Bank of Scotland plc 60 billion Covered Bond Programme Monthly Report September 2015

Transcription

1 Monthly Report September 2015 Administration Name of issuer Bank of Scotland plc Name of RCB programme 60 billion Covered Bond Programme Name, job title and contact details of person validating this form Tracey Hill Head of Securitisation Date of form submission 16 Oct 2015 Start Date of reporting period 1 Sep 2015 End Date of reporting period 30 Sep 2015 Web links prospectus, transaction documents, loanlevel data Counterparties, Ratings Counterparty/ies Fitch Moody's S&P DBRS Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating Covered bonds AAA Aaa AAA Issuer (1) Bank of Scotland plc F1 / A+ P1 / A1 A1 / A R1(middle)/ AA(low) Seller(s) (1) Bank of Scotland plc F1 / A+ P1 / A1 A1 / A R1(middle)/ AA(low) Cash manager (1) Bank of Scotland plc F1 / A+ P1 / A1 A1 / A R1(middle)/ AA(low) Account bank Bank of Scotland plc <F1 / <A F1 / A+ <P1 / P1 / A1 / <A A1 / A R1(middle)/ AA(low) Standby account bank ne Servicer(s) Bank of Scotland plc <BBB / F1 / A+ <Baa3 / P1 / A1 <BBB / A1 / A R1(middle)/ AA(low) Standby servicer(s) ne Swap provider(s) on cover pool (2) Bank of Scotland plc <F1 / <A F1 / A+ <P1 / <A2 P1 / A1 <A1 / <A A1 / A R1(middle)/ AA(low) Standby swap provider(s) on cover pool ne Swap notional amount(s) (GBP) (3) 11,389,240,420 Swap notional maturity/ies (3) LLP receive rate/margin (3) 1.88% LLP pay rate/margin (3) 3.89% Collateral posting amount(s) (GBP) (3) Accounts, Ledgers Value as of End Date of reporting Value as of Start Date of reporting Targeted Value period period Revenue receipts (please disclose all parts of waterfall) Revenue Receipts (on the Loans) 33,505,437 Bank Interest 65,566 Excess amount released from Reserve Fund Available Revenue Receipts 33,571,003 Senior fees (including Cash Manager & Servicer) 941,332 Amounts due under cover pool swap 18,833,874 Amounts due under Intercompany Loan 3,024,361 Deferred Consideration 10,768,435 Members' profit 3,000 Total distributed 33,571,003 Principal receipts (please disclose all parts of waterfall) Principal Receipts (on the Loans) 177,741,870 Any other amount standing to credit Principal Ledger Excess amount released PreMaturity Liquidity Ledger Cash Capital Contribution from Members Available Principal Receipts 177,741,870 Credit to PreMaturity Liquidity Ledger Acquisition of Loans (Replenishments) Credit to Principal Ledger Amounts due under Intercompany Loan Capital Distribution to Members 177,741,870 Total distributed 177,741,870 Reserve ledger Revenue ledger 33,571,003 34,894,164 Principal ledger 177,741, ,222,415 Prematurity liquidity ledger 1 of 8

2 Asset Coverage Test Value A 9,188,105,482 B Bank of Scotland plc 60 billion Covered Bond Programme Description Adjusted Aggregate Loan Amount Principal collections not yet applied C Qualifying additional collateral D Substitute assets E Proceeds of sold mortgage loans V Setoff offset loans W Personal secured loans X 8,240,186 Flexible draw capacity Y Setoff Z 181,173,038 Negative carry Total 8,998,692,259 Method used for calculating component 'A' (4) A(ii) Asset percentage (%) 81.5% Maximum asset percentage from Fitch (%) 86.0% Maximum asset percentage from Moody's (%) 89.0% Maximum asset percentage from S&P (%) 81.6% Maximum asset percentage from DBRS (%) Credit support as derived from ACT (GBP) 573,480,730 Credit support as derived from ACT (%) 6.8% ProgrammeLevel Characteristics Programme currency EUR Programme size 60,000,000,000 Covered bonds principal amount outstanding (GBP, nongbp series converted at swap FX rate) 8,425,211,529 Covered bonds principal amount outstanding (GBP, nongbp series converted at current spot rate) 7,991,671,696 Cover pool balance (GBP) 