Arkle Master Issuer Monthly Investor Report

Transcription

1 Reporting Date Reporting Period 16 ovember October 31 October 2015 Quarterly Accrual Period 17 August ovember 2015 Semi Annual Accrual Period 17 August February 2016 Contact Details ame Telephone Mailing Address Andy Titchen andytitchen@lloydsbanking.com Lloyds Banking Group, PO Box 81, Pendeford Business Park, Wolverhampton, WV9 5HZ Sarb Bhatti sarb.bhatti@lloydsbanking.com Lloyds Banking Group, PO Box 81, Pendeford Business Park, Wolverhampton, WV9 5HZ Investor reports, prospectus, key transaction documents and loan level data may be obtained at Mortgages Trust Summary Outstanding principal balance start period Outstanding principal balance end period 13,354,064, accounts at start of period 149,169 13,148,609, accounts at end of period 147,190 Funding 1 Intercompany Loans plus Funding 1 Z Loans outstanding less Cash Accumulation Ledger balance less Funding 1 Principal Ledger balance less Principal Deficiency Ledger balance Funding 1 Share Funding 1 Share % Seller Share Seller Share % Minimum Seller Share Minimum Seller Share % 3,774,431, ,438,600, ,431, ,388,600, % 8,760,009, % 791,862, % 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 Aggregate amount of principal balance % of Arrears accounts % of 12,953,564, % 394, , % 138,132, % 794, , % 43,044, % 458, % 13,868, % 184, % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 13,148,609, ,831, ,190 Capitalised Arrears Current Period Amount 1, Properties in possession Balance as at 30 September 15 Repossessed Sold Relinquished to borrower Repurchased Balance as at 31 October 15 % of balance % of Arrears accounts 0.00% 0.00% 161, % % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 161, % % Cumulative accounts 2,651 2, Average days from possession to sale (this period) 0 Asset Yield Standard Variable Rate Homeowner Variable Rate Weighted Average Pre Swap Mortgage Yield Weighted Average Post Swap Mortgage Yield (over 3m LIBOR) Minimum Post Swap Mortgage Yield (over 3m LIBOR) % 2.50% 3.99% 2.37% 1.92% 1.45% Loan Repurchases Reason Further Advance and/or Product Switch Warranty breaches Arrears repurchases Principal proceeds accounts 16,533, ,085, ,618, Loan Additions Additions Current period To date Balance of accounts 47,784,140, accounts 422,061 Principal Payment Rate Constant Payment Rate Monthly 1month 3month 12month Monthly 1month Month PPR annualised average average Month CPR annualised Oct % 17.05% 17.27% 16.24% Oct % 14.41% Sep % 18.17% 17.99% 16.07% Sep % 15.55% Aug % 16.60% 16.82% 15.88% Aug % 13.80% 3month average 14.58% 15.31% 14.12% 12month average 13.50% 13.32% 13.12% Page 1 of 11

2 Range of LTV ratios at origination principal balance % of accounts % of 0% to 25% > 25% to 50% > 50% to 75% > 75% to 80% > 80% to 85% > 85% to 90% > 90% to 95% > 95% to 100% 263,532, ,497,443, ,818,864, ,329,302, ,069,812, ,923,873, ,163,196, ,348, % 11.39% 29.04% 10.11% 8.14% 22.24% 16.45% 0.57% 8,051 27,931 43,785 11,966 9,483 23,189 21, % 18.98% 29.75% 8.13% 6.44% 15.75% 14.94% 0.45% Maximum Original LTV > 100% 7,235, % % Minimum Original LTV 13,148,609, ,190 Weighted average Original LTV % 0.00% 74.44% Range of LTV ratios at end of reporting period principal balance % of accounts % of 0% to 25% > 25% to 50% > 50% to 75% > 75% to 80% > 80% to 85% > 85% to 90% > 90% to 95% > 95% to 100% 1,928,598, ,426,092, ,979,862, ,272, ,191, ,420, ,183, ,534, % 33.66% 37.87% 4.47% 3.73% 2.73% 1.80% 0.86% 54,674 45,162 35,803 3,804 3,126 2,258 1, % 30.68% 24.32% 2.58% 2.12% 1.53% 0.99% 0.48% Maximum Current LTV > 100% 27,453, % % Minimum Current LTV 13,148,609, ,190 Weighted average Current LTV % 0.00% 50.29% Range of outstanding balances at end of period principal balance % of accounts % of 0 to <25,000 25,000 to <50,000 50,000 to <75,000 75,000 to <100, ,000 to <125, ,000 to <150, ,000 to <175, ,000 to <200, ,000 to <225, ,000 to <250, ,000 to <275, ,000 to <300, ,000 