Bank of Scotland plc €60 billion Covered Bond Programme
Monthly Report January 2017
Administration
Name of issuer
Name of RCB programme
Name, job title and contact details of person validating this form
Date of form submission
Start Date of reporting period
End Date of reporting period
Web links - prospectus, transaction documents, loan-level data
Bank of Scotland plc
€60 billion Covered Bond Programme
Tracey Hill | Head of Securitisation | [email protected] | 0113 235 2176
16 Feb 2017
1 Jan 2017
31 Jan 2017
http://www.lloydsbankinggroup.com/investors/fixed-income-investors/covered-bonds
Counterparties, Ratings
Counterparty/ies
Covered bonds
Issuer
Seller(s)
Cash manager
Account bank
Stand-by account bank
Servicer(s)
Stand-by servicer(s)
Swap provider(s) on cover pool
Stand-by swap provider(s) on cover pool
Swap notional amount(s) (GBP)
Swap notional maturity/ies
LLP receive rate/margin
LLP pay rate/margin
Collateral posting amount(s) (GBP)
Fitch
Rating trigger
n/a
n/a
n/a
n/a
<F1 / <A
n/a
<BBB- / n/a
<F1 / <A
n/a
Bank of Scotland plc
Bank of Scotland plc
Bank of Scotland plc
Bank of Scotland plc
None
Bank of Scotland plc
None
Bank of Scotland plc
None
£
£
8,881,785,671
n/a
1.58%
3.45%
-
Current rating
AAA
F1 / A+
F1 / A+
F1 / A+
F1 / A+
n/a
F1 / A+
n/a
F1 / A+
n/a
Moody's
Rating trigger
Current rating
n/a
Aaa
n/a
P-1 / A1
n/a
P-1 / A1
n/a
P-1 / A1
<P-1 / P-1 / A1
n/a
n/a
<Baa3 / P-1 / A1
n/a
n/a
<P-1 / <A2
P-1 / A1
n/a
n/a
S&P
Rating trigger
n/a
n/a
n/a
n/a
- / <A
n/a
<BBB- / n/a
<A-1 / <A
n/a
DBRS
Current rating
AAA
A-1 / A
A-1 / A
A-1 / A
A-1 / A
n/a
A-1 / A
n/a
A-1 / A
n/a
Rating trigger
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
Current rating
n/a
R-1(middle)/ A(high)
(1)
R-1(middle)/ A(high)
(1)
R-1(middle)/ A(high)
R-1(middle)/ A(high)
(1)
n/a
R-1(middle)/ A(high)
n/a
R-1(middle)/ A(high)
n/a
(3)
(3)
(3)
(3)
(3)
Accounts, Ledgers
Value as of End
Date of reporting
period
Revenue receipts (please disclose all parts of waterfall)
Revenue Receipts (on the Loans)
Bank Interest
Excess amount released from Reserve Fund
Available Revenue Receipts
Senior fees (including Cash Manager & Servicer)
Amounts due under cover pool swap
Amounts due under Intercompany Loan
Deferred Consideration
Members' profit
Total distributed
Principal receipts (please disclose all parts of waterfall)
Principal Receipts (on the Loans)
Any other amount standing to credit Principal Ledger
Excess amount released Pre-Maturity Liquidity Ledger
Cash Capital Contribution from Members
Available Principal Receipts
Credit to Pre-Maturity Liquidity Ledger
Acquisition of Loans (Replenishments)
Credit to Principal Ledger
Amounts due under Intercompany Loan
Capital Distribution to Members
Total distributed
Reserve ledger
Revenue ledger
Principal ledger
Pre-maturity liquidity ledger
Value as of Start
Date of reporting
period
Targeted Value
£
£
£
£
£
£
£
£
£
£
24,413,048
15,252
24,428,300
788,958
14,098,225
1,377,396
8,160,722
3,000
24,428,300
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
£
£
£
£
£
£
£
£
£
£
£
£
£
£
£
119,118,256
703,266
119,821,522
119,821,522
119,821,522
24,428,300
119,118,256
1,362,731,551
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
£
£
£
£
24,804,689
145,115,141
1,363,483,318
£
n/a
n/a
£
1,362,028,285
1 of 8
(2)
Bank of Scotland plc €60 billion Covered Bond Programme
