Australian
RMBS Performance Watch Part 1 As at June 30, 2009
Table of Contents Descriptions ................................................................iv Sponsor Classifications ...............................................vi Structured Finance Contacts.......................................vi Select Servicer Rankings ...........................................vii Commentary.............................................................. viii Market Overview ......................................................... x
Bank of Western Australia Ltd.........................................50
PART 1 Prime ...............................................................1
Calibre Fund No. 1..................................................................... 59
Adelaide Bank Ltd...............................................................9 Series 2004-1 TORRENS Trust ................................................ 10 Series 2004-2(W) TORRENS Trust........................................... 11 Series 2005-1 TORRENS Trust ................................................ 12 Series 2005-2(S) TORRENS Trust............................................ 13 Series 2005-3E TORRENS Trust .............................................. 14 Series 2005-1 (AAA) TORRENS Trust...................................... 15 TORRENS Series 2006-1(E) Trust............................................ 16 TORRENS Series 2007-1 Trust ................................................ 17
AIMS Home Loans Pty. Ltd. .............................................18 AIMS 2004-1 Trust..................................................................... 19 AIMS 2005-1 Trust..................................................................... 20 AIMS 2007-1 Trust..................................................................... 21
AMP Bank Ltd....................................................................22 Progress 2003 E-1 Trust ........................................................... 23 Progress 2004 E-1 Trust ........................................................... 24 Progress 2004-2 Trust............................................................... 26 Progress 2005-1 Trust............................................................... 26 Progress 2005-2 Trust............................................................... 27 Progress 2006-1 Trust............................................................... 28 Progress 2007-1G Trust ............................................................ 29 Progress 2008-1R Trust ............................................................ 30 Progress 2009-1 Trust............................................................... 31
Australia And New Zealand Banking Group Ltd ............32 Kingfisher Trust 2004-1G .......................................................... 33
Australian Central Credit Union Ltd ................................34 Light Trust No. 1 ........................................................................ 35
Australian Mortgage Securities Ltd.................................36 ARMS II Fund XV ...................................................................... 37 ARMS II Euro Fund VI ............................................................... 38 ARMS II Global Fund 2.............................................................. 39 ARMS II Global Fund 3.............................................................. 40
Bank of Queensland Ltd...................................................41 Series 2003-2 REDS Trust ........................................................ 42 Series 2004-1 REDS Trust ........................................................ 43 Series 2005-1 REDS Trust ........................................................ 44 Series 2005-2 REDS Trust ........................................................ 45 Series 2006-1E REDS Trust...................................................... 46 Series 2007-1E REDS Trust...................................................... 47 Series 2007-2 REDS Trust ........................................................ 48 Series 2009-1 REDS Trust ........................................................ 49
Australian RMBS Performance Watch as at Jun. 30, 2009
Series 2002-1E SWAN Trust ..................................................... 51 Series 2006-1E SWAN Trust ..................................................... 52 Series 2007-1E SWAN Trust ..................................................... 53
Bendigo and Adelaide Bank Ltd. .....................................54 TORRENS Series 2008-3 Trust................................................. 55 TORRENS Series 2008-2 (W) Trust .......................................... 56 TORRENS Series 2009-1 Trust................................................. 57
Calibre Financial Services Pty Ltd...................................58 Challenger Mortgage Management Pty Limited .............60 Interstar Millennium Series 2002-1G Trust ................................ 61 Interstar Millennium Series 2003-3G Trust ................................ 62 Interstar Millennium Series 2004-1E Trust................................. 63 Interstar Millennium Series 2004-2G Trust ................................ 64 Interstar Millennium Series 2004-4E Trust................................. 65 Interstar Millennium Series 2004-5 Trust................................... 66 Interstar Millennium Series 2005-1G Trust ................................ 67 Interstar Millennium Series 2005-2L Trust................................. 68 Interstar Millennium Series 2005-3E Trust................................. 69 Interstar Millennium Series 2006-1 Trust................................... 70 Interstar Millennium Series 2006-2G Trust ................................ 71 Interstar Millennium Series 2006-3L Trust................................. 72 Interstar Millennium Series 2006-4H Trust ................................ 73 Challenger Millennium Series 2007-1E Trust ............................ 74 Challenger Millennium Series 2007-2L Trust............................. 75 Challenger Millennium Series 2008-1 Trust............................... 76 Challenger Millennium Series 2008-2 Trust............................... 77 Challenger Millennium Series 2009-1 Trust............................... 78
Citigroup Pty Limited........................................................79 Compass Master Trust............................................................... 80 Securitised Australian Mortgage Trust 2003-1 .......................... 81 Securitised Australian Mortgage Trust 2003-2 .......................... 82 Securitised Australian Mortgage Trust 2006-1 .......................... 83 Securitised Australian Mortgage Trust 2007-1 .......................... 84 Securitised Australian Mortgage Trust 2008-1 .......................... 85 Securitised Australian Mortgage Trust 2008-2 .......................... 86
Columbus Capital Pty Limited. ........................................87 Nautilus Trust No. 1Series 2008-1............................................. 88
Commonwealth Bank Of Australia Ltd............................89 Medallion Trust Series 2003-1G ................................................ 90 Medallion Trust Series 2004-1G ................................................ 91 Medallion Trust Series 2005-1G ................................................ 92 Medallion Trust Series 2005-2G ................................................ 93 Medallion Trust Series 2006-1G ................................................ 94 Medallion Trust Series 2007-1G ................................................ 95
Connect Credit Union of Tasmania/ Queenslanders Credit Union............................................96 ConQuest 2007-1 Trust ............................................................. 97
Credit Union Australia Ltd................................................98 Series 2003-1 Harvey Trust ....................................................... 99 Series 2004-1 Harvey Trust ..................................................... 100 Series 2005-1 Harvey Trust ..................................................... 101 Series 2006-1 Harvey Trust ..................................................... 102 Series 2007-1 Harvey Trust ..................................................... 103 Series 2009-1 Harvey Trust ..................................................... 104
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First Permanent Securities Ltd. .....................................105
Homeloans Ltd ................................................................129
First Permanent Super Prime RMBS Trust 2006-1 ................. 106
RMT Securitisation Trust No. 7................................................ 130
FirstMac Limited..............................................................107
HSBC Bank Australia Ltd ...............................................131
FirstMac Bond Series 2-2004 Trust......................................... 108 FirstMac Bond Series 1-2005 Trust......................................... 109 FirstMac Bond Series 2-2005 Trust......................................... 110 FirstMac Bond Series 3-2005 Trust......................................... 111 FirstMac Bond Series 1E-2006 Trust ...................................... 112 FirstMac Bond Series 1C-2006 Trust ...................................... 113 FirstMac Mortgage Funding Trust Series 1-2007.................... 114 FirstMac Mortgage Funding Trust Series 1E-2007 ................. 115 FirstMac Mortgage Funding Trust Series 1-2008.................... 116 FirstMac Mortgage Funding Trust Series 2-2008.................... 117 FirstMac Mortgage Funding Trust Series 1-2009.................... 118
Lion Series 2007-1 Trust.......................................................... 132
Greater Building Society Ltd..........................................119 GBS Receivables Trust No. 2.................................................. 120 GBS Receivables Trust No. 3.................................................. 121
Heritage Building Society Ltd ........................................122 HBS Trust 2002-2 .................................................................... 123 HBS Trust 2003-1 .................................................................... 124 HBS Trust 2003-1E.................................................................. 125 HBS Trust 2004-1 .................................................................... 126 HBS Trust 2005-1E.................................................................. 127 HBS Trust 2006-1 .................................................................... 128
IMB Ltd. ............................................................................133 Illawarra Series 2003-1 Trust................................................... 134 Illawarra Series 2004-1 RMBS Trust ....................................... 135 Illawarra Series 2005-1 RMBS Trust ....................................... 136 Illawarra Series 2006-1 RMBS Trust ....................................... 137
ING Bank (Australia) Limited..........................................138 IDS Trust 2008-1...................................................................... 139
Liberty Financial Pty Ltd.................................................140 Liberty PRIME Series 2009-1 .................................................. 141
Macquarie Securitisation Ltd .........................................142 PUMA Global Trust No. 3 ........................................................ 143 PUMA Global Trust No. 4 ........................................................ 144 PUMA Global Trust No. 5 ........................................................ 145 PUMA Global Trust S-1 ........................................................... 146 PUMA Masterfund P-8 ............................................................. 147 PUMA Masterfund P-9 ............................................................. 148 PUMA Masterfund P-10 ........................................................... 149 PUMA Masterfund P-11 ........................................................... 150 PUMA Masterfund P-12 ........................................................... 151 PUMA Masterfund P-13 ........................................................... 152 PUMA Masterfund S-2 ............................................................. 153 PUMA Masterfund S-3 Series A .............................................. 154 PUMA Masterfund S-4 ............................................................. 155 PUMA Masterfund S-5 ............................................................. 156 PUMA Masterfund H-1............................................................. 157 PUMA Masterfund P-15 Series A ............................................ 158 PUMA Masterfund S-6 ............................................................. 169 PUMA Masterfund S-7 ............................................................. 160
CONTINUED—See PART 2 of the Australian RMBS Performance Watch.
Australian RMBS Performance Watch as at Jun. 30, 2009
Standard & Poor’s
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Descriptions About this Publication Australian RMBS Performance Watch is a quarterly review of the performance of residential mortgage pools that collateralize Australian term securities. If you or your colleagues would like to be added to our circulation list to receive future copies of Australian RMBS Performance Watch, please contact Erin Kitson on (61) 3-9631-2166 or by e-mail at:
[email protected].
Comparative Pool Characteristics Comparative pool statistics have been calculated using outstanding loan balances. All data is provided as of or as near as possible to June 30 2009 unless otherwise stated.
Data Collection For the purpose of timely delivery of information to the market, data not received by the fifteenth day after the end of the quarter will not be included in the Australian RMBS Performance Watch statistics. Any late data will be included in updated statistics and subsequent publications.
Definitions Standard & Poor’s has compiled the information in this publication using information received from the issuer, manager, or servicer of each program. Standard & Poor’s has endeavoured to provide data on a basis that is comparable between programs. Users of the information in this publication should, however, exercise care, because there may be inconsistencies in the way that each of the programs is reported to Standard & Poor’s. The descriptions below highlight how Standard & Poor’s interprets general terminology; they are not intended to be industry-standard definitions.
Sponsor The sponsor is the party that has the primary commercial or beneficial interest in the residential mortgage-backed securities (RMBS) transaction.
Prime Prime loans are residential mortgage loans that would generally be made by traditional residential mortgage lenders in the Australian market and would usually be eligible to be covered by a primary lenders’ mortgage insurance policy from a nonassociated and rated mortgage insurer. Prime loans are usually to borrowers with clean credit histories, although some pools may include a small percentage of loans of a minor nonconforming nature. Prime loans can include low documentation (LoDoc) loans.
LoDoc A LoDoc, or low documentation, loan is a loan for which the borrower’s income has not been fully verified by the lender. LoDoc loans are often referred to by a variety of terms, including selfcertified, stated income, or low documentation loans.
Full Doc A full doc, or full documentation, loan is a loan for which the borrower’s income has been fully verified by the lender by reference to relevant source documents, such as payslips or tax returns.
Cumulative Gross Losses Cumulative gross losses refer to the aggregate amount of losses in a pool of mortgage loans after recognizing the proceeds from the sale of the underlying security properties, but before including other loss support, such as claims paid under lenders’ mortgage insurance policies or the application of excess spread.
Total Current Loan Balance The total current loan balance (TCLB) is the outstanding dollar amount of the underlying loans as of the report date.
Note Balances All note balances are based on invested amounts. Note refers to a note, bond, security, or any other instrument issued by the issuer.
Standard & Poor’s Mortgage Performance Index Standard & Poor’s Mortgage Performance Index (SPIN) is a measure of arrears on residential mortgage loans underlying RMBS transactions, both publicly and privately rated by Standard & Poor’s. The SPIN is calculated for Australian prime and subprime asset classes, as well as Australian prime LoDoc and prime full doc. It is the weighted-average balance of loans in arrears in each of the 31–60 days, 61–90 days, and 90+ days categories. SPIN is calculated on a monthly basis from information provided to Standard & Poor’s for each transaction.
Australian Prime SPIN The Australian Prime SPIN is a measure of arrears on residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
Australian Prime Full Doc SPIN The Australian Prime Full Doc SPIN is a measure of arrears on full doc residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
Subprime
Australian Prime LoDoc SPIN
Subprime loans are residential mortgage loans to borrowers who would not typically qualify for a loan from a traditional prime lender and generally not be eligible for lenders’ mortgage insurance. Subprime loans include nonconforming loans and loans to borrowers with prior credit impairments. They may also include LoDoc loans.
The Australian Prime LoDoc SPIN is a measure of arrears on LoDoc residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
Domestic/Global/Euro The categorization of an RMBS transaction by market is determined by the legislation under which the notes are offered and the stock exchanges on which the notes are listed. Transactions with a securities and exchange commission (SEC)-registered or 144A tranche are classified as “global”. Transactions that are not global, but which are Euroclear- and/or Clearstream-settled and have a tranche listed on a European exchange, are classified as “euro”. All other transactions will generally be classified as “domestic”.
Australian RMBS Performance Watch as at Jun. 30, 2009
Australian Subprime SPIN The Australian Subprime SPIN is a measure of arrears on residential mortgage loans underlying Australian subprime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
Standard & Poor’s Prepayment Index Standard & Poor’s Prepayment Index (SPPI) is a measure of prepayment rates on residential mortgage loans underlying RMBS transactions, both publicly and privately rated by Standard & Poor’s. The SPPI is calculated for Australian prime and subprime loans. It is the weighted-average of the annualized quarterly prepayment rates (QPRs) across the asset subclass. The SPPI is calculated monthly from information provided to Standard & Poor’s for each transaction.
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Descriptions Australian Prime SPPI
Mortgage Arrears Data
The Australian Prime SPPI is a measure of prepayment rates on residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
The mortgage arrears data depicts the proportionate value of loans 31–60 days, 61–90 days, and 90+ days in arrears. The percentages are calculated using the outstanding balance of loans in arrears as a proportion of the aggregate outstanding balance of total loans at the end of each month. The reporting method used by issuers in reporting arrears (scheduled-balance basis or missed-payments basis) is noted on the loan pool arrears performance graph for each transaction.
Australian Subprime SPPI The Australian Subprime SPPI is a measure of prepayment rates on residential mortgage loans underlying Australian subprime RMBS transactions, both publicly and privately rated by Standard & Poor’s.
Quarterly Prepayment Rate The quarterly prepayment rate (QPR) is calculated using the following formula:
U= R= F= O= S= P= I=
U-R-F O + (S+P) - I 2 unscheduled principal repayments redraws further advances mortgage pool balance at the beginning of the quarter loans added during a substitution period loans added during a prefunding period capitalized interest
Annualized Quarterly Prepayment Rate The annualized quarterly prepayment rate is calculated by compounding the QPR using the following formula: 1-(1-QPR)4
Quarterly Repayment Rate The quarterly prepayment rate (QRR) is calculated using the following formula:
Sc = U= R= F= O= S= P= I=
(Sc + U) - R - F O + (S+P) - I 2 scheduled principal repayments unscheduled principal repayments redraws further advances mortgage pool balance at the start of the quarter. loans added during a substitution period loans added during a prefunding period capitalized interest
Annualized Quarterly Repayment Rate The annualized quarterly repayment rate is calculated by compounding the QRR using the following formula: 1-(1-QRR)4
Missed-Payments Basis The measurement of arrears on a missed-payments basis means that a loan is in arrears when a scheduled payment is missed, despite the fact that the borrower may be ahead of the scheduled payment curve.
Scheduled-Balance Basis The measurement of arrears on a scheduled-balance basis means that a loan is in arrears when the current loan balance less the scheduled loan balance is a positive number.
Lenders’ Mortgage Insurance (LMI) The lenders’ mortgage insurers distribution graphs display only those mortgage insurers that provide mortgage insurance for 1% or more of the pool. For a more detailed breakdown of mortgage insurer distribution, refer to the “Lenders’ Mortgage Insurers Distribution” table in part 2 of this publication. The mortgage insurer short-names used in the pie charts are as follows:
LMI
Short Name Public Rating
HLIC (guaranteed by Commonwealth of Australia) Genworth Financial Mortgage Insurance Pty Ltd
GFMI
AA-/Stable
Mortgage Risk Management Pty Ltd
MRM
BBB-/Stable
Insurance Ltd* St.George Insurance Australia Pty Ltd
QBE
AA-/Negative
SGIA
AA-/Stable
Genworth Financial Mortgage
GFM
CoA
AAA/Stable
QBE Lenders Mortgage
Indemnity Ltd (formerly Vero
Indemnity
Lenders Mortgage Insurance Ltd)
(Vero)
The Mortgage Insurance Co. Pty Ltd
TMIC
NR**
MGIC Australia Pty Ltd.
MGIC
BBB-/Negative
Prime Insurance Group Ltd
PIGL
NR
American International Assurance
AIA
A+/Developing
A-/Stable
Co. Ltd. (Reinsurance Provider of PIGL) *QBE Lenders Mortgage Insurance was formally known as PMI Mortgage Insurance Ltd. **NR—Not rated.
Australian RMBS Performance Watch as at Jun. 30, 2009
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Sponsor Classifications Sponsor Classifications
Non Bank Financial Institution (NBFI)
The classifications into major bank, regional bank, nonbank financial institution, other bank, and nonbank originator are based on the predominant source of origination within the securitization pools.
Australian Central Credit Union Connect Credit Union of Tasmania/Queenslanders Credit Union Australia Ltd Greater Building Society Ltd Heritage Building Society Ltd IMB Ltd Rock Building Society Ltd Wide Bay Australia Ltd
Major Bank Australia And New Zealand Banking Group Ltd Commonwealth Bank Of Australia Ltd National Australia Bank Ltd Westpac Banking Corp
Regional Bank Bank of Queensland Ltd Bank of Western Australia Ltd Bendigo and Adelaide Bank Ltd St.George Bank Ltd Suncorp-Metway Ltd
Other Bank AMP Bank Ltd ING Bank (Australia) Limited Citigroup Pty Ltd Macquarie Securitisation Ltd Members Equity Bank Pty Ltd HSBC Bank Australia Ltd
Non Bank Originator AIMS Home Loans Pty Ltd Australian Mortgage Securities Ltd Bluestone Group Pty Ltd Calibre Financial Services Pty Ltd. Challenger Mortgage Management Pty Ltd Challenger Non-Conforming Finance Pty Ltd Columbus Capital First Permanent Securities Ltd FirstMac Limited GMAC-RFC Australia Pty Ltd. Homeloans Ltd Liberty Financial Pty Ltd Pepper HomeLoans Ltd Resimac Ltd RHG Home Loans Pty Ltd
Structured Finance Contacts Melbourne
Fabienne Michaux, Managing Director – Regional Practice Leader...........................................................................................................................(61) 3-9631-2050 Vera Chaplin — Asia Pacific Regional Surveillance Manager ....................................................................................................................................(61) 3-9631-2058
Key RMBS Analytical Contacts
Kate Thomson, RMBS Analytical Manager.................................................................................................................................................................(61) 3-9631-2104 Erin Kitson, Surveillance Analytical Manager..............................................................................................................................................................(61) 3-9631-2166
Analytical Team
Alisha Treacy..............................................................................................................................................................................................................(61) 3- 9631-2182 Camille Diafas ............................................................................................................................................................................................................(61) 3- 9631-2096 Elizabeth Steenson ...................................................................................................................................................................................................(61) 3- 9631-2162 Fiona Otway ..............................................................................................................................................................................................................(61) 3- 9631-2060 Jenny Campbell..........................................................................................................................................................................................................(61) 3- 9631 2062 Luke Elder ..................................................................................................................................................................................................................(61) 3- 9631-2168 Mei Lee Da Silva ........................................................................................................................................................................................................(61) 3- 9631-2053 Narelle Coneybeare....................................................................................................................................................................................................(61) 3- 9631-2061 Peter Eastham............................................................................................................................................................................................................(61) 3- 9631-2062 Sarah Samson............................................................................................................................................................................................................(61) 3- 9631-2142
Australian RMBS Performance Watch as at Jun. 30, 2009
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Rankings Residential Loan Servicer
Ranking/Outlook
Adelaide Bank Ltd
Strong/Stable
Bluestone Servicing Pty. Ltd.
Above Average/Stable
EDS (BPA) Pty Ltd.
Strong/Stable
FirstMac Limited
Above Average/Stable
Heritage Building Society Ltd
Strong/Stable
IMB Ltd.
Strong/Stable
Challenger Mortgage Management Pty Ltd
Strong/Stable
Members Equity Pty Ltd
Strong/Stable
Resimac Ltd.
Strong/Stable
Unisys Credit Services Pty. Ltd.
Above Average/Stable
Residential Sub-Prime Loan Servicer Bluestone Servicing Pty. Ltd.
Above Average/Stable
Liberty Financial Pty Ltd.
Strong/Stable
Pepper Australia Pty Limited
Above Average/Stable
Australian RMBS Performance Watch as at Jun. 30, 2009
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Commentary Australian RMBS Performance Watch Second-Quarter 2009:
Issuance And Sponsors Largely Unchanged
Although new issuance of Australian residential mortgage-backed securities (RMBS) increased in second quarter (Q2) 2009, all the deals issued were government sponsored. In Q2 2009, issuance amounts almost tripled to about A$3 billion , compared to that in the corresponding quarter of 2008 (excluding the Reserve Bank of Australia’s (RBA) repurchase-eligible (repo-eligible) RMBS deals). However, the five deals issued during Q2 2009 were wholly supported by the Australian Office of Financial Management program.
The three biggest issuers in the year to June 30, 2009 had mainly repo-eligible transactions. No repo-eligible transactions were issued during Q2 2009. ING Bank (Australia) Ltd. topped the list of issuers, with A$7.5 billion of repo-eligible issues, followed by AMP Bank Ltd., with just over A$3 billion issued, consisting of one repoeligible and one non repo-eligible deal. National Australia Bank Ltd. was at third spot, with A$2.9 billion of repo-eligible issues.
Arrears Continue To Improve… On the other hand, arrears performance of loans underlying Australian RMBS continued to improve during Q2 2009. The proportion of loans that are in arrears by more than 30 days has contracted by 22 basis points (bps) since March 31, 2009 to 1.44% at June 30, 2009, as measured by the Standard & Poor’s Australian Prime SPIN. The prime SPIN reached its peak at 1.84% in January 2009. In our opinion, the contraction in arrears levels since January 2009 is in part reflective of the series of rate cuts by RBA, which have subsequently been passed on to borrowers. The RBA has cut interest rates progressively since September 2008, including a 0.25% rate cut in April 2009, resulting in a total official interest rate cut of 4.25%. The subprime SPIN also recorded its lowest level since its peak at 17.09% in January 2009. It fell by a large single-quarter decline of 2.85% to 13.61% by end-Q2 2009, which is back at the levels seen before the impact of the global capital-market dislocation on the Australian securitization market in mid-2007. Furthermore, each of the three arrears categories experienced a drop during the three months to June 30, 2009. Most significantly, subprime arrears greater than 90 days declined by 1.76% from the previous quarter, to 8.78%--the lowest recorded arrears levels since June 2008. This translates into an absolute figure of about A$329 million, which is a A$110 million drop from the end of Q1. Arrears on low-documentation (LoDoc) loans, as measured by Standard & Poor’s Australian Prime LoDoc SPIN, has fallen by 0.35%, to 3.76% at June 30, 2009. The FullDoc SPIN also declined further during the same period, to 1.15%. During Q2 2009, the Missed Payments SPIN dropped to 1.87%, from 2.39% in quarter ended March 31, 2008; this is the first incidence of the Missed Payment SPIN falling below 2% since July 2008. Loans originated by issuers who report on a missed payments basis--who are typically originators of LoDoc loans--make up 28% of all loans underlying prime RMBS transactions. All origination sectors experienced a fall in arrears levels during Q2 2009 relative to the previous quarter; the declines ranged from 3bps to 63 bps. Arrears for Australia's four major banks’ mortgages had the least fall of 3bps since March 31, 2009; the level has remained stable at about 1.11% for the three months ended June 30, 2009. Arrears for non-bank originators’ mortgages experienced the biggest decline of 0.63%, from 2.59% at end-Q1 2009 to 1.96% at the second quarter end. To ensure that Standard & Poor’s main Australian RMBS arrears indicator, the Standard & Poor’s Mortgage Performance Index (SPIN), remains relevant for capital market investors, we have excluded repo-eligible RMBS that have not been issued to capital markets from all SPIN calculations. Australian RMBS Performance Watch as at Jun. 30, 2009
Lists
Are
Apart from the top two positions, the top-10 sponsors list for total RMBS issuance outstanding remain unchanged. Westpac Banking Corp. (A$24.5 billion outstanding) moved up ahead of National Australia Bank, which had RMBS outstanding of almost A$24.0 billion. The remainder of the sponsors in the list in the year to June 30, 2009, maintained their respective positions from Q1 2009. As at June 30, 2009, the total outstanding balance of residential mortgage loans underlying Australian prime and subprime RMBS was A$118.15 billion. The total outstanding balance of residential mortgage loans underlying Australian repo-eligible RMBS was just over A$67 billion.
But Losses Are Still Rising For Prime And Subprime RMBS Despite lower arrears levels in Q2 ended June 30, 2009, cumulative gross losses recorded continued to rise. For prime RMBS, the 2004 and 2005 vintages recorded the highest cumulative losses of 0.21% and 0.18% respectively. While still increasing, losses on earlier vintages are easing as the deals are approaching the tail-end of their life. For the more recent vintages, we have observed a slight increase in losses to the 2007 vintage, though still at a very low level of 0.024%, while cumulative losses for the 2008 vintage remained at 0.019%. The 2009 vintage has not yet experienced any losses. To date, most of the losses experienced were covered by lenders' mortgage insurance (LMI) for prime RMBS transactions. In fact, about 94.4% of losses following the sale of underlying properties for prime RMBS transactions were covered by LMI, which is slightly more than the corresponding figure for the March 2009 quarter. The percentage of losses covered by excess spread eased slightly again this quarter, to 4.73% by total issuance amount, from 4.83% as at March 31, 2009. The balance of losses (0.87%) was covered by issuers, which was slightly less than the March 31, 2009 figure of 0.93%.