to <350, ,000 to <400, ,000 to <450, ,000 to <500, ,000 to < 600, ,000 to < 700, ,000 to < 800, ,000 to < 900, ,625, ,054,943, ,457,611, ,659,653, ,589,909, ,346,114, ,065,822, ,048, ,808, ,569, ,634, ,232, ,513, ,154, ,019, ,310, ,113, ,299, ,582, ,360, % 8.02% 11.09% 12.62% 12.09% 10.24% 8.11% 6.12% 4.77% 3.69% 3.08% 2.44% 3.60% 2.66% 1.86% 1.52% 2.03% 1.49% 0.86% 0.53% 29,240 28,289 23,470 19,071 14,209 9,837 6,603 4,303 2,961 2,051 1,554 1,113 1, % 19.22% 15.95% 12.96% 9.65% 6.68% 4.49% 2.92% 2.01% 1.39% 1.06% 0.76% 1.00% 0.64% 0.39% 0.29% 0.33% 0.21% 0.10% 0.06% Maximum current balance 900,000 to < 1,000,000 47,282, % % Minimum current balance 13,148,609, ,190 Average current balance 998, , , Region East Anglia East Midlands Greater London orthern orth West Scotland South East South West Wales West Midlands Yorkshire & Humberside principal balance % of accounts % of 464,229, % 5, % 769,926, % 10, % 2,182,053, % 15, % 542,482, % 8, % 1,038,949, % 14, % 252,718, % 3, % 3,163,907, % 28, % 1,824,376, % 20, % 610,437, % 8, % 1,526,629, % 19, % 772,899, % 11, % 13,148,609, ,190 Property type Detached house Semidetached house Terraced house Flat or maisonette Bungalow principal balance % of accounts 3,876,807, % 28,477 3,885,096, % 54,275 3,056,241, % 40,419 1,663,620, % 16, ,843, % 7,938 13,148,609, ,190 % of 19.35% 36.87% 27.46% 10.93% 5.39% Page 2 of 11

3 Seasoning in months principal balance % of loans % of 24 to <36 36 to <48 48 to <60 60 to <72 72 to <84 84 to <96 96 to < to < ,537, ,000, ,651, ,004, ,387, ,383, ,999,076, ,730,134, % 0.05% 0.04% 0.01% 6.42% 3.56% 22.81% 20.76% 3, ,001 8,378 53,221 51, % 0.05% 0.04% 0.01% 5.14% 2.69% 17.09% 16.68% Maximum seasoning =>120 5,969,434, % 178, % Minimum seasoning 13,148,609, ,344 Weighted average seasoning Years to maturity principal balance % of loans % of 0 to <5 5 to <10 10 to <15 15 to <20 20 to <25 25 to <30 1,471,826, ,671,158, ,869,666, ,144,249, ,322, ,257, % 20.32% 37.04% 23.91% 5.24% 2.21% 58,037 80, ,547 51,161 12,570 5, % 25.89% 33.26% 16.43% 4.04% 1.68% Maximum remaining term 30 to <35 12,128, % % Minimum remaining term 13,148,609, ,344 Weighted average remaining term Use of proceeds Purchase Remortgage principal balance % of loans 7,906,539, % 198,604 5,242,069, % 112,740 13,148,609, ,344 % of 63.79% 36.21% Repayment terms Repayment Interest Only principal balance % of loans 5,374,646, % 188,867 7,773,963, % 122,477 13,148,609, ,344 % of 60.66% 39.34% Payment method Direct debit Other principal balance % of loans 12,583,127, % 296, ,482, % 14,565 13,148,609, ,344 % of 95.32% 4.68% Origination channel Direct Intermediary / Other principal balance % of loans 7,325,658, % 217,762 5,822,951, % 93,582 13,148,609, ,344 % of 69.94% 30.06% Type of loan Fixed rate Tracker rate Discretionary Rate principal balance % of 300,516, % 1,693,847, % 11,154,245, % 13,148,609, loans 8,682 33, , ,344 % of 2.79% 10.61% 86.60% Distribution of fixed rate loans Fixed rate % principal balance % of loans 0.00% to 2.99% 3.00% to 3.99% 4.00% to 4.99% 5.00% to 5.99% 6.00% to 6.99% 108,057, ,193, ,894, ,540, ,831, ,516, % 23.36% 15.27% 19.48% 5.93% 2,671 2,086 1,222 1, ,682 % of 30.76% 24.03% 14.08% 20.21% 10.92% Year in which current fixed rate period ends principal balance % of loans 24,710, % ,818, % 3,055 48,386, % 1,099 78,403, % 2,227 47,866, % 1,424 5,331, % ,516, ,682 % of 8.33% 35.19% 12.66% 25.65% 16.40% 1.77% Page 3 of 11