11,281,941,747 GIC account balance (GBP) (5) 211,312,872 Any additional collateral (please specify) ne Any additional collateral (GBP) Aggregate balance of offset mortgages (GBP) Aggregate deposits attaching to the cover pool (GBP) 34,124,580 Aggregate deposits attaching specifically to the offset mortgages (GBP) minal level of overcollateralisation (GBP) (6) 2,856,730,218 minal level of overcollateralisation (%) 33.9% Number of loans in cover pool 127,417 Average loan balance (GBP) 88,543 Weighted average nonindexed LTV (%) 62.8% Weighted average indexed LTV (%) 53.4% Weighted average seasoning (months) Weighted average remaining term (months) Weighted average interest rate (%) 3.62% Standard Variable Rate(s) (%) 3.99% & 3.89% Constant PrePayment Rate (%, current month) (7) Constant PrePayment Rate (%, quarterly average) (7) Principal Payment Rate (%, current month) 17.11% Principal Payment Rate (%, quarterly average) 17.13% Constant Default Rate (%, current month) (8) Constant Default Rate (%, quarterly average) (8) Fitch Discontinuity Cap (9) 4 (moderate) Moody's Timely Payment Indicator (10) Probable Moody's Collateral Score (%) (10) 5.2% 2 of 8

3 Mortgage collections (7) Mortgage collections (scheduled interest) 33,505,437 Mortgage collections (scheduled principal) Mortgage collections (unscheduled interest) Mortgage collections (unscheduled principal) 177,741,870 Loan Redemptions & Replenishments Since Previous Reporting Date Number % of total number Amount (GBP) % of total amount Loan redemptions since previous reporting date 1, % 116,345, % Loans bought back by seller(s) % 10,066, % of which are nonperforming loans % 7,695, % of which have breached R&Ws % 2,370, % Loans sold into the cover pool % 0.00% Product Rate Type and Reversionary Profiles (11) Weighted average Number % of total number Amount (GBP) % of total amount Current rate Remaining teaser period (months) Current margin (12) Reversionary margin (12) Initial rate (13) Fixed currently, reverting to SVR 26, % 2,960,732, % 2.58% % 0.00% 2.58% Fixed currently, reverting to Libor % 0.00% Fixed currently, reverting to tracker % 0.00% Fixed for life % 792, % 2.28% 2.28% 2.28% Tracker currently, reverting to SVR % 0.00% Tracker currently, reverting to Libor % 0.00% Tracker for life % 179, % 0.50% 0.00% 0.50% SVR, including discount to SVR 100, % 8,320,236, % 3.99% 0.00% 3.99% Libor % 0.00% 3.62% 3.62% Stratifications Arrears breakdown Number % of total number Amount (GBP) % of total amount Current 123, % 10,934,414, % 01 month in arrears 1, % 162,351, % 12 months in arrears 1, % 135,407, % 23 months in arrears % 40,253, % 36 months in arrears % 9,512, % 612 months in arrears % 2, % 12+ months in arrears % 0.00% Current nonindexed LTV Number % of total number Amount (GBP) % of total amount 050% 58, % 2,814,187, % 5055% 7, % 737,125, % 5560% 8, % 896,942, % 6065% 8, % 949,139, % 6570% 9, % 1,152,268, % 7075% 9, % 1,313,878, % 7580% 8, % 1,150,185, % 8085% 6, % 868,090, % 8590% 5, % 747,306, % 9095% 2, % 362,959, % 95100% 1, % 164,978, % % % 57,010, % % % 39,543, % % % 27,802, % 125% % 521, % 3 of 8

4 Current indexed LTV Number % of total number Amount (GBP) % of total amount 050% 73, % 4,551,746, % 5055% 9, % 1,093,567, % 5560% 9, % 1,202,946, % 6065% 9, % 1,133,319, % 6570% 8, % 1,031,823, % 7075% 6, % 831,186, % 7580% 4, % 560,575, % 8085% 3, % 422,120, % 8590% 1, % 255,178, % 9095% 1, % 141,312, % 95100% % 44,111, % % % 12,633, % % % 1,419, % % % 0.00% 125% % 0.00% Current outstanding balance of loan Number % of total number Amount (GBP) % of total amount 05,000 3, % 8,153, % 5,00010,000 3, % 27,489, % 10,00025,000 13, % 247,515, % 25,00050,000 23, % 882,446, % 50,00075,000 23, % 1,445,047, % 75,000100,000 19, % 1,685,583, % 100,000150,000 22, % 