Further Losses Are Expected On 2006 and 2007 Vintages Except for the 2004 subprime vintage, subprime loans originated in all vintages witnessed higher cumulative losses in Q2 2009. Out of the A$3.75 billion of subprime RMBS outstanding, over A$3.2 billion were originated in 2005 (A$0.4 billion), 2006 (A$1.6 billion), and 2007 (A$1.2 billion). Out of these three vintages, the 2005 vintage recorded the highest cumulative losses of 1.4%. However, with the 2005 vintage approaching the tail-end of its life (pool factor at 12.5%), we expect any further build-up of cumulative losses to taper off. The 2006 and 2007 vintages recorded cumulative losses levels of 0.70% and 0.55% respectively; we expect further losses to come through for these vintages, in line with our observation, more than six months ago, of these vintages' high proportions of loans greater-than-90-days in arrears . In our opinion, arrears levels for subprime RMBS have improved since January 2009, partly due to some loans having completed foreclosure and realized losses. Standard & Poor’s
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The outstanding balance of the 2008 subprime vintage was less than A$0.5 billion and consisted of three transactions. This vintage saw the largest increase of cumulative losses during the three months to June 30, 2009, to 1.53% from 0.591% in March 2009. We believe this reflected the lower credit quality of the underlying portfolio compared to transactions of other vintages. We believe subprime losses may rise further as we expect financially stressed borrowers in this sector will continue to face limited refinancing options due to current market conditions. The cumulative gross loss statistics are presented on a static pool basis, and represent the weighted-average cumulative gross losses on loans originated in a particular calendar year. Gross losses are calculated after recognizing the amount recovered from selling the security property and any other collateral, but before adjusting for any other support, such as amounts received from any claims under LMI policies, or any excess spread under the RMBS transactions. A number of transactions have fully or partially reinstated prior period charge-offs to unrated notes during Q2 2009. We believe this reflects a combination of factors, including interest-only notes maturing in some transaction structures, which have resulted in more excess spread being available to apply to charge-offs. In addition, available excess spread has built up in some transactions, as lenders have not passed on the full extent of rate cuts.
Prepayment Rates Were Slightly Higher Prepayment rates, as measured by the Standard & Poor’s Prepayment Index (SPPI) on prime RMBS transactions, were slightly higher in Q2 2009, at 22.80%, from 20.62% in March 2009.
Australian RMBS Performance Watch as at Jun. 30, 2009
However, we believe the increase is due to March prepayment rates historically being low. Similarly, the subprime SPPI rose to 32.04%, from 30.11% in March 2009. In our opinion, the higher prepayment rates seen in the three months ending June is also attributable to the series of interest rate cuts by the RBA. Issuers may have passed on the reductions in home loan interest rates, resulting in higher prepayment rates.
Australia Outlook The Australian economy grew at its fastest pace in more than a year in the three months to June 2009. Assisted by the federal government’s stimulus measures and near record-low interest rates, the Australian GDP grew by 0.6% during the June quarter, outpacing the 0.4% growth seen in the March quarter. In addition, most economists have revised down their forecasts for unemployment rates to peak below 8%. Housing prices across Australia have shown positive growth in the June quarter, experiencing the highest growth rates since December 2007. According to Australian Bureau of Statistics, increasing population growth as well as housing supply being constrained by high development costs and restricted land availability, has resulted in a shortage of homes but relatively higher demand. With the economy showing signs of improvement, we believe that arrears could improve further and stabilize at a lower level before household budgets tighten due to Christmas expenses later in the year. Nevertheless, key risks remain--including the likely shallow path of the economic recovery, continued rise in unemployment, and a greater-than-150% household debt-to-income ratio--which could reverse this improving trend.
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Market Overview Recent Issues The following transactions have issued RMBS in the past three months, hence there may be insufficient history available to create the graphs titled ‘Loan Pool Arrears Performance vs. SPIN’ and ‘Loan Pool Repayment Rate & Outstanding Security Balances’: Deal Name
Asset Sub Class
Sponsor
Closing Date
Series 2009-1 REDS Trust
Prime
Bank of Queensland
21-Apr-09
Challenger Millennium Series 2009-1 Trust
Prime
Challenger Mortgage Management Pty Ltd
22-Apr-09
SMHL Securitisation Fund 2009-1
Prime
Members Equity Bank Pty Ltd
13-May-09
RESIMAC Triomphe Trust in respect of RESIMAC Premier Series 2009-1
Prime
RESIMAC Ltd
28-May-09
FirstMac Mortgage Funding Trust Series 1-2009
Prime
FirstMac Ltd
05-Jun-09
RMBS Outstandings as at Jun. 30, 2009 No. Deals Prime Prime – REPO Eligible Sub-Prime
Top 10 Sponsors by New RMBS Issues
Mil. A$
%
225
114,284.06
61.73%
9
67,005.07
36.19%
21
3,861.10
2.09%
Total
255
185,150.23
100.00%
Domestic
174
63,651.02
34.38%
Domestic - REPO Eligible
9
67,005.07
36.19%
Euro
30
17,273.76
9.33%
Global
42
37,220.38
20.10%
Total
255
185,150.23
100.00%
12
14,979.77
8.09%
3
42,620.35
23.02%
52
31,352.33
16.93%
2
12,532.30
6.77%
68
36,832.81
19.89%
3
11,415.28
6.17%
Non-Bank Financial Institutions
29
6,194.54
3.35%
Non-Bank Financial Institutions – REPO Eligible
1
437.14
0.24%
85
28,785.71
15.55%
255
185,150.23
100.00%
No. Classes
Mil. A$
%
Major Banks Major Banks – REPO Eligible Regional Banks Regional Banks – REPO Eligible Other Banks Other Banks – REPO Eligible
Non-Bank Originators Total
AUD
661
77,651.20
41.94%
AUD – REPO Eligible
25
67,005.07
36.19%
USD
59
22,485.46
12.14%
EUR
66
15,693.28
8.48%
GBP
5
2,315.21
1.25%
Total
816
185,150.23
100.00%
Australian RMBS Performance Watch as at Jun. 30, 2009
Yr Ending Jun. 30, 2009 (Mil. A$) incl. REPO 1 2 3 4 5 6 7 8 9 10
ING Bank (Australia) Ltd. AMP Bank Ltd National Australia Bank Ltd Challenger Mortgage Management Pty Ltd Members Equity Bank Pty Ltd RESIMAC Ltd. FirstMac Ltd Bendigo and Adelaide Bank Ltd St George Bank Ltd Macquarie Securitisation Ltd
7,499.89 3,035.00 2,876.50 1,837.68 2,301.28 1,259.10 1,225.00 1,163.44 1,051.53 1,015.00
Top 10 Sponsors by RMBS Outstandings at Jun. 30, 2009 (Mil. A$) incl. REPO 1 2 3 4 5 6 7 8 9 10
Westpac Banking Corp. National Australia Bank Ltd St.George Bank Ltd. Members Equity Bank Pty Ltd (SMHL) Suncorp-Metway Ltd. Challenger Mortgage Management Pty Limited Commonwealth Bank Of Australia Ltd Macquarie Securitisation Ltd ING Bank (Australia) Limited AMP Bank Ltd
24,462.46 23,917.21 17,186.46 13,014.29 12,153.52 10,900.58 8,917.64 8,778.67 7,499.89 6,227.48
Standard & Poor’s
x
New Issuance Domesic / Euro / Global (Mil. A$) Domestic
Domestic REPO-Eligible
Euro
Global
70,000.00
60,000.00
A$ Amount (Mil. A$)
50,000.00
40,000.00
30,000.00
20,000.00
10,000.00
0.00 1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Year A$ Amount (Mil) Domestic
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
3,994.60
7,198.70
3,991.03
5,536.00
10,461.93
12,808.59
15,007.57
17,369.11
18,210.71
22,205.41
34,346.95
14,391.31
13,974.27
5,306.48 114.00
Domestic REPO-Eligible
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
42,131.64
Euro
0.00
3,356.58
1,976.06
6,340.86
3,139.00
1,160.22
3,403.83
5,774.98
13,537.59
8,737.51
5,488.37
6,579.04
0.00
0.00
Global
0.00
0.00
2,253.24
2,926.67
6,491.06
13,622.48
12,519.46
20,582.63
24,704.14
19,640.81
22,707.37
36,166.60
0.00
0.00
0.00
3,356.58
4,229.30
9,267.52
9,630.05
14,782.70
15,923.30
26,357.61
38,241.73
28,378.32
28,195.74
42,745.64
0.00
0.00
3,994.60
10,555.28
8,220.33
14,803.52
20,091.98
27,591.29
30,930.86
43,726.72
56,452.44
50,583.73
62,542.69
57,136.95
56,105.91
5,420.48
Sub-Total Offshore Total % Domestic
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
100.00%
68.20%
48.55%
37.40%
52.07%
46.42%
48.52%
39.72%
32.26%
43.90%
54.92%
25.19%
24.91%
97.90% 2.10%
Domestic REPO-Eligible
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
75.09%
Euro
0.00%
31.80%
24.04%
42.83%
15.62%
4.21%
11.00%
13.21%
23.98%
17.27%
8.78%
11.51%
0.00%
0.00%
Global
0.00%
0.00%
27.41%
19.77%
32.31%
49.37%
40.48%
47.07%
43.76%
38.83%
36.31%
63.30%
0.00%
0.00%
Sub-Total Offshore Total
0.00%
31.80%
51.45%
62.60%
47.93%
53.58%
51.48%
60.28%
67.74%
56.10%
45.08%
74.81%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
New Issuance Domesic / Euro / Global (No. of Issues) Domestic
Domestic REPO-Eligible
Euro
Global
70
60
No. Of Issues
50
40
30
20
10
0 1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Year No. of Deals
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Domestic
13
20
20
24
31
27
33
39
39
34
36
29
31
10
Domestic REPO-Eligible
0
0
0
0
0
0
0
0
0
0
0
0
11
1
Euro
0
3
3
5
3
1
3
5
9
6
3
4
0
0
Global
0
0
1
2
4
7
6
14
13
9
7
10
0
0
Sub-Total Offshore
0
3
4
7
7
8
9
19
22
15
10
14
0
0
Total
13
23
24
31
38
35
42
58
61
49
46
43
42
11
% Domestic
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
100.00%
86.96%
83.33%
77.42%
81.58%
77.14%
78.57%
67.24%
63.93%
69.39%
78.26%
67.44%
73.81%
90.91% 9.09%
Domestic REPO-Eligible
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
26.19%
Euro
0.00%
13.04%
12.50%
16.13%
7.89%
2.86%
7.14%
8.62%
14.75%
12.24%
6.52%
9.30%
0.00%
0.00%
Global
0.00%
0.00%
4.17%
6.45%
10.53%
20.00%
14.29%
24.14%
21.31%
18.37%
15.22%
23.26%
0.00%
0.00%
Sub-Total Offshore Total
0.00%
13.04%
16.67%
22.58%
18.42%
22.86%
21.43%
32.76%
36.07%
30.61%
21.74%
32.56%
0.00%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
Australian RMBS Performance Watch as at Jun 30, 2009
Standard & Poor’s xi
New Issuance Prime / Sub-Prime (Mil. A$) Prime
Prime REPO Eligible
Sub-Prime
70,000.00 60,000.00
A$ Amount (Mil. A$)
50,000.00 40,000.00 30,000.00 20,000.00 10,000.00 0.00 1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Year A$ Amount (Mil)
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
3,994.60
10,555.28
8,220.33
14,703.52
19,991.98
27,391.29
29,696.90
40,956.62
54,106.82
46,697.57
57,037.91
55,122.35
13,339.02
5,306.48
Prime REPO Eligible
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
42,131.64
114.00
Sub-Prime
0.00
0.00
0.00
100.00
100.00
200.00
1,233.97
2,770.09
2,345.62
3,886.16
5,504.78
2,014.60
635.25
0.00
3,994.60
10,555.28
8,220.33
14,803.52
20,091.98
27,591.29
30,930.86
43,726.72
56,452.44
50,583.73
62,542.69
57,136.95
56,105.91
5,420.48
Prime
Total
%
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
100.00%
100.00%
100.00%
99.32%
99.50%
99.28%
96.01%
93.66%
95.84%
92.32%
91.20%
96.47%
23.77%
97.90%
Prime REPO Eligible
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
75.09%
2.10%
Sub-Prime
0.00%
0.00%
0.00%
0.68%
0.50%
0.72%
3.99%
6.34%
4.16%
7.68%
8.80%
3.53%
1.13%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
Prime
Total
New Issuance Prime / Sub-Prime (No. of Issues) Prime
Prime REPO Eligible
Sub-Prime
70 60
No. Of Issues
50 40 30 20 10 0 1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Year
No. of Deals
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Prime
13
23
24
30
37
34
38
49
56
42
38
39
28
10
Prime REPO Eligible
0
0
0
0
0
0
0
0
0
0
0
0
11
Sub-Prime
0
0
0
1
1
1
4
9
5
7
8
4
3
0
Total
13
23
24
31
38
35
42
58
61
49
46
43
42
11
%
1
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
100.00%
100.00%
100.00%
96.77%
97.37%
97.14%
90.48%
84.48%
91.80%
85.71%
82.61%
90.70%
66.67%
90.91%
Prime REPO Eligible
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
26.19%
9.09%
Sub-Prime
0.00%
0.00%
0.00%
3.23%
2.63%
2.86%
9.52%
15.52%
8.20%
14.29%
17.39%
9.30%
7.14%
0.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
Prime
Total
Australian RMBS Performance Watch as at Jun 30, 2009
Standard & Poor’s xii
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Arrears Statistics - Prime Australian Prime Standard & Poor's Mortgage Performance Index (SPIN) 31-60 days
61-90 days
90+ days
TCLB (Total current loan balance)
5.00%
180.00
4.50%
160.00
4.00%
140.00
3.50% 120.00 3.00% 100.00 2.50% 80.00 2.00% 60.00 1.50% 40.00
1.00%
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jan-06
Jul-05
Jan-05
Jul-04
Jan-04
Jul-03
Jan-03
Jul-02
Jan-02
Jul-01
Jan-01
Jul-00
Jan-00
Jul-99
Jan-99
Jul-98
Jul-97
Jan-98
0.00 Jan-97
0.00% Jul-96
20.00
Jan-96
0.50%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.68%
0.62%
0.64%
0.67%
0.70%
0.72%
0.72%
0.72%
0.64%
0.64%
0.58%
0.56%
61-90 days
0.26%
0.30%
0.24%
0.28%
0.32%
0.32%
0.33%
0.30%
0.28%
0.26%
0.24%
0.23%
90+ days
0.57%
0.61%
0.63%
0.63%
0.68%
0.73%
0.79%
0.80%
0.75%
0.72%
0.69%
0.65%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
TCLB (Bil. A$) 130.39
128.58
127.62
126.83
123.13
121.26
118.85
116.61
114.24
113.75
111.12
108.82
Cumulative Gross Losses as Percentage of Total Initial Issuance by Year Of Issuance 2002
2003
2004
2005
2006
2007
2008
2009
0.250%
0.200%
0.150%
0.100%
0.050%
2009
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
0.000%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
0.000%
0.000%
2008
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
0.000%
0.000%
0.000%
0.000%
0.019%
0.019%
2007
#N/A
#N/A
0.000%
0.000%
0.000%
0.000%
0.001%
0.003%
0.008%
0.013%
0.019%
0.024%
2006
0.000%
0.000%
0.001%
0.002%
0.004%
0.007%
0.014%
0.024%
0.032%
0.045%
0.058%
0.068%
2005
0.010%
0.017%
0.024%
0.036%
0.052%
0.067%
0.080%
0.109%
0.125%
0.145%
0.150%
0.175%
2004
0.024%
0.029%
0.050%
0.068%
0.083%
0.104%
0.116%
0.131%
0.143%
0.167%
0.174%
0.208%
2003
0.017%
0.020%
0.026%
0.035%
0.041%
0.046%
0.051%
0.055%
0.060%
0.066%
0.068%
0.077%
2002
0.007%
0.007%
0.009%
0.012%
0.016%
0.019%
0.022%
0.024%
0.026%
0.029%
0.030%
0.031%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 1
Standard & Poor's RMBS Arrears Statistics - Australia
June 30, 2009
Arrears Statistics - Prime Arrears on Full Doc Loans 31-60 days
61-90 days
90+ days
TCLB
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00%
160.0 140.0 120.0 100.0 80.0 60.0
1.50% 1.00% 0.50% 0.00%
40.0 20.0 Jun-09
Apr-09
May-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Nov-08
Sep-08
Jul-08
Aug-08
Jun-08
Apr-08
May-08
Mar-08
Jan-08
Feb-08
Dec-07
Oct-07
Nov-07
Sep-07
Jul-07
Aug-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Oct-06
Nov-06
Sep-06
Jul-06
Aug-06
Jun-06
Apr-06
May-06
Mar-06
Jan-06
Feb-06
Dec-05
Oct-05
Nov-05
Sep-05
Jul-05
Aug-05
Jun-05
Apr-05
May-05
0.0
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.58%
0.54%
0.53%
0.56%
0.61%
0.61%
0.63%
0.63%
0.55%
0.56%
0.50%
0.49%
61-90 days
0.21%
0.23%
0.20%
0.21%
0.24%
0.26%
0.27%
0.25%
0.23%
0.21%
0.20%
0.19%
90+ days
0.47%
0.49%
0.49%
0.49%
0.52%
0.54%
0.59%
0.60%
0.57%
0.53%
0.50%
0.48%
Full Doc SPIN
1.26%
1.26%
1.22%
1.27%
1.38%
1.42%
1.49%
1.47%
1.35%
1.31%
1.20%
1.15%
TCLB (Bil. A$)
113.19
111.63
111.39
111.27
108.02
106.66
104.71
102.92
101.28
101.03
98.81
96.88
Arrears on LoDoc Loans 31-60 days
61-90 days
90+ days
TCLB
5.00% 4.50%
25.0
4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00%
20.0 15.0 10.0 5.0
0.50% 0.00% Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Nov-05
Oct-05
Sep-05
Aug-05
Jul-05
Jun-05
Apr-05
May-05
0.0
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.33%
1.14%
1.43%
1.45%
1.34%
1.48%
1.42%
1.38%
1.29%
1.29%
1.25%
1.15%
61-90 days
0.57%
0.75%
0.57%
0.73%
0.82%
0.76%
0.77%
0.70%
0.67%
0.61%
0.54%
0.55%
90+ days
1.22%
1.40%
1.57%
1.65%
1.84%
2.05%
2.26%
2.34%
2.14%
2.23%
2.16%
2.05%
Lo Doc SPIN
3.11%
3.28%
3.56%
3.84%
4.00%
4.29%
4.45%
4.42%
4.11%
4.14%
3.96%
3.76%
TCLB (Bil. A$)
17.20
16.95
16.23
15.57
15.11
14.60
14.13
13.69
12.96
12.72
12.31
11.94
Documentation Type Total Arrears Comparison Full Doc
LoDoc
Prime SPIN
Jun-09
Apr-09
May-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Nov-08
Sep-08
Jul-08
Aug-08
Jun-08
Apr-08
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Nov-05
Oct-05
Sep-05
Aug-05
Jul-05
Jun-05
Apr-05
May-05
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Full Doc SPIN
1.26%
1.26%
1.22%
1.27%
1.38%
1.42%
1.49%
1.47%
1.35%
1.31%
1.20%
1.15%
LoDoc SPIN
3.11%
3.28%
3.56%
3.84%
4.00%
4.29%
4.45%
4.42%
4.11%
4.14%
3.96%
3.76%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Full Doc % Prime TCLB
86.8%
86.8%
87.3%
87.7%
87.7%
88.0%
88.1%
88.3%
88.7%
88.8%
88.9%
89.0%
Lo Doc % Prime TCLB
13.2%
13.2%
12.7%
12.3%
12.3%
12.0%
11.9%
11.7%
11.3%
11.2%
11.1%
11.0%
© Copyright 2009 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Arrears Statistics is subject to the full disclaimer on the inside back cover.
Page 2
Standard & Poor's RMBS Arrears Statistics - Australia
June 30, 2009
Arrears Statistics - Prime Arrears Reported on a Missed Payments Basis 31-60 days
61-90 days
90+ days
TCLB
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Jan-02
Jul-01
Oct-01
Apr-01
Jan-01
Jul-00
Oct-00
Apr-00
Jan-00
Jul-99
Oct-99
Apr-99
Jan-99
Jul-98
Oct-98
Apr-98
Jan-98
Jul-97
Oct-97
Apr-97
Jan-97
Jul-96
Oct-96
Apr-96
Jan-96
50.0 45.0 40.0 35.0 30.0 25.0 20.0 15.0 10.0 5.0 0.0
(Bil. A$)
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.85%
0.85%
0.83%
0.89%
0.90%
0.90%
0.87%
0.83%
0.79%
0.83%
0.71%
0.64%
61-90 days
0.34%
0.43%
0.37%
0.40%
0.48%
0.49%
0.49%
0.38%
0.36%
0.33%
0.28%
0.26%
90+ days
0.79%
0.86%
0.85%
0.89%
1.06%
1.11%
1.23%
1.25%
1.23%
1.16%
1.06%
0.98%
Total
1.98%
2.14%
2.04%
2.19%
2.43%
2.50%
2.59%
2.46%
2.39%
2.31%
2.06%
1.87%
TCLB (Bil. A$)
37.26
37.29
37.77
36.64
33.39
33.29
32.61
32.13
31.04
31.48
31.28
31.27
Arrears Reported on a Scheduled Balance Basis 31-60 days
61-90 days
90+ days
TCLB 140.0
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
120.0
80.0
(Bil. A$)
100.0
60.0 40.0 20.0 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07
Jan-06 Apr-06
Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05
Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03
Jan-97 Apr-97
Jan-96 Apr-96 Jul-96 Oct-96
0.0
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.61%
0.53%
0.57%
0.59%
0.63%
0.65%
0.67%
0.67%
0.58%
0.57%
0.53%
0.53%
61-90 days
0.22%
0.24%
0.19%
0.22%
0.26%
0.26%
0.27%
0.27%
0.24%
0.23%
0.22%
0.22%
90+ days
0.48%
0.51%
0.53%
0.53%
0.54%
0.58%
0.62%
0.63%
0.56%
0.55%
0.54%
0.52%
Total
1.32%
1.28%
1.30%
1.34%
1.43%
1.49%
1.56%
1.58%
1.39%
1.36%
1.29%
1.26%
TCLB (Bil. A$)
93.13
91.29
89.85
90.20
89.74
87.96
86.24
84.48
83.20
82.27
79.84
77.56
Arrears Calculation Method Comparison Missed Payments
Scheduled Balance
Prime SPIN
Apr-09
Oct-08
Jan-09
Jul-08
Apr-08
Jan-08
Oct-07
Jul-07
Apr-07
Jan-07
Oct-06
Jul-06
Apr-06
Jan-06
Oct-05
Jul-05
Apr-05
Oct-04
Jan-05
Jul-04
Apr-04
Jan-04
Oct-03
Jul-03
Apr-03
Jan-03
Oct-02
Jul-02
Apr-02
Jan-02
Oct-01
Jul-01
Apr-01
Jan-01
Oct-00
Jul-00
Apr-00
Jan-00
Oct-99
Jul-99
Apr-99
Jan-99
Oct-98
Jul-98
Apr-98
Jan-98
Oct-97
Jul-97
Apr-97
Jan-97
Oct-96
Jul-96
Apr-96
Jan-96
(Bil. A$)
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Missed Payments
1.98%
2.14%
2.04%
2.19%
2.43%
2.50%
2.59%
2.46%
2.39%
2.31%
2.06%
1.87%
Scheduled Balance
1.32%
1.28%
1.30%
1.34%
1.43%
1.49%
1.56%
1.58%
1.39%
1.36%
1.29%
1.26%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
© Copyright 2009 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Arrears Statistics is subject to the full disclaimer on the inside back cover.
Page 3
Standard & Poor's RMBS Arrears Statistics - Australia
June 30, 2009
Arrears Statistics - Prime Arrears Domestic Issues 31-60 days
61-90 days
90+ days
TCLB
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
70.0 60.0 50.0 40.0 30.0 20.0 10.0 Jan-96 Apr-96 Jul-96 Oct-96 Jan-97 Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
0.0
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.67%
0.66%
0.69%
0.68%
0.73%
0.73%
0.72%
0.70%
0.63%
0.63%
0.57%
0.54%
61-90 days
0.26%
0.34%
0.27%
0.31%
0.34%
0.36%
0.37%
0.31%
0.29%
0.26%
0.22%
0.22%
90+ days
0.67%
0.73%
0.75%
0.73%
0.78%
0.81%
0.89%
0.91%
0.84%
0.81%
0.77%
0.71%
Total
1.60%
1.73%
1.70%
1.71%
1.85%
1.90%
1.98%
1.92%
1.76%
1.69%
1.56%
1.47%
TCLB (Bil. A$)
59.71
60.22
60.92
61.86
60.34
60.00
58.91
57.97
57.50
58.79
57.56
56.74
Arrears Cross Border Issues 31-60 days
61-90 days
90+ days
Total Current Loan Balance
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
120.0 100.0 80.0 60.0 40.0 20.0
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Jan-02
Jul-01
Oct-01
Apr-01
Jan-01
Jul-00
Oct-00
Apr-00
Jan-00
Jul-99
Oct-99
Apr-99
Jan-99
Jul-98
Oct-98
Apr-98
Oct-97
Jan-98
Jul-97
Apr-97
0.0
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.68%
0.59%
0.60%
0.67%
0.68%
0.70%
0.72%
0.73%
0.64%
0.66%
0.59%
0.58%
61-90 days
0.25%
0.26%
0.22%
0.25%
0.29%
0.28%
0.29%
0.29%
0.26%
0.26%
0.25%
0.24%
90+ days
0.49%
0.50%
0.52%
0.54%
0.58%
0.65%
0.69%
0.69%
0.65%
0.63%
0.60%
0.58%
Total
1.43%
1.35%
1.35%
1.46%
1.55%
1.63%
1.71%
1.72%
1.56%
1.55%
1.44%
1.40%
TCLB (Bil. A$)
70.67
68.36
66.70
64.97
62.79
61.26
59.93
58.65
56.74
54.96
53.56
52.09
Market Comparison Domestic
Cross Border
Prime SPIN
Oct-02
Jul-02
Apr-02
Jan-02
Oct-01
Jul-01
Apr-01
Jan-01
Oct-00
Jul-00
Apr-00
Jan-00
Oct-99
Jul-99
Apr-99
Jan-99
Oct-98
Jul-98
Apr-98
Jan-98
Oct-97
Jul-97
Apr-97
(Bil. A$)
5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Domestic
1.60%
1.73%
1.70%
1.71%
1.85%
1.90%
1.98%
1.92%
1.76%
1.69%
1.56%
1.47%
Cross Border
1.43%
1.35%
1.35%
1.46%
1.55%
1.63%
1.71%
1.72%
1.56%
1.55%
1.44%
1.40%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
© Copyright 2009 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Arrears Statistics is subject to the full disclaimer on the inside back cover.