4 Outstanding Issuance Series ame Series 5 A Series 5 B Series 5 M Series 5 C Issue Date 10 May May May May 2010 Orig Rating (Moody's/S&P/Fitch) Aaa(sf)/AAA(sf)/AAA(sf) AA(sf)/AA(sf)/Aa3(sf) A(sf)/A(sf)/A2(sf) BBB(sf)/BBB(sf)/Baa2(sf) Curr Rating (Moody's/S&P/Fitch) Aaa(sf)/AAA(sf)/AAA(sf) AA(sf)/AA(sf)/Aa3(sf) A(sf)/A(sf)/A2(sf) BBB(sf)/BBB(sf)/Baa2(sf) Currency GBP GBP GBP GBP Issue Size Outstanding Amount 1 Equivalent Exchange Rate Bond Structure 400,000, ,000, ,000,000 Bullet Redemption 230,000, ,000, ,000,000 Passthrough 45,000,000 45,000,000 45,000,000 Passthrough 125,000, ,000, ,000,000 Passthrough Pool Factor 1 Scheduled Maturity Date Final Maturity Date ISI 17 Feb 2017 XS Feb 2017 XS Feb 2017 XS Feb 2017 XS ISI: 144A Stock Exchange Listing London London London London Coupon Payment Frequency Semiannually Quarterly Quarterly Quarterly Coupon Payment Date 2 17 Aug/Feb 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May Reference Rate Fixed 3m Libor 3m Libor 3m Libor Rate Fixing Margin Current Rate ext Interest Payment Date Last Interest Payment Date Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall % 17Feb16 17Aug15 9,362, ,362, % % 17ov15 17Aug15 393, , % % 17ov15 17Aug15 77, , % % 17ov15 17Aug15 214, , Series ame Series 2A Series 3A Series 4A Issue Date 21 Oct Oct Oct 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 EUR GBP GBP Issue Size Outstanding Amount 1 Equivalent Exchange Rate Bond Structure 800,000,000 Bullet Redemption 1,250,000,000 1,250,000,000 1,250,000,000 Bullet Redemption 400,000, ,000, ,000,000 Bullet Redemption Pool Factor 1 Scheduled Maturity Date Final Maturity Date ISI 17 Aug 2015 XS Aug 2016 XS Aug 2017 XS ISI: 144A US041239CG72 Stock Exchange Listing London London London Coupon Payment Frequency Quarterly Quarterly Semiannually Coupon Payment Date 2 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/Feb Reference Rate 3m Euribor 3m Libor Fixed Rate Fixing Margin Current Rate ext Interest Payment Date Last Interest Payment Date Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall 17Aug % % 17ov15 17Aug15 6,597, ,015, ,015, ,597, ,000, ,000,000 Cumulative Principal Shortfall % 17Feb16 17Aug15 7,972, ,972, Page 4 of 11

5 Series ame Series 3 A Series 3 A2 Issue Date 27 Jul Jul 2011 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 USD GBP Issue Size $470,000,000 Outstanding Amount 1 Equivalent Exchange Rate Bond Structure Bullet Redemption Bullet Redemption Pool Factor 1 17 Aug 2015 Scheduled Maturity Date Final Maturity Date ISI XS XS ISI: 144A US041239CM41 Stock Exchange Listing London London Coupon Payment Frequency Quarterly Quarterly Coupon Payment Date 2 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May Reference Rate 3m US$ Libor 3m Libor Rate Fixing Margin Current Rate ext Interest Payment Date Last Interest Payment Date Expected Coupon Amount Coupon Amount Paid Interest Shortfall Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall 17 Aug Aug15 $2,050, $2,050, $470,000,000 $470,000, ,000,000 17Aug15 1,508, ,508, ,000, ,000,000 Series ame Series 2 A Series 2 A Series 2 A Series 2 A Series 3 A Series 4 A Issue Date 14 Feb Feb Feb Feb Feb Feb 2012 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) 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) Aaa(sf)/AAA(sf)/AAA(sf) Currency USD EUR JPY GBP GBP GBP Issue Size Outstanding Amount 1 Equivalent Exchange Rate Bond Structure $1,100,000,000 $366,666, ,273, ,300,000, ,333, ,580, ,000,000,000 20,000,000, ,911, ,000,000 66,666,667 66,666, ,000, ,000, ,000, ,000, ,000, ,000,000 Pool Factor 1 Scheduled Maturity Date ov ov ov ov Aug17 & 17 ov17 17 Aug21 & 17 ov21 Final Maturity Date ISI XS XS XS XS XS XS ISI: 144A US041239CP71 XS XS XS XS XS Stock Exchange Listing London London London London London London Coupon Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Coupon Payment Date 2 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May 17 Aug/ov/Feb/May Reference Rate 3m US$ Libor 3m Euribor 3m JPY Libor 3m Libor 3m Libor 3m Libor Rate Fixing Margin Current Rate ext Interest Payment Date Last Interest Payment Date Expected Coupon Amount Coupon Amount Paid Interest Shortfall % % % 17ov15 17Aug15 $1,831, $1,831, % % % 17ov15 17Aug15 1,633, ,633, % % % 17ov15 17Aug15 68,214, ,214, % % 17ov15 17Aug15 385, , % % 17ov15 17Aug15 1,807, ,807, % % 17ov15 17Aug15 1,205, ,205, Cumulative Interest Shortfall Scheduled Principal Payment Principal Paid Principal Shortfall Cumulative Principal Shortfall 1 As at end of latest completed Interest Period and following waterfall reported on p10 2 If the 17th falls on a weekend or US bank holiday then the next business day Page 5 of 11

