ,975 1,709, ,153 Current Period Actual Coupon Amount 1,269,324 1,308, ,975 1,709, ,153 Current Period Interest Shortfall Cumulative Interest Shortfall Next Interest Payment Date 20-Jan Jan Jan Jan Jan-15 Bond Structure Pass-through Pass-through Pass-through Pass-through Pass-through Current Period Scheduled Principal Amount N/A N/A N/A N/A N/A Current Period Actual Principal Amount Current Period Principal Shortfall N/A N/A N/A N/A N/A Cumulative Principal Shortfall N/A N/A N/A N/A N/A Pool Factor (1) Weighted Average Life (years) of relevant class of notes with optional redemption at pricing speed of 5% in the first 18 months, followed by 10% thereafter. For assumptions used please see Prospectus p. 37 onwards. Investor Report Page 9

10 Credit Enhancement and Liquidity Support Class A Class M Class B Class R GBP equivalent 1,619,114,361 66,900, ,900, ,400,000 % to total 70.29% 2.90% 19.14% 7.66% Current Note Credit Enhancement Subordination of Class M Notes, Class B Notes and Class R Notes, excess Available Revenue Receipts Subordination of the Class B Notes and Class R Notes, excess Available Revenue Receipts Subordination of the Class R Notes, excess Available Revenue Receipts Excess Available Revenue Receipts Note Subordination 29.71% 26.80% 7.66% 0.00% General Reserve Fund (2) 6.28% 6.28% 0.00% 0.00% Liquidity Reserve Fund (3) 4.18% 4.18% 0.00% 0.00% Total support 40.16% 37.26% 7.66% 0.00% (2) (3) (4) Basis Swap NWHL, Fixed NWHL, Tracker NWHL, Variable/Discounted RBS, Fixed RBS, Tracker RBS, Variable/Discounted Counterparty Currency GBP GBP GBP GBP GBP GBP Notional 1,431,677,138 48,343, ,030, ,452,314 58,968,897 76,719,318 Termination Date 20-Oct Oct Oct Oct Oct Oct-48 Accrual Period Start 21-Jul Jul Jul Jul Jul Jul-14 Accrual Period End 19-Oct Oct Oct Oct Oct Oct-14 Pay reference rate Base SVR Base SVR Pay Rate % % % % % % Pay Margin % % % % % % Total Pay Rate % % % % % % Receive Reference Rate 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR 3m GBP LIBOR Receive Rate % % % % % % Receive Margin % % % % % % Total Receive Rate % % % % % % Payments Made 12,525, ,372 5,017,957 1,825, , ,715 Payments Received 11,442, ,369 4,020,280 1,634, , ,150 Collateral Posting (GBP) (4) 41,480,000 The General Reserve Fund percentage on the Closing Date was 2%, which was calculated based on the original note issuance The Issuer will be required to establish a liquidity reserve fund (the "Liquidity Reserve Fund") if (a) the long-term, unsecured, unsubordinated and unguaranteed debt obligations of RBS cease to be rated at least A3 by Moody's (or such other long term rating which is otherwise acceptable to Moody's) or (b) if RBSG ceases to be the ultimate parent company of either Seller (each a "Liquidity Sterling Equivalent Event"). The Liquidity Reserve Fund will be funded up to the "Liquidity Reserve Required Amount", being an amount as at any Interest Payment Date equal to 2.00 per cent. of the aggregate Sterling Equivalent Principal Amount Outstanding of the Notes on the Closing Date, for so long as a Liquidity Trigger Event has occurred and is continuing. Collateral Posting is the net amount across all Interest Rate Swaps. Investor Report Page 10

11 Currency Swaps A1c A2b A2c A3c Counterparty Currency USD EUR USD USD Notional - 9,285,770 28,279, ,000,000 Termination Date 20-Oct Oct Oct Oct-48 Accrual Period Start 21-Jul Jul Jul Jul-14 Accrual Period End 19-Oct Oct Oct Oct-14 FX Rate Payments Made, in GBP - 8,132,271 18,172,017 50,364,320 Payments Received, in Currency - 9,326,870 28,410,462 78,104,279 Collateral Posting (GBP) (5) - 8,570,000 5,330,000 Currency Swaps A4c1 A4c2 A4c3 A4c4 A4c5 Counterparty Currency USD USD USD USD USD Notional 900,000, ,000, ,000, ,000, ,000,000 Termination Date 20-Oct Oct Oct Oct Oct-48 Accrual Period Start 21-Jul Jul Jul Jul Jul-14 Accrual Period End 19-Oct Oct Oct Oct Oct-14 FX Rate Payments Made, in GBP 3,949,652 1,107,079 1,117,033 1,087,172 1,124,616 Payments Received, in Currency 4,626,440 1,300,921 1,316,719 1,269,324 1,308,680 Collateral Posting (GBP) (5) 189,232,000 (5) Collateral Posting for Currency Swaps is the net amount across each tranche. Investor Report Page 11