Asset Coverage Test
Value
Description
A
£
7,678,003,801
B
£
1,362,028,285
C
D
£
£
-
E
V
£
-
W
X
Y
Z
Total
Method used for calculating component 'A'
Asset percentage (%)
Maximum asset percentage from Fitch (%)
Maximum asset percentage from Moody's (%)
Maximum asset percentage from S&P (%)
Maximum asset percentage from DBRS (%)
Credit support as derived from ACT (GBP)
Credit support as derived from ACT (%)
Programme-Level Characteristics
Programme currency
Programme size
Covered bonds principal amount outstanding (GBP, non-GBP
series converted at swap FX rate)
Covered bonds principal amount outstanding (GBP, non-GBP
series converted at current spot rate)
Cover pool balance (GBP)
GIC account balance (GBP)
Any additional collateral (please specify)
Any additional collateral (GBP)
Aggregate balance of off-set mortgages (GBP)
Aggregate deposits attaching to the cover pool (GBP)
Aggregate deposits attaching specifically to the off-set mortgages
(GBP)
Nominal level of overcollateralisation (GBP)
Nominal level of overcollateralisation (%)
Number of loans in cover pool
Average loan balance (GBP)
Weighted average non-indexed LTV (%)
Weighted average indexed LTV (%)
Weighted average seasoning (months)
Weighted average remaining term (months)
Weighted average interest rate (%)
Standard Variable Rate(s) (%)
Constant Pre-Payment Rate (%, current month)
Constant Pre-Payment Rate (%, quarterly average)
Principal Payment Rate (%, current month)
Principal Payment Rate (%, quarterly average)
Constant Default Rate (%, current month)
Constant Default Rate (%, quarterly average)
Fitch Discontinuity Cap
Moody's Timely Payment Indicator
Moody's Collateral Score (%)
Adjusted Aggregate
Loan Amount
Principal collections not
yet applied
Qualifying additional
collateral
Substitute assets
Proceeds of sold
mortgage loans
n/a Set-off offset loans
n/a Personal secured loans
£
£
£
£
7,387,910
112,641,732
8,920,002,444
A(ii)
87.0%
87.0%
89.0%
90.1%
Flexible draw capacity
Set-off
Negative carry
(4)
n/a
£
1,696,590,915
23.5%
EUR
60,000,000,000
£
7,223,411,529
£
£
£
8,077,648,719
8,829,747,025
1,506,278,107
None
14,625,704
£
£
£
£
£
£
2,968,363,782
41.1%
104,646
84,377
61.2%
49.0%
123.4
172.3
3.34%
3.74% & 3.64%
(5)
(6)
(7)
(7)
14.86%
17.21%
n/a
n/a
n/a
Probable
5.0%
(8)
(8)
(9)
(10)
(10)
2 of 8
Bank of Scotland plc €60 billion Covered Bond Programme
(7)
Mortgage collections
Mortgage collections (scheduled - interest)
Mortgage collections (scheduled - principal)
Mortgage collections (unscheduled - interest)
Mortgage collections (unscheduled - principal)
£
24,413,048
£
£
119,118,256
Loan Redemptions & Replenishments Since Previous Reporting Date
Number
Loan redemptions since previous reporting date
Loans bought back by seller(s)
of which are non-performing loans
of which have breached R&Ws
Loans sold into the cover pool
965
86
53
33
0
% of total number
0.92%
0.08%
0.05%
0.03%
0.00%
Amount (GBP)
67,173,334
7,387,582
3,959,196
3,428,386
-
% of total amount
0.76%
0.08%
0.04%
0.04%
0.00%
Product Rate Type and Reversionary Profiles
(11)
Weighted average
Fixed at origination, reverting to SVR
Fixed at origination, reverting to Libor
Fixed at origination, reverting to tracker
Fixed for life
Tracker at origination, reverting to SVR
Tracker at origination, reverting to Libor
Tracker for life