Page 4
Standard & Poor's RMBS Arrears Statistics - Australia
June 30, 2009
Arrears Statistics - Prime Major Banks 31-60 days
Regional Banks
61-90 days
90+ days
TCLB
5.00%
31-60 days 35.0
4.50% 30.0 4.00%
61-90 days
90+ days
TCLB
5.00%
45.0
4.50%
40.0
4.00% 25.0
3.50%
2.50% 15.0
2.00% 1.50%
10.0
1.00%
30.0
3.00% 25.0 2.50% 20.0 2.00% 15.0
1.50%
10.0
1.00% 5.0
Mar-09
Mar-08
Sep-08
Mar-07
Sep-07
Mar-06
Sep-06
Mar-05
Sep-05
Mar-04
Sep-04
Mar-03
Sep-03
Mar-02
Sep-02
Mar-01
Sep-01
Mar-00
Sep-00
Mar-99
Sep-99
Mar-98
Sep-98
Sep-97
Mar-97
0.0 Mar-96
Nov-08
5.0
0.00%
May-09
Nov-07
May-08
Nov-06
May-07
Nov-05
May-06
Nov-04
May-05
Nov-03
May-04
Nov-02
May-03
Nov-01
May-02
Nov-00
May-01
Nov-99
May-00
Nov-98
May-99
Nov-97
May-98
Nov-96
0.0 May-97
0.00%
0.50%
Sep-96
0.50%
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.58%
0.56%
0.57%
0.54%
0.52%
0.51%
31-60 days
0.81%
0.86%
0.71%
0.72%
0.66%
0.69%
61-90 days
0.21%
0.19%
0.18%
0.20%
0.24%
0.21%
61-90 days
0.34%
0.35%
0.29%
0.29%
0.25%
0.27%
90+ days
0.35%
0.39%
0.39%
0.38%
0.34%
0.38%
90+ days
0.71%
0.74%
0.66%
0.62%
0.60%
0.56%
Major Banks SPIN
1.14%
1.15%
1.14%
1.11%
1.11%
1.11%
Regional Banks SPIN
1.86%
1.95%
1.66%
1.64%
1.51%
1.52%
TCLB (Bil. A$)
16.61
16.26
15.87
15.18
14.80
14.44
TCLB (Bil. A$)
28.98
28.41
28.28
28.35
27.74
27.08
Other Banks 31-60 days
Non-Bank Financial Institutions
61-90 days
90+ days
TCLB
31-60 days 40.0
5.00% 4.50%
35.0
4.00%
61-90 days
90+ days
TCLB
5.00%
9.0
4.50%
8.0
4.00%
7.0
30.0 3.50%
3.50% 25.0
2.00%
(Bil. A$)
20.0
2.50%
6.0
3.00% 5.0 2.50% 4.0 2.00%
15.0
1.50%
3.0
1.50% 10.0
2.0
1.00%
Jul-08
Jan-09
Jul-07
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jan-05
Jul-04
Jan-04
Jul-03
Jan-03
Jul-02
Jan-02
Jul-01
Jan-01
Jul-00
Jan-00
Jul-99
0.0 Jul-98
1.0
0.00% Jul-97
0.50%
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jul-05
Jan-06
Jul-04
Jan-05
Jul-03
Jan-04
Jul-02
Jan-03
Jul-01
Jan-02
Jul-00
Jan-01
Jul-99
Jan-00
Jan-99
Jul-98
Jan-98
Jul-97
Jan-97
0.0 Jul-96
0.00%
Jan-99
5.0
Jan-98
1.00% 0.50%
(Bil. A$)
3.00%
Jan-96
(Bil. A$)
20.0
(Bil. A$)
3.00%
35.0
3.50%
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.58%
0.61%
0.51%
0.60%
0.46%
0.43%
31-60 days
0.38%
0.36%
0.32%
0.29%
0.34%
0.28%
61-90 days
0.30%
0.22%
0.23%
0.18%
0.17%
0.13%
61-90 days
0.13%
0.13%
0.12%
0.15%
0.09%
0.07%
90+ days
0.57%
0.62%
0.56%
0.55%
0.54%
0.50%
90+ days
0.21%
0.21%
0.17%
0.17%
0.19%
0.16%
Other Banks SPIN
1.45%
1.45%
1.29%
1.33%
1.17%
1.07%
Non-Bank Financial Institutions SPIN
0.73%
0.70%
0.62%
0.61%
0.62%
0.51%
TCLB (Bil. A$)
29.84
29.40
29.22
28.68
28.01
27.50
TCLB (Bil. A$)
5.96
5.82
6.11
6.33
5.70
5.65
Company Type Comparison
Non-Bank Originators 31-60 days
61-90 days
90+ days
Non-Bank Originators Regional Banks Non-Bank Financial Institutions
TCLB 40.0
5.00%
Major Banks Other Banks Prime SPIN
5.00% 4.50%
35.0
4.50%
4.00% 4.00%
30.0 3.50%
3.50% 25.0
3.00%
3.00%
2.00%
(Bil. A$)
20.0
2.50%
15.0
1.50% 10.0 1.00%
2.50% 2.00% 1.50% 1.00% 0.50%
Jul-05
Jan-05
Jul-04
Jan-04
Jan-03
Aug-03
Aug-02
Jul-01
Jan-02
Jan-01
Jul-00
Jan-00
Aug-99
Jan-99
Aug-98
Jul-97
Jan-98
Jan-97
0.00% Jan-96
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jul-05
Jan-06
Jul-04
Jan-05
Jul-03
Jan-04
Jul-02
Jan-03
Jul-01
Jan-02
Jul-00
Jan-01
Jan-00
Jul-99
Jan-99
Jul-98
Jan-98
Jul-97
Jan-97
Jul-96
0.0 Jan-96
0.00%
Jul-96
5.0
0.50%
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.95%
0.77%
0.80%
0.72%
0.64%
0.55%
Major Banks
1.14%
1.15%
1.14%
1.11%
1.11%
1.11%
61-90 days
0.46%
0.44%
0.35%
0.36%
0.29%
0.30%
Regional Banks
1.86%
1.95%
1.66%
1.64%
1.51%
1.52%
90+ days
1.54%
1.46%
1.44%
1.30%
1.19%
1.11%
Other Banks
1.45%
1.45%
1.29%
1.33%
1.17%
1.07%
Non-Bank Originators SPIN
2.96%
2.67%
2.59%
2.38%
2.12%
1.96%
Non-Bank Financial Institutions
0.73%
0.70%
0.62%
0.61%
0.62%
0.51%
TCLB (Bil. A$)
24.11
23.46
22.18
22.90
22.84
22.39
Non-Bank Originators
2.96%
2.67%
2.59%
2.38%
2.12%
1.96%
Prime SPIN
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
© Copyright 2009 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Arrears Statistics is subject to the full disclaimer on the inside back cover.
Page 5
Standard & Poor's RMBS Arrears Statistics - Australia
June 30, 2009
Arrears Statistics - Prime By Year Of Issuance 2003
2002 TCLB
2.00% 10.0
1.50% 1.00%
5.0
0.50%
25.0
2.50%
20.0
2.00%
15.0
1.50%
10.0
1.00%
5.0
0.00%
0.0 Jan-03
0.50% Feb-09
Feb-08
Aug-08
Aug-07
Feb-07
Feb-06
Aug-06
Aug-05
Feb-05
Feb-04
Aug-04
Aug-03
Aug-02
Feb-03
0.0 Feb-02
0.00%
3.00%
2004 31-60 days
Jan-09
15.0
Jul-08
2.50%
Jan-08
3.00%
30.0
3.50%
Jul-07
20.0
35.0
4.00%
Jan-07
3.50%
4.50%
Jul-06
25.0
4.00%
TCLB 40.0
Jul-05
4.50%
90+ days
5.00%
Jan-06
30.0
61-90 days
Jul-04
5.00%
31-60 days
Jan-05
90+ days
Jan-04
61-90 days
Jul-03
31-60 days
2005
61-90 days
90+ days
TCLB
5.00%
60.0
4.50% 50.0
4.00% 3.50%
40.0
3.00%
31-60 days
61-90 days
90+ days
TCLB
5.00%
45.0
4.50%
40.0
4.00%
35.0
3.50%
30.0
3.00%
2.50%
30.0
2.00%
25.0
2.50% 20.0
2.00%
TCLB
20.0
1.50% 1.00%
10.0
0.50%
10.0
0.50%
5.0
0.00%
0.0
2008
2009 31-60 days
TCLB
10.00%
10.0
3.00%
8.00%
8.0
2.50%
6.00%
6.0
2.00%
4.00%
4.0
2.00%
2.0
0.50%
0.00%
0.0
0.00%
90+ days
TCLB 6.0 5.0
4.00% 3.50%
4.0 3.0 2.0
1.50% 1.00%
1.0
Jun 09
May 09
0.0 Apr 09
May-09
12.0
Mar-09
12.00%
Jan-09
4.50%
Nov-08
14.0
Sep-08
14.00%
Jul-08
5.00%
May-08
16.0
61-90 days
Mar 09
90+ days
Feb 09
61-90 days
16.00%
Mar-08
Apr-09
15.0
1.00%
Jan-07
20.0
1.50%
Jun-09
Feb-09
Oct-08
Jun-08
Feb-08
Oct-07
Jun-07
Feb-07
Jun-06
Oct-06
0.0 Feb-06
0.00%
25.0
2.00%
Apr-09
2.00%
30.0
2.50%
Jan-09
30.0
35.0
3.00%
Oct-08
2.50%
40.0
3.50%
Jul-08
40.0
3.00%
45.0
4.00%
Apr-08
3.50%
TCLB
4.50%
Jan-08
50.0
4.00%
90+ days
50.0
Oct-07
4.50%
61-90 days
5.00%
Jul-07
60.0
31-60 days
Apr-07
90+ days
5.00%
Jan-08
Nov-08
2007
61-90 days
31-60 days
Aug-07
Feb-05
2006 31-60 days
Jun-08
0.0 Jan-08
5.0
0.00% Mar-07
10.0
0.50%
Mar-09
Sep-08
Mar-08
Sep-07
Mar-07
Sep-06
Mar-06
Mar-05
Sep-05
Mar-04
Sep-04
Mar-03
Sep-03
Mar-02
Sep-02
Mar-01
0.0 Sep-01
0.00%
1.00%
Oct-06
10.0
0.50%
15.0
1.50%
May-06
1.00%
Dec-05
1.50%
Jul-05
20.0
© Copyright 2009 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Arrears Statistics is subject to the full disclaimer on the inside back cover.
Page 6
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Prepayment Statistics - Prime Australian Prime Standard & Poors Prepayment Index (SPPI) by Market Domestic
Cross Border
Prime SPPI
50.00%
45.00%
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Jun-97
Sep-97
Mar-97
Dec-96
Sep-96
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Domestic
26.02%
24.37%
20.18%
23.66%
23.91%
24.39%
23.32%
23.94%
24.31%
24.03%
21.38%
23.06%
Cross border
23.23%
24.02%
20.89%
24.02%
25.23%
23.87%
21.82%
23.23%
20.22%
20.83%
19.96%
22.56%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75%
24.07%
22.41%
23.51%
21.90%
22.24%
20.62%
22.80%
Annualised Quarterly Prepayment Rates - Months From Issue Date Domestic
Cross Border
Total Prepayment Rate
50.00%
45.00%
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
162
159
156
153
150
147
144
141
138
135
132
129
126
123
120
117
114
111
108
105
102
99
96
93
90
87
84
81
78
75
72
69
66
63
60
57
54
51
48
45
42
39
36
33
30
27
24
21
18
15
12
9
6
3
0.00%
Page 7
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Prepayment Statistics - Prime Annualised Quarterly Prepayment Rate Index (By Year Of Issuance) 2002
2003
2004
2005
2006
2007
2008
2009
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
0.00%
Annualised Quarterly Prepayment Rate Index - Months From Issue Date (By Year Of Issuance) 2002
2003
2004
2005
2006
2007
2008
2009
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
96
90
84
78
72
66
60
54
48
42
36
30
24
18
12
6
0
0.00%
Page 8
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Adelaide Bank Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
29-Feb-96
14
3
8
A$M 3,318.31
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Mar-96 Jun-96 Sep-96 Dec-96 Mar-97 Jun-97 Sep-97 Dec-97 Mar-98 Jun-98 Sep-98 Dec-98 Mar-99 Jun-99 Sep-99 Dec-99 Mar-00 Jun-00 Sep-00 Dec-00 Mar-01 Jun-01 Sep-01 Dec-01 Mar-02 Jun-02 Sep-02 Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 Mar-04 Jun-04 Sep-04 Dec-04 Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.78%
0.69%
0.79%
0.71%
0.73%
0.81%
0.63%
0.66%
0.68%
0.55%
0.62%
0.78%
61-90 days
0.47%
0.46%
0.44%
0.47%
0.54%
0.51%
0.60%
0.40%
0.42%
0.37%
0.36%
0.35%
90+ days
1.45%
1.48%
1.57%
1.67%
1.75%
1.88%
1.95%
2.06%
1.91%
1.89%
1.78%
1.62%
Total
2.70%
2.63%
2.80%
2.86%
3.02%
3.20%
3.17%
3.13%
3.01%
2.81%
2.75%
2.75%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Adelaide Bank Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Mar-08
Sep-04
Mar-04
Dec-03
Jun-03
Dec-07
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Jun-97
Sep-97
Mar-97
Dec-96
Sep-96
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
31.66%
28.75%
23.72%
28.45%
32.47% 27.84% 27.00% 28.23%
36.62%
25.40%
27.11%
29.36%
Repayment
32.33%
29.46%
24.53%
29.23%
33.26% 28.68% 27.88% 29.11%
40.48%
26.45%
28.21%
30.47%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Adelaide Bank is a regional bank based in South Australia. •The bank securitises prime residential mortgage loans under the Torrens RMBS program. •Adelaide Bank Ltd. Is a 100% owned subsidiary of Bendigo and Adelaide Bank Ltd. •A Note Holder of Series 2005-1 (AAA) TORRENS Trust requested for a redemption of Notes in Sept 2007. The Trust sold approximately $151 million of receivables, which was passed through as principal repayments, causing a hike in the repayment rate.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 9
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2004-1 TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN
100.0
0.00%
0.0 Mar-09
Jan-09
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
Mar-06
Jan-06
Nov-05
Jul-05
Jan-05
Mar-05
Nov-04
Jul-04
Mar-04
May-09
1.00%
Nov-08
200.0
Sep-08
300.0
2.00%
May-08
3.00%
Sep-07
400.0
May-07
500.0
4.00%
Sep-06
600.0
5.00%
Jul-06
6.00%
May-06
700.0
Sep-05
800.0
7.00%
May-05
8.00%
Sep-04
900.0
May-04
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1F
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
VIC 16%
0.90%
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
May-09
1,000+
ACT 0%
750-1,000
120+
110 - 120
100 - 110
90 - 100
10 - 20
WA 5%
Cumulative Losses
500-750
0.0%
Cumulative Loan Size
300-400
0.0%
250-300
20.0%
200-250
20.0%
150-200
40.0%
0-100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
May-05
Jan-05
Nov-04
Sep-04
Jul-04
Mar-04
May-04
0.0
Geographic Distribution
NSW 32%
0.80%
TAS 0%
0.70%
Non-Metro
Inner City
18%
0%
0.60% 0.50% 0.40%
Metro 82%
0.30%
NT 0%
0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
SA 35%
QLD 12%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 10
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2004-2(W) TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 6.00%
800.0
5.00% 600.0 4.00% 3.00%
400.0
2.00% 200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Aug-04
Oct-04
Dec-04
0.0 Jun-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 6%
ACT 0%
Feb-09
Jun-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-09
1,000+
750-1,000
120+
110 - 120
100 - 110
90 - 100
10 - 20
Cumulative Losses
500-750
0.0%
Cumulative Loan Size
300-400
0.0%
250-300
20.0%
200-250
20.0%
150-200
40.0%
0-100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
0.0
Geographic Distribution
VIC 16%
1.00% 0.90% 0.80%
NSW 42%
0.70%
Inner City 0% Non-Metro 31%
0.60%
SA 8%
0.50% 0.40%
Metro 69%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
0.00%
QLD 28%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 11
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-1 TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 6.00%
800.0
5.00% 600.0 4.00% 3.00%
400.0
2.00% 200.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Mar-05
Sep-05
0.0 May-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
VIC 14%
0.80%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Aug-08
Jun-08
TAS 0%
0.70%
1,000+
750-1,000
500-750
Geographic Distribution NSW 29%
1.00% 0.90%
ACT 0%
Cumulative Loan Size
300-400
120+
110 - 120
100 - 110
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Oct-05
Nov-05
Sep-05
Jul-05
Aug-05
Jun-05
Apr-05
May-05
Mar-05
0.0
Inner City Non-Metro
0%
21%
0.60% 0.50% 0.40%
NT 0%
0.30%
Metro 79%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
SA 35%
QLD 15%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 12
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-2(S) TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Outlook
Strong
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Jan-06
Nov-05
Jul-05
Sep-06
0.0 May-06
0.00% Sep-05
100.0
May-05
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Aug-08
Jun-08
Feb-09
1,000+
750-1,000
500-750
ACT 0%
Cumulative Loan Size
300-400
120+
110 - 120
100 - 110
WA 6%
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
Jun-05
May-05
0.0
Geographic Distribution
1.00%
VIC 17%
0.90% 0.80% 0.70%
NSW 41%
TAS 0%
0.60% 0.50%
Inner City Non-Metro
SA 6%
0.40%
0%
29%
Metro 71%
0.30% 0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 30%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 13
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-3E TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Feb-06
Oct-05
Apr-06
0.0 Dec-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
VIC 15%
0.90% 0.80%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
1,000+
750-1,000
Geographic Distribution
NSW 32%
TAS 0%
0.70%
500-750
ACT 1%
Cumulative Loan Size
300-400
120+
100 - 110
90 - 100
WA 5%
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
110 - 120
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-08
Apr-08
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
0.0
Non-Metro
Inner City
16%
0%
0.60% 0.50% 0.40%
Metro 84%
0.30%
NT 0%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
0.00%
SA 35%
QLD 12%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 14
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-1 (AAA) TORRENS Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Dec-05
Aug-05
Feb-06
0.0 Oct-05
100.0
0.00% Jun-05
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 2%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jun-08
Apr-08
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
Sep-05
Jul-05
Aug-05
Jun-05
0.0
Geographic Distribution
1.00% 0.90%
NSW 34%
VIC 15%
0.80%
Inner City Non-Metro
0.70%
0%
22%
TAS 0%
0.60% 0.50% 0.40%
Metro 78%
0.30% 0.20%
SA 22%
0.10%
NT 0%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 18%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 15
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
TORRENS Series 2006-1(E) Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Feb-08
Oct-07
Aug-07
Jun-07
Feb-07
Oct-06
Apr-08
0.0 Dec-07
0.00% Apr-07
200.0
Dec-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7% VIC 11% TAS 0%
1.00% 0.90% 0.80%
ACT 2%
Jun-09
May-09
Apr-09
Jan-09
Feb-09
Dec-08
Mar-09
1,000+
750-1,000
500-750
120+
100 - 110
90 - 100
10 - 20
Cumulative Losses
Cumulative Loan Size
300-400
0.0% 250-300
0.0%
200-250
20.0%
150-200
20.0%
0-100
40.0%
110 - 120
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
0.0
Geographic Distribution
NSW 30% Non-Metro
0.70%
Inner City
16%
0%
0.60% 0.50% 0.40%
Metro 84%
0.30%
NT 0%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
SA 39%
QLD 11%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 16
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
TORRENS Series 2007-1 Trust Originator
Servicer
Adelaide Bank Ltd
Adelaide Bank Ltd
Servicer Ranking
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
Strong
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 6.00%
400.0
5.00% 300.0 4.00% 3.00%
200.0
2.00% 100.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Feb-08
Oct-07
Apr-08
0.0 Dec-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 10%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
0.0
Geographic Distribution
1.00% 0.90% 0.80%
VIC 15%
0.70%
NSW 40%
0.60%
Inner City Non-Metro
0%
13%
TAS 1%
0.50% 0.40%
Metro 87%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
SA 23% QLD 9%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 17
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
AIMS Home Loans Pty. Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
04-Sep-00
6
0
3
A$M 505.50
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.46%
0.28%
0.19%
0.51%
0.58%
0.53%
0.60%
0.17%
0.12%
0.07%
0.30%
0.49%
61-90 days
0.20%
0.36%
0.19%
0.15%
0.41%
0.39%
0.33%
0.45%
0.15%
0.07%
0.07%
0.07%
90+ days
0.49%
0.89%
0.99%
1.06%
0.91%
1.04%
0.96%
1.02%
1.03%
1.31%
1.16%
0.79%
Total
1.16%
1.52%
1.37%
1.72%
1.90%
1.97%
1.89%
1.63%
1.30%
1.45%
1.53%
1.35%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
AIMS Home Loans Pty. Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
24.41%
25.86%
25.31%
26.89%
24.86% 35.30% 30.32% 22.93%
25.73%
31.51%
30.74%
27.02%
Repayment
25.60%
26.80%
26.47%
28.19%
26.84% 37.10% 32.50% 26.66%
29.84%
35.44%
35.87%
33.09%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •AIMS Home Loans Pty. Ltd. (AIMS) is a privately owned, non-bank mortgage originator based in New South Wales. •AIMS originated and funded mortgage loans under the RESIMAC RMBS program, including two RMBS transactions badged as AIMS in which all loans were originated by AIMS. •AIMS has now established its own program to securitise prime residential mortgage loans which includes one rated warehouse trust, AIMS Warehouse Trust No.1. •In May 06 AIMS Home Loans Pty Ltd changed their arrears reporting methodology from missed payments to scheduled balance.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 18
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
AIMS 2004-1 Trust Originator
Servicer
AIMS Home Loans Pty. Ltd.
AIMS Home Loans Pty. Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 6.00%
400.0
5.00% 300.0 4.00% 3.00%
200.0
2.00% 100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
May-05
0.0 Sep-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
ACT 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-09
1,000+
750-1,000
120+
110 - 120
100 - 110
90 - 100
10 - 20
Cumulative Losses
500-750
0.0%
Cumulative Loan Size
300-400
0.0%
250-300
20.0%
200-250
20.0%
150-200
40.0%
0-100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Jul-04
Sep-04
0.0
Geographic Distribution
VIC 30%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro 2% 5%
0.60% 0.50%
NSW 50%
0.40%
SA 1%
0.30%
Metro 93%
0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
0.00%
QLD 17%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 19
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
AIMS 2005-1 Trust Originator
Servicer
AIMS Home Loans Pty. Ltd.
AIMS Home Loans Pty. Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
3.00%
150.0
2.00%
100.0
1.00%
50.0
0.00%
0.0 Jun-09
Feb-09
Oct-08
Aug-08
Jun-08
Feb-08
Oct-07
Aug-07
Jun-07
Feb-07
Oct-06
Aug-06
Jun-06
Feb-06
Oct-05
Aug-05
Apr-09
200.0
Dec-08
250.0
4.00%
Apr-08
300.0
5.00%
Dec-07
6.00%
Apr-07
350.0
Dec-06
400.0
7.00%
Apr-06
8.00%
Dec-05
450.0
Jun-05
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
450.0
90.0%
400.0
80.0%
350.0
70.0%
300.0
60.0% 250.0
50.0% 200.0
40.0%
100.0
20.0%
WA 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
Jun-09
Apr-09
May-09
Mar-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
Jul-08
Jun-08
Feb-09
1,000+
750-1,000
500-750
120+
110 - 120
100 - 110
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Cumulative Loan Size
300-400
0.0% 250-300
0.0%
200-250
20.0%
150-200
20.0%
0-100
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
< 10
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
May-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
Sep-05
Jul-05
0.0
Aug-05
50.0
0.0% Jun-05
10.0%
(Mil. A$)
150.0
30.0%
Geographic Distribution
VIC 27%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro
1%
9%
0.60% 0.50%
SA 0%
0.40%
NSW 51%
0.30%
Metro 90%
0.20% 0.10%
QLD 19% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 20
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
AIMS 2007-1 Trust Originator
Servicer
AIMS Home Loans Pty. Ltd.
