EX-99.1 2 efc8-0678_emailex991.htm efc8-0678_emailex991.htm
Exhibit 99.1
 
 
                   
GRANITE FINANCE TRUSTEES LIMITED
                 
                         
Monthly Report re: Granite Mortgages 01-1 Plc, Granite Mortgages 02-1 Plc
             
Granite Mortgages 02-2 Plc, Granite Mortgages 03-1 Plc, Granite Mortgages 03-2 Plc, Granite Mortgages 03-3 Plc
       
Granite Mortgages 04-1 Plc, Granite Mortgages 04-2 Plc, Granite Mortgages 04-3 Plc, Granite Master Issuer Plc,
         
Granite Finance Funding Limited and Granite Finance Funding 2 Limited
             
                         
Month ended
29-Feb-08
                   
                         
N.B. this data fact sheet and its notes can only be a summary of certain features of the bonds and their structure.
       
No representation can be made that the information herein is accurate or complete and no liability is accepted therefor.
       
Reference should be made to the issue documentation for a full description of the bonds and their structure. This
       
data fact sheet and its notes are for information purposes only and are not intended as an offer or invitation with
       
respect to the purchase or sale of any security. Reliance should not be placed on the information herein when
       
making any decision whether to buy, hold or sell bonds (or other securities) or for any other purpose.
       
                         
       
Commentary on asset performance in the period
               
                         
The assets within the Trust continue to exhibit strong performance.  The 3 month plus arrears have risen to 0.67%
     
by balance, but this continues to remain low by reference to industry standards.  Losses have continued to increase but remain at
     
low levels and at £11.49mm cumulative over 7 years are easily absorbed by the current month's excess spread.
     
Seasoning continues to increase and is currently almost 30 months.
               
                         
                         
                         
Next trust determination date
         
3-Mar-08
     
                         
Next trust distribution date
         
11-Mar-08
     
(6 business days from determination date)
                 
                         
Mortgage Loans
                     
                         
Number of Mortgage Loans in Pool
         
398,223
     
                       
Current Balance - Trust Mortgage Assets
       
£46,348,968,603
     
                         
Current Balance - Trust Cash and other Assets
       
£372,396,341
     
                       
Last Months Closing Trust Assets
         
£48,209,581,196
     
                       
Funding share
           
£6,508,980,635
     
                         
Funding 2 share
           
£34,849,925,437
     
                         
Funding and Funding 2 share
         
£41,358,906,072
     
                       
Funding and Funding 2 Share Percentage
       
88.52%
     
                       
Seller Share*
           
£5,362,458,872
     
                       
Seller Share Percentage
         
11.48%
     
                       
Minimum Seller Share (Amount)*
         
£3,672,113,242
     
                       
Minimum Seller Share (% of Total)
         
7.86%
     
                         
Funding Bank Balance - Principal element of Balance
     
£1,898,847,405
     
                       
Funding 2 Bank Balance - Principal element of Balance
     
£1,395,450,185
     
                         
Excess Spread last quarter annualised (% of Total)
       
0.34%
     
* Please see the Additional Notes to the Investor Reports
               
                         
Arrears Analysis of Non Repossessed Mortgage Loans
               
                         
   
Number
Principal (£)
Arrears (£)
By number (%)
By Principal (%)
 
                         
                         