SVR, including discount to SVR
Libor
Total
Number
23,476
0
0
215
0
0
14
80,941
0
104,646
% of total number
22.43%
0.00%
0.00%
0.21%
0.00%
0.00%
0.01%
77.35%
0.00%
100.00%
Amount (GBP)
2,489,032,014
4,769,385
1,270,614
6,334,675,011
8,829,747,025
% of total amount
28.19%
0.00%
0.00%
0.05%
0.00%
0.00%
0.01%
71.74%
0.00%
100.00%
Stratifications
Arrears breakdown
Current
0-1 month in arrears
1-2 months in arrears
2-3 months in arrears
3-6 months in arrears
6-12 months in arrears
12+ months in arrears
Total
Number
101,972
1,444
879
286
65
0
0
104,646
% of total number
97.44%
1.38%
0.84%
0.27%
0.06%
0.00%
0.00%
100.00%
Amount (GBP)
8,594,381,560
118,983,090
84,902,900
26,232,190
5,247,286
8,829,747,025
% of total amount
97.33%
1.35%
0.96%
0.30%
0.06%
0.00%
0.00%
100.00%
Current non-indexed LTV
0-50%
50-55%
55-60%
60-65%
65-70%
70-75%
75-80%
80-85%
85-90%
90-95%
95-100%
100-105%
105-110%
110-125%
125%+
Total
Number
52,317
6,555
6,890
7,183
7,030
7,316
6,097
4,495
3,428
1,802
940
296
166
129
2
104,646
% of total number
49.99%
6.26%
6.58%
6.86%
6.72%
6.99%
5.83%
4.30%
3.28%
1.72%
0.90%
0.28%
0.16%
0.12%
0.00%
100.00%
Amount (GBP)
2,448,770,677
612,289,628
740,908,861
774,638,370
851,937,383
975,625,419
809,114,361
608,739,255
512,014,098
277,737,694
123,118,179
44,671,526
27,623,238
22,375,590
182,748
8,829,747,025
% of total amount
27.73%
6.93%
8.39%
8.77%
9.65%
11.05%
9.16%
6.89%
5.80%
3.15%
1.39%
0.51%
0.31%
0.25%
0.00%
100.00%
Current rate
2.34%
2.32%
0.25%
3.74%
3.34%
Remaining teaser
period (months)
20.36
-
Current margin
2.34%
2.32%
0.00%
0.00%
-
Reversionary
margin
0.00%
-
Initial rate
2.34%
2.32%
0.25%
3.74%
3.34%
(12), (13)
3 of 8
Bank of Scotland plc €60 billion Covered Bond Programme
Current indexed LTV
0-50%
50-55%
55-60%
60-65%
65-70%
70-75%
75-80%
80-85%
85-90%
90-95%
95-100%
100-105%
105-110%
110-125%
125%+
Total
Number
68,681
7,753
7,149
6,294
5,041
3,716
2,630
1,690
931
525
143
70
21
2
0
104,646
% of total number
65.63%
7.41%
6.83%
6.01%
4.82%
3.55%
2.51%
1.61%
0.89%
0.50%
0.14%
0.07%
0.02%
0.00%
0.00%
100.00%
Amount (GBP)
4,496,809,597
925,282,516
854,207,797
750,062,706
596,410,634
448,764,088
315,920,774
214,015,914
126,116,938
70,694,076
18,281,991
10,089,958
2,830,870
259,166
8,829,747,025
% of total amount
50.93%
10.48%
9.67%
8.49%
6.75%
5.08%
3.58%
2.42%
1.43%
0.80%
0.21%
0.11%
0.03%
0.00%
0.00%
100.00%
Current outstanding balance of loan
0-5,000
5,000-10,000
10,000-25,000
25,000-50,000
50,000-75,000
75,000-100,000
100,000-150,000
150,000-200,000
200,000-250,000
250,000-300,000
300,000-350,000
350,000-400,000
400,000-450,000
450,000-500,000
500,000-600,000
600,000-700,000
700,000-800,000
800,000-900,000
900,000-1,000,000
1,000,000 +
Total
Number
3,096
3,340
12,462
20,646
19,648
15,154
16,637
6,975
2,973
1,383
760
501
276
216
277
152
83
44
23
0
104,646
% of total number
2.96%
3.19%
11.91%
19.73%
18.78%
14.48%
15.90%
6.67%
2.84%
1.32%
0.73%
0.48%
0.26%
0.21%
0.26%
0.15%
0.08%
0.04%
0.02%
0.00%
100.00%
Amount (GBP)
7,253,213
25,493,285
220,363,329
770,239,017
1,222,748,870
1,315,239,324
2,019,443,654
1,195,730,217
659,286,031
375,989,027
244,594,764
186,715,335
116,459,873
102,463,575
149,745,935
97,574,698
61,542,052
37,146,195
21,718,632
8,829,747,025
% of total amount
0.08%
0.29%
2.50%
8.72%
13.85%
14.90%
22.87%
13.54%
7.47%
4.26%
2.77%
2.11%