AIMS Securitisation Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
400.0
8.00%
350.0
7.00%
300.0
6.00% 250.0 5.00% 200.0 4.00% 150.0 3.00% 100.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Sep-08
0.0 May-08
0.00% Sep-07
50.0
May-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
400.0
90.0%
350.0
80.0% 300.0
70.0% 250.0
60.0% 50.0%
200.0
40.0%
100.0
20.0%
(Mil. A$)
150.0
30.0%
50.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00% 0.90%
WA ACT 1% 0%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
0.0
Geographic Distribution
VIC 28%
0.80% Inner City
0.70%
Non-Metro
2%
11%
0.60%
NSW 50%
0.50%
SA 0%
0.40% 0.30%
Metro 87%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 21%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 21
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
AMP Bank Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
03-Oct-97
10
3
10
A$M 6,227.48
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Jan-02
Jul-01
Oct-01
Apr-01
Jan-01
Jul-00
Oct-00
Apr-00
Jan-00
Jul-99
Oct-99
Apr-99
Jan-99
Jul-98
Oct-98
Apr-98
Oct-97
Jan-98
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.56%
0.40%
0.57%
0.52%
0.72%
0.80%
0.61%
0.72%
0.56%
0.46%
0.25%
0.39%
61-90 days
0.23%
0.18%
0.17%
0.33%
0.28%
0.37%
0.42%
0.35%
0.26%
0.23%
0.17%
0.10%
90+ days
0.56%
0.53%
0.58%
0.57%
0.67%
0.72%
0.82%
0.88%
0.62%
0.60%
0.66%
0.57%
Total
1.35%
1.10%
1.32%
1.43%
1.66%
1.89%
1.85%
1.95%
1.45%
1.29%
1.08%
1.06%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
AMP Bank Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
28.46%
28.42%
20.94%
24.86%
29.23% 26.57% 24.29% 24.40%
22.52%
25.22%
19.35%
20.24%
Repayment
29.94%
29.93%
22.58%
26.44%
30.61% 27.83% 25.55% 25.63%
23.73%
26.40%
20.79%
21.67%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •AMP Bank Ltd. is a second-tier bank, owned by AMP Ltd., Australia’s largest life insurance and funds management group. •The bank securitises prime residential mortgage loans under the Progress RMBS program, which includes a rated warehouse trust, Progress Warehouse Trust No. 1. •AMP has advised that the high LTV ratio's on several transactions are correct due to large valuation reductions in subsequent valuations in comparison to when the loans were originated.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 22
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2003 E-1 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 6.00%
800.0
5.00% 600.0 4.00% 3.00%
400.0
2.00% 200.0 1.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Jun-08
Aug-08
Apr-08
Feb-08
Oct-07
Dec-07
Aug-07
Apr-07
Jun-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Oct-05
Dec-05
Jun-05
Aug-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
Feb-04
Oct-03
Apr-04
0.0 Dec-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
2A
1A
Repayment Rate
Prepayment Rate
100.0%
1,400.0
90.0% 1,200.0
80.0% 1,000.0
70.0% 60.0%
800.0
50.0% 600.0
40.0%
400.0
20.0%
(Mil. A$)
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Geographic Distribution
VIC 16% TAS 1%
0.90% 0.80%
Inner City
0.70%
Non-Metro
SA 3%
0.60%
1,000+
ACT 1%
750-1,000
120+
110 - 120
100 - 110
90 - 100
10 - 20
WA 5%
Cumulative Losses
500-750
0.0%
Cumulative Loan Size
300-400
0.0%
250-300
20.0%
200-250
20.0%
150-200
40.0%
0-100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Oct-03
Dec-03
0.0
1%
13%
0.50%
QLD 7%
0.40% 0.30%
NT 0%
0.20% 0.10%
Metro 86%
NSW 67%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 23
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2004 E-1 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,400.0
9.00% 8.00%
1,200.0
7.00% 1,000.0 6.00% 5.00%
800.0
4.00%
600.0
3.00% 400.0 2.00% 200.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Aug-04
Jun-04
Dec-04
0.0 Apr-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
2A
1A
Repayment Rate
Prepayment Rate
100.0%
1,400.0
90.0% 1,200.0
80.0% 1,000.0
70.0% 60.0%
800.0
50.0% 600.0
40.0%
400.0
20.0%
(Mil. A$)
30.0%
200.0
10.0% 0.0%
WA 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
Jun-09
Apr-09
Feb-09
Oct-08
Aug-08
Jun-08
Dec-08
1,000+
750-1,000
500-750
120+
110 - 120
100 - 110
10 - 20
Cumulative Losses
Cumulative Loan Size
300-400
0.0% 250-300
0.0%
200-250
20.0%
150-200
20.0%
0-100
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Jun-05
Aug-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
Apr-04
0.0
Geographic Distribution
VIC 17%
1.00%
TAS 1%
0.90% 0.80%
Non-Metro
SA 3%
0.70% 0.60%
Inner City
14%
1%
QLD 7%
0.50% 0.40%
Metro
NT 0%
0.30% 0.20%
85%
NSW 68%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 24
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2004-2 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 6.00%
400.0
5.00% 300.0 4.00% 3.00%
200.0
2.00% 100.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Feb-05
Apr-05
0.0 Dec-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-09
1,000+
ACT 2%
750-1,000
120+
110 - 120
100 - 110
90 - 100
10 - 20
WA 4%
Cumulative Losses
500-750
0.0%
Cumulative Loan Size
300-400
0.0%
250-300
20.0%
200-250
20.0%
150-200
40.0%
0-100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
0.0
Geographic Distribution
VIC TAS16% 0%
1.00% 0.90% 0.80%
Inner City
SA 2%
0.70% 0.60%
Non-Metro
1%
12%
QLD 8%
0.50% 0.40%
Metro
NT 0%
0.30%
87%
0.20%
NSW 68%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 25
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2005-1 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 6.00%
800.0
5.00% 600.0 4.00% 3.00%
400.0
2.00% 200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Oct-05
Aug-05
Jun-05
Dec-05
0.0 Apr-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
Jun-09
Apr-09
May-09
Mar-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
Jul-08
Jun-08
Feb-09
1,000+
750-1,000
500-750
120+
110 - 120
100 - 110
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Cumulative Loan Size
300-400
0.0% 250-300
0.0%
200-250
20.0%
150-200
20.0%
0-100
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
< 10
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Jul-05
Aug-05
Jun-05
May-05
Apr-05
0.0
Geographic Distribution
VIC 17%
1.00%
TAS 1%
0.90% 0.80%
Non-Metro
SA 3%
0.70% 0.60% 0.50%
Inner City
17%
QLD 8%
0.40%
NT 0%
0.30% 0.20% 0.10%
1%
Metro 82%
NSW 67%
Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 26
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2005-2 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Jan-06
Nov-05
May-07
0.0 Sep-06
100.0
0.00% May-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Sep-08
Jul-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
100 - 110
90 - 100
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
110 - 120
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Aug-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Nov-05
0.0
Geographic Distribution
VIC 19%
1.00% 0.90% 0.80%
TAS 1%
0.70%
Non-Metro
Inner City
17%
0%
SA 3%
0.60% 0.50% 0.40%
Metro
QLD 9%
0.30% 0.20%
83%
NT 1%
0.10%
NSW 62%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 27
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2006-1 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
May-07
0.0 Sep-06
100.0
0.00% May-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,000.0 900.0
80.0%
800.0
70.0%
700.0
60.0%
600.0
50.0%
500.0
40.0%
400.0
30.0%
300.0
20.0%
200.0
10.0%
100.0
0.0%
(Mil. A$)
90.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Nov-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
10 - 20
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Aug-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
0.0
Geographic Distribution
VIC 17%
1.00% 0.90%
TAS 1%
0.80%
Non-Metro
0.70%
SA 3%
0.60%
Inner City
19%
1%
0.50% 0.40%
Metro
QLD 12%
0.30%
80%
NSW 63%
0.20%
NT 0%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 28
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2007-1G Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Oct-07
Aug-07
Jun-07
Dec-07
0.0 Apr-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
2A
1A
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
0.0
Geographic Distribution
1.00% 0.90%
VIC 18%
0.80% 0.70%
Non-Metro
Inner City
18%
1%
0.60%
TAS 1%
0.50% 0.40%
Metro
SA 3%
0.30% 0.20%
NSW 59%
81%
QLD 10%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 29
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2008-1R Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
8.00%
3,000.0
7.00% 2,500.0 6.00% 2,000.0 5.00% 4.00%
1,500.0
3.00% 1,000.0 2.00% 500.0 1.00%
Jun-09
Apr-09
Dec-08
Feb-09
0.0 Oct-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
3,000.0
90.0% 2,500.0
80.0% 70.0%
2,000.0
60.0% 50.0%
1,500.0
40.0%
20.0%
(Mil. A$)
1,000.0
30.0%
500.0
10.0% 0.0%
Loan To Value Ratio Distribution
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
WA 12%
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
0.0
Geographic Distribution
0.80% 0.70% 0.60%
Inner City
NSW 42%
0.50%
Non-Metro
1%
20%
VIC 21%
0.40%
Metro
0.30%
79%
0.20%
TAS 1%
0.10%
Jun-09
0.00%
SA 6% QLD 16%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 30
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Progress 2009-1 Trust Originator
Servicer
AMP Bank Ltd
AMP Bank Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00% 0.0 Mar-09
May-09
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0% Jun-09
Apr-09
May-09
0.0
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
WA 10%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
200-250
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Geographic Distribution
1.00% 0.90% 0.80%
NSW 40%
0.70% 0.60%
Inner City Non-Metro
1%
25%
VIC 24%
0.50%
Metro
0.40%
74%
0.30% 0.20%
TAS 2%
0.10% Jun-09
0.00%
SA 6% QLD 16%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 31
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Australia And New Zealand Banking Group Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
07-Mar-01
0
2
1
A$M 302.82
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Sep-01
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.35%
0.20%
0.29%
0.47%
0.19%
0.25%
0.22%
0.14%
0.26%
0.18%
0.06%
0.07%
61-90 days
0.03%
0.16%
0.20%
0.06%
0.16%
0.11%
0.14%
0.08%
0.04%
0.14%
0.07%
0.06%
90+ days
0.01%
0.04%
0.04%
0.16%
0.21%
0.16%
0.17%
0.14%
0.18%
0.15%
0.15%
0.12%
Total
0.39%
0.39%
0.53%
0.69%
0.56%
0.52%
0.53%
0.36%
0.48%
0.47%
0.28%
0.25%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Australia And New Zealand Banking Group Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
27.22%
24.30%
21.83%
23.68%
25.62% 23.35% 22.30% 17.80%
18.81%
15.49%
23.93%
21.25%
Repayment
28.96%
26.10%
23.69%
25.52%
27.45% 25.21% 24.16% 19.42%
20.42%
17.42%
26.01%
23.61%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 32
Additional Comments •Australia and New Zealand Banking Group Ltd. (ANZ) is one of the four major banks in Australia. •ANZ securitises prime residential mortgage loans, originated by the bank through its retail delivery network, under the Kingfisher RMBS program.
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Kingfisher Trust 2004-1G Originator
Servicer
Australia And New Zealand Banking Group Ltd
Australia And New Zealand Banking Group Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Jan-06
Nov-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
Mar-06
0.0 Sep-05
0.00% May-05
200.0
Sep-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 2%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
0.0
Geographic Distribution
1.00% 0.90% 0.80%
NSW 38%
0.70%
Inner City Non-Metro
1%
29%
0.60% 0.50%
VIC 29%
0.40%
Metro 70%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
TAS 1%
SA 9%
QLD 11%
NT 1%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 33
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Australian Central Credit Union Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
07-Aug-07
1
0
1
A$M 242.44
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Aug-07
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.07%
0.04%
0.00%
0.00%
0.05%
0.06%
0.19%
0.05%
0.10%
0.06%
0.06%
0.20%
61-90 days
0.00%
0.02%
0.04%
0.00%
0.00%
0.00%
0.00%
0.03%
0.00%
0.00%
0.00%
0.00%
90+ days
0.00%
0.00%
0.02%
0.02%
0.02%
0.02%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
Total
0.07%
0.06%
0.07%
0.02%
0.07%
0.08%
0.22%
0.09%
0.10%
0.06%
0.06%
0.20%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Australian Central Credit Union Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Jun-09
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
#N/A
0.00%
10.96% 10.73% 14.12%
11.79%
18.28%
17.45%
22.72%
0.00%
11.81% 11.58% 14.98%
12.62%
19.35%
18.65%
23.90%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 34
Prepayment Repayment
#N/A
#N/A
#N/A
#N/A
Prime SPPI
24.29%
24.16%
20.59%
23.88%
Mar-08
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Sep-07
Dec-07
0.00%
Additional Comments Based in Adelaide, Australian Central Credit Union Ltd. is the largest credit union in South Australia and the second largest in Australia.
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Light Trust No. 1 Originator
Servicer
Australian Central Credit Union Ltd
Australian Central Credit Union Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
400.0
8.00%
350.0
7.00%
300.0
6.00% 250.0 5.00% 200.0 4.00% 150.0 3.00% 100.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Oct-08
0.0 Jun-08
0.00% Feb-08
50.0
Oct-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
400.0
90.0%
350.0
80.0% 300.0
70.0% 250.0
60.0% 50.0%
200.0
40.0%
100.0
20.0%
(Mil. A$)
150.0
30.0%
50.0
10.0% 0.0%
Cumulative Losses WAVIC 2%0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT NSW 0%8%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
100-150
0-100
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
0.0
Geographic Distribution NT 8%
1.00%
QLD 0%
0.90% 0.80%
Inner City
0.70%
0% Non-Metro 33%
0.60% 0.50%
Metro
0.40%
67%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
0.00%
SA 82%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 35
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Australian Mortgage Securities Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
09-Jun-95
16
9
4
A$M 1,168.47
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jan-96 Apr-96 Jul-96 Oct-96 Jan-97 Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.45%
1.30%
1.20%
1.15%
1.30%
1.25%
1.55%
1.47%
2.02%
1.84%
1.87%
1.30%
61-90 days
0.70%
0.76%
0.63%
0.54%
0.69%
0.84%
0.87%
0.73%
0.86%
1.14%
0.94%
1.34%
90+ days
1.74%
1.82%
2.05%
2.19%
2.23%
2.19%
2.32%
2.37%
2.49%
2.62%
3.06%
3.59%
Total
3.90%
3.88%
3.88%
3.88%
4.22%
4.28%
4.75%
4.57%
5.37%
5.59%
5.87%
6.23%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Australian Mortgage Securities Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Jun-97
Sep-97
Mar-97
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
31.22%
27.67%
24.81%
27.56%
29.03% 30.19% 28.71% 32.00%
30.64%
33.94%
40.86%
64.77%
Repayment
31.85%
28.34%
25.61%
28.27%
29.71% 30.81% 29.34% 32.57%
31.19%
34.50%
41.56%
65.26%
Prime SPPI
41.59%
41.30%
39.60%
32.97%
38.26% 37.84% 35.76% 37.59%
34.05%
31.09%
30.11%
32.04%
Additional Comments •Australian Mortgage Securities Ltd. (AMS) was formerly ultimately owned by Australian Financial Investments Group Pty Ltd. Since 30 November 2004, AMS has been ultimately owned by General Electric Co. •In June 2005 a data discrepancy was detected by GE Money which was due to a programming error. The programming error resulted in the "days in arrears" data reported to Standard & Poor's being understated. •The increase in the prepayment and repayment rate for ARMS II Fund XIV at 30 Sep was due to the Class A2b call in August 2006 and subsequent sale of $187 million of loans •When GE acquired AMS, their arrears were revised back to June 2004, reporting on a missed payments basis rather than a schedule balance basis. •AMS has advised it has been and is currently reporting arrears on a scheduled balance basis. AMS manages payments on a missed payments basis. •GE has advised that the high LTV ratio's on several transactions are correct due to large valuation reductions in subsequent valuations in comparison to when the loans were originated.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 116
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
ARMS II Fund XV Originator
Servicer
Australian Mortgage Securities Ltd.
Australian Mortgage Securities Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Dec-04
Feb-05
0.0 Oct-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
TAS 1%
1.00%
VIC 13%
WA 2%
ACT 1%
Jun-09
Apr-09
Feb-09
Dec-08
Aug-08
Oct-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
0.0
Geographic Distribution
SA 1%
0.90% 0.80%
Inner City Non-Metro
QLD 11%
0.70% 0.60%
1%
22%
0.50% 0.40%
Metro 77%
0.30% 0.20%
NSW 71%
0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 37
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
ARMS II Euro Fund VI Originator
Servicer
Australian Mortgage Securities Ltd.
Australian Mortgage Securities Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
Mar-04
Sep-05
0.0 May-05
0.00% Sep-04
200.0
May-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
TAS VIC 1% 13%
1.00%
ACT 1%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
Mar-04
May-04
0.0
Geographic Distribution
SA 1%
0.90% 0.80%
QLD 11%
0.70%
Non-Metro
Inner City
17%
1%
0.60%
NT 0%
0.50% 0.40%
Metro 82%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Sep-04
Dec-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
NSW 73%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 38
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
ARMS II Global Fund 2 Originator
Servicer
Australian Mortgage Securities Ltd.
Australian Mortgage Securities Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Oct-05
Dec-05
Jun-05
Aug-05
Apr-05
Feb-05
Dec-04
Aug-04
Apr-04
Dec-03
Oct-04
0.0 Jun-04
0.00% Feb-04
200.0
Oct-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
TAS 0%
WA VIC 1% 13%
ACT 1%
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Jun-08
Apr-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Oct-03
0.0
Geographic Distribution
SA 2%
1.00% 0.90%
QLD 8%
0.80% 0.70%
Non-Metro
Inner City
17%
1%
0.60% 0.50% 0.40%
Metro 82%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
0.00%
NSW 75%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 39
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
ARMS II Global Fund 3 Originator
Servicer
Australian Mortgage Securities Ltd.
Australian Mortgage Securities Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
Mar-09
May-09
Jan-09
Jul-08
Jan-08
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Nov-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
Mar-04
Jan-04
Nov-08
0.0 Sep-08
200.0
0.00% May-08
1.00%
Mar-08
400.0
Nov-07
600.0
2.00%
Sep-07
3.00%
Jul-07
800.0
May-07
1,000.0
4.00%
Sep-06
1,200.0
5.00%
May-06
6.00%
Jan-06
1,400.0
Sep-05
1,600.0
7.00%
May-05
8.00%
Sep-04
1,800.0
May-04
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B-1(b)
B-1(a)
A-1(b)
A-1(a)
Repayment Rate
Prepayment Rate
100.0%
1,800.0
90.0%
1,600.0
80.0%
1,400.0
70.0%
1,200.0
60.0% 1,000.0
50.0% 800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
TAS VIC 1% 13%
1.00%
WA ACT 0% 1%
Mar-09
May-09
Jan-09
Sep-08
Nov-08
May-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Jan-04
Mar-04
0.0
Geographic Distribution
SA 1%
0.90% 0.80%
QLD 10%
0.70%
Non-Metro
Inner City
19%
1%
0.60%
NT 0%
0.50% 0.40%
Metro 80%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
NSW 74%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 40
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Bank of Queensland Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
27-Feb-98
17
2
8
A$M 3,028.45
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.54%
0.38%
0.72%
0.74%
0.92%
0.98%
0.79%
0.86%
0.73%
0.60%
0.70%
0.61%
61-90 days
0.21%
0.13%
0.09%
0.16%
0.21%
0.32%
0.48%
0.30%
0.28%
0.29%
0.24%
0.29%
90+ days
0.65%
0.64%
0.60%
0.49%
0.58%
0.65%
0.67%
0.78%
0.68%
0.49%
0.44%
0.44%
Total
1.39%
1.15%
1.41%
1.39%
1.71%
1.94%
1.94%
1.94%
1.69%
1.38%
1.39%
1.35%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Bank of Queensland Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
Dec-99
Sep-99
Jun-99
Mar-99
Dec-98
Sep-98
Jun-98
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
28.94%
30.29%
23.53%
27.52%
27.50% 28.59% 23.12% 23.59%
25.94%
19.82%
18.73%
21.54%
Repayment
30.37%
31.70%
24.87%
28.85%
28.75% 29.83% 24.39% 24.77%
27.12%
21.37%
20.56%
23.45%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Bank of Queensland Ltd. is one of the regional banks in Australia and is based in Queensland. •The servicer for this transaction is Bank of Queensland, however administration, documentation and settlement of the loans is outsourced to EDS (Australia) Pty Ltd. •The bank securitises prime residential mortgage loans under the REDS RMBS program. •An error occurring post implementation of a new banking system at BOQ affected arrears in the latter half of 2004. Some scheduled direct debit electronic transfers did not occur resulting in some accounts falling into arrears.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 41
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2003-2 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Jun-06
Aug-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Jun-04
Dec-03
Feb-04
0.0 Oct-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2 (Re-Issued)
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
VIC ACT NSW 0% 0% 6%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Dec-07
Oct-07
Jun-07
Aug-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Oct-03
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City
0.70%
0% Non-Metro
0.60%
37%
0.50%
Metro 63%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
QLD 94%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 42
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2004-1 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
500.0
8.00%
450.0 400.0
7.00%
350.0
6.00%
300.0 5.00% 250.0 4.00% 200.0 3.00%
150.0
2.00%
100.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Dec-04
Aug-04
Apr-04
Feb-05
0.0 Oct-04
50.0
0.00% Jun-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2 (Re-Issued)
A2
A1
Repayment Rate
Prepayment Rate
VIC 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Feb-08
Dec-07
Oct-07
Dec-06
Apr-06
Dec-05
Aug-05
Apr-05
Dec-04
Aug-04
Aug-07
0.0
Jun-07
50.0
0.0% Apr-07
100.0
10.0%
Feb-07
150.0
20.0%
Oct-06
30.0%
Aug-06
200.0
Jun-06
250.0
40.0%
Feb-06
300.0
50.0%
Oct-05
350.0
60.0%
Jun-05
400.0
70.0%
Feb-05
450.0
80.0%
Oct-04
90.0%
Jun-04
500.0
(Mil. A$)
100.0%
Geographic Distribution NSW 19%
1.00% 0.90% 0.80%
Inner City
0.70%
0% Non-Metro 32%
0.60% 0.50%
Metro
0.40%
68%
0.30% 0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
QLD 80%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 43
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-1 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
0.0 Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Apr-06
Dec-05
Aug-05
Apr-05
Jun-09
100.0
0.00% Feb-09
1.00%
Oct-08
200.0
Jun-08
300.0
2.00%
Feb-08
3.00%
Oct-07
400.0
Jun-07
500.0
4.00%
Feb-07
600.0
5.00%
Oct-06
6.00%
Jun-06
700.0
Feb-06
800.0
7.00%
Oct-05
8.00%
Jun-05
900.0
Feb-05
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
VIC 1%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
SA 0%
1.00%
ACT 0%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
Jul-08
Jun-08
Apr-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
110 - 120
100-150
0.0% 0-100
0.0% 120+
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
Jun-05
May-05
Apr-05
Mar-05
Feb-05
0.0
Geographic Distribution NSW 24%
0.90% 0.80% Inner City
0.70%
1% Non-Metro
0.60%
34%
0.50% Metro
0.40%
65%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
0.00%
QLD 75%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 44
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-2 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 700.0
9.00% 8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Aug-05
Oct-05
0.0 Jun-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
SA 0%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
200-250
110 - 120
VIC 2%
Cumulative Losses
150-200
0.0% 100-150
0.0% 120+
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
Jun-08
Apr-08
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
0.0
Geographic Distribution NSW 10%
1.00% 0.90% 0.80% Inner City
0.70%
1% Non-Metro
0.60%
40%
0.50%
Metro 59%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 88%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 45
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2006-1E REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
6.00%
1,200.0
5.00%
1,000.0
4.00%
800.0
3.00%
600.0
2.00%
400.0
1.00%
200.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
May-09
1,400.0
Sep-08
1,600.0
7.00%
May-08
8.00%
Sep-07
1,800.0
May-07
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
1,800.0
90.0%
1,600.0
80.0%
1,400.0
70.0%
1,200.0
60.0% 1,000.0
50.0% 800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
SA 0%
VIC 8%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
< 10
150-200
0.0% 100-150
0.0% 120+
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Nov-06
Dec-06
0.0
Geographic Distribution
WA ACT 0% 1% NSW 12%
1.00% 0.90% 0.80% Inner City
0.70%
1%
0.60%
Non-Metro 42%
0.50%
Metro 57%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
QLD 79%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 46
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2007-1E REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Sep-08
0.0 May-08
0.00% Sep-07
200.0
May-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
TAS 0%VIC SA9%
WA 0%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
100-150
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
0.0
Geographic Distribution NSW 15%
0% NT 0%
0.90% 0.80%
Inner City
0.70%
1%
0.60%
Non-Metro 42%
0.50%
Metro 57%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 75%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 47
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2007-2 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
400.0
8.00%
350.0
7.00%
300.0
6.00% 250.0 5.00% 200.0 4.00% 150.0 3.00% 100.0
2.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
May-09
0.00% Sep-08
50.0
May-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
400.0
90.0%
350.0
80.0% 300.0
70.0% 250.0
60.0% 50.0%
200.0
40.0%
100.0
20.0%
(Mil. A$)
150.0
30.0%
50.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
WA 1%
TAS 0%VIC 9% SA 0%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
100-150
0-100
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Nov-07
Dec-07
Jan-08
0.0
Geographic Distribution NSW 16% NT 0%
0.90% 0.80%
Inner City
0.70%
0%
0.60%
Non-Metro 43% Metro
0.50%
57%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
QLD 73%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 48
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2009-1 REDS Trust Originator
Servicer
Bank of Queensland Ltd
Bank of Queensland Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
100.0
0.00%
0.0 Apr-09
Jun-09
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
A-S
Repayment Rate
Prepayment Rate
100.0%
250.0
90.0% 80.0%
200.0
70.0% 60.0%
150.0
50.0% 40.0%
100.0
20.0%
50.0
(Mil. A$)
30.0%
10.0% 0.0% Jun-09
Apr-09
May-09
0.0
Loan Size Distribution
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00% 0.90%
TAS 0%VIC 10% SA 0%
WA 2%
ACT 1%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
0-100
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Geographic Distribution NSW 13% NT 0%
0.80% Inner City
0.70%
1%
0.60%
Non-Metro 46%
0.50%
Metro 53%
0.40% 0.30% 0.20% 0.10% Jun-09
0.00%
QLD 74%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 49
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Bank of Western Australia Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
11-Feb-00
0
4
3
A$M 3,353.87
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Feb-09
May-09
Nov-08
Aug-08
Feb-08
May-08
Nov-07
Aug-07
May-07
Feb-07
Nov-06
Aug-06
Feb-06
May-06
Nov-05
Aug-05
Feb-05
May-05
Nov-04
Aug-04
Feb-04
May-04
Nov-03
Aug-03
Feb-03
May-03
Nov-02
Aug-02
Feb-02
May-02
Nov-01
Aug-01
Feb-01
May-01
Nov-00
Aug-00
Feb-00
May-00
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.81%
0.81%
0.88%
0.92%
0.72%
0.87%
0.79%
0.83%
0.82%
0.67%
0.70%
0.62%
61-90 days
0.34%
0.32%
0.38%
0.39%
0.45%
0.42%
0.39%
0.51%
0.38%
0.39%
0.35%
0.33%
90+ days
0.63%
0.60%
0.62%
0.64%
0.63%
0.72%
0.70%
0.74%
0.74%
0.79%
0.79%
0.80%
Total
1.78%
1.74%
1.88%
1.95%
1.80%
2.00%
1.88%
2.08%
1.94%
1.84%
1.84%
1.75%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Bank of Western Australia Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
25.73%
24.00%
22.22%
21.85%
22.07% 20.73% 20.13% 19.22%
17.62%
19.28%
18.51%
25.05%
Repayment
30.85%
29.24%
27.51%
27.06%
27.55% 26.29% 25.76% 24.90%
23.32%
24.37%
23.20%
29.24%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Bank of Western Australia Ltd. (Bankwest) is controlled by U.K.-based HBOS PLC (AA-/Negative/A-1+). •Bankwest is one of the larger regional banks in Australia and is based in Western Australia. •The bank securitises prime residential mortgage loans under the Swan RMBS program. •In mid 2006 BankWest revised their arrears calculation methodology. The revision corrected the bucketing of some loans in arrears that were being overstated. •The revision in arrears with the issuance of Series 2006-1E SWAN Trust, which has the affect of diluting the weighted average issuer statistics, has caused the significant drop in the BankWest vs. Prime SPIN chart. •The spike in prepayment and reapyemnt rate for Series 2002-1E SWAn Trust was a result of the notes being redeemed.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 50
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2002-1E SWAN Trust Originator
Servicer
Bank of Western Australia Ltd.
Bank of Western Australia Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
May-09
Jan-09
Mar-09
Nov-08
Jul-08
Sep-08
May-08
Jan-08
Mar-08
Nov-07
Jul-07
Sep-07
May-07
Jan-07
Mar-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Nov-05
Jul-05
Sep-05
May-05
Jan-05
Mar-05
Nov-04
Jul-04
Sep-04
May-04
Jan-04
Mar-04
Nov-03
Jul-03
Jan-03
Mar-03
Nov-02
Sep-03
0.0 May-03
100.0
0.00% Sep-02
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
ACT 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
Mar-08
Jan-08
Sep-07
May-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jul-07
Mar-07
May-07
Jan-07
Sep-06
Nov-06
Jul-06
Mar-06
May-06
Jan-06
Sep-05
Nov-05
Jul-05
Mar-05
May-05
Jan-05
Sep-04
Nov-04
Jul-04
May-04
Jan-04
Mar-04
Nov-03
Jul-03
Sep-03
May-03
Jan-03
Mar-03
Sep-02
Nov-02
Jul-02
0.0
Geographic Distribution NSW 28%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro
0%
11%
WA 47%
0.60% 0.50% 0.40%
QLD 4%
0.30%
Metro 89%
0.20%
SA 6%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Sep-02
Dec-02
0.00%
VIC 15%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 51
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2006-1E SWAN Trust Originator
Servicer
Bank of Western Australia Ltd.
Bank of Western Australia Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
4,000.0
8.00%
3,500.0
7.00%
3,000.0
6.00% 2,500.0 5.00% 2,000.0 4.00% 1,500.0 3.00% 1,000.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
Jul-06
Sep-07
0.0 May-07
0.00% Sep-06
500.0
May-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-3
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
4,000.0
90.0%
3,500.0
80.0% 3,000.0
70.0% 2,500.0
60.0% 50.0%
2,000.0
40.0%
1,000.0
20.0%
(Mil. A$)
1,500.0
30.0%
500.0
10.0% 0.0%
ACT 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
Jun-09
Apr-09
May-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Aug-08
Jul-08
Jun-08
Apr-08
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
0.0
Geographic Distribution
NSW 29%
0.90% 0.80%
Non-Metro
0.70%
WA 45%
0.60%
Inner City
16%
1%
0.50% 0.40%
Metro
QLD 5%
0.30% 0.20%
83%
SA 4%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
VIC 16%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 52
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2007-1E SWAN Trust Originator
Servicer
Bank of Western Australia Ltd.