> = 1 < 2 Months
6,467
770,562,494
5,520,397
1.62%
1.66%
 
                     
> = 2 < 3 Months
1,711
199,955,627
2,677,610
0.43%
0.43%
 
                   
> = 3 < 4 Months
833
98,455,193
1,839,643
0.21%
0.21%
 
                         
> = 4 < 5 Months
451
53,413,906
1,285,188
0.11%
0.12%
 
                         
> = 5 < 6 Months
272
30,495,282
891,397
0.07%
0.07%
 
                         
> = 6 < 7 Months
301
33,272,169
1,166,779
0.08%
0.07%
 
                         
> = 7 < 8 Months
267
30,410,759
1,215,351
0.07%
0.07%
 
                     
> = 8 < 9 Months
139
17,374,244
800,655
0.03%
0.04%
 
                     
> = 9 < 10 Months
115
13,790,590
696,139
0.03%
0.03%
 
                     
> = 10 < 11 Months
95
10,613,645
627,995
0.02%
0.02%
 
                         
> = 11 < 12 Months
68
7,079,125
446,615
0.02%
0.02%
 
                         
> = 12 < 13 Months
62
6,782,577
468,009
0.02%
0.01%
 
                     
> = 13 < 14 Months
40
4,703,849
357,071
0.01%
0.01%
 
                   
> = 14 < 15 Months
12
2,002,670
123,737
0.00%
0.00%
 
                         
> = 15 < 16 Months
6
702,932
57,031
0.00%
0.00%
 
                         
> = 16 < 17 Months
5
517,383
46,419
0.00%
0.00%
 
                         
> = 17 < 18 Months
3
696,003
75,889
0.00%
0.00%
 
                         
> = 18 < 19 Months
3
340,288
34,024
0.00%
0.00%
 
                     
> = 19 < 20 Months
2
300,094
24,380
0.00%
0.00%
 
                     
> = 20 < 21 Months
2
303,437
45,729
0.00%
0.00%
 
                     
> = 21 < 22 Months
2
353,849
47,014
0.00%
0.00%
 
                         
> = 22 < 23 Months
1
326,639
59,067
0.00%
0.00%
 
                   
Total
 
10,857
1,282,452,755
18,506,139
2.73%
2.77%
 
                         
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 administrator 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 loan is deemed to be in arrears.  Arrears classification is determined based on the number of full 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 as being between 2 - 3 months in arrears, and so on.
 
     
                         
Properties in Possession
                   
                         
       
Number
Principal (£)
Arrears (£)
     
                         
Total (since inception)
   
4083
395,286,964
23,330,189
     
                         
Properties in Possession
         
1124
     
                       
Number Brought Forward
         
1048
     
                       
Repossessed (Current Month)
         
169
     
                       
Relinquished (Current Month)
         
21
     
                         
Sold (since inception)
           
2959
     
                         
Sold (current month)
           
72
     
                       
Sale Price / Last Loan Valuation
         
103
     
                       
Average Time from Possession to Sale (days)
       
156
     
                       
Average Arrears at Sale
         
£5,154
     
                       
Total Principal Loss (Since inception)
       
£11,490,493
     
 
 

 
 
 
                         
Total Principal Loss (current month)
       
£732,827
     
                         
Number of accounts experiencing a loss since inception
     
901
     
                         
Ratio of aggregate net losses to average portfolio balance
     
0.00025
     
                         
Average loss on accounts experiencing a loss
       
£12,753
     
                         
MIG Claims Submitted
           
17
     
                       
MIG Claims Outstanding
         
0
     
                       
Average Time from Claim to Payment
       
84
     
Note: The arrears analysis and repossession information is at close of business for the report month
         
                         
 
 

 
Substitution
                     
                         
           
Number
Principal (£)
     
                         
Substituted this period
       
0
£0
     
                     
Substituted to date (since 26 March 2001)
   
1,063,063
£129,927,505,708
     
                         
CPR Analysis
                     
                         
             
% of CPR
     
                     
Current Month % of CPR - Removals*
     
16.60%
     
                         
Previous Month % of CPR - Removals*
     
20.90%
     
                         
Current Month % of CPR - Non-Removals**
     
83.40%
     
                         
Previous Month % of CPR - Non-Removals**
     
79.10%
     
*Removals are loans that Northern Rock has repurchased from the Trust (e.g. Further Advances and Product Switches)
       
**Non-Removals are scheduled repayments, overpayments and redemptions
             
                         
           