12 Reporting Period: 01 Apr 2014 to 30 Jun 2014 Reporting Period: 01 Jul 2014 to 30 Sep 2014 Available Revenue Receipts Value Value Revenue Receipts 22,338, ,574, Income from Authorised Investments and Interest earned on Bank Accounts 336, , Amounts received under the Basis Swap Agreement - - Excess General Reserve Fund Following Rated Note Paydown - - Other Net Income - - Available Revenue Receipts 22,675, ,939, Revenue Priority of Payments Value Value Trustee Costs and Expenses - 2, Agent Bank, Principal Paying Agent, and Registrar Expenses - - Issuer Costs - Rating Agency Fees - 15, Issuer Costs - Legal Fees - - Issuer Costs - Other 4, , Corporate Services Provider Fees 5, Transfer Costs - - Administrator Fees 614, , Cash Manager Fees 25, , Account Bank Charges - - Amounts paid to Basis Swap Provider 2,607, ,195, Interest paid on Class A1c Notes (GBP equivalent) - - Interest due on A2a Notes 62, , Interest paid on Class A2b Notes (GBP equivalent) 228, , Interest paid on Class A2c Notes (GBP equivalent) 426, , Interest due on A3a Notes 842, , Interest paid on Class A3c Notes (GBP equivalent) 2,030, ,074, Interest paid on Class A4c1 Notes (GBP equivalent) 3,866, ,949, Interest paid on Class A4c2 Notes (GBP equivalent) 1,083, ,107, Interest paid on Class A4c3 Notes (GBP equivalent) 1,093, ,117, Interest paid on Class A4c4 Notes (GBP equivalent) 1,064, ,087, Interest paid on Class A4c5 Notes (GBP equivalent) 1,100, ,124, Debit to Class A Principal Deficiency Sub-Ledger - - Interest paid on Class M Notes 482, , Debit to Class M Principal Deficiency Sub-Ledger - - General Reserve Ledger top up - - Basis Swap Subordinated Amount - - Currency Swaps Subordinated Amount - - Interest paid on Class B Notes 1,660, ,709, Debit to Class B Principal Deficiency Sub-Ledger - - Interest paid on Class R Notes 664, , Debit to Class R Principal Deficiency Sub-Ledger 6, , Issuer Profit Amount paid to Issuer 1, , Interest paid on Subordinated Loan 211, , Principal paid on Subordinated Loan 4,590, ,476, Deferred Consideration - - Total 22,675, ,939, Investor Report Page 12

13 Reporting Period: 01 Apr 2014 to 30 Jun 2014 Reporting Period: 01 Jul 2014 to 30 Sep 2014 Available Principal Receipts Value Value Principal Receipts 92,274, ,488, Amounts standing to the credit of Liquidity Reserve Fund 70,533, ,533, Debit to the Principal Deficiency Ledger from Revenue Waterfall 6, , Further Advance purchases (3,803,127.30) (4,440,490.77) Principal Receipts to cover Income Deficits (to Principal Deficiency Ledger) - - Available Principal Receipts 159,011, ,595, Principal Priority of Payments Value Value Liquidity Reserve Fund 70,533, ,533, Principal paid on Class A1c Notes (GBP Equivalent) - - Principal paid on Class A2a Notes 8,985, ,954, Principal paid on Class A2b Notes (GBP Equivalent) 24,556, ,074, Principal paid on Class A2c Notes (GBP Equivalent) 54,936, ,064, Principal paid on Class A3a Notes - 22,679, Principal paid on Class A3c Notes (GBP Equivalent) - 48,289, Principal paid on Class A4c1 Notes (GBP Equivalent) - - Principal paid on Class A4c2 Notes (GBP Equivalent) - - Principal paid on Class A4c3 Notes (GBP Equivalent) - - Principal paid on Class A4c4 Notes (GBP Equivalent) - - Principal paid on Class A4c5 Notes (GBP Equivalent) - - Principal paid on Class M Notes - - Principal paid on Class B Notes - - Principal paid on Class R Notes - - Deferred Consideration - - Total 159,011, ,595, Investor Report Page 13

14 Reporting Period: 01 Apr 2014 to 30 Jun 2014 Reporting Period: 01 Jul 2014 to 30 Sep 2014 Ledgers Value Value General Reserve Ledger Reserve Fund Required Amount 105,800, ,800, Reserve Ledger b/f 105,800, ,800, Debit amount used to cover Income Deficit - - Debit Excess Funds Released following Paydown of Rated Notes - - Credit from Revenue Priority of Payments - - General Reserve Fund c/f 105,800, ,800, Swap Collateral Ledger Swap collateral b/f amount 15,130, ,350, transfer in/out 69,220, ,262, Swap collateral c/f amount 84,350, ,612, Liquidity Reserve Ledger Liquidity Reserve Required Amount 70,533, ,533, Liquidity Reserve Ledger b/f 70,533, ,533, Distribute to Available Principal Receipts 70,533, ,533, Received from Available Principal Receipts 70,533, ,533, Liquidity Reserve Ledger c/f 70,533, ,533, Principal Deficiency Ledgers A Note Principal Deficiency Ledger b/f - - Realised Losses - - Amounts reimbursed from Available Revenue Receipts - - Payments from General Reserve Fund to cover Income Deficiency - - Available Principal Receipts applied to cover Income Deficiency - - A Note Principal Deficiency Ledger c/f - - M Note Principal Deficiency Ledger b/f - - Realised Losses - - Amounts reimbursed from Available Revenue Receipts - - Payments from General Reserve Fund to cover Income Deficiency - - Available Principal Receipts applied to cover Income Deficiency - - M Note Principal Deficiency Ledger c/f - - B Note Principal Deficiency Ledger b/f - - Realised Losses - - Amounts reimbursed from Available Revenue Receipts - - Available Principal Receipts applied to cover Income Deficiency - - B Note Principal Deficiency Ledger c/f - - R Note Principal Deficiency Ledger b/f - - Realised Losses 6, , Amounts reimbursed from Available Revenue Receipts (6,822.83) (13,892.18) Available Principal Receipts applied to cover Income Deficiency - - R Note Principal Deficiency Ledger c/f - - Bank Account Balance b/f - - Net Inflows/Outflows - - Balance c/f - - Authorised Investments (6) 283,731, ,542, (6) All authorised investments are held in term deposits Investor Report Page 14

15 Key Parties Current Required Issuer: Arran Residential Mortgages Funding Plc Holdings: Arran Securitisation Holdings Limited Sellers: P-2/Baa1 P-2/-; F2/- Notice of Non-Satisfaction of Further Advance Conditions may be given; p. 105 of Scotland plc F1/A (RBS) National Westminster Bank plc Notice of Non-Satisfaction of Product Switch Conditions may be given; Notice of Non-Satisfaction of Substitution Conditions may be given -/Baa3; -/BBB- (RBS Downgrade event) Under the Mortgage Sale Agreement, the Sellers shall be obliged to prepare the documentation required to perfect legal title to the Loans and Related Security, but shall not be required to give notice of the transfer of the equitable or beneficial interest in the Loans to the Borrowers nor p. 99 complete any other step necessary to perfect legal title to the Loans or the Related Security to the Issuer. Administrators: On the Closing Date, pursuant to the terms of the Administration Agreement, NWB will delegate the administration of the NWB Loans and their Related Security to RBS on of Scotland plc the terms of the delegation agreement entered into between NWB and RBS on or about the Closing Date (the "Delegation Agreement"). Such arrangements will not affect National Westminster Bank plc the obligations of NWB under the terms of the Administration Agreement. P-2/Baa1 F1/A (RBS) Rating (Moody's; Fitch short-term/long-term) -/Baa3; -/BBB- (RBS) Trigger Status Substitute Administrator for NWB: (Please refer to Administrator Insolvency Event item in Events section below) Consequences if trigger breached Draft Letter of Notice and addresses of Borrowers or agree alternative rating; Update list of outstanding borrowers the Draft Letter of Notice should be sent to. Document Reference Mortgage Sale Agreement, Clause10.4(a) Prospectus Reference p. 129 Cash Manager: of Scotland plc Subordinated Loan Provider: P-2/Baa1 of Scotland plc F1/A (RBS) -/A3; -/- (RBS) FAIL (7) Issuer to establish Liquidity Reserve Fund Cash Management Agreement, Schedule 2, Para 8.1 Basis Swap Provider: P-2/Baa1 Initial trigger: FAIL Collateral posting; Swap Agreement, Part of Scotland plc F1/A (RBS) Moody's: Breach of Credit Support Annex is an Additional Termination Event (unless alternative rating is 5(i); Credit Support P-1/A2 or -/A1 acceptable) Annex Second trigger: Moody's: P-2/A3 or -/A2 FAIL (8) Collateral Posting - where less than 30 Business Days have elapsed since the rating breach. Eligible Guarantee/Eligible Replacement - where more than 30 Business days have elapsed since the rating breach. Swap Agreement, Part 5(i); Credit Support Annex p. 140 p. 31 p. 31 Currency Swap Provider: P-2/Baa1 of Scotland plc F1/A (RBS) Fitch (9) : -/A; F1/- Initial trigger: Moody's: P-1/A2 or -/A1 Second trigger: Moody's: P-2/A3 or -/A2 FAIL FAIL (8) The consequences of breach may include the requirement to provide collateral, replacement of the Basis Swap Provider or guarantee of such Basis Swap Provider's obligations on a reasonable efforts basis at own cost Collateral posting; Breach of Credit Support Annex is an Additional Termination Event (unless alternative rating is acceptable) Collateral Posting - where less than 30 Business Days have elapsed since the rating breach. Eligible Guarantee/Eligible Replacement - where more than 30 Business days have elapsed since the rating breach. Swap Agreement, Part 5(ii) Swap Agreement, Part 5(i); Credit Support Annex Swap Agreement, Part 5(i); Credit Support Annex