Bank of Western Australia Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
4,000.0
8.00%
3,500.0
7.00%
3,000.0
6.00% 2,500.0 5.00% 2,000.0 4.00% 1,500.0 3.00% 1,000.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Sep-08
0.0 May-08
0.00% Sep-07
500.0
May-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A4
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
4,000.0
90.0%
3,500.0
80.0% 3,000.0
70.0% 2,500.0
60.0% 50.0%
2,000.0
40.0%
1,000.0
20.0%
(Mil. A$)
1,500.0
30.0%
500.0
10.0% 0.0%
Cumulative Losses ACT 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
0.0
Geographic Distribution NSW 25%
1.00% 0.90% 0.80%
WA 41%
0.70%
Inner City Non-Metro
1%
22%
0.60%
NT 0%
0.50% 0.40%
Metro 77%
QLD 9%
0.30% 0.20%
SA 3%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
VIC 20%
TAS 1%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 53
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Bendigo and Adelaide Bank Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
30-Apr-98
8
0
3
A$M 1,286.22
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Jan-02
Jul-01
Oct-01
Apr-01
Jan-01
Jul-00
Oct-00
Apr-00
Jan-00
Jul-99
Oct-99
Apr-99
Jan-99
Jul-98
Oct-98
Apr-98
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.10%
0.11%
0.15%
0.16%
0.15%
0.13%
0.21%
0.23%
0.11%
0.09%
0.23%
0.28%
61-90 days
0.06%
0.03%
0.03%
0.14%
0.09%
0.08%
0.15%
0.18%
0.11%
0.14%
0.04%
0.13%
90+ days
0.00%
0.03%
0.02%
0.00%
0.11%
0.18%
0.07%
0.13%
0.10%
0.06%
0.14%
0.15%
Total
0.16%
0.17%
0.21%
0.30%
0.34%
0.39%
0.43%
0.54%
0.32%
0.29%
0.41%
0.56%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Bendigo and Adelaide Bank Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
Dec-99
Sep-99
Jun-99
Mar-99
Dec-98
Sep-98
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
25.52%
25.77%
19.47%
25.90%
27.44% 27.93% 21.82% 24.17%
20.89%
18.02%
18.97%
24.16%
Repayment
27.95%
28.23%
22.11%
28.41%
29.96% 30.47% 24.32% 26.64%
23.28%
18.95%
20.00%
25.38%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Bendigo and Adelaide Bank Ltd. is a regional bank based in Victoria. •The bank has securitised prime residential mortgage loans originated by the bank, its subsidiaries, and other acquired entities under the Banksia RMBS program. •Bendigo and Adelaide Bank Ltd. was formally known as Bendigo Bank Ltd.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 54
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
TORRENS Series 2008-3 Trust Originator
Servicer
Bendigo and Adelaide Bank Ltd.
Adelaide Bank Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Mar-09
Jan-09
Nov-08
Jul-08
May-09
0.0 Sep-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 10%
ACT 2%
Jun-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
0.0
Geographic Distribution
1.00% 0.90%
NSW 32%
0.80%
VIC 17%
0.70% 0.60% 0.50%
Non-Metro
Inner City
17%
TAS 0%
0.40%
1%
Metro 82%
0.30% 0.20%
NT 0%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
SA 25%
QLD 14%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 55
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
TORRENS Series 2008-2 (W) Trust Originator
Servicer
Bendigo and Adelaide Bank Ltd.
0
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
400.0
7.00%
350.0
6.00%
300.0
5.00%
250.0
4.00%
200.0
3.00%
150.0
2.00%
100.0
1.00%
50.0
0.00%
0.0 Apr-09
Dec-08
Aug-08
Jun-09
8.00%
Feb-09
450.0
Oct-08
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
450.0
90.0%
400.0
80.0%
350.0
70.0%
300.0
60.0% 250.0
50.0% 200.0
40.0%
100.0
20.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 1%
Jun-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Dec-08
Nov-08
Sep-08
Jan-09
0.0
Oct-08
50.0
0.0% Aug-08
10.0%
(Mil. A$)
150.0
30.0%
Geographic Distribution NSW 16%
1.00% 0.90% 0.80%
NT 1%
VIC 18%
0.70%
Inner City Non-Metro
1%
23%
0.60%
TAS 0%
0.50% 0.40%
QLD 20%
Metro 76%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
SA 35%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 56
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
TORRENS Series 2009-1 Trust Originator
Servicer
Bendigo and Adelaide Bank Ltd.
Bendigo and Adelaide Bank Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00% 0.0 Mar-09
May-09
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0% Jun-09
May-09
Apr-09
Loan Size Distribution
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
WA 5%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
100-150
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
200-250
Mar-09
0.0
Geographic Distribution
ACT NSW 8% 2%
NT 0%
1.00% 0.90% 0.80%
Inner City
QLD 22%
0.70% 0.60% 0.50%
0% Metro 35%
Non-Metro 65%
0.40% 0.30%
SA 2%
0.20% 0.10% Jun-09
Mar-09
0.00%
VIC 61%
TAS 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 57
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Calibre Financial Services Pty Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
23-Oct-07
1
0
1
A$M 132.16
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.55%
0.36%
1.09%
0.26%
0.30%
0.76%
0.94%
0.48%
0.00%
0.48%
0.27%
0.28%
61-90 days
0.72%
0.17%
0.38%
0.75%
0.27%
0.21%
0.00%
0.74%
0.50%
0.00%
0.12%
0.00%
90+ days
1.87%
2.48%
2.57%
2.36%
3.05%
2.63%
1.48%
1.47%
2.28%
2.07%
1.40%
1.31%
Total
3.14%
3.01%
4.05%
3.37%
3.62%
3.60%
2.42%
2.70%
2.78%
2.55%
1.79%
1.59%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Calibre Financial Services Pty Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Prepayment
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
#N/A
#N/A
12.80% 18.63% 22.81%
20.47%
24.38%
29.23%
28.03%
#N/A
13.36% 18.78% 22.90%
20.57%
24.50%
29.40%
28.24%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Repayment
#N/A
#N/A
#N/A
#N/A
24.29%
24.16%
20.59%
23.88%
Mar-08
Jun-09
Sep-06
Prime SPPI
Dec-07
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
Additional Comments Calibre began its operations in July 2005 with core business focus on prime residential loan origination and servicing in the wholesale mortgage market.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 58
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Calibre Fund No. 1 Originator
Servicer
Calibre Financial Services Pty Ltd
Calibre Financial Services Pty Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 250.0
9.00% 8.00%
200.0
7.00% 6.00%
150.0 5.00% 4.00% 100.0 3.00% 2.00%
50.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Dec-07
Feb-08
0.0 Oct-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
250.0
90.0% 80.0%
200.0
70.0% 60.0%
150.0
50.0% 40.0%
100.0
20.0%
50.0
(Mil. A$)
30.0%
10.0% 0.0%
Cumulative Losses WA 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
0.0
Geographic Distribution
1.00% 0.90%
VIC 32%
0.80% 0.70%
NSW 40%
Inner City Non-Metro
2%
29%
0.60% 0.50% Metro
0.40%
69%
0.30%
TAS 2%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
SA 1% QLD 23%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 59
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Challenger Mortgage Management Pty Limited First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
30-Jun-91
32
13
21
A$M 10,900.58
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jan-96 Apr-96 Jul-96 Oct-96 Jan-97 Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.09%
1.07%
1.03%
1.19%
1.03%
1.00%
1.04%
0.92%
0.94%
0.91%
0.77%
0.74%
61-90 days
0.48%
0.64%
0.50%
0.63%
0.71%
0.53%
0.56%
0.47%
0.41%
0.45%
0.37%
0.34%
90+ days
1.11%
1.25%
1.24%
1.28%
1.40%
1.54%
1.69%
1.56%
1.59%
1.42%
1.31%
1.20%
Total
2.68%
2.96%
2.76%
3.10%
3.14%
3.07%
3.28%
2.95%
2.94%
2.78%
2.45%
2.28%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Challenger Mortgage Management Pty Limited Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
23.17%
23.94%
22.16%
23.41%
21.28% 23.09% 25.18% 24.80%
22.79%
24.14%
21.04%
22.26%
Repayment
23.51%
24.23%
22.61%
23.81%
23.44% 25.59% 25.54% 25.05%
24.15%
24.77%
21.94%
22.88%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Challenger Mortgage Management Pty. Ltd. is one of the largest non-bank lenders in Australia. •Challenger is a wholly owned subsidiary of the Challenger Financial Services Group. •Challenger originates and funds new prime residential mortgage loans under the Challenger Millennium RMBS program (formerly known as the Interstar Millenium RMBS program) •Challenger Mortgage Management Pty. Ltd. was previously known as Interstar Wholesale Finance Pty. Ltd. The entity was renamed in November 2006.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 60
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2002-1G Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Jun-04
Feb-04
Oct-03
Dec-03
Aug-03
Apr-03
Dec-02
Aug-02
Jun-03
0.0 Feb-03
200.0
0.00% Oct-02
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
WA 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
May-09
Jan-09
Mar-09
Nov-08
Jul-08
Sep-08
Jan-08
Mar-08
Nov-07
May-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
< 10
Jul-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Sep-07
May-07
Jan-07
Mar-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Nov-05
Jul-05
Sep-05
May-05
Mar-05
Jan-05
Nov-04
Jul-04
Sep-04
May-04
Jan-04
Mar-04
Nov-03
Sep-03
Jul-03
May-03
Mar-03
Jan-03
Nov-02
Sep-02
Jul-02
0.0
Geographic Distribution
VIC 17%
1.00%
TAS 0%
0.90% 0.80%
SA 5%
0.70%
Non-Metro
Inner City
17%
1%
0.60% 0.50%
QLD 9%
0.40%
Metro 82%
0.30%
NT 0%
0.20% 0.10%
NSW 67%
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Sep-02
Dec-02
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 61
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2003-3G Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 1,400.0
9.00% 8.00%
1,200.0
7.00% 1,000.0 6.00% 5.00%
800.0
4.00%
600.0
3.00% 400.0 2.00% 200.0
1.00%
Mar-09
May-09
Jan-09
Nov-08
Jul-08
Sep-08
Mar-08
May-08
Jan-08
Nov-07
Jul-07
Sep-07
Mar-07
May-07
Jan-07
Nov-06
Jul-06
Sep-06
Mar-06
May-06
Jan-06
Nov-05
Jul-05
Sep-05
Mar-05
May-05
Jan-05
Nov-04
Jul-04
Sep-04
Mar-04
Jan-04
Nov-03
May-04
0.0 Sep-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B2
B1
A3
A2
Repayment Rate
Prepayment Rate
100.0%
1,400.0
90.0% 1,200.0
80.0% 1,000.0
70.0% 60.0%
800.0
50.0% 600.0
40.0%
400.0
20.0%
(Mil. A$)
30.0%
200.0
10.0% 0.0%
WA 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
May-08
Jul-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jan-08
Sep-07
Loan To Value Ratio Distribution
Nov-07
Jul-07
May-07
Mar-07
Jan-07
Sep-06
Nov-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Jan-05
Mar-05
Nov-04
Jul-04
Sep-04
Mar-04
May-04
Jan-04
Nov-03
Sep-03
Jul-03
0.0
Geographic Distribution
VIC 18%
1.00% 0.90% 0.80%
Inner City Non-Metro
0.70%
1%
23%
SA 7%
0.60% 0.50% 0.40%
NSW 57%
0.30% 0.20%
Metro 76%
QLD 15%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 62
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2004-1E Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Nov-04
Jul-04
Mar-04
Jan-05
0.0 Sep-04
200.0
0.00% May-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
WA 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Jun-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
Apr-04
Feb-04
0.0
Geographic Distribution
VIC 19%
1.00% 0.90% 0.80%
TAS 0%
0.70%
Inner City Non-Metro
1%
20%
SA 6%
0.60% 0.50% 0.40%
Metro 79%
NSW 60%
0.30%
QLD 11%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 63
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2004-2G Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
Mar-04
Sep-05
0.0 May-05
0.00% Sep-04
200.0
May-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
Mar-04
May-04
0.0
Geographic Distribution
VIC 20%
1.00% 0.90% 0.80%
Inner City Non-Metro
0.70%
2%
21%
0.60% 0.50%
SA 8%
0.40%
NSW 57%
0.30%
Metro 77%
0.20%
QLD 11%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 64
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2004-4E Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
May-05
0.0 Sep-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
A1
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
0.0
Geographic Distribution
VIC 20%
1.00% 0.90% 0.80%
Inner City Non-Metro
0.70%
TAS 0%
0.60% 0.50%
SA 7%
0.40%
1%
22%
NSW 55%
0.30%
Metro 77%
0.20% 0.10%
QLD 13% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 65
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2004-5 Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Jan-06
Nov-05
Jul-05
Mar-05
Jan-05
Nov-04
Sep-06
0.0 May-06
0.00% Sep-05
100.0
May-05
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2-2 (Re-Issued)
A2-1
A1
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
ACT 3%
250-300
120+
110 - 120
< 10
WA 4%
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
May-05
0.0
Geographic Distribution
1.00%
VIC 22%
0.90% 0.80%
Inner City Non-Metro
0.70%
1%
24%
0.60%
NSW 47%
TAS 2%
0.50% 0.40%
Metro 75%
SA 7%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
0.00%
QLD 15%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 66
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2005-1G Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 1,400.0
9.00% 8.00%
1,200.0
7.00% 1,000.0 6.00% 5.00%
800.0
4.00%
600.0
3.00% 400.0 2.00% 200.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Sep-05
0.0 May-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Jun-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
Jun-05
May-05
0.0
Geographic Distribution
1.00%
VIC 22%
0.90% 0.80%
Inner City Non-Metro
0.70%
1%
22%
0.60%
TAS 0%
0.50% 0.40%
NSW 49% Metro
SA 8%
0.30%
77%
0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 16%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 67
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2005-2L Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
800.0
3.00%
600.0
2.00%
400.0
1.00%
200.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Jan-06
Nov-05
Jul-05
May-09
1,000.0
4.00%
Sep-08
1,200.0
5.00%
May-08
6.00%
Sep-07
1,400.0
May-07
1,600.0
7.00%
Sep-06
8.00%
May-06
1,800.0
Sep-05
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
A1
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
0.0
Geographic Distribution
1.00% 0.90%
NSW 36%
0.80% 0.70%
Inner City 0% Non-Metro
VIC 25%
0.60% 0.50%
30%
Metro
0.40%
70%
0.30%
TAS 0%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
0.00%
NT 0%
SA 9% QLD 21%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 68
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2005-3E Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Dec-05
Feb-06
0.0 Oct-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
A1
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Sep-08
Aug-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
ACT 1%
250-300
WA 5%
Cumulative Losses
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-08
Apr-08
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
0.0
Geographic Distribution
1.00% 0.90% 0.80%
VIC 24%
0.70%
Inner City Non-Metro
2%
21%
0.60%
NSW 50%
0.50%
TAS 0%
0.40% 0.30%
Metro 77%
SA 8%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
0.00%
QLD 12%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 69
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2006-1 Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Sep-06
0.0 May-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City Non-Metro
VIC 24%
0.70% 0.60%
NSW 45%
1%
21%
0.50% 0.40%
Metro 78%
TAS 0%
0.30% 0.20%
SA 10%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
0.00%
QLD 13%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 70
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2006-2G Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
600.0
2.00%
400.0
1.00%
200.0
0.00%
0.0 Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Jun-09
3.00%
Feb-09
800.0
Oct-08
1,000.0
4.00%
Jun-08
1,200.0
5.00%
Feb-08
6.00%
Oct-07
1,400.0
Jun-07
1,600.0
7.00%
Feb-07
8.00%
Oct-06
1,800.0
Jun-06
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
1,800.0
90.0%
1,600.0
80.0%
1,400.0
70.0%
1,200.0
60.0% 1,000.0
50.0% 800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
< 10
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Sep-08
Jul-08
Loan To Value Ratio Distribution
Aug-08
Jun-08
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City Non-Metro
VIC 24%
0.70% 0.60%
NSW 44%
1%
22%
0.50% 0.40%
Metro 77%
TAS 0%
0.30% 0.20%
SA 8%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
QLD 15%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 71
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2006-3L Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 1,400.0
9.00% 8.00%
1,200.0
7.00% 1,000.0 6.00% 5.00%
800.0
4.00%
600.0
3.00% 400.0 2.00% 200.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
Mar-07
Jan-07
Nov-06
May-07
0.0 Sep-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
A1
Repayment Rate
Prepayment Rate
100.0%
1,400.0
90.0% 1,200.0
80.0% 1,000.0
70.0% 60.0%
800.0
50.0% 600.0
40.0%
400.0
20.0%
(Mil. A$)
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
WA 20%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Sep-08
Aug-08
Jul-08
Jun-08
Apr-08
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Sep-06
Oct-06
0.0
Geographic Distribution NSW 23%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro
1%
29%
0.60%
NT 0%
0.50%
Metro
0.40%
70%
0.30%
VIC 21%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
0.00%
TAS 1%
QLD 23% SA 11%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 72
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Interstar Millennium Series 2006-4H Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
6.00%
300.0
5.00%
250.0
4.00%
200.0
3.00%
150.0
2.00%
100.0
1.00%
50.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
May-09
350.0
Sep-08
400.0
7.00%
May-08
8.00%
Sep-07
450.0
May-07
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2
A1
Repayment Rate
Prepayment Rate
100.0%
450.0
90.0%
400.0
80.0%
350.0
70.0%
300.0
60.0% 250.0
50.0% 200.0
40.0%
100.0
20.0%
Cumulative Losses WA 6%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
< 10
150-200
0.0% 100-150
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Dec-06
Nov-06
Mar-07
0.0
Feb-07
50.0
0.0% Jan-07
10.0%
(Mil. A$)
150.0
30.0%
Geographic Distribution
1.00% 0.90%
VIC 20%
0.80%
NSW 41%
0.70% 0.60%
Inner City Non-Metro
0%
21%
TAS 1%
0.50% 0.40%
Metro
SA 8%
0.30%
79%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
QLD 23%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 73
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Challenger Millennium Series 2007-1E Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Sep-07
0.0 May-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A2b
A2a
A1
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
WA 9%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City
0.70%
NSW 42%
VIC 23%
0.60%
Non-Metro
1%
23%
0.50% 0.40%
Metro 76%
0.30%
TAS 1%
0.20% 0.10%
SA 9% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
0.00%
QLD 15%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 74
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Challenger Millennium Series 2007-2L Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Dec-07
Aug-07
Jun-08
0.0 Feb-08
100.0
0.00% Oct-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
1,000.0 900.0
80.0%
800.0
70.0%
700.0
60.0%
600.0
50.0%
500.0
40.0%
400.0
30.0%
300.0
20.0%
200.0
10.0%
100.0
0.0%
(Mil. A$)
90.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
ACT 1% WA 24%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
100-150
0-100
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
0.0
Geographic Distribution NSW 23%
0.90% 0.80% Inner City
0.70%
Non-Metro
NT 0%
0.60% 0.50%
2%
27%
0.40%
Metro 71%
0.30% 0.20% 0.10%
QLD 24%
VIC 19% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
0.00%
TAS 1%
SA 8%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 75
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Challenger Millennium Series 2008-1 Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
500.0
8.00%
450.0 400.0
7.00%
350.0
6.00%
300.0 5.00% 250.0 4.00% 200.0 3.00%
150.0
2.00%
100.0
0.0 Mar-09
Jan-09
Nov-08
May-09
50.0
0.00% Sep-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
350.0
60.0%
300.0
50.0%
250.0
40.0%
200.0
30.0%
150.0
20.0%
100.0
10.0%
50.0
0.0%
0.0
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 3%
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 100-150
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Apr-09
Feb-09
Dec-08
Nov-08
Sep-08
Loan To Value Ratio Distribution LVR
May-09
400.0
70.0%
Mar-09
450.0
80.0%
Jan-09
90.0%
Oct-08
500.0
(Mil. A$)
100.0%
Geographic Distribution
1.00% 0.90% 0.80%
NSW 37%
0.70% 0.60%
Inner City Non-Metro
2%
24%
VIC 26%
0.50% 0.40%
Metro 74%
0.30% 0.20%
TAS 1%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
SA 9%
QLD 15%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 76
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Challenger Millennium Series 2008-2 Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
8.00%
800.0
7.00%
700.0
6.00%
600.0
5.00%
500.0
4.00%
400.0
3.00%
300.0
2.00%
200.0
1.00%
100.0
0.00%
0.0 Apr-09
Dec-08
Jun-09
900.0
Feb-09
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 2%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
250-300
0.0% 200-250
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Dec-08
Jan-09
0.0
Geographic Distribution
1.00% 0.90% 0.80% 0.70%
NSW 37%
VIC 25%
0.60%
Inner City Non-Metro
1%
22%
0.50% 0.40%
Metro 77%
0.30%
TAS 1%
0.20% 0.10% Jun-09
Mar-09
Dec-08
0.00%
SA 11% QLD 16%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 77
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Challenger Millennium Series 2009-1 Trust Originator
Servicer
Challenger Mortgage Management Pty Limited
Challenger Mortgage Management Pty Limited
Stable
Strong
Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
700.0
8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
0.0 Apr-09
Jun-09
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A4
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0% Jun-09
Apr-09
May-09
0.0
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
WA 7%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
200-250
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Geographic Distribution
1.00% 0.90% 0.80%
VIC 22%
0.70%
NSW 39%
Inner City Non-Metro
1%
20%
0.60% 0.50% 0.40%
TAS 1%
0.30% 0.20%
Metro 79%
SA 11%
0.10% Jun-09
0.00%
QLD 18%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 78
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Citigroup Pty Limited First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
31-Dec-95
30
0
10
A$M 3,561.15
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jan-96 Apr-96 Jul-96 Oct-96 Jan-97 Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.84%
0.95%
0.66%
0.94%
0.80%
1.21%
1.12%
0.62%
0.73%
0.64%
0.48%
0.30%
61-90 days
0.08%
0.19%
0.13%
0.17%
0.31%
0.19%
0.59%
0.40%
0.17%
0.15%
0.13%
0.09%
90+ days
0.24%
0.23%
0.23%
0.22%
0.29%
0.32%
0.44%
0.42%
0.45%
0.42%
0.38%
0.28%
Total
1.16%
1.38%
1.02%
1.32%
1.40%
1.72%
2.15%
1.44%
1.34%
1.21%
0.98%
0.67%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Citigroup Pty Limited Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Mar-08
Sep-04
Mar-04
Dec-03
Jun-03
Dec-07
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Jun-97
Sep-97
Mar-97
Dec-96
Sep-96
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
25.06%
21.92%
25.20%
35.04%
29.76% 29.93% 33.01% 33.52%
32.95%
30.07%
27.23%
26.36%
Repayment
30.63%
26.82%
25.94%
35.79%
30.12% 30.31% 33.38% 33.93%
33.27%
30.41%
27.42%
26.54%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Citigroup Pty. Ltd. (Citigroup) is wholly owned by U.S.-based Citigroup Inc (AA-/Negative/A-1+) and headquartered in New South Wales. •Citigroup has securitised prime residential mortgage loans under the Securitised Australian Mortgage (SAM) RMBS program and the Compass Master Trust. •Compass Master Trust is a special-purpose master trust, established to issue multiple series of notes to fund the purchase of Mortgage Power accounts originated and serviced by Citigroup.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 79
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Compass Master Trust Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
May-09
Jan-09
Mar-09
Nov-08
Jul-08
Sep-08
May-08
Jan-08
Mar-08
Nov-07
Jul-07
Sep-07
May-07
Jan-07
Mar-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Nov-05
Jul-05
Sep-05
May-05
Jan-05
Mar-05
Nov-04
Jul-04
Sep-04
May-04
Jan-04
Mar-04
Nov-03
Jul-03
Sep-03
May-03
Jan-03
Mar-03
Nov-02
Jul-02
Sep-02
May-02
Jan-02
Mar-02
Nov-01
Jul-01
Sep-01
May-01
Jan-01
Mar-01
Nov-00
Jul-00
Sep-00
May-00
Jan-00
Mar-00
Nov-99
Jul-99
Sep-99
0.0 Mar-99
200.0
0.00% May-99
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
WA 8%
May-09
Jan-09
Mar-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jul-07
Mar-07
Loan To Value Ratio Distribution
May-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Sep-05
Nov-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Mar-04
Jan-04
Nov-03
Jul-03
Sep-03
Mar-03
May-03
Jan-03
Nov-02
Sep-02
Jul-02
Mar-02
May-02
Jan-02
0.0
Geographic Distribution
1.00% 0.90% 0.80%
NSW 36%
0.70%
VIC 24%
0.60%
Inner City Non-Metro
1%
25%
0.50% 0.40%
Metro 74%
0.30%
TAS 1%
0.20% 0.10%
SA 6% Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
Dec-99
Sep-99
Jun-99
0.00%
QLD 21%
NT 1%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 80
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2003-1 Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 250.0
9.00% 8.00%
200.0
7.00% 6.00%
150.0 5.00% 4.00% 100.0 3.00% 2.00%
50.0
1.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Jun-05
Aug-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Aug-03
Oct-03
0.0 Jun-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
250.0
90.0% 80.0%
200.0
70.0% 60.0%
150.0
50.0% 40.0%
100.0
20.0%
50.0
(Mil. A$)
30.0%
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 1%
May-09
Jan-09
Mar-09
Sep-08
Nov-08
May-08
Mar-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-07
Sep-07
Jul-07
May-07
Jan-07
Mar-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Sep-05
Nov-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Jan-04
Mar-04
Nov-03
Sep-03
Jul-03
0.0
Geographic Distribution
VIC 14%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro
SA 1%
0.60%
1%
10%
0.50% 0.40%
QLD 12%
0.30%
Metro 89%
NSW 64%
0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 81
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2003-2 Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 300.0
9.00% 8.00%
250.0 7.00% 200.0
6.00% 5.00%
150.0 4.00% 100.0
3.00% 2.00%
50.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Jun-07
Aug-07
Apr-07
Feb-07
Dec-06
Oct-06
Jun-06
Aug-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Dec-03
Jun-04
0.0 Feb-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 6%
ACT 2%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
May-08
Mar-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-07
Sep-07
Jul-07
Mar-07
May-07
Jan-07
Sep-06
Nov-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Mar-04
Nov-03
Jan-04
0.0
Geographic Distribution
VIC 17%
1.00% 0.90% 0.80%
Inner City Non-Metro
0.70%
0.50%
SA 5%
0.40%
NSW 56%
0.30% 0.20%
1%
23%
TAS 0%
0.60%
Metro 76%
QLD 14%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Sep-04
Dec-04
Jun-04
Mar-04
Dec-03
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 82
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2006-1 Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Aug-07
Apr-07
Dec-06
Oct-07
0.0 Jun-07
100.0
0.00% Feb-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,000.0 900.0
80.0%
800.0
70.0%
700.0
60.0%
600.0
50.0%
500.0
40.0%
400.0
30.0%
300.0
20.0%
200.0
10.0%
100.0
0.0%
(Mil. A$)
90.0%
Cumulative Losses WA 6%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
< 10
150-200
0.0% 100-150
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Dec-06
Jan-07
0.0
Geographic Distribution
VIC TAS14% 0%
0.90% 0.80%
Non-Metro
SA 2%
0.70% 0.60%
16%
Inner City 3%
0.50% 0.40%
Metro
QLD 14%
0.30%
81%
NSW 63%
0.20% 0.10%
NT 0% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 83
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2007-1 Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Jul-07
Sep-07
0.0 May-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 10%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
0.0
Geographic Distribution
1.00% 0.90% 0.80%
VIC 18%
0.70% 0.60% 0.50%
Non-Metro
TAS 0%
0.40% 0.30%
Inner City
19%
NSW 53%
1%
Metro 80%
SA 3%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 14%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 84
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2008-1 Originator
Servicer
Citigroup Pty Limited
0
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Sep-08
0.0 May-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
WA 9%
Jun-09
May-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
0.0
Geographic Distribution
1.00% 0.90% 0.80%
NSW 38%
0.70%
Inner City Non-Metro
0%
25%
VIC 24%
0.60% 0.50% 0.40%
Metro 75%
0.30%
TAS 0%
0.20% 0.10%
SA 4% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
0.00%
NT 0% QLD 23%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 85
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Securitised Australian Mortgage Trust 2008-2 Originator
Servicer
Citigroup Pty Limited
Citigroup Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
8.00%
1,800.0
7.00%
1,600.0 1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00% 600.0 2.00%
400.0
Apr-09
Dec-08
Jun-09
0.0 Feb-09
200.0
0.00% Oct-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,800.0
90.0%
1,600.0
80.0%
1,400.0
70.0%
1,200.0
60.0% 1,000.0
50.0% 800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loan To Value Ratio Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
ACT 1%
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
0.0
Geographic Distribution
0.80% 0.70%
VIC 19%
0.60%
Non-Metro
Inner City
16%
2%
0.50%
TAS 0%
0.40% 0.30%
NSW 55%
SA 4%
0.20% 0.10%
Metro 82%
QLD 14% Jun-09
Mar-09
Dec-08
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 86
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Columbus Capital Pty Limited First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
08-Nov-07
2
0
2
A$M 329.79
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Oct-08
Jul-08
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.29%
1.00%
0.92%
1.06%
1.05%
1.38%
1.73%
1.08%
1.49%
0.67%
0.85%
0.92%
61-90 days
0.00%
0.00%
0.13%
0.13%
0.37%
0.00%
0.57%
0.42%
0.22%
0.49%
0.48%
0.51%
90+ days
0.00%
0.00%
0.00%
0.00%
0.00%
0.19%
0.20%
0.00%
0.00%
0.00%
0.00%
0.27%
Total
0.29%
1.00%
1.05%
1.19%
1.43%
1.57%
2.50%
1.50%
1.72%
1.15%
1.33%
1.69%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Columbus Capital Pty Limited Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Prepayment
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
#N/A
#N/A
0.00%
24.44% 18.64%
15.41%
30.67%
26.68%
26.59%
#N/A
0.00%
26.22% 18.86%
15.64%
30.83%
26.88%
26.81%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Repayment
#N/A
#N/A
#N/A
#N/A
Prime SPPI
24.29%
24.16%
20.59%
23.88%
Additional Comments •Columbus Capital Pty Ltd. (Australia) is a wholesale mortgage business which commenced operations in October 2006. •The strategy of Columbus Capital is to focus on dealing with a limited number of mortgage originators, selected from its managers' collective prior business associations, and trusted industry referrals.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 87
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Nautilus Trust No. 1 Series 2008-1 Originator
Servicer
Columbus Capital Pty Limited
Columbus Capital Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 250.0
9.00% 8.00%
200.0
7.00% 6.00%
150.0 5.00% 4.00% 100.0 3.00% 2.00%
50.0
1.00%
Mar-09
Jan-09
Nov-08
Jul-08
May-09
0.0 Sep-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
250.0
90.0% 80.0%
200.0
70.0% 60.0%
150.0
50.0% 40.0%
100.0
20.0%
50.0
(Mil. A$)
30.0%
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00% 0.90% 0.80%
Jun-09
1,000+
750-1,000
500-750
Geographic Distribution
VIC TAS13% 0% NSW 40%
SA 3%
0.70%
Cumulative Loan Size
300-400
ACT 1%
250-300
120+
110 - 120
WA 5%
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
0.0
Inner City 1% Non-Metro 33%
0.60% 0.50%
Metro
0.40%
66%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
QLD 38%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 88
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Commonwealth Bank Of Australia Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
29-Oct-97
5
11
6
A$M 8,917.64
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Jan-02
Jul-01
Oct-01
Apr-01
Jan-01
Jul-00
Oct-00
Apr-00
Jan-00
Jul-99
Oct-99
Apr-99
Jan-99
Jul-98
Oct-98
Apr-98
Oct-97
Jan-98
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.42%
0.43%
0.40%
0.40%
0.49%
0.47%
0.52%
0.52%
0.57%
0.52%
0.44%
0.51%
61-90 days
0.14%
0.15%
0.14%
0.12%
0.14%
0.18%
0.22%
0.20%
0.17%
0.21%
0.25%
0.19%
90+ days
0.25%
0.25%
0.27%
0.29%
0.27%
0.26%
0.30%
0.36%
0.36%
0.34%
0.34%
0.39%
Total
0.81%
0.83%
0.82%
0.81%
0.91%
0.91%
1.04%
1.07%
1.10%
1.07%
1.03%
1.09%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Commonwealth Bank Of Australia Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Mar-08
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
27.16%
26.12%
23.30%
24.13%
23.57% 23.71% 19.97% 21.71%
19.29%
17.88%
20.56%
22.33%
Repayment
28.18%
27.46%
24.39%
25.10%
24.50% 24.64% 20.86% 22.51%
20.17%
21.71%
21.93%
23.80%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 89
Additional Comments •Commonwealth Bank of Australia (CBA) is one of the four major banks in Australia. •CBA securitises prime residential mortgage loans through the Medallion RMBS program.