Monthly
Annualised
     
                         
Current Month CPR Rate - Total
     
3.34%
33.46%
     
                         
Previous Month CPR Rate - Total
     
2.98%
30.42%
     
                         
Key pool statistics
                     
                         
Weighted Average Seasoning (by value) Months
       
29.74
     
                         
Weighted Average Remaining Term (by value) Years
     
21.49
     
                       
Average Loan Size
           
£116,389
     
                       
Weighted Average LTV (by value)
         
76.90%
     
                         
Weighted Average Indexed LTV (by value)
       
69.24%
     
                         
Non Verified (by value)
           
44.13%
     
                         
Product Breakdown
                     
                         
Fixed Rate (by balance)
         
55.06%
     
                         
Together (by balance)
           
29.36%
     
                         
Capped (by balance)
           
0.07%
     
                         
Variable (by balance)
           
11.45%
     
                         
Tracker (by balance)
           
4.06%
     
                         
Total
             
100.0%
     
                         
Geographic Analysis
                     
                         
   
Number
% of Total
Value (£)
% of Total
     
                         
East Anglia
9,100
2.29%
1,058,973,021
2.28%
     
                         
East Midlands
29,864
7.50%
3,128,291,047
6.75%
     
                         
Greater London
46,579
11.70%
8,593,094,343
18.54%
     
                         
North
 
34,378
8.63%
2,699,963,193
5.83%
     
                         
North West
49,893
12.53%
4,790,051,282
10.33%
     
                         
Scotland
 
51,140
12.84%
4,234,153,481
9.14%
     
                         
South East
63,366
15.91%
9,564,631,220
20.64%
     
                         
South West
29,670
7.45%
3,866,800,612
8.34%
     
                         
Wales
 
16,406
4.12%
1,610,678,936
3.48%
     
                         
West Midlands
28,353
7.12%
3,113,132,736
6.72%
     
                         
Yorkshire
 
39,474
9.91%
3,689,198,732
7.96%
     
                         
Total
 
398,223
100%
46,348,968,603
100%
     
                         
LTV Levels Breakdown
                   
                         
       
Number
Value (£)
% of Total
     
                         
0% < 25%
     
21,616
777,563,084
1.68%
     
                         
> = 25% < 50%
   
51,619
4,299,891,333
9.28%
     
                         
> = 50% < 55%
   
14,316
1,540,116,818
3.32%
     
                         
> = 55% < 60%
   
15,733
1,815,708,920
3.92%
     
                         
> = 60% < 65%
   
17,254
2,119,905,003
4.57%
     
                         
> = 65% < 70%
   
19,791
2,525,651,232
5.45%
     
                         
> = 70% < 75%
   
22,819
3,070,103,305
6.62%
     
                         
> = 75% < 80%
   
26,477
3,747,046,972
8.08%
     
                         
> = 80% < 85%
   
35,969
5,212,347,397
11.25%
     
                         
> = 85% < 90%
   
58,209
7,599,350,724
16.40%
     
                         
> = 90% < 95%
   
77,468
9,067,282,215
19.56%
     
                         
> = 95% < 100%
   
34,097
4,258,717,785
9.19%
     
                         
> = 100%
     
2,855
315,283,814
0.68%
     
                         
Total
     
398,223
46,348,968,603
100.0%
     
                         
Repayment Method
                     
                         
       
Number
Value (£)
% of Total
     
                         
Endowment
   
29,206
4,105,884,162
8.86%
     
                         
Interest Only
   
93,479
14,773,084,714
31.87%
     
                         
Pension Policy
   
268
24,241,145
0.05%
     
                         
Personal Equity Plan
   
529
33,754,914
0.07%
     
                         
Repayment
   
274,741
27,412,003,667
59.14%
     
                         
Total
     
398,223
46,348,968,603
100.00%
     
 
 

 
 
                         
Employment Status
                     
                         
       