2,705,553, % 150,000200,000 9, % 1,616,715, % 200,000250,000 4, % 894,115, % 250,000300,000 1, % 475,248, % 300,000350, % 319,026, % 350,000400, % 238,629, % 400,000450, % 153,090, % 450,000500, % 135,008, % 500,000600, % 187,177, % 600,000700, % 113,472, % 700,000800, % 76,974, % 800,000900, % 41,369, % 900,0001,000, % 29,324, % 1,000, % 0.00% Regional distribution (14) Number % of total number Amount (GBP) % of total amount East Midlands 8, % 666,191, % East of England 9, % 1,029,244, % London 12, % 1,875,519, % rth East 6, % 429,969, % rth West 15, % 1,147,548, % Scotland 20, % 1,269,533, % South East 14, % 1,706,582, % South West 8, % 803,588, % Wales 5, % 422,382, % West Midlands 11, % 880,249, % Yorkshire And The Humber 14, % 1,048,334, % Unknown % 2,797, % 4 of 8

5 Repayment type (15) Number % of total number Amount (GBP) % of total amount Capital repayment 85, % 6,012,156, % Partandpart Interestonly 42, % 5,269,785, % Offset % 0.00% Seasoning Number % of total number Amount (GBP) % of total amount 0 <12 months % 0.00% 12 <24 months % 0.00% 24 <36 months % 0.00% 36 <48 months 6, % 612,158, % 48 <60 months 4, % 461,222, % 60 <72 months 3, % 361,734, % 72 <84 months 3, % 338,091, % 84 <96 months 16, % 1,978,835, % 96 <108 months 22, % 2,611,351, % 108 <120 months 20, % 1,914,264, % 120 <150 months 26, % 2,012,129, % 150 <180 months 11, % 578,589, % 180+ months 11, % 413,562, % Interest payment type Number % of total number Amount (GBP) % of total amount Fixed 26, % 2,961,525, % SVR 100, % 8,320,236, % Tracker % 179, % Other (please specify) % 0.00% Loan purpose type Number % of total number Amount (GBP) % of total amount Owneroccupied 126, % 11,219,672, % Buytolet % 0.00% Second home % 62,269, % Income verification type (16) Number % of total number Amount (GBP) % of total amount Fully verified Fasttrack Selfcertified Total 0 Remaining term of loan Number % of total number Amount (GBP) % of total amount 0 <30 months 6, % 372,094, % 30 <60 months 8, % 471,187, % 60 <120 months 24, % 1,633,009, % 120 <180 months 32, % 3,045,227, % 180 <240 months 25, % 2,964,024, % 240 <300 months 12, % 1,338,491, % 300 <360 months 12, % 1,004,879, % 360+ months 4, % 453,028, % Employment status (16) Number % of total number Amount (GBP) % of total amount Employed Selfemployed Unemployed Retired Guarantor Other Total 0 5 of 8

6 Covered Bonds Outstanding, Associated Derivatives (please disclose for all bonds outstanding) Series CB0004/04 CB0007/ / / /07 Issue date 4 Jun Feb Jul Jul Feb 2007 Original rating (Moody's/S&P/Fitch/DBRS) Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Current rating (Moody's/S&P/Fitch/DBRS) Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Denomination EUR EUR EUR EUR USD Amount at issuance 1,250,000,000 1,500,000,000 1,500,000,000 1,500,000,000 3,000,000,000 Amount outstanding 1,250,000,000 1,500,000,000 1,500,000,000 1,500,000,000 2,193,934,000 FX swap rate (rate: 1) Maturity type (hard/softbullet/passthrough) Hard bullet Hard bullet Soft bullet Soft bullet Hard bullet Scheduled final maturity date 4 Jun Feb Jul Jul Feb 2017 Legal final maturity date (17) 4 Jun Feb Jul Jul Feb 2017 ISIN XS XS XS XS XS Stock exchange listing London & Luxembourg Luxembourg Luxembourg Luxembourg Luxembourg Coupon payment frequency Annual Annual Annual Annual Semiannual Coupon payment date 4 Jun 7 Feb 13 Jul 13 Jul 21 Feb & Aug Coupon (rate if fixed, margin and reference rate if floating) 4.875% 3.875% 4.500% 4.375% 5.250% Margin payable under extended maturity period (%) N/A N/A N/A N/A N/A Swap counterparty/ies Bank of Scotland Bank of Scotland Bank of Scotland Bank of Scotland Bank of Scotland Swap notional denomination GBP GBP GBP GBP GBP Swap notional amount 1,001,500,000 1,201,800,000 