1.32%
1.16%
1.70%
1.11%
0.70%
0.42%
0.25%
0.00%
100.00%
Regional distribution
East Midlands
East of England
London
North East
North West
Scotland
South East
South West
Wales
West Midlands
Yorkshire And The Humber
Unknown
Total
Number
7,094
7,611
10,092
5,543
13,130
16,952
11,184
6,568
4,865
9,166
12,421
20
104,646
% of total number
6.78%
7.27%
9.64%
5.30%
12.55%
16.20%
10.69%
6.28%
4.65%
8.76%
11.87%
0.02%
100.00%
Amount (GBP)
519,702,647
782,394,124
1,464,750,551
345,127,070
920,142,326
1,000,314,412
1,307,320,357
620,567,858
341,190,637
694,053,391
832,524,134
1,659,518
8,829,747,025
% of total amount
5.89%
8.86%
16.59%
3.91%
10.42%
11.33%
14.81%
7.03%
3.86%
7.86%
9.43%
0.02%
100.00%
(14)
4 of 8
Bank of Scotland plc €60 billion Covered Bond Programme
Repayment type
Capital repayment
Part-and-part
Interest-only
Offset
Total
Number
70,730
% of total number
67.59%
Amount (GBP)
4,639,477,393
% of total amount
52.54%
33,916
0
104,646
32.41%
0.00%
100.00%
4,190,269,632
8,829,747,025
47.46%
0.00%
100.00%
Seasoning
0-12 months
12-24 months
24-36 months
36-48 months
48-60 months
60-72 months
72-84 months
84-96 months
96-108 months
108-120 months
120-150 months
150-180 months
180+ months
Total
Number
% of total number
0.00%
0.00%
0.00%
0.00%
2.04%
4.42%
3.73%
1.93%
8.59%
19.50%
32.48%
14.26%
13.05%
100.00%
Amount (GBP)
0
0
0
0
2,134
4,626
3,907
2,019
8,987
20,402
33,990
14,927
13,654
104,646
198,215,599
431,565,888
368,604,557
183,122,566
1,000,141,954
2,343,554,982
2,914,905,147
900,489,774
489,146,558
8,829,747,025
% of total amount
0.00%
0.00%
0.00%
0.00%
2.24%
4.89%
4.17%
2.07%
11.33%
26.54%
33.01%
10.20%
5.54%
100.00%
Interest payment type
Fixed
SVR
Tracker
Other (please specify)
Total
Number
23,691
80,941
14
0
104,646
% of total number
22.64%
77.35%
0.01%
0.00%
100.00%
Amount (GBP)
2,493,801,400
6,334,675,011
1,270,614
8,829,747,025
% of total amount
28.24%
71.74%
0.01%
0.00%
100.00%
Loan purpose type
Owner-occupied
Buy-to-let
Second home
Total
Number
104,179
0
467
104,646
% of total number
99.55%
0.00%
0.45%
100.00%
Amount (GBP)
8,782,364,996
47,382,029
8,829,747,025
% of total amount
99.46%
0.00%
0.54%
100.00%
Income verification type
Fully verified
Fast-track
Self-certified
Total
Number
% of total number
Amount (GBP)
% of total amount
Remaining term of loan
0-30 months
30-60 months
60-120 months
120-180 months
180-240 months
240-300 months
300-360 months
360+ months
Total
Number
6,252
8,379
22,334
29,313
17,653
10,171
8,618
1,926
104,646
% of total number
5.97%
8.01%
21.34%
28.01%
16.87%
9.72%
8.24%
1.84%
100.00%
Amount (GBP)
349,123,141
436,663,080
1,547,077,569
2,740,247,813
1,940,600,487
964,519,644
678,757,914
172,757,378
8,829,747,025
% of total amount
3.95%
4.95%
17.52%
31.03%
21.98%
10.92%
7.69%
1.96%
100.00%
Employment status
Employed
Self-employed
Unemployed
Retired
Guarantor
Other
Total
Number
% of total number
Amount (GBP)
% of total amount
0
0
(15)
(16)
-
(16)
-
5 of 8
Bank of Scotland plc €60 billion Covered Bond Programme
Covered Bonds Outstanding, Associated Derivatives (please disclose for all bonds outstanding)
Series
CB0004/04
CB0007/05
4 Jun 2004
8 Feb 2005
Issue date
Original rating (Moody's/S&P/Fitch/DBRS)
Aaa / AAA / AAA / Aaa / AAA / AAA / Current rating (Moody's/S&P/Fitch/DBRS)
Aaa / AAA / AAA / Aaa / AAA / AAA / Denomination
EUR
EUR