Number
Value (£)
% of Total
     
                         
Full Time
     
335,353
36,907,239,302
79.63%
     
                         
Part Time
     
5,117
406,090,156
0.88%
     
                         
Retired
     
3,193
194,609,583
0.42%
     
                         
Self Employed
   
49,525
8,433,816,024
18.20%
     
                         
Other
     
5,035
407,213,538
0.88%
     
                         
Total
     
398,223
46,348,968,603
100.00%
     
                         
                         
NR Current Existing Borrowers' SVR
       
7.59%
     
                       
Effective Date of Change
         
1 March 2008
     
                         
                         
                         
                         
Main parties to the structure
                   
                         
Northern Rock plc
   
Citibank NA
     
The Bank of New York
     
                         
Seller
     
Agent bank
     
Security trustee
       
Administrator
   
Common depositary
   
Note trustee
       
Cash Manager
   
Principal paying agent
             
Basis swap provider
   
Registrar
               
Start up loan provider
   
US Paying Agent
             
Account bank
                     
 
                         
Ratings
                       
 
Short Term
Long term
 
Short term
Long term
   
Short term
Long term
     
S&P
A1
A
 
A1+
AA
   
A-1+
AA-
     
Moodys
P-1
A2
 
P-1
Aa1
   
P-1
Aa2
     
Fitch
F1+
A-
 
F1+
AA+
   
F1+
AA-
     
                         
 
                         
                         
Trustee Principal Ledger Receipts and Distribution
               
   
Principal Received
Funding
Funding 2
Seller
     
                         
Month
 
£1,561,368,180
£748,834,612
£550,189,256
£262,344,312
     
                         
                         
Principal receipts reflect actual cash amounts received in the month.  The distribution takes place on the 6th business day
       
after the trust determination date.
                   
                         
Trustee Revenue Ledger Receipts and Distribution
               
                         
   
Receipts
         
   
Revenue Received
GIC Interest
sub-total
Administration fee
Available revenue
 
                         
Month
 
£219,131,693
£6,235,284
£225,366,977
£2,708,786
£222,658,191
 
                         
                         
                         
Trustee Revenue Distribution
                   
                         
               
       
Funding
Funding 2
Seller
     
                         
Month
     
£34,486,503
£163,613,692
£24,557,996
     
                         
                         
Revenue receipts reflect actual cash amounts received in the month.  The distribution takes place on the 6th business day
       
after the trust determination date.
                   
                         
On a monthly basis Trustee receipts are shared on a pro-rata basis between Northern Rock, Granite Finance Funding Limited and Granite Finance Funding 2 Limited in relation to their respective shares of the trust.  Granite Finance Funding will in turn distribute its revenue between the issuers (Granite Mortgages 01-1 plc to Granite Mortgages 04-3 plc).  Granite Finance Funding 2 Limited distributes its share of revenue to Granite Master Issuer plc in accordance with the underlying series of notes issued by Granite Master Issuer plc.
                         
Granite Master Issuer Waterfall 18/19/20 February 2008
               
                         
Distribution of Issuer Available Revenue Receipts
   
Total
           
                         
Issuer available revenue receipts from Funding2
   
275,604,921
           
Issuer available revenue receipts - Issuers Revenue Ledger
 
5,625,984
           
Issuer available reserve fund
     
546,744,808
           
                         
           
827,975,713
           
                         
Issuer required revenue receipts
     
275,604,921
           
                         
3rd party creditors
       
0
           
Issuer cash manager
       
0
           
Amounts due to the  A notes and A swap providers
   
235,279,901
           
Amounts due to the  B notes and B note swap providers
 
8,297,663
           
Amounts due to the  M notes and M note swap providers
 
9,253,538
           
Amounts due to the  C notes and C note swap providers
 
10,102,759
           
Interest due on start-up loan (from Northern Rock plc)
 
1,778,392
           
Principal due on start-up loan
     
14,163,357
           
To fund issuer reserve fund
     
539,672,234
           
To fund funding reserve fund
     
7,072,574
           
To fund Series 05-1, 06-2, 06-3, 06-4 and 07-1 Payment Date
 
2,355,294
           
                         
Excess of available revenue receipts over required receipts
 
14,163,357
           
                         
                         