6 Credit Enhancement Class Class A notes Class B notes Class M notes Class C notes notes Z Loan Reserve Amount (GBP equivalent) % of 3,374,431, % 230,000, % 45,000, % 125,000, % 3,774,431, % 1,438,600, % 5,213,031, ,300, % Support 40.86% 36.45% 35.58% 33.18% Z Loan Required Amounts Funding 1 1,438,600,000 Excess Spread Arkle Funding 1 Monthly Quarterly Amount 6,670, % 0.99% 0.71% 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 1 Liquidity Reserve Fund, which will be funded upon the requisite rating downgrade (see Ratings Triggers) up to the Funding 1 Liquidity Reserve Fund Required Amount, being 3% of the outstanding otes. Ledgers Funding 1 Share / Seller Share Ledger Date 01 Oct Sep Aug 2015 Collateral pool balance 13,354,064, ,578,909, ,785,243, Funding 1 Share 4,388,600, ,388,600, ,577,743, Seller Share 8,965,464, ,190,309, ,207,499, Funding 1 Share % % % Seller Share % % % Losses Ledger Month Oct 2015 Sep 2015 Aug 2015 Losses in month Recoveries in month 7, , Funding 1 share of losses Seller share of losses 2, , , , Cumulative losses 72,620, ,627, ,638, Funding 1 Principal Deficiency Ledger (Z Loan subledger) Month Oct 2015 Sep 2015 Aug 2015 Debit Credit 1, Balance Funding 1 Reserve Ledger Month Oct 2015 Sep 2015 Aug 2015 Debit Credit Balance Funding 1 Reserve Required Amount Funding 1 Yield Reserve Ledger Month Oct 2015 Sep 2015 Aug 2015 Debit 3,066, Credit Balance 358,581, ,581, ,581, Page 6 of 11

7 Bank Accounts Balance Mortgages Trustee GIC Account Date 31 Oct Sep Aug 2015 Revenue Ledger 26,172, ,503, ,376, Principal Ledger 206,374, ,983, ,903, Bank Balance 3 232,547, ,487, ,280, Including cash from assets for last day of month collected first working day of the following month Funding 1 GIC Account Date Revenue Ledger Principal Ledger 31 Oct ,618, Sep ,855, Aug , Cash Accumulation Ledger 824,431, ,431, ,287, Retained Profit General Reserve Ledger Yield Reserve Ledger 46, ,581, , ,581, , ,581, Bank Balance 1,492,978, ,484,214, ,285,826, Funding 1 GIC & Collateralised GIC Account Collateralised GIC Date GIC Account Account 31 Oct ,990, ,467,987, Sep ,015, ,459,199, Aug ,090, ,255,735, Bank Balance 1,492,978, ,484,214, ,285,826, Master Issuer Capital & Transaction Account Aggregate Bank Date Issuer Profit Capital Balance 31 Oct , , , Sep , , , Aug , , , Funding Swap Funding 1 Swap Provider Calculation Period 7 May Aug 2015 Blended rate in Funding 1 Swap Blended rate otional Period Provider Amount in Period Funding 1 Amount 4,908,618, % 30,599, % 29,219, Amount paid or received at end of latest completed Funding 1 Interest Period 4 A negative figure represents a payment by Funding 1 and a positive figure is a receipt on the waterfall payment date. Calculation based on the Funding 1 share of performing loans. et Funding 1 SWAP Provider Amount 4 1,379, ,379, Issuing Entity Swaps Currency Swap Issue & Class Provider A A A A A2 atixis A3 Interest Swap Issue & Class Provider A A Currency Swap Provider Amounts 5 Arkle Master Issuer GBP Amounts 5 Floating Amount Principal Amount Floating Amount Principal Amount EUR 3,015, EUR 800,000, GBP 4,388, GBP 699,600, USD 2,050, USD 470,000, GBP 1,669, GBP 289,337, USD 1,831, USD GBP 1,338, GBP EUR 1,005, EUR GBP 1,416, GBP EUR 628, EUR GBP 1,023, GBP JPY 68,214, JPY GBP 1,047, GBP Interest Swap Provider Amounts 5 Arkle Master Issuer GBP Amounts 5 Fixed Amount Principal Amount Floating Amount Principal Amount GBP 9,362, GBP GBP 2,391, GBP GBP 7,972, GBP GBP 2,611, GBP 5 Paid in latest waterfall reported on p10 Page 7 of 11