p. 31 p. 31 Account Bank (incl. GIC): P-1/A2; Société Générale F1+/A + Fitch (9) : -/A; F1/- The consequences of breach may include the requirement to provide collateral, replacement of the Basis Swap Provider or guarantee of such Basis Swap Provider's obligations on a reasonable efforts basis at own cost Swap Agreement, Part 5(ii) P-1/-; F1/A Replacement of Account Bank or guarantee of Account Bank's obligations Account Bank p. 32 P-1/-; F1/A The Issuer will be required (within 30 days) to transfer (at its own cost) the GIC Account to an Agreement, Clause 10.1 p. 142 appropriately rated bank or financial institution on substantially similar terms to those set out in the Account Bank Agreement, in order to maintain the ratings of the Notes at their then current rating Swap Collateral Account Bank: P-1/Aa3; P-1/-; F1/- (10) Replacement of Swap Collateral Account Bank Swap Collateral p. 17 (7) The Liquidity Reserve Fund has been establised. (8) On the 13/03/2014 Moody's downgraded Royal Bank of Scotland plc to Baa1 from A3. Remedial actions are being considered. (9) In accordance with Fitch's counterparty criteria, when assessing a Fitch ratings trigger, a transaction party put on "Ratings Watch Negative" by Fitch shall be deemed, while they remain on "Ratings Watch Negative", to be rated one notch below their actual current Fitch rating. (10) Swap Collateral Accounts at HSBC Bank plc were opened and operational as of 26 February Investor Report Page 15

16 Other Parties Citicorp Trustee Company Limited - Trustee Citibank, N.A., London Branch - Agent Bank, Principal Paying Agent, Registrar of Scotland plc, National Westminster Bank Plc - Seller Collection Account Bank Structured Finance Management Limited - Corporate Services Provider of Scotland plc - Arranger Citibank International plc; J. P. Morgan Securities Ltd.; Merrill Lynch International; Merrill Lynch, Pierce, Fenner & Smith Incorporated; RBS Securities Inc.; of Scotland plc - Joint Lead Managers Wells Fargo Securities International Limited - Co-Managers Events Consequences if breached Seller Insolvency Event, Perfection Legal assignment or assignation (as applicable) of the Loans and their Related Security to the Issuer (including, where applicable, their registration or recording in the Trigger Event relevant property register) will be completed as soon as reasonably practicable; In addition, For Seller Insolvency Event: Notice of Non-Satisfaction of Further Advance Conditions may be given; Notice of Non-Satisfaction of Product Switch Conditions may be given; Notice of Non-Satisfaction of Substitution Conditions may be given. Prospectus p. 98 Administrator Insolvency Event, - Administrator rights and obligations may/shall be terminated p. 136 Administrator Termination Event - If the appointment of an Administrator is terminated, the relevant Administrator must deliver the title information documents and customer files relating to the relevant Loans and Related Security to, or at the direction of, the Issuer - Where the appointment of NWB as an Administrator is terminated due to the occurrence of an Administrator Insolvency Event in relation to NWB, RBS has agreed subject to the conditions contained in the Administration Agreement to act as the Substitute Administrator to perform the Administration Services in respect of the NWB Loans and their Related Security on behalf of the Issuer. RBS Downgrade Event The Sellers shall be obliged to prepare the documentation required to perfect legal title to the Loans and Related Security, but shall not be required to give notice of the p. 98 transfer of the equitable or beneficial interest in the Loans to the Borrowers nor complete any other step necessary to perfect legal title to the Loans or the Related Security to the Issuer. Event of Default, The Trustee may/shall deliver an Enforcement Notice to the Issuer. Upon the delivery of an Enforcement Notice, the Notes of each class shall become immediately due and Insolvency Event in relation to the Issuer payable, without further action or formality, at their Principal Amount Outstanding together with any accrued interest. Notice of Non-Satisfaction of Further Advance Conditions may be given; Notice of Non-Satisfaction of Product Switch Conditions may be given; Notice of Non-Satisfaction of Substitution Conditions may be given. Class M PDL Trigger Event Means in respect of an Interest