1,201,800,000 1,201,800,000 1,361,761,529 Swap notional maturity 4 Jun Feb Jul Jul Feb 2017 LLP receive rate/margin 4.875% 3.875% 4.500% 4.375% 5.250% LLP pay rate/margin 1m GBP LIBOR 1m GBP LIBOR 1m GBP LIBOR 1m GBP LIBOR 1m GBP LIBOR Collateral posting amount Series 0022/ / /07 Issue date 8 Jun Jun Dec 2007 Original rating (Moody's/S&P/Fitch/DBRS) Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Current rating (Moody's/S&P/Fitch/DBRS) Aaa / AAA / AAA / Aaa / AAA / AAA / Aaa / AAA / AAA / Denomination EUR EUR DKK Amount at issuance 1,250,000,000 1,250,000,000 4,680,000,000 Amount outstanding 1,250,000,000 1,250,000,000 4,680,000,000 FX swap rate (rate: 1) Maturity type (hard/softbullet/passthrough) Soft bullet Soft bullet Soft bullet Scheduled final maturity date 8 Jun Jun Jan 2018 Legal final maturity date (17) 8 Jun Jun Jan 2018 ISIN XS XS DK Stock exchange listing Luxembourg Luxembourg Copenhagen Coupon payment frequency Annual Annual Semiannual Coupon payment date 8 Jun 8 Jun 1 Jan & Jul Coupon (rate if fixed, margin and reference rate if floating) 4.625% 4.750% 6m DKK CIBOR % Margin payable under extended maturity period (%) N/A N/A N/A Swap counterparty/ies Bank of Scotland Bank of Scotland Bank of Scotland Swap notional denomination GBP GBP GBP Swap notional amount 1,001,500,000 1,001,500, ,549,999 Swap notional maturity 8 Jun Jun Jan 2018 LLP receive rate/margin 4.625% 4.750% 6m DKK CIBOR % LLP pay rate/margin 1m GBP LIBOR 1m GBP LIBOR 1m GBP LIBOR Collateral posting amount 6 of 8

7 Programme triggers Event Summary of Event PreMaturity Liquidity Test Loss of required rating by the Issuer A1+ / P1 / F1+ / / A1 / / Reserve Fund trigger Loss of required rating by the Issuer / P1 / F1 / BBB / / A / Setoff risk protection trigger Loss of required rating by the Issuer / P1 / F1 / BBB / A2 / A / Interest Rate Swap Provider rating trigger Loss of required rating by the Interest Rate Swap Provider A1 / P1 / F1 / A / A2 / A / Covered Bond Swap Provider rating trigger Loss of required rating by the relevant Covered Bond Swap Provider A1 / P1 / F1 / A / A2 / A / Account Bank rating trigger Loss of required rating by the Account Bank / P1 / F1 / A / / A / Perfection preparation trigger Loss of required rating by the Seller BBB / Baa2 / BBB / Trigger (S&P, Current Rating Moody's, Fitch, (S&P, Moody's, DBRS; shortterm, Fitch, DBRS; shortterm, longterm) longterm) A1 / P1 / F1 / A / A1 / A+ / A1 / P1 / F1 / A / A1 / A+ / A1 / P1 / F1 / A / A1 / A+ / A1 / P1 / F1 / A / A1 / A+ / A1 / P1 / F1 / A / A1 / A+ / A1 / P1 / F1 / A / A1 / A+ / A / A1 / A+ / Perfection trigger Loss of required rating by the Seller BBB / Baa3 / BBB / A / A1 / A+ / Servicer trigger Loss of required rating by the Servicer BBB / Baa3 / BBB / A / A1 / A+ / Title deeds Loss of required rating by the Servicer A1+ / P1 / F1+ / A1 / P1 / F1 / Cash Manager verification trigger Loss of required rating by the Cash Manager BBB / Baa3 / BBB / A / A1 / A+ / Trigger breached (yes/no) Yes Yes Consequence of a trigger breach Requirement to fund the PreMaturity Liquidity Ledger to the Required Redemption Amount and, if necessary, the sale of Selected Loans. Requirement to establish and maintain the Reserve Fund and to trap any Available Revenue Receipts (in accordance with the relevant waterfall), as necessary, to fund the Reserve Fund to the Reserve Fund Required Amount. The sizing of the setoff risk protection in the Asset Coverage Test shall be increased from zero to 5% (or such other amount as may be set from time to time, subject to the Issuer obtaining a Rating Agency Confirmation). Requirement to post collateral, transfer obligations to a suitably rated replacement swap provider, procure another suitably rated entity to become a coobligor or guarantor