8 Rating Triggers Transaction Party Seller: Required Ratings (Fitch / Moody's / S&P) F1+ / P1 / A Consequence of Trigger The seller shall on any sale date, deliver a solvency certificate to, inter alios, the mortgages trustee in form and substance satisfactory to the relevant rating agency Current Ratings (Fitch / Moody's / S&P) F1 / P1 / A1 Funding 1 Swap Provider: Issuing Entity Swap Provider: Issuing Entity Swap Provider: atixis Servicer: / / A3 BBB / Baa1 / BBB / Baa3 / A3 A / A3 / F1 / P1 / A1 F3 / / BBB / / F1 / P1 / A1 F3 / / BBB / / F1 / P1 / A1 F3 / / BBB / / / / A2 BBB / Baa3 / The Seller shall prepare draft letter of notice to each borrower of the sale and purchase effected by the Mortgage Sale Agreement. Loan assignments or assignations (as appropriate) to be perfected unless the relevant rating agency confirms in writing that the then current rating of the notes will not be downgraded, withdrawn or qualified. Establishment of the Funding 1 Liquidity Reserve Fund unless the relevant rating agency confirms in writing that the then current rating of the notes will not be downgraded, withdrawn or qualified. Requirement to post collateral, replace the Funding 1 Swap Provider or obtain a guarantee of the Funding 1 Swap Provider's obligations. Requirement to replace the Funding 1 Swap Provider or obtain a guarantee of the Funding 1 Swap Provider's obligations (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. Requirement to replace the Issuing Entity Swap Provider or obtain a guarantee of the Issuing Entity Swap Provider's obligations (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. Requirement to replace the Issuing Entity Swap Provider or obtain a guarantee of the Issuing Entity Swap Provider's obligations (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. F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 Account Bank: Funding 1 Collateralised GIC Account Bank: Issuing Entity Account Bank: F1 / P1 / A1 / / BBB / / F1 / P1 / A1 A / / A F2 / P2 / A2 BBB / / BBB F1 / P1 / A1 A / / A Requirement to terminate the Mortgage Trustee Bank Agreement and close the Mortgages Trustee Bank Accounts within 60 days unless an account is opened with a standby mortgages trustee account bank with the requisite ratings. Requirement to terminate the Mortgage Trustee Bank Agreement and close the Mortgages Trustee Bank Accounts within 30 days. Amounts standing to credit these accounts shall be transferred to the account opened with a standby mortgages trustee account bank with the requisite ratings. Requirement to close the Funding 1 bank accounts and seek a replacement Account Bank, unless the rating agencies confirm the then current ratings of the notes are not affected or a guarantee of the Account Bank's obligations is obtained. All amounts standing to the credit of Funding 1 Collateralised GIC Account Bank will be transferred to the Funding 1 GIC account and eligible collateral released back to Funding 1 Collateralised GIC Account Bank. Requirement to close the Issuing Entity bank accounts and seek a replacement Issuing Entity Account Bank, unless the rating agencies confirm 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 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 F1 / P1 / A1 Page 8 of 11

9 onrating Triggers onasset Trigger Events ature of Trigger Insolvency Event Substitution of Servicer Breach of Minimum Seller Share on two consecutive trust calculation days. Breach of required loan balance amount Description of Trigger An Insolvency Event in relation to the Seller. The Seller's role as Servicer is terminated and a new servicer is not appointed within 60 days. The Seller share to the trust is less than the Minimum Seller Share two consecutive trust calculation days. 