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2003-1G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
May-09
Jan-09
Mar-09
Sep-08
Nov-08
Jul-08
Nov-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Nov-05
Jul-05
Jan-05
Mar-05
Nov-04
Jul-04
Mar-04
Jan-04
Nov-03
Jul-03
Mar-03
May-08
0.0 Jan-08
200.0
0.00% Mar-08
1.00%
Jul-07
400.0
Sep-07
600.0
2.00%
May-07
3.00%
Sep-06
800.0
May-06
1,000.0
4.00%
Jan-06
1,200.0
5.00%
Sep-05
6.00%
May-05
1,400.0
Sep-04
1,600.0
7.00%
May-04
8.00%
Sep-03
1,800.0
May-03
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 2%
WA 10%
May-09
Jan-09
Mar-09
Sep-08
Nov-08
May-08
Jan-08
Mar-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
< 10
Sep-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-07
Jul-07
Mar-07
May-07
Jan-07
Sep-06
Nov-06
Jul-06
Mar-06
May-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
May-05
Jan-05
Sep-04
Nov-04
Jul-04
May-04
Mar-04
Jan-04
Sep-03
Nov-03
Jul-03
Mar-03
May-03
0.0
Geographic Distribution
1.00% 0.90% 0.80%
NSW 40%
0.70% 0.60% 0.50%
Inner City Non-Metro
VIC 28%
0.40%
2%
25%
Metro 73%
0.30% 0.20%
TAS 0%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Sep-03
Dec-03
Jun-03
Mar-03
0.00%
SA 4%
QLD 15%
NT 1%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 90
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2004-1G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 3,500.0
9.00% 8.00%
3,000.0
7.00% 2,500.0 6.00% 5.00%
2,000.0
4.00%
1,500.0
3.00% 1,000.0 2.00% 500.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Jul-04
Mar-04
Sep-04
0.0 May-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
4,000.0
90.0%
3,500.0
80.0% 3,000.0
70.0% 2,500.0
60.0% 50.0%
2,000.0
40.0%
1,000.0
20.0%
(Mil. A$)
1,500.0
30.0%
500.0
10.0% 0.0%
WA 5%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
Mar-04
May-04
0.0
Geographic Distribution
1.00% 0.90% 0.80%
VIC 24%
0.70%
Inner City Non-Metro
2%
28%
0.60% 0.50% 0.40%
Metro
TAS 1%
0.30%
NSW 55%
70%
SA 3%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
QLD 9%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 91
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2005-1G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
0.0 Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Apr-06
Dec-05
Aug-05
Apr-05
Jun-09
500.0
0.00% Feb-09
1.00%
Oct-08
1,000.0
Jun-08
1,500.0
2.00%
Feb-08
3.00%
Oct-07
2,000.0
Jun-07
2,500.0
4.00%
Feb-07
3,000.0
5.00%
Oct-06
6.00%
Jun-06
3,500.0
Feb-06
4,000.0
7.00%
Oct-05
8.00%
Jun-05
4,500.0
Feb-05
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
4,500.0
90.0%
4,000.0
80.0%
3,500.0
70.0%
3,000.0
60.0% 2,500.0
50.0% 2,000.0
40.0%
1,000.0
20.0%
(Mil. A$)
1,500.0
30.0%
500.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 12%
ACT 1%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
Jul-08
Apr-08
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Oct-06
Nov-06
Sep-06
Jul-06
Aug-06
Jun-06
Apr-06
May-06
Mar-06
Jan-06
Feb-06
Dec-05
Oct-05
Nov-05
Sep-05
Jul-05
Aug-05
Jun-05
Apr-05
May-05
Mar-05
Feb-05
0.0
Geographic Distribution
1.00% 0.90%
NSW 33%
0.80%
Inner City
0.70%
Non-Metro
1%
27%
0.60% 0.50%
VIC 27%
0.40%
Metro 72%
0.30% 0.20%
NT 0%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
TAS 2% SA 6%
QLD 19%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 92
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2005-2G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
Mar-06
Jan-06
Nov-05
Jul-05
May-06
0.0 Sep-05
200.0
0.00% May-05
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 11%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Jun-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
Jun-05
May-05
0.0
Geographic Distribution
1.00%
NSW 32%
0.90% 0.80%
Inner City
0.70%
Non-Metro
2%
26%
0.60% 0.50%
VIC 29%
0.40% 0.30%
Metro 72%
NT 0%
0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
TAS 2% SA 6%
QLD 19%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 93
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2006-1G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 6,000.0
9.00% 8.00%
5,000.0 7.00% 4,000.0
6.00% 5.00%
3,000.0 4.00% 2,000.0
3.00% 2.00%
1,000.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Jul-06
Mar-06
Sep-06
0.0 May-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-3
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
6,000.0
90.0% 5,000.0
80.0% 70.0%
4,000.0
60.0% 50.0%
3,000.0
40.0%
20.0%
(Mil. A$)
2,000.0
30.0%
1,000.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 13%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Nov-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Aug-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
0.0
Geographic Distribution
1.00% 0.90%
NSW 32%
0.80%
Inner City
0.70%
Non-Metro
2%
28%
0.60% 0.50%
VIC 24%
0.40%
Metro 70%
0.30% 0.20% 0.10%
TAS 0% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
0.00%
NT 0% SA 9%
QLD 20%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 94
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Medallion Trust Series 2007-1G Originator
Servicer
Commonwealth Bank Of Australia Ltd
Commonwealth Bank Of Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
8,000.0
8.00%
7,000.0
7.00%
6,000.0
6.00% 5,000.0 5.00% 4,000.0 4.00% 3,000.0 3.00% 2,000.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Dec-07
Aug-07
Apr-07
Feb-08
0.0 Oct-07
0.00% Jun-07
1,000.0
Feb-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-4
A-3
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
8,000.0
90.0%
7,000.0
80.0% 6,000.0
70.0% 5,000.0
60.0% 50.0%
4,000.0
40.0%
2,000.0
20.0%
(Mil. A$)
3,000.0
30.0%
1,000.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 10%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Feb-07
Mar-07
0.0
Geographic Distribution
1.00% 0.90% 0.80%
NSW 38%
0.70%
Inner City 1% Non-Metro 30%
0.60%
VIC 26%
0.50% 0.40%
Metro 69%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
0.00%
TAS 2% SA 6%
QLD 15%
NT 1%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 95
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Connect Credit Union of Tasmania/Queenslanders Credit Union First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
20-Feb-07
1
0
1
A$M 192.11
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Aug-07
Feb-07
May-07
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.37%
0.10%
0.19%
0.12%
0.24%
0.13%
0.25%
0.13%
0.18%
0.19%
0.10%
0.08%
61-90 days
0.00%
0.20%
0.00%
0.07%
0.07%
0.12%
0.00%
0.00%
0.08%
0.09%
0.08%
0.11%
90+ days
0.18%
0.18%
0.30%
0.30%
0.31%
0.32%
0.32%
0.33%
0.34%
0.42%
0.25%
0.16%
Total
0.55%
0.48%
0.49%
0.50%
0.62%
0.57%
0.57%
0.46%
0.60%
0.70%
0.43%
0.35%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Connect Credit Union of Tasmania/Queenslanders Credit Union Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Prepayment
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
18.16%
16.92% 23.80% 27.03% 22.08%
19.75%
16.43%
13.35%
20.88%
Repayment
#N/A
#N/A
#N/A
26.04%
24.99% 31.42% 33.94% 30.51%
29.64%
23.71%
21.94%
28.07%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 96
Additional Comments •Connect Credit Union of Tasmania Ltd. is the largest credit union in Tasmania •Queenslanders Credit Union Ltd. Is the fifth largest credit union in Queensland •Connect Credit Union of Tasmania Ltd. and Queenslanders Credit Union Ltd. are servicers for the Conquest 2007-1 Trust program.
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
ConQuest 2007-1 Trust Originator
Servicer
Connect Credit Union of Tasmania/Queenslanders Credit Union
Connect/Queenslanders
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 350.0
9.00% 8.00%
300.0
7.00% 250.0 6.00% 5.00%
200.0
4.00%
150.0
3.00% 100.0 2.00% 50.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
0.0 Feb-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
Cumulative Losses
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
100-150
0.0% 120+
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Feb-07
Mar-07
0.0
Geographic Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 2%
1.00%
WA NSW 0% 4%
QLD 19%
0.90% 0.80% Inner City
0.70%
SA 0%
0.60%
3%
Non-Metro 44%
0.50%
Metro 53%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
0.00%
TAS 75%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 97
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Credit Union Australia Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
12-Sep-02
7
0
6
A$M 1,658.13
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.15%
0.19%
0.24%
0.16%
0.04%
0.18%
0.21%
0.18%
0.10%
0.12%
0.28%
0.24%
61-90 days
0.11%
0.12%
0.08%
0.10%
0.09%
0.10%
0.15%
0.10%
0.11%
0.08%
0.07%
0.04%
90+ days
0.02%
0.02%
0.00%
0.01%
0.05%
0.06%
0.06%
0.06%
0.04%
0.06%
0.11%
0.10%
Total
0.28%
0.33%
0.33%
0.28%
0.19%
0.34%
0.41%
0.34%
0.26%
0.27%
0.46%
0.39%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Credit Union Australia Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
22.88%
21.09%
25.64%
26.12%
25.13% 30.45% 23.31% 19.00%
14.99%
16.41%
17.06%
19.61%
Repayment
29.79%
27.71%
31.89%
32.44%
31.32% 36.41% 29.86% 26.07%
22.55%
23.74%
23.75%
26.01%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 98
Additional Comments •Credit Union Australian Ltd is one of the largest credit unions in Australia and is based in Queensland. •CUA securitises prime residential mortgage loans under the Harvey RMBS program.
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2003-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 350.0
9.00% 8.00%
300.0
7.00% 250.0 6.00% 5.00%
200.0
4.00%
150.0
3.00% 100.0 2.00% 50.0
1.00%
May-09
Jan-09
Mar-09
Sep-08
Nov-08
Jul-08
May-08
Jan-08
Mar-08
Nov-07
Jul-07
Sep-07
Mar-07
May-07
Jan-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Sep-05
Nov-05
Jul-05
Mar-05
May-05
Jan-05
Nov-04
Jul-04
Sep-04
Mar-04
Jan-04
Nov-03
Jul-03
May-04
0.0 Sep-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 14%
1.00%
WA ACT NSW 0% 0%8%
May-09
Jan-09
Mar-09
Sep-08
Nov-08
Jul-08
Mar-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
Jan-08
Sep-07
Loan To Value Ratio Distribution
Nov-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
Mar-06
May-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Mar-04
Jan-04
Nov-03
Sep-03
Jul-03
0.0
Geographic Distribution
SA 1%
0.90% 0.80%
Inner City
0.70%
1% Non-Metro
0.60%
38%
0.50%
Metro 61%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
QLD 77%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 99
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2004-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
Jun-09
Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Apr-06
Dec-05
Aug-05
Apr-05
Dec-04
Aug-04
Feb-09
0.0 Oct-08
50.0
0.00% Jun-08
1.00%
Feb-08
100.0
Oct-07
150.0
2.00%
Jun-07
3.00%
Feb-07
200.0
Oct-06
250.0
4.00%
Jun-06
300.0
5.00%
Feb-06
6.00%
Oct-05
350.0
Jun-05
400.0
7.00%
Feb-05
8.00%
Oct-04
450.0
Jun-04
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
450.0
90.0%
400.0
80.0%
350.0
70.0%
300.0
60.0% 250.0
50.0% 200.0
40.0%
100.0
20.0%
WA VIC 0% TAS 11% 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00% 0.90%
ACT 1%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
May-05
0.0
Sep-04
50.0
0.0% Jul-04
10.0%
(Mil. A$)
150.0
30.0%
Geographic Distribution NSW 27%
0.80% Inner City
0.70%
Non-Metro
1%
26%
0.60% 0.50%
NT 0%
0.40%
Metro 73%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
0.00%
QLD 61%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 100
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2005-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Aug-05
Oct-05
0.0 Jun-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
TAS 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
SA 0%
1.00%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
ACT 0%
250-300
110 - 120
WA VIC 0% 10%
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
< 10
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
May-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
Sep-05
Jul-05
Aug-05
Jun-05
0.0
Geographic Distribution NSW 24%
0.90% 0.80% 0.70%
Non-Metro 31%
0.60% 0.50%
Metro
0.40%
69%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 66%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 101
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2006-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
3.00%
300.0
2.00%
200.0
1.00%
100.0
0.00%
0.0 Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Jun-09
400.0
Feb-09
500.0
4.00%
Oct-08
600.0
5.00%
Jun-08
6.00%
Feb-08
700.0
Oct-07
800.0
7.00%
Jun-07
8.00%
Feb-07
900.0
Oct-06
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
WA ACT 0% 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
TAS VIC 0% 15%
1.00%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
0.0
Geographic Distribution NSW 24%
SA 0%
0.90% 0.80%
Inner City
0.70%
0% Non-Metro 30%
0.60%
NT 0%
0.50%
Metro
0.40%
70%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
0.00%
QLD 60%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 102
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2007-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Dec-07
Aug-07
Jun-08
0.0 Feb-08
0.00% Oct-07
100.0
Jun-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
WA 1%
ACT 0%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
0.0
Geographic Distribution NSW 22%
TAS VIC 0% 15% SA 0%
0.90% 0.80%
Inner City
0.70%
NT 0%
0.60%
0% Non-Metro 35%
0.50%
Metro 65%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 62%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 103
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Series 2009-1 Harvey Trust Originator
Servicer
Credit Union Australia Ltd
Credit Union Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
500.0
8.00%
450.0 400.0
7.00%
350.0
6.00%
300.0 5.00% 250.0 4.00% 200.0 3.00%
150.0
2.00%
100.0 50.0
0.00%
0.0 Mar-09
May-09
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-S
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0% Jun-09
May-09
Apr-09
Loan Size Distribution
WA 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1,000+
750-1,000
500-750
NSW 30%
TAS 0%
0.80%
Geographic Distribution
VIC 20%
1.00% 0.90%
ACT 1%
Cumulative Loan Size
300-400
120+
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
250-300
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
200-250
Mar-09
0.0
Inner City
0.70%
0%
SA 0%
0.60%
Non-Metro 33%
0.50% Metro 67%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
0.00%
QLD 47%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 104
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
First Permanent Securities Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
19-Dec-01
5
0
1
A$M 60.93
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
Jul-07
Apr-07
Jan-07
Oct-06
Jul-06
Apr-06
Jan-06
Oct-05
Jul-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Oct-03
Jul-03
Apr-03
Jan-03
Oct-02
Jul-02
Apr-02
Jan-02
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.18%
1.43%
0.63%
0.90%
1.81%
0.27%
0.30%
0.30%
1.21%
1.57%
0.00%
0.41%
61-90 days
0.46%
1.11%
0.00%
0.00%
0.00%
0.30%
0.00%
0.00%
0.00%
0.00%
0.37%
0.00%
90+ days
0.63%
0.65%
1.00%
0.70%
0.73%
1.52%
1.53%
1.14%
0.86%
0.38%
0.40%
0.80%
Total
2.27%
3.19%
1.63%
1.60%
2.55%
2.09%
1.82%
1.44%
2.07%
1.94%
0.77%
1.21%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
First Permanent Securities Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Prepayment
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
26.04%
20.98%
21.69%
24.65% 37.82% 46.01% 44.73%
41.73%
35.35%
40.34%
40.87%
Repayment
#N/A
26.73%
21.78%
22.47%
25.44% 38.32% 46.49% 45.27%
42.36%
35.97%
41.29%
41.67%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •First Permanent Securities Ltd. is a subsidiary of Merill Lynch. •First Permanent Securities Ltd. underwrites, funds, and securitizes high loan-to-value ratio (HLTV) residential mortgage loans referred by Devine Homes under the First Permanent Securities HLTV RMBS program.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 105
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
First Permanent Super Prime RMBS Trust 2006-1 Originator
Servicer
First Permanent Securities Ltd.