or other actions as may be agreed with the relevant agency in order to maintain or restore (as applicable) the ratings of the covered bonds). The ratings shown are the first level of triggers. Other triggers exist at lower levels with further consequences. Requirement to post collateral, transfer obligations to a suitably rated replacement swap provider, procure another suitably rated entity to become a coobligor or guarantor or other actions as may be agreed with the relevant agency in order to maintain or restore (as applicable) the ratings of the covered bonds). The ratings shown are the first level of triggers. Other triggers exist at lower levels with further consequences. Termination event pursuant to the Bank Account Agreement, unless downgrade remedied in accordance with the terms of the Bank Account Agreement. The Seller shall deliver to the LLP, the Security Trustee and the Rating Agencies a draft letter of notice to the Borrowers of the sale and purchase of the loans. Legal title to the Loans and their Related Security will be transferred to the LLP. The Servicer will use reasonable endeavours to enter, within 60 days, into a master servicing agreement with a third party in such form as the LLP and the Security Trustee shall reasonably require. The Servicer will use reasonable endeavours to ensure that the Title Deeds are identified as distinct from the title deeds of other properties and mortgages that do not form part of the portfolio. The Asset Monitor will be required to report on the arithmetic accuracy of the Cash Manager's calculations more frequently. 7 of 8

8 nrating triggers Event Asset Coverage Test Interest Rate Shortfall Test Summary of Event Bank of Scotland plc 60 billion Covered Bond Programme On a Calculation Date, the Adjusted Aggregate Loan Amount is less than the Principal Amount Outstanding of Covered Bonds. The amount of income that the LLP expects to receive in the next Calculation Period is insufficient to cover the would be amounts due to the Covered Bond Swap Provider(s) and other senior expenses ranking in priority thereto. Any of the conditions, events or acts provided in Condition 10(a) of the Prospectus (Events of Default and Enforcement HBOS Events of Default) occur. Trigger breached (yes/no) Breach of Asset Coverage Test not remedied on the next Calculation Date will result in HBOS Event of Default. Standard variable rate and variable margins (on Tracker Rate Loans) may be increased. HBOS Event of Default Covered Bonds will become immediately due and payable against the Issuer and Group Guarantor. tice to pay served on the LLP. Following service of tice to Pay, LLP required to make payments of Guaranteed Amounts under the Covered Bonds. Yield Shortfall Test Following HBOS Event of Default, the Loans must yield 1m LIBOR plus 0.50%. Standard variable rate and variable margins (on Tracker Rate Loans) may be increased. Amortisation Test LLP Event of Default will occur. On a Calculation Date, following a tice to Pay, the Amortisation Test Aggregate Loan Amount is less than the Principal Amount Outstanding of Covered Bonds. LLP Event of Default Any of the conditions, events or acts provided in Condition 10(b) of the Prospectus (Events of Default and Enforcement LLP Events of Default) occur. Consequence of a trigger breach Covered Bonds will become immediately due and payable against the LLP, as well as the Issuer and Group Guarantor. Security becomes enforceable. Glossary Term Months in Arrears Indexed LTV nindexed LTV Seasoning PPR Amount (GBP) Original Valuation (for ACT only) Indexed Valuation (for ACT only) Definition The amount of arrears divided by the current payment due. The arrears table on page 3 includes repossessions. The current balance of the loans in a mortgage account divided by the indexed valuation of the property securing that mortgage account at the reporting date. The current balance of the loans in a mortgage account divided by the latest valuation of the property held in the Seller's records, securing that mortgage account, at the reporting date. 