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. Consequence of onasset Trigger Event Mortgages Trust Available Principal Receipts will be applied first to Funding 1 according to it's respective share in the trust until its share in the Trust is zero and then to the Seller. Trigger occurred? Asset Trigger Events ature of Trigger Principal deficiency Description of Trigger Principal losses on the loans in the portfolio reach a level causing an amount to be debited to the Funding 1 AAA Principal Deficiency Subledger. Consequence of onasset Trigger Event Mortgages Trust Available Principal Receipts will be applied first to Funding 1 according to it's respective share in the trust until its share in the Trust is zero and then to the Seller. Trigger occurred? Other Triggers ature of Trigger Mortgage Sale Agreement General Reserve Step Up Triggers Other Triggers Description of Trigger Loans with an arrears amount which is more than three times the monthly payment due account for more than 4% 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 and assignment of loans to the mortgages trust will not result in a breach of any of the Fitch conditions (as the same may be amended from time to time) as calculated on the relevant sale date. The yield of the Loans in the Mortgages Trust is less than three month Sterling LIBOR plus the Minimum Trust Property Yield Margin. The stepup date in respect of any class of notes has been reached and the option to redeem the relevant class of notes has not been exercised, in accordance with the terms and conditions of that class of notes. The aggregate of amounts in arrears in respect of the loans, as a percentage of the gross interest due on all loans in the mortgages trust during the immediately preceding 12 months, does not exceed 2%. Assignment of new loans does not result in the Moody's portfolio variation test value exceeding the most recently determined Moody's portfolio variation test value plus 0.30%. The aggregate current balance of the loans in the mortgages trust in arrears for more than 90 days divided by the aggregate current balance of all the loans in the mortgages trust (expressed as a percentage) exceeds 3%. The aggregate of amounts in arrears in respect of the loans, as a percentage of the gross interest due on all loans in the mortgages trust during the immediately preceding 12 months exceeds 3%. Interest only percentage must not exceed 55%. Post Swap Yield must exceed 3m LIBOR + 145bp. Fitch WA OLTV must not exceed the value as at the most recent closing date, plus 4%. Fitch OLTV >80% must not exceed the value as at the most recent closing date, plus 3%. Fitch WA CLTV must not exceed the value as at the most recent closing date, plus 2%. WA Debt to Income Ratio must not exceed the value as at the most recent closing date, plus 0.2%. Consequence of Trigger Seller unable to sell new portfolio to Mortgages Trustee and requirement for the Seller to repurchase any Loans subject to a Product Switch. The required balance of the General Reserve Fund will step up. Qualifying product switches to be repurchased from January o further loan sales can take place into the portfolio without specific Rating Agency consent. Trigger occurred? Y Y Page 9 of 11

10 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 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 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 1 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 4 ovember 2015 Mortgages Trust Revenue Receipts 26,172, Mortgages Trust Principal Receipts 206,374, Distribution Amounts due to the Servicer 907, Paid to Funding 1 Other amounts due Paid to the Seller 206,374, Paid to Funding 1 Paid to the Seller 8,305, ,960, ,172, ,374, Funding 1 Waterfall 17 August 2015 Funding 1 Available Revenue Receipts All Mortgages Trust Revenue Receipts distributed Amounts paid by the Seller to Funding 1 Interest on the Funding 1 bank accounts Amounts received under the Funding 1 Swap Amounts standing to credit General Reserve Amounts made available from Yield Reserve Amounts made available from Liquidity Reserve Distribution Funding 1 Available Principal Receipts 28,569, All Mortgages Trust Principal Receipts distributed 607,014, Funding 1 Principal on Cash Accumulation Ledger 