Payment Date, the Principal Deficiency Sub Ledger of relevant Class Notes would have a debit balance equal to or greater than 20 per p.27 cent. of the then aggregate Principal Amount Outstanding of the relevant Class Notes (unless the relevant Class Notes are the Most Senior Class of Notes outstanding on such Interest Payment Date). The use of amounts standing to the credit of the General Reserve Fund, Principal Receipts (if any) and, amounts standing to the credit of the Liquidity Reserve Fund (if established) to meet interest shortfalls on the Class M Notes in circumstances where a Class M PDL Trigger Event has occurred will be restricted. Liquidity Trigger Event Issuer to establish Liquidity Reserve Fund p. 140 Redemption The Notes are subject to the following optional or mandatory redemption events: p. 18 (a) mandatory redemption in whole on the Final Maturity Date, as fully set out in Condition 9.1 (Final Redemption); (b) mandatory redemption in part on any Interest Payment Date prior to the delivery of an Enforcement Notice subject to availability of Available Principal Receipts, as fully set out in Condition 9.2 (Mandatory Redemption in part); (c) optional redemption exercisable by the Issuer in whole on any Interest Payment Date where the Sterling Equivalent Principal Amount Outstanding of all the Notes is equal to or less than 10 per cent. of the aggregate Sterling Equivalent Principal Amount Outstanding of the Notes as at the Closing Date, as fully set out in Condition 9.3 (a) (Optional Redemption in whole); (d) optional redemption exercisable by the Issuer in whole on or after the Step-Up Date, as fully set out in Condition 9.3 (b) (Optional Redemption in whole); and (e) optional redemption exercisable by the Issuer in whole for tax reasons, as fully set out in Condition 9.4 (Optional Redemption in whole for taxation reasons). Subject to the Issuer having sufficient funds available for this purpose, each Note redeemed will be redeemed in an amount equal to the Principal Amount Outstanding of the relevant Note together with accrued (and unpaid) interest on the Principal Amount Outstanding of the relevant Note up to (but excluding) the date of redemption. p. 204 Investor Report Page 16

17 Conditions Required Value Current Value Status Condition Consequences if breached Prospectus Further Advance (a) no Event of Default has occurred and is continuing; If a Notice of Non- p. 105 Conditions <=12.5% 1.852% <=7.5% 0.421% >=1.00% 2.674% Product Switch (a) no Event of Default has occurred and is continuing; If a Notice of Non- p. 107 Conditions (b) relevant rating levels met by RBS; (c) no Seller Insolvency Event has occurred; <=7.5% 0.421% (b) relevant rating levels met by RBS; (c) no Seller Insolvency Event has occurred; (d) the purchase of the Further Advance will not result in the aggregate principal balance outstanding of all Further Advances purchased by the Issuer exceeding per cent. of the aggregate Sterling Equivalent Principal Amount Outstanding of the Notes as at the Closing Date; (e) if required, the Basis Swap Agreement will be appropriately varied or, if appropriate, the Issuer will enter into a new basis rate swap in order to hedge against the interest rate payable on the Loan subject to the Further Advance and the floating rate of interest payable on the Notes; (f) where applicable, NatWest has consented to the Further Advance being made by NWB; (g) the Capital Balance of the Loans comprising the Portfolio, in respect of which the aggregate amount in arrears is more than three times the monthly payment payable, is not greater than 7.5 per cent. of the aggregate Capital Balance of the Loans comprising the Portfolio; (h) the General Reserve Fund is at the General Reserve Required Amount; (i) the Class A Principal Deficiency Sub-Ledger does not have a debit balance as at the most recent Interest Payment Date after applying all Available Revenue Receipts and the General Reserve Fund (if permitted in accordance with the terms of the Transaction Documents); and (j) after giving effect to the margin generated by the Basis Rate Swaps, the weighted average yield of the Loans in the Portfolio is at least three months GBP LIBOR plus 1.00 per cent (d) if required, the Basis Swap Agreement will be appropriately varied or, if appropriate, the Issuer will enter into a new basis swap in order to hedge against the interest