Amount at issuance
1,250,000,000
1,500,000,000
Amount outstanding
1,250,000,000
1,500,000,000
FX swap rate (rate:£1)
1.248
1.248
Maturity type (hard/soft-bullet/pass-through)
Hard bullet
Hard bullet
4
Jun
2019
7
Feb
2020
Scheduled final maturity date
4 Jun 2019
7 Feb 2020
Legal final maturity date
ISIN
Stock exchange listing
Coupon payment frequency
Coupon payment date
Coupon (rate if fixed, margin and reference rate if floating)
Margin payable under extended maturity period (%)
Swap counterparty/ies
Swap notional denomination
Swap notional amount
Swap notional maturity
LLP receive rate/margin
LLP pay rate/margin
Collateral posting amount
Series
Issue date
Original rating (Moody's/S&P/Fitch/DBRS)
Current rating (Moody's/S&P/Fitch/DBRS)
Denomination
Amount at issuance
Amount outstanding
FX swap rate (rate:£1)
Maturity type (hard/soft-bullet/pass-through)
Scheduled final maturity date
Legal final maturity date
ISIN
Stock exchange listing
Coupon payment frequency
Coupon payment date
Coupon (rate if fixed, margin and reference rate if floating)
Margin payable under extended maturity period (%)
Swap counterparty/ies
Swap notional denomination
Swap notional amount
Swap notional maturity
LLP receive rate/margin
LLP pay rate/margin
Collateral posting amount
XS0193640629
London & Luxembourg
Annual
4 Jun
4.875%
N/A
Bank of Scotland
GBP
1,001,500,000
4 Jun 2019
4.875%
1m GBP LIBOR
£
-
0016/06
13 Jul 2006
0021/07
20 Feb 2007
Aaa / AAA / AAA / Aaa / AAA / AAA / -
Aaa / AAA / AAA / Aaa / AAA / AAA / -
EUR
1,500,000,000
1,500,000,000
1.248
Soft bullet
13 Jul 2021
13 Jul 2021
USD
3,000,000,000
2,193,934,000
1.611
Hard bullet
21 Feb 2017
21 Feb 2017
XS0286774483 &
US40411EAB48
Luxembourg
Semi-annual
21 Feb & Aug
5.250%
N/A
Bank of Scotland
GBP
1,361,761,529
21 Feb 2017
5.250%
1m GBP LIBOR
£
-
XS0212074388
XS0260981658
Luxembourg
Luxembourg
Annual
Annual
7 Feb
13 Jul
3.875%
4.500%
N/A
N/A
Bank of Scotland
Bank of Scotland
GBP
GBP
1,201,800,000
1,201,800,000
7 Feb 2020
13 Jul 2021
3.875%
4.500%
1m GBP LIBOR
1m GBP LIBOR
£
- £
-
0022/07
8 Jun 2007
0023/07
8 Jun 2007
0026/07
18 Dec 2007
Aaa / AAA / AAA / Aaa / AAA / AAA / -
Aaa / AAA / AAA / Aaa / AAA / AAA / -
Aaa / AAA / AAA / Aaa / AAA / AAA / -
EUR
EUR
DKK
1,250,000,000
1,250,000,000
4,680,000,000
1,250,000,000
1,250,000,000
4,680,000,000
1.248
1.248
10.319
Soft bullet
Soft bullet
Soft bullet
8 Jun 2017
8 Jun 2022
2 Jan 2018
8 Jun 2017
8 Jun 2022
2 Jan 2018
XS0304458721
XS0304459026
DK0030075023
Luxembourg
Luxembourg
Copenhagen
Annual
Annual
Semi-annual
8 Jun
8 Jun
1 Jan & Jul
4.625%
4.750% 6m DKK CIBOR + 0.29%
N/A
N/A
N/A
Bank of Scotland
Bank of Scotland
Bank of Scotland
GBP
GBP
GBP
1,001,500,000
1,001,500,000
453,549,999
8 Jun 2017
8 Jun 2022
2 Jan 2018
4.625%
4.750% 6m DKK CIBOR + 0.29%
1m GBP LIBOR
1m GBP LIBOR
1m GBP LIBOR
£
- £
- £
-
(17)
(17)
6 of 8
Bank of Scotland plc €60 billion Covered Bond Programme
Programme triggers
Trigger (S&P,
Moody's, Fitch,
DBRS; short-term,
long-term)
Trigger breached
(yes/no)
Consequence of a trigger breach
Event
Summary of Event
Pre-Maturity Liquidity Test
Loss of required rating by the Issuer
Short term:
A-1+ / P-1 / F1+ / Long term:
- / A1 / - / -
Yes
Requirement to fund the Pre-Maturity Liquidity Ledger to the Required Redemption
Amount and, if necessary, the sale of Selected Loans.