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 on the mortgage account. Monthly PPR reflects the aggregate of scheduled and unscheduled principal receipts, including the proceeds from loan repurchases by the Seller. The aggregate current balance of the loans including (without double counting) the initial advance, any further advance, any flexible 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 at the relevant date in relation to any property means the value given to that property by the most recent valuation addressed to the Seller of the Loan secured over that property. (a) where the Original Valuation of the property is equal to or greater than the Halifax Price Indexed Valuation as at that date, the Halifax Price Indexed Valuation; or (b) where the Original Valuation of the property is less than the Halifax Price Indexed Valuation as at that date, the Original Valuation plus 85% of the difference between the Original Valuation and the Halifax Price Indexed Valuation. Footnotes (1) There are no minimum ratings for the Issuer, Seller or Cash Manager. However, there are certain event triggers linked to their ratings. Please refer to the Programme triggers table on page 7 for details. (2) For triggers relating to the swap provider(s) on the cover pool, the rating trigger disclosed is the next trigger point. There may be subsequent triggers and these are detailed in the relevant swap agreement. (3) Relates to the asset swap. (4) A(i) is the sum of the Adjusted Current Balance of each loan, which is the lower of (1) the actual Current Balance or (2) 60% of the Indexed Valuation minus, in each case the Aggregate Current Balance of deemed reductions; (4) A(ii) is the aggregate Current Balance of each loan (less deemed reductions) multiplied by the Asset Percentage. (5) The GIC account balance has been adjusted to include cash from assets for the last day of the month collected first working day of following month. (6) The nominal level of overcollateralisation includes cash held on both the PreMaturity Liquidity Ledger and the Principal Ledger. (7) The Seller does not currently record which element of mortgage collections are scheduled and unscheduled in the reporting system used for the BoS Covered Bond programme, as such, this breakdown is not available. (8) t applicable for the asset pool which is a revolving pool. (9) Source: Fitch rating report dated 13 August (10) Source: Moody's performance report dated 3 September (11) Based on the mortgage accounts' current primary product holding (rather than any historic product previously held). In addition to the primary product holding, an account may have other active product holdings which may or may not be the same as the primary product holding. (12) The margins are based on the index rate and, therefore, fixed are reported at the fixed rate, trackers are reported over BBR (0.50%) and variable over SVR (3.99%). (13) The initial rate is considered to be the same as the current rate. (14) Regions are NUTS1 classifications (menclature of Units for Territorial Statistics). (15) Any 'Partandpart' loans have been included in 'Interestonly'. (16) The Seller does not currently retain these details in the reporting system used for the BoS Covered Bond programme. (17) The date stated is the final maturity date applicable to the issuer. However, the extended due for payment date applicable to the LLP is 12 months following this date. 8 of 8