rate payable on the Loan subject to the Product Switch and the floating rate of interest payable on the Notes; (e) the Product Switch will be effected by such means as would be adopted by the relevant Seller, for the purpose of ensuring the validity and priority of the Loan, were such switch in respect of a loan advanced by the relevant Seller which is not part of the Portfolio; (f) the Product Switch will be similar to switches offered to the relevant Seller's mortgage Borrowers whose mortgages do not form part of the Portfolio; (g) the Product Switch will not result in the Loan, which is subject to such Product Switch, being a Flexible Loan; (h) the Capital Balance of the Loans comprising the Portfolio, in respect of which the aggregate amount in arrears is more than three times the monthly payment payable, is not greater than 7.5 per cent. of the aggregate Capital Balance of the Loans comprising the Portfolio; (i) the General Reserve Fund is at the General Reserve Required Amount; (j) the Class A Principal Deficiency Sub-Ledger does not have a debit balance as at the most recent Interest Payment Date after applying all Available Revenue Receipts and the General Reserve Fund (if permitted in accordance with the terms of the Transaction Documents); and Satisfaction of Further Advance Conditions has been given by the Sellers to the Issuer and has yet to be revoked by the Sellers no later than 12 noon on the London Business Day prior to the relevant Advance Date, then the relevant Seller must repurchase the relevant Loan and its Related Security from the Issuer on the Advance Date. Satisfaction of Product Switch Conditions has been given by the Sellers to the Issuer and has yet to be revoked by the Sellers no later than 12 noon on the London Business Day prior to the relevant Switch Date, then the relevant Seller must repurchase the relevant Loan and its Related Security from the Issuer on the Switch Date. >=1.00% 2.674% (k) after giving effect to the margin generated by the Basis Rate Swaps, the weighted average yield of the Loans in the Portfolio is at least three months GBP LIBOR plus 1.00 per cent. Investor Report Page 17

18 Conditions (cont'd) Required Value Current Value Status Condition Consequences if breached Prospectus Substitution Conditions (a) no Event of Default has occurred and is continuing; Any Substitute Loan p. 109 (b) no Seller Insolvency Event has occurred; (c) relevant rating levels met by RBS; (d) if required, the Basis Swap Agreement will be appropriately varied or, if appropriate, the Issuer will enter into a new basis swap in order to hedge against the interest rate payable on the Substitute Loan and the floating rate of interest payable on the Notes; (e) the Substitute Loan and Related Security constitutes the same ranking and priority security over a Property as the security provided in respect of the relevant repurchased Loan; (f) a Loan may be a Substitute Loan only if its corresponding repurchased Loan is of the same Loan Product Type save that, in respect of the repurchase by the Seller of an Interest-Only Converted Loan pursuant to Clause 7 (Interest-Only Converted Loans) of the Mortgage Sale Agreement, the Substitute Loan shall not be an Interest-Only Loan; and (g) a Substitute Loan may not be a buy-to-let loan. will be assigned to the Issuer unless the Sellers have given notice to the Issuer no later than one London Business Day prior to the Substitution Date that any of the Substitution Conditions are not satisfied (a "Notice of Non- Satisfaction of Substitution Conditions") has been given by the Sellers to the Issuer and such notice has not been revoked by the Sellers no later than the London Business Day prior to the date that the substitution is made (the "Substitution Date"). Interest-Only Converted Loans Trigger <=30% 0.144% An amount (expressed as a percentage) equal to the aggregate Capital Balance of the Interest-Only Converted Loans with respect to all previous Collection Periods in the Portfolio as at such Calculation Date divided by the aggregate Capital Balance of Repayment Loans in the Portfolio as at the Closing Date, multiplied by 100 on such Calculation Date is an amount greater than (but not equal to) 30 per cent. p. 110 If an Administrator delivers to any Seller an Interest-Only Loan Conversion Repurchase Notice having determined, on any Calculation Date, that the Interest-Only