Reserve Fund trigger
Loss of required rating by the Issuer
Short term:
- / P-1 / F1 / Long term:
BBB / - / A / -
No
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.
Set-off risk protection trigger
Loss of required rating by the Issuer
Short term:
- / P-1 / F1 / Long term:
BBB / A2 / A / -
No
The sizing of the set-off 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).
Interest Rate Swap Provider rating trigger
Loss of required rating by the Interest Rate Swap Provider
Short term:
A-1 / P-1 / F1 / Long term:
A / A2 / A / -
No
Requirement to post collateral, transfer obligations to a suitably rated replacement
swap provider, procure another suitably rated entity to become a co-obligor 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.
Covered Bond Swap Provider rating trigger
Loss of required rating by the relevant Covered Bond Swap Provider
Short term:
A-1 / P-1 / F1 / Long term:
A / A2 / A / -
No
Requirement to post collateral, transfer obligations to a suitably rated replacement
swap provider, procure another suitably rated entity to become a co-obligor 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.
Account Bank rating trigger
Loss of required rating by the Account Bank
Short term:
- / P-1 / F1 / Long term:
A/-/A/-
No
Termination event pursuant to the Bank Account Agreement, unless downgrade
remedied in accordance with the terms of the Bank Account Agreement.
Perfection preparation trigger
Loss of required rating by the Seller
Long term:
BBB / Baa2 / BBB / -
No
Perfection trigger
Loss of required rating by the Seller
Long term:
BBB- / Baa3 / BBB- / -
No
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.
Servicer trigger
Loss of required rating by the Servicer
Long term:
BBB- / Baa3 / BBB- / -
No
Title deeds
Loss of required rating by the Servicer
Short term:
A-1+ / P-1 / F1+ / -
Yes
Cash Manager verification trigger
Loss of required rating by the Cash Manager
Long term:
BBB- / Baa3 / BBB- / -
No
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
Bank of Scotland plc €60 billion Covered Bond Programme
Non-rating triggers
Event
Asset Coverage Test
Interest Rate Shortfall Test
HBOS Event of Default
Yield Shortfall Test
Summary of Event
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.
Following HBOS Event of Default, the Loans must yield 1m LIBOR plus 0.50%.
Amortisation Test
LLP Event of Default
Trigger breached
(yes/no)
No
No
No
No
No
On a Calculation Date, following a Notice to Pay, the Amortisation Test Aggregate
Loan Amount is less than the Principal Amount Outstanding of Covered Bonds.
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.
No
Consequence of a trigger breach
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.
Covered Bonds will become immediately due and payable against the Issuer and
Group Guarantor. Notice to pay served on the LLP. Following service of Notice to
Pay, LLP required to make payments of Guaranteed Amounts under the Covered
Bonds.
Standard variable rate and variable margins (on Tracker Rate Loans) may be
increased.
LLP Event of Default will occur.
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
Definition
The amount of arrears divided by the current payment due. The arrears table on page 3 includes repossessions.
Indexed LTV
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.
Non-indexed LTV
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
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.
PPR
Amount (GBP)
Original Valuation (for ACT only)
Indexed Valuation (for ACT only)
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 relevant value 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 Pre-Maturity 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)
Not applicable for the asset pool which is a revolving pool.
(9)
Source: Fitch Ratings press release dated 3 February 2017.
(10)
Source: Moody's performance report dated 12 January 2017.
(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 (0.25%) and variable over SVR (3.74%).
(13)
The initial rate is considered to be the same as the current rate.
(14)
Regions are NUTS1 classifications (Nomenclature of Units for Territorial Statistics).
(15)
Any 'Part-and-part' loans have been included in 'Interest-only'.
(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.
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