                         
Additional Notes to the Investor Reports
                 
                         
An "asset trigger event" is the event that occurs when an amount is debited to the principal deficiency sub-ledger in relation to the class A notes
of any Funding issuer or to the AAA principal deficiency sub-ledger of Funding 2.  Following an asset trigger event  controlled amortisation schedules will
no longer apply and the notes will become pass-through notes paying principal pro rata on the most senior outstanding notes and then sequential.
 
                         
No asset trigger event has occurred
                 
                         
A "non-asset trigger event" means any of the following events:
               
·   an insolvency event occurs in relation to the seller;
               
·   the seller's role as administrator is terminated and a new administrator is not appointed within 60 days; or
       
· on the distribution date immediately succeeding a seller share event distribution date, the current seller share is equal to or less
 
than the minimum seller share (determined using the amounts of the current seller share and minimum seller share that would exist after making
the distributions of mortgages trustee principal receipts due on that distribution date
A "seller share event" will occur if, on a distribution date, (i) the result of the calculation of the current seller share on that distribution date
would be equal to or less than the minimum seller share for such distribution date (determined using the amounts of the current seller share and minimum
seller share that would exist after making the distributions of mortgages trustee principal receipts due on that distribution date
 and (ii) a seller share event has not occurred on the immediately preceding distribution date).
                         
No non-asset trigger event has occurred
                 
                         
A arrears trigger event will occur if the outstanding principal balance of 90+ day arrears in the trust exceed 2%. In the event
       
of an arrears trigger the Granite Mortgages 04-2 issuer reserve fund will step up to 1.415%, the Granite 04-3 issuer
       
 reserve fund will step up to 1.38% and the Funding 2 reserve fund required amount increases by £37 million.
         
This trigger event is curable.
                   
                         
No arrears trigger event has occurred.
                 
                         
A step up trigger event will occur if any issuer is not called on its step up and call date. In the event
of an issuer non call trigger the Granite Mortgages 04-2 issuer reserve fund target will step up by 0.275%,
the Granite Mortgages 04-3 issuer reserve fund target by 0.27%, the Funding reserve target will step up by 0.10% and
the Funding 2 reserve fund required amount increases by £37 million. If the step up trigger occurs in conjunction with
 an arrears trigger the Funding 2 Reserve Fund will increase by £74 million. If the breach is rectified only the Funding 2
reserve fund required amount will reduce to its original target.
       
                         
No step up trigger event has occurred.
                 
                         
An accelerated controlled amortisation trigger will occur if any of the issuers are not called on their step up and call dates. In the
 
event of an accelerated controlled amortisation trigger all notes issued by Granite Mortgages 04-2 plc and Granite Mortgages 04-3 plc and
 
all series issued by Granite Master Issuer plc become pass through securities.
             
                         
No accelerated controlled amortisation trigger has occurred.
               
 
 

 
 
                         
In addition, no assignment of new mortgage loans may occur after the earlier to occur of:
           
·   a step-up date in respect of the notes of any Funding issuer, if the option to redeem such notes on that step-up date
 
 pursuant to the terms and conditions of such notes is not exercised; or
·   a step-up date in respect of any series and class of notes of the issuer, if the option to redeem any such notes on that
 
step-up date pursuant to the terms and conditions of such notes is not exercised and the aggregate principal amount outstanding
 
of such notes (together with any other notes of the issuer in respect of which the step-up date has passed) as at such step-up date
 
exceeds £3,000,000,000; or
·   the date falling 12 months after the occurrence of a step-up date in respect of any series and class of notes of the issuer, if the option
 
to redeem such notes by such date pursuant to the terms and conditions of such notes is not exercised.
                         
All notes issued by Granite Master Issuer which have passed their step up and call date will pay principal and intyerest monthly.
                         