Converted Loans Calculation Percentage shall exceed the Interest-Only Converted Loans Trigger on the Interest Payment Date immediately following such Calculation Date, then the relevant Seller shall (in accordance with the terms of the Mortgage Sale Agreement) repurchase all Interest-Only Loans in the Portfolio and their Related Security (and any other Loan or Loans secured or intended to be secured by that Related Security or any part of it) which converted into Interest-Only Converted Loans during the previous Collection Period and which convert into Interest-Only Converted Loans in subsequent Collection Periods, on an on-going basis, until the date on which an Interest-Only Converted Loans Stop Notice is delivered in accordance with the provisions of the Mortgage Sale Agreement. Such repurchase shall take place on or prior to the relevant Interest-Only Converted Loans Repurchase Cut-off Date. Investor Report Page 18

19 Glossary Description Arrears Arrears Capitalisation From time to time, where a borrower has demonstrated a regular payment history following previous arrears, the relevant Seller may capitalise any outstanding amounts in arrears. In those circumstances, the relevant Seller will set the arrears tracking balance to zero and the related loan will no longer be considered to be in arrears. The outstanding balance will be required to be repaid over the remaining term of such loan although the relevant Seller may agree, in exceptional circumstances, to extend the term of the loan. Where arrears are capitalised in relation to a Loan within the Portfolio, no extension will be made which results in the maturity date for that Loan exceeding the date which falls two years prior to the latest Final Maturity Date for the Notes. Constant Default Rate In the relevant table, (CDR) periodic annualised CDR is calculated as 1 ((1 quarterly CDR) ^ 4), where quarterly CDR is (i) balance of new repossessions during the relevant period, divided by (ii) performing balance as at the start of that period. Constant Prepayment In the relevant table, Rate (CPR) 1-month annualised CPR is calculated as 1 ((1 monthly CPR) ^ 12), 3-month average CPR is calculated as the rolling average of the last three 1-month annualised CPR where monthly CPR is (i) total reduction in the principal balance (the main components of which are scheduled monthly repayments and full and part redemptions net of further advances) during the relevant period, divided by (ii) the aggregate outstanding principal balance of the pool as at the start of that period. Defaulted Loan For reporting purposes, loan is considered to be in default at the point of repossession. Indexed Indexation is applied quarterly. Halifax Price Index is used. LTV For the purposes of LTV calculation charged interest and fees are included in the relevant balance Months in arrears For reporting purposes, months in arrears figure is calculated as arrears balance divided by monthly payment Principal Payment In the relevant table, Rate (PPR) 1-month annualised PPR is calculated as 1 ((1 monthly PPR) ^ 12), 3-month average PPR is calculated as the rolling average of the last three 1-month annualised PPR where monthly PPR is (i) reduction in the principal balance due to full and part redemptions net of further advances during the relevant period, divided by (ii) the aggregate outstanding principal balance of the pool as at the start of that period. Regions For Regional analysis Regions are assigned in accordance with internal RBSG classification Repurchases True balance is used for Repurchases analysis Substitutions True balance of new loans added to the pool is shown; Substitutions are permitted until the 1st of January For further details please refer to Prospectus, p. 104 True Balance Loss Severity in Period In Arrears means, in respect of a Mortgage Account, that one or more Monthly Payments in respect of such Mortgage Account have become due and unpaid (either in whole or in part) by a Borrower. Unless specified otherwise, all asset reporting is based on True Balance as of the specified date. True Balance is an amount equal to the outstanding principal balance plus arrears of interest and accrued interest and un-capitalised charges and expenses thereon of the Loan. Losses in Period/Value of loss making loans. Loss Severity To Date Total losses / Total value of loss making loans. Investor Report Page 19