1,317,208, ,118, Amounts to be credited to PDL 1, ,379, Amounts made available from General Reserve Amounts made available from Liquidity Reserve 3,066, Any other amount on Funding 1 Principal Ledger 326,434, ,924,225, Senior fees Amounts due to the Master Issuer Amounts due to the Cash Manager Amounts payable under the Funding 1 Swap Interest on AAA Loan Tranches Interest on AA Loan Tranches Interest on A Loan Tranches Interest on BBB Loan Tranches CR to General Reserve Fund to required amount Funding 1 profit amount Towards a credit to the Z Loan PDL Interest on Z Loans Master Issuer profit Amounts due under the Startup Loans Deferred Consideration to the Seller 134, , , ,390, , , , , ,670, ,434, 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 1 Principal Ledger 1,288,937, ,287, ,924,225, Master Issuer Waterfall 17 August 2015 Master Issuer Revenue Receipts Master Issuer Principal Receipts Interest received in respect of Loan Tranches Fees received from Funding 1 Interest on the Master Issuer bank accounts Distribution Amounts due to the Cash Manager 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 Master Issuer profit amount 28,075, Principal repaid by Funding 1 per Master ICL 1,288,937, , ,201, ,288,937, , Amounts due to swap providers re Class A otes 988,937, ,886, Principal due on Class A otes 300,000, ,503, Amounts due to swap providers re Class B otes Principal due on Class B otes 393, Amounts due to swap providers re Class M otes Principal due on Class M otes 77, Amounts due to swap providers re Class C otes Principal due on Class C otes 214, ,201, ,288,937, Page 10 of 11

11 Key Counterparties Agent Bank Calculation Agent Common Depository Principal Paying Agent Registrar / Transfer Agent Security / ote Trustee Account Bank Seller Servicer Cash Manager / Issuer Cash Manager Start Up Loan Provider Arranger & Dealer Funding 1 Swap Provider Issuer Swap Providers Bank of ew York Mellon Bank of ew York Mellon Bank of ew York Mellon Bank of ew York Mellon Bank of ew York Mellon Bank of ew York Mellon atixis Glossary Arrears Arrears are calculated in accordance with standard market practice in the UK. A mortgage is identified as being in arrears when, on any due date, the overdue amounts which were due on previous due dates equal, in the aggregate, one or more full monthly payments. In making an arrears determination, the servicer calculates as of the date of determination the difference between the sum of all monthly payments that were due and payable by a borrower on any due date up to that date of determination (less the aggregate amount of all authorised underpayments made by such borrower up to such date of determination) and the sum of all payments actually made by that borrower up to that date of determination. If the result arrived at by dividing that difference (if any) by the amount of the required monthly payment equals or exceeds 1 the account is deemed to be in arrears. Arrears classification is determined based on the number of equivalent full current monthly payments that have been missed. A borrower that has missed payments that in the aggregate equal or exceeding 2 monthly payments (but for which the aggregate of missed payments is less than 3 monthly payments) would be classified being 2 to <3 months in arrears, and so on. The arrears table on page 1 does not include properties in possession. Arrears Capitalisation Policy Monthly Constant Prepayment Rate (CPR/PPR) We will consider capitalising arrears where a customer has made at least 6 consecutive full repayments since the last missed payment and the customer has provided consent for the capitalisation. Monthly CPR on any trust calculation date means the total unscheduled principal receipts received during the period of one month ending on that trust calculation date divided by the aggregate current balance of the loans comprised in the trust property as at the immediately preceding trust