All of the conditions for assigning new loans continue to be complied with.
             
                         
Deferral of repayment of subordinated notes
                 
                         
Amortisation of subordinated notes will be deferred if:
               
·   the principal balance of mortgages in arrears is greater than 4%
·   Funding 2 plus Granite Master Issuer is less than the programme reserve required amount
·    debit balance on subordinate note PDL
         
                         
None of the conditions leading to deferral of the subordinated notes has been met.
                         
Legal proceedings
                     
There are no material legal proceedings against Northern Rock plc, any of the Granite entities or the Trustee.
 

 

 
                                     
Notes
Granite Mortgages 01-1 plc
                           
                                     
   
ISIN
Brought forward
Repaid
Outstanding
Rating
Reference Rate
Margin
Pool factor
Expected Maturity
                   
Moodys/S&P/Fitch
             
                                     
Series 1
                                   
                                     
A1
 
US387413 AA59
$0
$0
$0
Aaa/AAA/AAA
N/A
0.12%
0.00000
N/A
                                   
A2
 
US387413 AB33
$0
$0
$0
Aaa/AAA/AAA
N/A
0.21%
0.00000
N/A
                                   
B
 
US387413 AC16
$0
$0
$0
Aa2/AA+/AA+
N/A
0.40%
0.00000
N/A
                                   
C
 
US387413 AD98
$0
$0
$0
Baa1/A-/A-
N/A
1.40%
0.00000
N/A
                                   
Series 2
                                 
                                   
A
 
XS0126890390
£0
£0
£0
Aaa/AAA/AAA
N/A
0.24%
0.00000
N/A
                                   
B
 
XS0126890473
£0
£0
£0
Aa1/AA+/AA+
N/A
0.40%
0.00000
N/A
                                     
C
 
XS0126890556
£0
£0
£0
A3/A-/A-
N/A
1.40%
0.00000
N/A
 
                                     
Credit Enhancement
                                 
                                     
                   
% of Notes Outstanding
           
                                     
Class B Notes (£ Equivalent)
         
£0
0.00%
           
                                     
Class C Notes (£ Equivalent)
         
£0
0.00%
           
                                     
                                     
Granite Mortgages 01-1 Reserve Fund Requirement 
     
£20,000,000
0.31%
           
                                   
Balance Brought Forward
         
£20,000,000
0.31%
           
                                   
Drawings this Period
         
£0
0.00%
           
                                   
Excess Spread this Period
         
£954,653
0.01%
           
                                     
Funding Reserve Fund Top-up this Period*
     
-£954,653
-0.01%
           
                                     
Pay Down of Reserve Fund
         
-£20,000,000
-0.31%
           
                                   
Current Balance 
           
£0
0.00%
           
                                     
                                     
Funding Reserve Balance brought forward  
     
£100,548,608
1.54%
           
                                     
Excess spread this period
         
£9,950,807
0.15%
           
                                     
Repayment of start up loan interest and principal
     
-£26,412,134
-0.41%
           
                                     
Funding reserve Balance carried forward
       
£84,087,281
1.29%
           
                                   
Funding Reserve %
           
1.0%
NA
           
                                     
 
 

 
 
Notes
Granite Mortgages 01-2 plc
                           
                                     
   
ISIN
Brought forward
Repaid
Outstanding
Rating
Reference Rate
Margin
Pool factor
 Expected Maturity
                   
Moodys/S&P/Fitch
             
                                     
Series 1
                                   
                                     
A
 
US38741PAA66
$0
$0
$0
Aaa/AAA/AAA
N/A
0.23%
0.00000
 N/A
                                   
B
 
US38741PAB40
$0
$0
$0
Aa1/AA+/AA+
N/A
0.40%
0.00000
 N/A
                                   
C
 
US38741PAC23
$0
$0
$0
Baa1/A-/A-
N/A
1.375%
0.00000
 N/A