AMM Holdings Pty Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 250.0
9.00% 8.00%
200.0
7.00% 6.00%
150.0 5.00% 4.00% 100.0 3.00% 2.00%
50.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Dec-06
Aug-06
Feb-07
0.0 Oct-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance F
E
D
C
B
A
Repayment Rate
Prepayment Rate
100.0%
250.0
90.0% 80.0%
200.0
70.0% 60.0%
150.0
50.0% 40.0%
100.0
20.0%
50.0
(Mil. A$)
30.0%
10.0% 0.0% Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
0.0
Geographic Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
NSW 22%
1.00% 0.90% 0.80%
Inner City
0.70%
Non-Metro
1%
11%
0.60% 0.50%
QLD 13%
0.40%
VIC 61%
0.30%
Metro 88%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
0.00%
SA 4%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 106
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
FirstMac Limited First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
30-Sep-03
13
2
11
A$M 3,976.67
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
Jul-07
Apr-07
Jan-07
Oct-06
Jul-06
Apr-06
Jan-06
Oct-05
Jul-05
Apr-05
Jan-05
Oct-04
Jul-04
Apr-04
Jan-04
Oct-03
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.25%
0.97%
1.07%
1.29%
0.96%
1.01%
0.86%
0.58%
0.54%
0.39%
0.25%
0.20%
61-90 days
0.42%
0.55%
0.32%
0.37%
0.49%
0.37%
0.28%
0.18%
0.19%
0.15%
0.11%
0.08%
90+ days
0.78%
1.05%
1.25%
1.18%
1.04%
1.10%
1.16%
0.98%
0.85%
0.80%
0.72%
0.52%
Total
2.45%
2.57%
2.64%
2.84%
2.48%
2.47%
2.31%
1.74%
1.58%
1.34%
1.08%
0.80%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
FirstMac Limited Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
19.52%
21.97%
16.50%
19.59%
23.65% 22.32% 23.64% 25.18%
23.07%
19.54%
18.92%
17.24%
Repayment
20.57%
22.45%
17.07%
20.08%
24.21% 22.87% 24.31% 25.89%
23.72%
20.26%
19.69%
19.42%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •First Mortgage Company Pty Ltd. (First Mortgage) is a wholly owned subsidiary of Nationale Ltd., a privately held company that originates and services prime residential mortgage loans. •First Mortgage performs the treasury responsibilities for the Firstmac RMBS bond program. •Prime residential mortgage loans are sourced through a third-party referral network. •From December 2005, FirstMac Ltd. has been redesignating some loans in arrears out of their publicly rated trusts. Therefore the issuer vs. SPIN graph for FirstMac Ltd may not reflect the likely performance of their future RMBS transactions. •For the quarter ended March 2007, a negative repayment and prepayment rate was recorded due to large amounts of redraws and further advances in one of the FirstMac programs. •Previous versions of Australian RMBS Performance Watch incorrectly reported two FirstMac trusts, FirstMac Mortgage Funding Trust Series 1-2008 and FirstMac Mortgage Funding Trust Series 2-2008, under another issuer. This has now been corrected.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 107
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 2-2004 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
61-90 Days
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Dec-04
Aug-04
Feb-05
0.0 Oct-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2-2 Reissue
A2-2
A2-1
A1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 1%
VIC TAS 10% 0%
1.00%
ACT 1%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Aug-04
Oct-04
0.0
Geographic Distribution
0.90%
SA 15%
0.80% 0.70%
Inner City Non-Metro
1%
22%
0.60% 0.50%
NSW 54%
0.40%
Metro 77%
0.30% 0.20%
QLD 19%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 108
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 1-2005 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
Outlook
Servicer Ranking
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Mar-05
Sep-05
0.0 May-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A1-2
A1-1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 13%
WA 4%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jun-08
May-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Nov-05
Oct-05
Sep-05
Jul-05
Aug-05
Jun-05
Apr-05
May-05
Mar-05
0.0
Geographic Distribution
1.00%
TAS 1%
0.90% 0.80%
SA 7%
0.70%
Inner City 0% Non-Metro
0.60%
NSW 45%
0.50%
38%
Metro 62%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
0.00%
QLD 28%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 109
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 2-2005 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 700.0
9.00% 8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
Mar-06
Jan-06
Nov-05
Jul-05
May-06
0.0 Sep-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC TAS 9% 0%
1.00%
WA 2%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Jul-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
0.0
Geographic Distribution
0.90%
SA 14%
0.80% 0.70%
Inner City Non-Metro
1%
24%
0.60%
NSW 51%
0.50% 0.40%
Metro 75%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
0.00%
QLD 23% NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 110
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 3-2005 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
500.0
8.00%
450.0 400.0
7.00%
350.0
6.00%
300.0 5.00% 250.0 4.00% 200.0 3.00%
150.0
2.00%
100.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Aug-06
Apr-06
Dec-05
Oct-06
0.0 Jun-06
50.0
0.00% Feb-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 2%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Aug-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
Feb-07
Dec-06
Nov-06
Jun-06
Feb-06
Apr-07
0.0
May-07
50.0
0.0% Mar-07
100.0
10.0%
Jan-07
150.0
20.0%
Oct-06
30.0%
Sep-06
200.0
Jul-06
250.0
40.0%
Aug-06
300.0
50.0%
May-06
350.0
60.0%
Apr-06
400.0
70.0%
Mar-06
450.0
80.0%
Jan-06
90.0%
Dec-05
500.0
(Mil. A$)
100.0%
Geographic Distribution NSW 20%
1.00% 0.90% 0.80%
VIC 19%
0.70%
Inner City
NT 0%
0.60%
0% Non-Metro 42%
0.50%
Metro
TAS 0%
0.40% 0.30%
58%
SA 8%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
0.00%
QLD 42%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 111
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 1E-2006 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
500.0
4.00%
400.0
3.00%
300.0
2.00%
200.0
1.00%
100.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
Jul-06
May-09
600.0
5.00%
Sep-08
6.00%
May-08
700.0
Sep-07
800.0
7.00%
May-07
8.00%
Sep-06
900.0
May-06
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,000.0 900.0
80.0%
800.0
70.0%
700.0
60.0%
600.0
50.0%
500.0
40.0%
400.0
30.0%
300.0
20.0%
200.0
10.0%
100.0
0.0%
(Mil. A$)
90.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC TAS 11% 0%
1.00%
WA 2%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Sep-08
Jul-08
Loan To Value Ratio Distribution
Aug-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Aug-06
Jul-06
Jun-06
May-06
0.0
Geographic Distribution
NSW 32%
0.90% 0.80%
Inner City
0.70%
Non-Metro
SA 21%
0.60%
1%
29%
0.50% Metro
0.40%
70%
0.30%
NT 1%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
QLD 32%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 112
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Bond Series 1C-2006 Trust Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
6.00%
300.0
5.00%
250.0
4.00%
200.0
3.00%
150.0
2.00%
100.0
1.00%
50.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
May-09
350.0
Sep-08
400.0
7.00%
May-08
8.00%
Sep-07
450.0
May-07
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance F
E
D
C
B
A
Repayment Rate
Prepayment Rate
100.0%
450.0 400.0
80.0% 350.0
60.0%
300.0 250.0
40.0% 200.0 150.0 100.0
(Mil. A$)
20.0%
0.0% 50.0
-20.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 9%
ACT 1%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Nov-06
Dec-06
Jan-07
0.0
Geographic Distribution NSW 16%
1.00% 0.90%
NT 1%
VIC 12% TAS 1%
0.80% 0.70% 0.60%
Inner City 0% Non-Metro 32%
0.50% Metro
SA 12%
0.40% 0.30%
68%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
QLD 48%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 113
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Mortgage Funding Trust Series 1-2007 Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Dec-07
Aug-07
Apr-07
Feb-08
0.0 Oct-07
0.00% Jun-07
100.0
Feb-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
AB
A
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 12%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
0.0
Geographic Distribution NSW 22%
1.00% 0.90% 0.80%
Inner City
0.70%
1%
VIC 15%
0.60% 0.50%
NT 0%
Non-Metro 41% Metro
TAS 1%
0.40%
58%
0.30%
SA 10%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
0.00%
QLD 38%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 114
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Mortgage Funding Trust Series 1E-2007 Originator
Servicer
FirstMac Limited
FirstMac Limited
61-90 Days
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
90+ Days
TCLB
Prime SPIN 1,400.0
9.00% 8.00%
1,200.0
7.00% 1,000.0 6.00% 5.00%
800.0
4.00%
600.0
3.00% 400.0 2.00% 200.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Aug-07
Oct-07
0.0 Jun-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 13%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
0.0
Geographic Distribution
1.00% 0.90% 0.80% Non-Metro
0.70%
16%
0.60% 0.50% 0.40%
0.20%
3%
Metro
TAS 0%
0.30%
Inner City
NSW 46%
VIC 18%
81%
SA 7%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 15%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 115
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Mortgage Funding Trust Series 1-2008 Originator
Servicer
FirstMac Limited
FirstMac Limited
61-90 Days
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
90+ Days
TCLB
Prime SPIN
9.00%
200.0
8.00%
180.0 160.0
7.00%
140.0
6.00%
120.0 5.00% 100.0 4.00% 80.0 3.00%
60.0
2.00%
40.0
Apr-09
Dec-08
Jun-09
0.0 Feb-09
20.0
0.00% Oct-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance C
B
AB
A
Repayment Rate
Prepayment Rate
140.0
60.0%
120.0
50.0%
100.0
40.0%
80.0
30.0%
60.0
20.0%
40.0
10.0%
20.0
0.0%
0.0
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
WA 8%
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 100-150
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Apr-09
Feb-09
Dec-08
Nov-08
Loan To Value Ratio Distribution LVR
May-09
160.0
70.0%
Mar-09
180.0
80.0%
Jan-09
90.0%
Oct-08
200.0
(Mil. A$)
100.0%
Geographic Distribution
1.00% 0.90%
VIC 23%
0.80% 0.70%
Inner City
NSW 42%
0.60%
Non-Metro
3%
21%
0.50% 0.40%
Metro
TAS 0%
0.30% 0.20%
76%
SA 7%
0.10% Jun-09
Mar-09
Dec-08
0.00%
QLD 19%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 116
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Mortgage Funding Trust Series 2-2008 Originator
Servicer
FirstMac Limited
FirstMac Limited
61-90 Days
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
90+ Days
TCLB
Prime SPIN 700.0
9.00% 8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
0.0 Mar-09
Jan-09
Nov-08
May-09
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B-2
B-1
AB
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 1%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
110 - 120
150-200
0.0% 100-150
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
May-09
Apr-09
Mar-09
Feb-09
Nov-08
Dec-08
Jan-09
0.0
Geographic Distribution NSW 25%
1.00% 0.90%
VIC 17%
0.80% 0.70%
Inner City Non-Metro
1%
25%
0.60%
NT 0%
TAS 0%
0.50% 0.40%
Metro 74%
0.30% 0.20%
SA 20%
0.10% Jun-09
Mar-09
Dec-08
0.00%
QLD 29%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 117
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
FirstMac Mortgage Funding Trust Series 1-2009 Originator
Servicer
FirstMac Limited
FirstMac Limited
Stable
Above Average
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 700.0
9.00% 8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
0.0 30/06/2009
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B-2
B-1
AB
A-3
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0% Jun-09
0.0
Loan To Value Ratio Distribution LVR
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
120.0%
120.0%
100.0%
100.0%
80.0%
80.0%
60.0%
60.0%
40.0%
40.0% 20.0%
20.0%
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
WA 6%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
1,000+
750-1,000
500-750
400-500
300-400
250-300
200-250
150-200
100-150
120+
110 - 120
100 - 110
90 - 100
80 - 90
70 - 80
60 - 70
50 - 60
40 - 50
30 - 40
20 - 30
10 - 20
< 10
0-100
0.0%
0.0% -20.0%
Cumulative Loan Size
Geographic Distribution
1.00%
VIC 16%
0.90%
NSW 30%
0.80%
Inner City
TAS 1%
0.70% 0.60%
1% Non-Metro 31%
0.50% Metro
0.40%
SA 14%
0.30%
68%
NT 0%
0.20% 0.10% Jun-09
0.00%
QLD 30%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 118
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Greater Building Society Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
07-Feb-03
3
0
2
A$M 356.16
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
May-09
Feb-09
Nov-08
Aug-08
May-08
Feb-08
Nov-07
Aug-07
May-07
Feb-07
Nov-06
Aug-06
May-06
Feb-06
Nov-05
Aug-05
May-05
Feb-05
Nov-04
Aug-04
May-04
Feb-04
Nov-03
Aug-03
Feb-03
May-03
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.72%
0.58%
0.34%
0.21%
0.41%
0.31%
0.51%
0.31%
0.40%
0.39%
0.29%
0.24%
61-90 days
0.08%
0.16%
0.13%
0.12%
0.11%
0.18%
0.18%
0.33%
0.05%
0.03%
0.09%
0.08%
90+ days
0.47%
0.37%
0.38%
0.35%
0.45%
0.36%
0.35%
0.50%
0.24%
0.18%
0.18%
0.19%
Total
1.27%
1.11%
0.86%
0.68%
0.96%
0.85%
1.04%
1.14%
0.69%
0.60%
0.56%
0.51%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Greater Building Society Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
33.61%
34.59%
24.44%
27.83%
26.48% 26.01% 24.70% 23.77%
23.14%
23.57%
24.08%
27.99%
Repayment
35.46%
36.49%
26.78%
30.15%
28.85% 28.29% 27.07% 26.09%
25.69%
26.56%
27.29%
31.17%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Greater Building Society Ltd. is a building society based in regional New South Wales. •Greater securitises prime residential mortgage loans under the GBS Receivables RMBS program.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 119
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
GBS Receivables Trust No. 2 Originator
Servicer
Greater Building Society Ltd.
Greater Building Society Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Aug-04
Apr-04
Oct-04
0.0 Jun-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A3 (Re-Issued)
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
QLD 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Apr-04
Jun-04
0.0
Geographic Distribution
1.00% 0.90% 0.80% Metro
0.70%
7%
0.60% 0.50% 0.40%
Non-Metro 93%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Sep-04
Dec-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
NSW 100%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 120
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
GBS Receivables Trust No. 3 Originator
Servicer
Greater Building Society Ltd.
Greater Building Society Ltd.
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Apr-06
Dec-05
Aug-05
Apr-05
Jun-06
0.0 Feb-06
0.00% Oct-05
100.0
Jun-05
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
QLD 2%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
Jun-08
Jul-08
1,000+
750-1,000
500-750
Cumulative Loan Size
300-400
250-300
200-250
110 - 120
Cumulative Losses
150-200
0.0% 100-150
0.0% 120+
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Oct-06
Nov-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Jul-05
Aug-05
Jun-05
May-05
Apr-05
0.0
Geographic Distribution
1.00% 0.90% 0.80% Metro
0.70%
4%
0.60% 0.50% 0.40%
Non-Metro 96%
0.30% 0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
NSW 98%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 121
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Heritage Building Society Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
29-Jun-00
9
2
8
A$M 2,055.94
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Jul-08
Oct-08
Apr-08
Jan-08
Jul-07
Oct-07
Apr-07
Jan-07
Jul-06
Oct-06
Apr-06
Jan-06
Jul-05
Oct-05
Apr-05
Jan-05
Jul-04
Oct-04
Apr-04
Jan-04
Jul-03
Oct-03
Apr-03
Jan-03
Jul-02
Oct-02
Apr-02
Oct-01
Jan-02
Jul-01
Apr-01
Jan-01
Jul-00
Oct-00
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.30%
0.16%
0.09%
0.22%
0.20%
0.21%
0.33%
0.36%
0.27%
0.26%
0.38%
0.20%
61-90 days
0.05%
0.10%
0.04%
0.03%
0.08%
0.08%
0.08%
0.10%
0.10%
0.15%
0.05%
0.05%
90+ days
0.11%
0.11%
0.11%
0.09%
0.05%
0.06%
0.09%
0.08%
0.09%
0.10%
0.15%
0.14%
Total
0.47%
0.37%
0.23%
0.34%
0.33%
0.35%
0.49%
0.54%
0.46%
0.52%
0.58%
0.39%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Heritage Building Society Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
28.65%
26.45%
23.48%
25.23%
30.07% 26.24% 19.27% 17.08%
20.47%
18.29%
21.15%
23.73%
Repayment
31.07%
27.50%
24.57%
26.32%
31.10% 28.10% 20.29% 18.09%
21.44%
19.31%
22.48%
25.08%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Heritage Building Society Ltd. is based in regional Queensland and is the largest building society in Australia by assets under management. •Heritage securitises prime residential mortgage loans under the HBS RMBS program including a rated warehouse, HBS Trust No.1.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 122
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2002-2 Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 700.0
9.00% 8.00%
600.0
7.00% 500.0 6.00% 5.00%
400.0
4.00%
300.0
3.00% 200.0 2.00% 100.0
1.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Jun-04
Feb-04
Dec-03
Oct-03
Aug-03
Apr-03
Jun-03
Dec-02
Feb-03
0.0 Oct-02
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 0%
VIC 16%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Feb-08
Dec-07
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Aug-07
Apr-07
Jun-07
Feb-07
Dec-06
Oct-06
Jun-06
Aug-06
Apr-06
Feb-06
Dec-05
Oct-05
Jun-05
Aug-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Oct-03
Jun-03
Aug-03
Apr-03
Feb-03
Dec-02
Oct-02
0.0
Geographic Distribution NSW 23%
1.00%
SA 1%
0.90% 0.80%
Inner City
0.70%
1% Non-Metro
0.60%
37%
0.50%
Metro 62%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
0.00%
QLD 60%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 123
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2003-1 Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
400.0
8.00%
350.0
7.00%
300.0
6.00% 250.0 5.00% 200.0 4.00% 150.0 3.00% 100.0
2.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Jun-07
Aug-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Dec-03
Aug-03
Apr-03
Jun-04
0.0 Feb-04
0.00% Oct-03
50.0
Jun-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
ACT 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
May-09
Jan-09
Mar-09
Nov-08
Jul-08
Sep-08
May-08
1,000+
750-1,000
500-750
400-500
Geographic Distribution NSW 24%
VIC 26%
1.00%
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jan-08
Sep-07
Loan To Value Ratio Distribution
Nov-07
Jul-07
May-07
Jan-07
Mar-07
Nov-06
Sep-06
Jul-06
Mar-06
May-06
Jan-06
Sep-05
Nov-05
Jul-05
Mar-05
May-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Mar-04
Jan-04
Sep-03
Nov-03
Jul-03
0.0
0.90% 0.80% Inner City
0.70%
Non-Metro
1%
26%
0.60%
SA 0%
0.50% 0.40%
Metro 73%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
QLD 50%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 124
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2003-1E Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,000.0
8.00%
900.0 800.0
7.00%
700.0
6.00%
600.0 5.00% 500.0 4.00% 400.0 3.00%
300.0
2.00%
200.0
Mar-09
May-09
Jan-09
Nov-08
Jul-08
Sep-08
Mar-08
May-08
Jan-08
Nov-07
Jul-07
Sep-07
Mar-07
May-07
Jan-07
Nov-06
Jul-06
Sep-06
Mar-06
May-06
Jan-06
Nov-05
Jul-05
Sep-05
Mar-05
May-05
Jan-05
Nov-04
Jul-04
Mar-04
Jan-04
Nov-03
Sep-04
0.0 May-04
100.0
0.00% Sep-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,000.0 900.0
80.0%
800.0
70.0%
700.0
60.0%
600.0
50.0%
500.0
40.0%
400.0
30.0%
300.0
20.0%
200.0
10.0%
100.0
0.0%
(Mil. A$)
90.0%
ACT 0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 25%
1.00%
May-09
Mar-09
Jan-09
Sep-08
Nov-08
May-08
Jul-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jan-08
Sep-07
Loan To Value Ratio Distribution
Nov-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
May-04
Mar-04
Jan-04
Nov-03
Sep-03
0.0
Geographic Distribution NSW 29%
0.90% 0.80%
Inner City
0.70%
1% Non-Metro 33%
0.60%
SA 2%
0.50% 0.40%
Metro 66%
0.30% 0.20% 0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
QLD 44%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 125
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2004-1 Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Outlook
Servicer Ranking
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
May-05
0.0 Sep-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
ACT 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
May-09
Mar-09
Jan-09
Nov-08
Jul-08
Sep-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
0.0
Geographic Distribution
VIC 24%
1.00%
NSW 30%
0.90% 0.80%
Inner City
0.70%
0% Non-Metro
SA 1%
0.60% 0.50%
32%
Metro
0.40%
68%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
QLD 44%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 126
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2005-1E Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Aug-05
Oct-05
0.0 Jun-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 19%
ACT 2%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Nov-08
Sep-08
Aug-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jun-08
Apr-08
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
Sep-05
Jul-05
Aug-05
Jun-05
0.0
Geographic Distribution
1.00%
NSW 32%
0.90%
SA 0%
0.80% 0.70%
Inner City 0% Non-Metro
0.60%
36%
0.50%
Metro 64%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
QLD 47%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 127
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
HBS Trust 2006-1 Originator
Servicer
Heritage Building Society Ltd
Heritage Building Society Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Dec-06
Aug-06
Jun-07
0.0 Feb-07
0.00% Oct-06
100.0
Jun-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
ACT 1%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 29%
1.00% 0.90%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
0.0
Geographic Distribution NSW 26%
0.80% Inner City
0.70%
0% Non-Metro
0.60%
34%
0.50% Metro
0.40%
66%
SA 1%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
QLD 43%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 128
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Homeloans Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
16-Aug-96
7
0
1
A$M 164.56
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Feb-09
May-09
Nov-08
Aug-08
Feb-08
May-08
Nov-07
Aug-07
Feb-07
May-07
Nov-06
Aug-06
Feb-06
May-06
Nov-05
Aug-05
Feb-05
May-05
Nov-04
Aug-04
Feb-04
May-04
Nov-03
Aug-03
Feb-03
May-03
Nov-02
Aug-02
Feb-02
May-02
Nov-01
Aug-01
Feb-01
May-01
Nov-00
Aug-00
Feb-00
May-00
Nov-99
Aug-99
Feb-99
May-99
Nov-98
Aug-98
Feb-98
May-98
Nov-97
Aug-97
Feb-97
May-97
Nov-96
Aug-96
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
1.32%
1.28%
0.78%
1.20%
1.60%
1.50%
1.46%
1.61%
1.17%
0.81%
1.26%
0.59%
61-90 days
0.29%
0.46%
0.71%
0.31%
0.22%
0.40%
0.62%
0.57%
0.26%
0.11%
0.19%
0.56%
90+ days
1.82%
2.38%
2.41%
2.99%
3.42%
3.16%
3.15%
3.17%
3.72%
3.59%
3.53%
3.39%
Total
3.43%
4.12%
3.90%
4.49%
5.24%
5.06%
5.22%
5.35%
5.16%
4.52%
4.99%
4.54%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Homeloans Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
Jun-03
Mar-03
Dec-02
Sep-02
Jun-02
Mar-02
Dec-01
Sep-01
Jun-01
Mar-01
Dec-00
Sep-00
Jun-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Sep-97
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
22.82%
25.96%
22.14%
24.73%
29.05% 30.81% 27.45% 30.48%
28.70%
34.59%
31.23%
28.23%
Repayment
24.12%
27.13%
23.36%
25.95%
30.21% 31.96% 28.68% 31.68%
29.95%
35.93%
32.69%
29.82%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Homeloans Ltd. is a non-bank mortgage originator headquartered in Western Australia. •Homeloans Ltd. securitises prime residential mortgage loans under the RMT RMBS program. •In November 2005 the servicer of the RMT trusts changed from EDS (BPA) Pty Ltd. to Adelaide Bank Ltd, which has a STRONG residential loan servicer ranking. The replacement saw the reporting of arrears change from missed payments to scheduled balance.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 129
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
RMT Securitisation Trust No. 7 Originator
Servicer
Homeloans Ltd
Adelaide Bank Ltd
Stable
Strong
Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
Outlook
Servicer Ranking
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
500.0
8.00%
450.0 400.0
7.00%
350.0
6.00%
300.0 5.00% 250.0 4.00% 200.0 3.00%
150.0
2.00%
100.0
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Dec-06
Aug-06
Feb-07
0.0 Oct-06
50.0
0.00% Jun-06
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0% Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
0.0
Geographic Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 5%
WA 9%
1.00% 0.90% 0.80% Non-Metro
0.70%
Inner City
18%
VIC 23%
0.60% 0.50%
0%
NSW 39%
0.40%
Metro 82%
0.30%
TAS 1%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
SA 14%
QLD 9%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 130
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
HSBC Bank Australia Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
12-Apr-07
1
0
1
A$M 552.07
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
Apr-07
Jul-07
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.18%
0.49%
0.37%
0.24%
0.44%
0.42%
0.15%
0.20%
0.20%
0.18%
0.21%
0.30%
61-90 days
0.07%
0.03%
0.30%
0.13%
0.31%
0.22%
0.49%
0.07%
0.00%
0.00%
0.16%
0.00%
90+ days
0.06%
0.00%
0.00%
0.20%
0.21%
0.42%
0.43%
0.73%
0.75%
0.77%
0.78%
0.90%
Total
0.31%
0.52%
0.67%
0.57%
0.96%
1.06%
1.06%
1.00%
0.95%
0.95%
1.15%
1.20%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
HSBC Bank Australia Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Prepayment
Sep-06
Dec-06
Mar-07
Jun-07
#N/A
#N/A
#N/A
#N/A
Sep-07
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Sep-07
Dec-07
0.00%
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
29.15% 27.48% 28.71% 26.02%
29.35%
29.59%
23.93%
26.94%
Repayment
#N/A
#N/A
#N/A
#N/A
31.58% 30.96% 33.08% 29.62%
32.55%
32.68%
27.74%
30.71%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments HSBC Bank Australia Ltd. is a wholly owned subsidiary of The Hong Kong and Shanghai Banking Corp. Ltd.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 131
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Lion Series 2007-1 Trust Originator
Servicer
HSBC Bank Australia Ltd
HSBC Bank Australia Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Aug-07
Apr-07
Oct-07
0.0 Jun-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 8%
ACT 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
1,000+
750-1,000
500-750
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City
VIC 21%
0.70% 0.60%
Non-Metro
0.50%
NSW 54%
TAS 0%
0.40% 0.30%
4%
8%
Metro 88%
SA 4%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 12%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 132
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
IMB Ltd. First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
17-Jul-03
4
0
4
A$M 662.59
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Sep-03
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.12%
0.13%
0.20%
0.28%
0.12%
0.42%
0.13%
0.17%
0.27%
0.28%
0.17%
0.17%
61-90 days
0.04%
0.05%
0.00%
0.06%
0.12%
0.07%
0.06%
0.03%
0.00%
0.08%
0.01%
0.00%
90+ days
0.18%
0.14%
0.12%
0.08%
0.14%
0.18%
0.32%
0.31%
0.23%
0.17%
0.21%
0.14%
Total
0.34%
0.32%
0.32%
0.41%
0.38%
0.66%
0.50%
0.51%
0.49%
0.52%
0.39%
0.31%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
IMB Ltd. Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00%
Dec-07
Mar-08
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
25.76%
23.77%
21.58%
21.39%
25.79% 23.58% 19.96% 18.54%
19.46%
20.32%
17.98%
24.30%
Repayment
32.03%
30.08%
28.14%
28.05%
32.22% 30.21% 27.01% 25.99%
27.08%
27.37%
24.66%
30.05%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •IMB Ltd. (IMB), based in regional New South Wales, is one of the largest building societies in Australia. •IMB sources loans through its retail distribution channels and a mortgage broker network. •IMB securitises prime residential mortgage loans under the Illawarra RMBS program.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 133
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Illawarra Series 2003-1 Trust Originator
Servicer
Servicer Ranking
IMB Ltd.
IMB Ltd.
Strong
Outlook Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
Mar-09
May-09
Jan-09
Nov-08
Jul-08
Sep-08
Mar-08
May-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Jan-07
Mar-07
Sep-06
Nov-06
Jul-06
May-06
Jan-06
Mar-06
Sep-05
Nov-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Jul-04
Sep-04
Mar-04
May-04
Nov-03
Jan-04
0.0 Sep-03
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
QLD 3%
VIC WA 5% 0%
ACT 2%
May-09
Mar-09
Jan-09
Sep-08
Nov-08
Jul-08
May-08
Mar-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
110 - 120
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
Mar-06
May-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
May-05
Jan-05
Nov-04
Jul-04
Sep-04
May-04
Mar-04
Jan-04
Nov-03
Sep-03
Jul-03
0.0
Geographic Distribution
1.00% 0.90% 0.80% Inner City
0.70%
1%
0.60% Non-Metro
0.50%
51%
Metro 48%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
0.00%
NSW 90%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 134
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Illawarra Series 2004-1 RMBS Trust Originator
Servicer
Servicer Ranking
IMB Ltd.
IMB Ltd.
Strong
Outlook Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
May-05
0.0 Sep-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A2
A1
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
QLD 7%
VIC WA 4% 1%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
110 - 120
< 10
150-200
0.0% 100-150
0.0%
0-100
20.0%
120+
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
May-05
Mar-05
Jan-05
Nov-04
Sep-04
Jul-04
0.0
Geographic Distribution ACT 10%
1.00% 0.90% 0.80% Inner City
0.70%
1%
0.60%
Non-Metro 46%
0.50%
Metro 53%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
NSW 78%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 135
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Illawarra Series 2005-1 RMBS Trust Originator
Servicer
Servicer Ranking
IMB Ltd.
IMB Ltd.
Strong
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
Mar-06
Jan-06
Nov-05
May-06
0.0 Sep-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
SA 0%
VIC 9%
WA 1%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Jun-08
Apr-08
May-08
Mar-08
Jan-08
Feb-08
Dec-07
Oct-07
Nov-07
Sep-07
Jul-07
Aug-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06
Jul-06
Jun-06
Apr-06
May-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
0.0
Geographic Distribution ACT 6%
QLD 5%
1.00% 0.90% 0.80%
Inner City
0.70%
2%
0.60%
Non-Metro 45%
0.50%
Metro 53%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
0.00%
NSW 79%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 136
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Illawarra Series 2006-1 RMBS Trust Originator
Servicer
Servicer Ranking
IMB Ltd.
IMB Ltd.