calculation date. Unscheduled Principal Repayments comprise payments from Lloyds for the repurchase of loans from the portfolio, and capital repayments and redemptions other than those received at the expected term end date of the loan. Monthly PPR on any trust calculation date means the total scheduled and unscheduled principal receipts received during the period of one month ending on that trust calculation date divided by the aggregate current balance of the loans comprised in the trust property as at the immediately preceding trust calculation date. These are annualised using the formula: 1((1M)^12) where M is the monthly CPR or PPR expressed as a percentage. Please note that CPR, as defined in the programme documentation, and as previously reported in the Investor Reports, corresponds with PPR in this revised format Investor Report. 3month/12 month average CPR / PPR Current Balance The average of the three/twelve most recent monthly annualised CPR / PPR expressed as a percentage. In relation to any Loan at any date (the current balance determination date), the aggregate at such date (avoiding double counting) of: (i) the Initial Advance; (ii) Further Advances and/or Flexible Loan Drawings; (iii) Capitalised Expenses; (iv) Capitalised Interest; and (v) all expenses, charges, fees, premium or payment due and owing by the Borrower which have not yet been capitalised, in each case relating to such Loan less all prepayments, repayments or payments of any of the foregoing made on or prior to the current balance determination date; and in relation to any Mortgage Account at the current balance determination date, the aggregate at such date of the Current Balance in respect of each Loan comprised in the relevant Mortgage Account. Expected Maturity Date Mortgage Account / Loan Origination Channel Purpose of Loan Original LTV Loan Seasoning Remaining Term Indexed LTV Indexed Valuation Excess Spread 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. 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. The origination channel of each loan. Direct origination includes loans originated in Lloyds and C&G branches, direct telephone sales and internet sales. Purpose of the initial loan origination, to finance the purchase of a new property or to remortgage a property already owned by the borrower. Based on original amount advanced on the date of the origination of the initial loan (excluding capitalised interest, high LTV fees, insurance fees, booking fees and valuation fees), divided by the value of the property securing the loans in that mortgage account at that date. The number of months since the date of origination of the loan. The number of remaining years of the term of each loan. The aggregate current balance of all loans within a mortgage account divided by the indexed valuation of the property securing the loans in that mortgage account at the reporting date. Indexation applied on regional and quarterly basis to property valuations in January, April, July and October annually using the Halifax House Price Index. Monthly excess spread is equal to the Funding 1 available revenue receipts after the payment of senior fees, Funding 1 swap, interest on the intercompany loan tranches and replenishment of the reserve fund. This is divided by the notes in issuance at the start of the period, and annualised to give a percentage. Quarterly excess spread is the actual quarterly cash amount as at the latest quarterly waterfall date. This is divided by the notes in issuance at the start of the period, and annualised to give a percentage. Product Balance Pre/Post Swap Mortgage Yield Month end spot balance. The pre swap mortgage yield is defined as the total revenue receipts generated by the mortgage assets in the period divided by the average mortgage balance for the period. Post Swap is after taking into account receipts/payments under the Funding 1 Interest rate swap. Page 11 of 11