Strong
Stable Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
Outlook
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
Mar-07
Jan-07
Nov-06
May-07
0.0 Sep-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
VIC 14%
1.00%
WA 1%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Sep-06
Oct-06
0.0
Geographic Distribution ACT 7%
SA 1%
0.90% 0.80%
QLD 9%
0.70%
Inner City 1% Non-Metro
0.60%
40%
0.50%
Metro 59%
0.40% 0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
0.00%
NSW 68%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 137
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
ING Bank (Australia) Limited First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
20-Oct-08
1
0
1
A$M 7,499.89
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
Apr-09
Jan-09
Oct-08
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
#N/A
#N/A
#N/A
0.64%
0.84%
0.85%
0.90%
0.96%
0.96%
0.92%
0.96%
0.69%
61-90 days
#N/A
#N/A
#N/A
0.04%
0.19%
0.23%
0.21%
0.22%
0.22%
0.29%
0.29%
0.24%
90+ days
#N/A
#N/A
#N/A
0.00%
0.05%
0.10%
0.20%
0.21%
0.18%
0.22%
0.25%
0.24%
Total
#N/A
#N/A
#N/A
0.68%
1.08%
1.18%
1.31%
1.39%
1.37%
1.43%
1.49%
1.17%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
ING Bank (Australia) Limited Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Mar-09
Jun-09
0.00%
Prepayment
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
8.44%
12.92%
#N/A
#N/A
#N/A
#N/A
Repayment
#N/A
#N/A
#N/A
#N/A
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.56%
#N/A
#N/A
9.91%
11.66%
22.01%
23.33%
20.14%
21.07%
Additional Comments •IDS Trust 2008-1is the first RMBS issuance for ING Bank (Australia) Limitied. •Effective June 2009, ING Bank (Australia) Limited calculate arrears using a revised definition of default following a redevelopment of their probability of default model.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 138
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
IDS Trust 2008-1 Originator
Servicer
ING Bank (Australia) Limited
ING Bank (Australia) Limited
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Scheduled Balance Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
7,000.0
6.00%
6,000.0
5.00%
5,000.0
4.00%
4,000.0
3.00%
3,000.0
2.00%
2,000.0
1.00%
1,000.0
0.00%
0.0 Apr-09
Dec-08
Jun-09
7.00%
Feb-09
8,000.0
Oct-08
8.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A4
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
8,000.0
90.0%
7,000.0
80.0% 6,000.0
70.0% 5,000.0
60.0% 50.0%
4,000.0
40.0%
2,000.0
20.0%
(Mil. A$)
3,000.0
30.0%
1,000.0
10.0% 0.0%
Loan To Value Ratio Distribution
WA 5%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
0.0
Geographic Distribution
0.80% 0.70%
VIC 23%
0.60%
NSW 37%
0.50%
Inner City Non-Metro
0%
23%
0.40%
TAS 2%
0.30% 0.20%
Metro 77%
SA 7%
0.10%
Jun-09
Mar-09
Dec-08
0.00%
QLD 23%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 139
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Liberty Financial Pty Ltd. (Prime Issues) First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
21-Apr-09
1
0
1
A$M 535.65
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Apr-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
#N/A
#N/A
#N/A
#N/A
Nov-08 Dec-08 #N/A
#N/A
#N/A
#N/A
#N/A
0.70%
0.50%
0.56%
61-90 days
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
0.22%
0.28%
0.33%
90+ days
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
0.06%
0.06%
0.10%
Total
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
0.98%
0.84%
0.99%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Liberty Financial Pty Ltd. (Prime Issues) Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Jun-09
0.00%
a Prepayment Repayment Prime SPPI
#N/A
Additional Comments •Founded in 1997, Liberty Financial's entry point into the market was nonprime residential finance. Since then, it has expanded its business to include prime and nonprime residential mortgage finance. •As Liberty PRIME Series 2009-1 was issued in Apr 2009, there was insufficient data to calculate prepayment and repayment rates for Liberty Financial Pty Ltd. (Prime Issues), hence the graph against SPPI is not available.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 140
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
Liberty PRIME Series 2009-1 Originator
Servicer
Liberty Financial Pty Ltd. (Prime Issues)
Liberty Funding Pty Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
600.0
8.00% 500.0 7.00% 6.00%
400.0
5.00% 300.0 4.00% 3.00%
200.0
2.00% 100.0 1.00% 0.0 Apr-09
Jun-09
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance E
D
C
B
AB
A3
A2
A1
Repayment Rate
Prepayment Rate
100.0%
700.0
90.0% 600.0
80.0% 500.0
70.0% 60.0%
400.0
50.0% 300.0
40.0%
200.0
20.0%
(Mil. A$)
30.0%
100.0
10.0% 0.0% Jun-09
Apr-09
May-09
0.0
Loan Size Distribution
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 1%
WA 15%
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
Cumulative Losses Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
200-250
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
150-200
Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Geographic Distribution NSW 26%
1.00% 0.90% 0.80%
Inner City
0.70%
1% Non-Metro 33%
0.60%
NT 0%
0.50% 0.40%
Metro 66%
0.30%
VIC 31%
0.20% 0.10%
QLD 15%
Jun-09
0.00%
TAS 4%
SA 8%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 141
Standard & Poor's RMBS Performance Watch - Australia an Pool Arrears Performance vs Prime SPIN
June 30, 2009
Macquarie Securitisation Ltd First Issue Released
Total # Domestic Issues
Total # Cross Border Issues
# Outstanding
Value Outstanding
10-Jul-95
26
8
18
A$M 8,778.67
Loan Pool Arrears Performance vs Prime SPIN 31-60 Days
61-90 Days
90+ Days
Prime SPIN
7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00%
Jan-96 Apr-96 Jul-96 Oct-96 Jan-97 Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09
0.00%
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08 Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
31-60 days
0.70%
0.75%
0.80%
0.82%
0.96%
0.90%
0.80%
0.86%
0.78%
0.97%
0.76%
0.64%
61-90 days
0.24%
0.30%
0.35%
0.31%
0.38%
0.53%
0.44%
0.32%
0.39%
0.29%
0.28%
0.22%
90+ days
0.62%
0.60%
0.70%
0.76%
0.87%
0.88%
1.04%
1.15%
1.05%
1.04%
1.00%
0.93%
Total
1.57%
1.65%
1.85%
1.89%
2.22%
2.32%
2.28%
2.33%
2.22%
2.30%
2.05%
1.80%
Prime SPIN
1.51%
1.53%
1.52%
1.58%
1.70%
1.76%
1.84%
1.82%
1.66%
1.62%
1.50%
1.44%
Macquarie Securitisation Ltd Prepayment & Repayment Rates vs Prime SPPI Prepayment Rate
Repayment Rate
Prime SPPI
100.00% 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Mar-08
Sep-04
Mar-04
Dec-03
Jun-03
Dec-07
Sep-03
Mar-03
Dec-02
Jun-02
Sep-02
Mar-02
Dec-01
Jun-01
Sep-01
Mar-01
Dec-00
Jun-00
Sep-00
Mar-00
Dec-99
Jun-99
Sep-99
Mar-99
Dec-98
Jun-98
Sep-98
Mar-98
Dec-97
Jun-97
Sep-97
Mar-97
Dec-96
Sep-96
0.00%
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Prepayment
21.17%
21.45%
14.84%
18.51%
21.35% 23.10% 19.47% 23.21%
27.47%
27.16%
23.19%
23.91%
Repayment
22.17%
22.41%
15.83%
19.47%
22.24% 23.99% 20.36% 23.98%
26.65%
28.02%
24.42%
25.27%
Prime SPPI
24.29%
24.16%
20.59%
23.88%
24.75% 24.07% 22.41% 23.51%
21.90%
22.24%
20.62%
22.80%
Additional Comments •Macquarie Securitisation Ltd. is a wholly owned subsidiary of Macquarie Bank Ltd. (A/Stable/A-1), an Australian investment bank. •Macquarie Securitisation securitises prime residential mortgage loans under the PUMA RMBS program, which incorporates a number of funding options. •Macquarie Securitisation Ltd was previously categorised as a nonbank lender, from June 2006 they have been reclassified under the Other Banks sub-sector. This change was due to the majority of their originations now being generated by Macquarie Bank Ltd.
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 142
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Global Trust No. 3 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
May-09
Jan-09
Mar-09
Nov-08
Jul-08
Sep-08
Mar-08
May-08
Jan-08
Nov-07
Jul-07
Sep-07
May-07
Jan-07
Mar-07
Nov-06
Jul-06
Sep-06
May-06
Jan-06
Mar-06
Nov-05
Jul-05
Sep-05
May-05
Jan-05
Mar-05
Sep-04
Nov-04
Jul-04
Jan-04
Mar-04
Nov-03
Jul-03
Jan-03
Mar-03
May-04
0.0 Sep-03
200.0
0.00% May-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Mar-09
May-09
Jan-09
Jul-08
Sep-08
Mar-08
May-08
Jan-08
Nov-08
1,000+
750-1,000
500-750
ACT 3%
Cumulative Loan Size
300-400
120+
110 - 120
< 10
WA 4%
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Sep-07
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-07
Jul-07
May-07
Jan-07
Mar-07
Sep-06
Nov-06
Jul-06
Mar-06
May-06
Jan-06
Sep-05
Nov-05
Jul-05
Mar-05
May-05
Jan-05
Nov-04
Sep-04
Jul-04
Mar-04
May-04
Jan-04
Sep-03
Nov-03
Jul-03
Mar-03
May-03
Jan-03
0.0
Geographic Distribution
1.00%
VIC 19%
0.90% 0.80%
Non-Metro
0.70%
Inner City
18%
1%
TAS 1%
0.60% 0.50%
SA 4%
0.40%
Metro
NSW 55%
0.30% 0.20%
81%
QLD 14%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Sep-05
Dec-05
Jun-05
Mar-05
Sep-04
Dec-04
Jun-04
Mar-04
Sep-03
Dec-03
Jun-03
Mar-03
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 143
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Global Trust No. 4 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
2,000.0
8.00%
1,800.0 1,600.0
7.00%
1,400.0
6.00%
1,200.0 5.00% 1,000.0 4.00% 800.0 3.00%
600.0
2.00%
400.0
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Jun-07
Aug-07
Apr-07
Feb-07
Oct-06
Dec-06
Jun-06
Aug-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Apr-05
Jun-05
Feb-05
Dec-04
Oct-04
Aug-04
Apr-04
Dec-03
Aug-03
Jun-04
0.0 Feb-04
200.0
0.00% Oct-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate 2,000.0
90.0%
1,800.0
80.0%
1,600.0
70.0%
1,400.0
60.0%
1,200.0
50.0%
1,000.0
40.0%
800.0
30.0%
600.0
20.0%
400.0
10.0%
200.0
0.0%
(Mil. A$)
100.0%
WA 4%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Jun-08
Apr-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Aug-03
Oct-03
0.0
Geographic Distribution
1.00%
VIC 20%
0.90% 0.80%
Non-Metro
0.70%
Inner City
18%
1%
TAS 1%
0.60% 0.50%
SA 4%
0.40% 0.30%
NSW 53%
Metro 81%
0.20% 0.10%
QLD 15% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
Jun-03
Sep-03
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 144
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Global Trust No. 5 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 3,500.0
9.00% 8.00%
3,000.0
7.00% 2,500.0 6.00% 5.00%
2,000.0
4.00%
1,500.0
3.00% 1,000.0 2.00% 500.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
Jan-07
Nov-06
Sep-07
0.0 May-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-3
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
3,500.0
90.0% 3,000.0
80.0% 2,500.0
70.0% 60.0%
2,000.0
50.0% 1,500.0
40.0%
1,000.0
20.0%
(Mil. A$)
30.0%
500.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
ACT 3%
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Nov-06
Dec-06
0.0
Geographic Distribution
1.00% 0.90% 0.80%
VIC 21%
0.70%
Inner City Non-Metro
NSW 42%
0.60% 0.50%
TAS 1%
0.40% 0.30%
2%
26%
Metro 72%
SA 3%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
0.00%
QLD 23%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 145
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Global Trust S-1 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Apr-05
Dec-04
Aug-04
Jun-05
0.0 Feb-05
0.00% Oct-04
200.0
Jun-04
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,800.0
90.0%
1,600.0
80.0%
1,400.0
70.0%
1,200.0
60.0% 1,000.0
50.0% 800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Jun-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
ACT 1%
250-300
120+
110 - 120
< 10
WA 5%
Cumulative Losses
200-250
0.0% 150-200
0.0%
100-150
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Apr-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
0.0
Geographic Distribution
VIC 15% TAS 0%
1.00% 0.90% 0.80%
Inner City
SA 3%
0.70% 0.60%
Non-Metro
0%
28%
0.50% Metro
0.40%
72%
NSW 60%
QLD 16%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Jun-07
Sep-07
Mar-07
Dec-06
Jun-06
Sep-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 146
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-8 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
1,600.0
8.00%
1,400.0
7.00%
1,200.0
6.00% 1,000.0 5.00% 800.0 4.00% 600.0 3.00% 400.0
2.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Aug-05
Apr-05
Jun-05
Feb-05
Oct-04
Dec-04
Aug-04
Apr-04
Jun-04
Feb-04
Oct-03
Dec-03
Aug-03
Dec-02
Apr-03
0.0 Jun-03
0.00% Feb-03
200.0
Oct-02
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B (B)
B (A)
A-2 (B)
A-2 (A)
A-1 (B)
A-1 (A)
Repayment Rate
Prepayment Rate
100.0%
1,600.0
90.0%
1,400.0
80.0% 1,200.0
70.0% 1,000.0
60.0% 50.0%
800.0
40.0%
400.0
20.0%
(Mil. A$)
600.0
30.0%
200.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
ACT 3%
Jun-07
Apr-07
Feb-07
Dec-06
Aug-06
Oct-06
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-06
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Aug-04
Jun-04
Apr-04
Feb-04
Dec-03
Oct-03
Aug-03
Jun-03
Apr-03
Feb-03
Dec-02
Oct-02
0.0
Geographic Distribution
VIC 20%
0.90%
TAS 0%
0.80% 0.70%
Non-Metro
Inner City
15%
1%
SA 2%
0.60% 0.50% 0.40%
Metro 84%
0.30%
QLD 13%
0.20%
NSW 59%
0.10% Jun-09
Mar-09
Dec-08
Jun-08
Sep-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Jun-04
Sep-04
Mar-04
Dec-03
Jun-03
Sep-03
Mar-03
Dec-02
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 147
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-9 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Apr-09
Jun-09
Feb-09
Oct-08
Dec-08
Jun-08
Aug-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Apr-07
Jun-07
Feb-07
Oct-06
Dec-06
Jun-06
Aug-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Aug-04
Apr-04
Dec-03
Oct-04
0.0 Jun-04
0.00% Feb-04
100.0
Oct-03
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A-2
A-1
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 4%
Apr-09
Jun-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Jun-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-07
Oct-07
Jun-07
Aug-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Oct-04
Jun-04
Aug-04
Apr-04
Feb-04
Dec-03
Oct-03
0.0
Geographic Distribution
VIC 21%
1.00% 0.90% 0.80%
Non-Metro
0.70%
Inner City
18%
0.60%
1%
TAS 0%
0.50%
SA 2%
0.40% 0.30%
NSW 53%
Metro 81%
0.20%
QLD 17%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Jun-05
Sep-05
Mar-05
Dec-04
Sep-04
Jun-04
Mar-04
Dec-03
0.00%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 148
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-10 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Sep-05
Jul-05
Mar-05
Jan-05
Nov-04
Jul-04
May-05
0.0 Sep-04
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B(C)
B(B)
B(A)
A(C)
A(B)
A(A)
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
WA 3%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
ACT 3%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
120+
110 - 120
< 10
Cumulative Losses
250-300
0.0% 200-250
0.0%
150-200
20.0%
0-100
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jun-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Feb-06
Dec-05
Oct-05
Aug-05
Jun-05
Apr-05
Feb-05
Dec-04
Aug-04
Oct-04
0.0
Geographic Distribution
VIC 20%
0.90% 0.80%
Non-Metro
0.70%
Inner City
19%
0%
TAS 1%
0.60% 0.50%
SA 3%
0.40%
Metro
NSW 56%
0.30%
QLD 14%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Sep-06
Dec-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
Mar-05
Sep-04
Dec-04
0.00%
81%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 149
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-11 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 3,000.0
9.00% 8.00%
2,500.0 7.00% 2,000.0
6.00% 5.00%
1,500.0 4.00% 1,000.0
3.00% 2.00%
500.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Oct-06
Aug-06
Jun-06
Apr-06
Dec-05
Aug-05
Feb-06
0.0 Oct-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B(B)
B(A)
A(B)
A(A)
Repayment Rate
Prepayment Rate
100.0%
3,000.0
90.0% 2,500.0
80.0% 70.0%
2,000.0
60.0% 50.0%
1,500.0
40.0%
20.0%
(Mil. A$)
1,000.0
30.0%
500.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
May-09
Mar-09
Feb-09
Jan-09
Dec-08
Oct-08
Sep-08
Aug-08
Nov-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
ACT 3%
250-300
120+
110 - 120
WA 4%
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jul-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Jun-08
Apr-08
Loan To Value Ratio Distribution
May-08
Mar-08
Feb-08
Jan-08
Dec-07
Oct-07
Nov-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Jan-06
Feb-06
Dec-05
Nov-05
Oct-05
Sep-05
Aug-05
0.0
Geographic Distribution
1.00%
VIC 20%
0.90% 0.80%
Inner City Non-Metro
0.70%
1%
23%
TAS 1%
0.60% 0.50%
NSW 51%
SA 2%
0.40% 0.30%
Metro 76%
0.20%
QLD 19%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 150
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-12 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 2,500.0
9.00% 8.00%
2,000.0
7.00% 6.00%
1,500.0 5.00% 4.00% 1,000.0 3.00% 2.00%
500.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Aug-06
Apr-06
Oct-06
0.0 Jun-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B(B)
B(A)
A(B)
A(A)
Repayment Rate
Prepayment Rate
100.0%
2,500.0
90.0% 80.0%
2,000.0
70.0% 60.0%
1,500.0
50.0% 40.0%
1,000.0
20.0%
500.0
(Mil. A$)
30.0%
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
Jun-09
Apr-09
May-09
Mar-09
Jan-09
Feb-09
Oct-08
Dec-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
ACT 2%
250-300
120+
< 10
WA 5%
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Nov-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Sep-08
Jul-08
Loan To Value Ratio Distribution
Aug-08
Jun-08
Apr-08
May-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
Apr-06
May-06
0.0
Geographic Distribution
1.00%
VIC 19%
0.90% 0.80%
Inner City Non-Metro
0.70%
1%
22%
TAS 1%
0.60% 0.50%
NSW 51%
SA 2%
0.40% 0.30%
Metro 77%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
QLD 20% NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 151
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-13 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 600.0
9.00% 8.00%
500.0 7.00% 400.0
6.00% 5.00%
300.0 4.00% 200.0
3.00% 2.00%
100.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
Mar-08
Jan-08
Nov-07
May-08
0.0 Sep-07
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B(A)
A(A)
Repayment Rate
Prepayment Rate
100.0%
600.0
90.0% 500.0
80.0% 70.0%
400.0
60.0% 50.0%
300.0
40.0%
20.0%
(Mil. A$)
200.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 4%
WA 12%
Jun-09
May-09
Apr-09
Mar-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
150-200
120+
100-150
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Feb-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
400-500
Loan To Value Ratio Distribution LVR
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Sep-07
Oct-07
0.0
Geographic Distribution
1.00% 0.90%
NSW 28%
VIC 16%
0.80% 0.70%
Inner City 1% Non-Metro 31%
0.60% 0.50%
TAS 1%
0.40% 0.30%
Metro 68%
SA 6%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
0.00%
QLD 33%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 152
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-2 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
Jan-07
Nov-06
Sep-06
Jul-06
May-06
Mar-06
Jan-06
Nov-05
Jul-05
Sep-05
0.0 May-05
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Oct-08
Sep-08
Jul-08
Aug-08
Jun-08
Nov-08
0.80%
Inner City
0.70%
Non-Metro
0%
26%
SA 2%
0.60%
1,000+
500-750
Geographic Distribution
VIC 17% TAS 0%
0.90%
750-1,000
Cumulative Loan Size
300-400
ACT 2%
250-300
120+
110 - 120
WA 4%
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
Apr-07
May-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
May-06
Apr-06
Mar-06
Feb-06
Jan-06
Dec-05
Oct-05
Nov-05
Sep-05
Aug-05
Jul-05
Jun-05
May-05
0.0
0.50%
NSW 54%
0.40% 0.30% 0.20%
Metro 74%
QLD 21%
0.10% Jun-09
Mar-09
Sep-08
Dec-08
Jun-08
Mar-08
Sep-07
Dec-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
Mar-06
Dec-05
Sep-05
Jun-05
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 153
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-3 Series A Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 1,200.0
9.00% 8.00%
1,000.0 7.00% 800.0
6.00% 5.00%
600.0 4.00% 400.0
3.00% 2.00%
200.0 1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Jun-08
Apr-08
Feb-08
Dec-07
Oct-07
Aug-07
Jun-07
Apr-07
Feb-07
Dec-06
Aug-06
Oct-06
0.0 Jun-06
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
1,200.0
90.0% 1,000.0
80.0% 70.0%
800.0
60.0% 50.0%
600.0
40.0%
20.0%
(Mil. A$)
400.0
30.0%
200.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 7%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Jan-09
Feb-09
Dec-08
Nov-08
1,000+
750-1,000
500-750
400-500
Cumulative Loan Size
300-400
250-300
120+
< 10
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
110 - 120
20.0%
100 - 110
40.0%
90 - 100
40.0%
80 - 90
60.0%
70 - 80
60.0%
60 - 70
80.0%
50 - 60
80.0%
40 - 50
100.0%
30 - 40
100.0%
20 - 30
120.0%
10 - 20
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Oct-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
Sep-08
Jul-08
Loan To Value Ratio Distribution
Aug-08
Jun-08
May-08
Apr-08
Mar-08
Jan-08
Feb-08
Dec-07
Nov-07
Oct-07
Sep-07
Jul-07
Aug-07
Jun-07
May-07
Apr-07
Mar-07
Jan-07
Feb-07
Dec-06
Nov-06
Oct-06
Sep-06
Jul-06
Aug-06
Jun-06
0.0
Geographic Distribution
1.00%
VIC 14% TAS 1%
0.90% 0.80% 0.70%
Inner City Non-Metro
SA 3%
0.60%
0%
27%
0.50%
NSW 53%
0.40% 0.30% 0.20%
Metro 73%
QLD 20%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
Dec-06
Sep-06
Jun-06
0.00%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 154
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-4 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
6.00%
600.0
5.00%
500.0
4.00%
400.0
3.00%
300.0
2.00%
200.0
1.00%
100.0
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
Jul-07
Mar-07
May-09
700.0
Sep-08
800.0
7.00%
May-08
8.00%
Sep-07
900.0
May-07
9.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
900.0
90.0%
800.0
80.0%
700.0
70.0%
600.0
60.0% 500.0
50.0% 400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 20%
ACT 2%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Dec-08
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
0.0
Geographic Distribution
1.00% 0.90%
NSW 32%
0.80%
Inner City
0.70%
1% Non-Metro 32%
0.60% 0.50%
Metro
0.40%
67%
VIC 15% TAS 1%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
Mar-07
0.00%
SA 4%
NT 0%
QLD 26%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 155
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-5 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
400.0
8.00%
350.0
7.00%
300.0
6.00% 250.0 5.00% 200.0 4.00% 150.0 3.00% 100.0
2.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
Mar-08
Jan-08
Nov-07
May-09
0.00% Sep-08
50.0
May-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
400.0
90.0%
350.0
80.0% 300.0
70.0% 250.0
60.0% 50.0%
200.0
40.0%
100.0
20.0%
(Mil. A$)
150.0
30.0%
50.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 3%
WA 9%
Jun-09
May-09
Apr-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Mar-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Nov-07
Dec-07
Jan-08
0.0
Geographic Distribution
1.00% 0.90% 0.80% 0.70%
NSW 38%
VIC 21%
0.60%
Non-Metro 31%
0.50% Metro
0.40%
69%
TAS 1%
0.30% 0.20%
SA 5%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
0.00%
QLD 23%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 156
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund H-1 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
Jun-09
Apr-09
Feb-09
Dec-08
Oct-08
Aug-08
Apr-08
Dec-07
Aug-07
Jun-08
0.0 Feb-08
0.00% Oct-07
100.0
Jun-07
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses WA 5%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
ACT 4%
Jun-09
May-09
Apr-09
Mar-09
Feb-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
Jan-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
0.0
Geographic Distribution
1.00% 0.90%
VIC 22%
0.80% 0.70%
Non-Metro 29%
0.60% 0.50%
NSW 45%
TAS 1%
0.40% 0.30%
Metro 71%
SA 2%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
Dec-07
Sep-07
Jun-07
0.00%
QLD 21%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 157
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund P-15 Series A Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 350.0
9.00% 8.00%
300.0
7.00% 250.0 6.00% 5.00%
200.0
4.00%
150.0
3.00% 100.0 2.00% 50.0
1.00%
Mar-09
Jan-09
Nov-08
Jul-08
May-09
0.0 Sep-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 6%
Jun-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
120+
110 - 120
Cumulative Losses
200-250
0.0% 150-200
0.0%
0-100
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
0.0
Geographic Distribution ACT 5%
1.00% 0.90%
VIC 21%
0.80% 0.70%
Inner City Non-Metro
NSW 37%
0.60% 0.50%
TAS 1%
0.40% 0.30%
1%
28%
Metro 71%
SA 4%
0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
QLD 26%
NT 0%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 158
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-6 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN 350.0
9.00% 8.00%
300.0
7.00% 250.0 6.00% 5.00%
200.0
4.00%
150.0
3.00% 100.0 2.00% 50.0
1.00%
Jun-09
Apr-09
Feb-09
Dec-08
Aug-08
Oct-08
0.0 Jun-08
0.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
350.0
90.0% 300.0
80.0% 250.0
70.0% 60.0%
200.0
50.0% 150.0
40.0%
100.0
20.0%
(Mil. A$)
30.0%
50.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
WA 17%
ACT 1%
Jun-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
120+
150-200
0.0% 0-100
0.0% 110 - 120
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
100-150
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
0.0
Geographic Distribution
1.00%
NSW 31%
0.90% 0.80%
Inner City
0.70%
Non-Metro
1%
28%
0.60% 0.50% Metro
0.40%
VIC 19%
0.30% 0.20%
71%
NT 0%
TAS 1%
0.10% Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
0.00%
SA 4%
QLD 27%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 159
Standard & Poor's RMBS Performance Watch - Australia
June 30, 2009
PUMA Masterfund S-7 Originator
Servicer
Macquarie Securitisation Ltd
Macquarie Securitisation Ltd
Servicer Ranking
Outlook
Not Ranked
Not Ranked Arrears Reported on a Missed Payment Basis
Loan Pool Arrears Performance vs SPIN 31-60 Days
61-90 Days
90+ Days
TCLB
Prime SPIN
9.00%
800.0
8.00%
700.0
7.00%
600.0
6.00% 500.0 5.00% 400.0 4.00% 300.0 3.00% 200.0
2.00%
0.00%
0.0 Mar-09
Jan-09
Nov-08
Jul-08
May-09
100.0
Sep-08
1.00%
Loan Pool Repayment Trend and Outstanding Security Balance B
A
Repayment Rate
Prepayment Rate
100.0%
800.0
90.0%
700.0
80.0% 600.0
70.0% 500.0
60.0% 50.0%
400.0
40.0%
200.0
20.0%
(Mil. A$)
300.0
30.0%
100.0
10.0% 0.0%
Cumulative Losses Loss Covered By Seller LMI Claims Paid to Date Charge Off To UnRated Notes
1.00%
ACT 2%
Jun-09
1,000+
500-750
750-1,000
Cumulative Loan Size
300-400
250-300
200-250
110 - 120
150-200
0.0% 100-150
0.0% 120+
20.0%
100 - 110
20.0%
90 - 100
40.0%
80 - 90
40.0%
70 - 80
60.0%
60 - 70
60.0%
50 - 60
80.0%
40 - 50
80.0%
30 - 40
100.0%
20 - 30
100.0%
10 - 20
120.0%
< 10
120.0%
Charge Off To Rated Notes Loss On Sale Loss Covered By Excess Spread
May-09
Loan Size Distribution Cumulative Loan Size
Cumulative LVR
0-100
LVR
400-500
Loan To Value Ratio Distribution
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
0.0
Geographic Distribution
WA 24%
NSW 27%
0.90% 0.80%
Inner City
0.70%
2% Non-Metro 30%
0.60% 0.50%
NT 0%
0.40%
Metro 68%
0.30% 0.20% 0.10% Jun-09
Mar-09
Dec-08
Sep-08
0.00%
VIC 18% TAS 0%
QLD 25%
SA 4%
% of Initial Class Balance
© Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Watch is subject to the full disclaimer on Page iii, Part 1.
Page 160
STANDARD & POOR’S AUSTRALIA Level 45, 120 Collins Street Melbourne VIC 3000 Tel: (61) 3-9631-2000 Level 27, 259 George Street Sydney NSW 2000 Tel: (61) 2-9255-9888 Client Services: (61) 1300-792-553 www.standardandpoors.com.au