Regulatory Guide 45 Product Disclosure under ASIC

Transcription

1 Regulatory Guide 45 Product Disclosure under ASIC The following table provides an update on the benchmarks set by the Australian Securities and Investments Commission in Regulatory Guide 45: Mortgage Schemes Improving Disclosure for Retail Investors and explains the extent to which Trilogy Funds Management Limited as Responsible Entity of the Pacific First Mortgage Fund (Responsible Entity and Scheme, respectively) and Balmain Trilogy Investment Management Pty Limited as trustee for the Balmain Trilogy Investment Management Unit Trust as Investment Manager of the Scheme (Investment Manager) satisfy them. This disclosure is current as at 31 March Disclosure Principle 1: Liquidity Disclose information about: a. the current and future prospects of liquidity of the scheme; b. Any significant risk factors that may affect the liquidity of the scheme; and c. The policy of the scheme on balancing the maturity of its assets with the maturity of its liabilities. The Directors of City Pacific Limited (Receivers and Managers Appointed) (In Liquidation), former responsible entity of the Scheme (Former Responsible Entity), resolved on 13 October 2008 that the Scheme was a non-liquid registered managed investment scheme in accordance with the Constitution of the Scheme (Constitution) and the Corporations Act 2001 (Corporations Act). Given the non-liquid designation of the Scheme, this disclosure is not applicable. 1 Please note that all financial data is current as at 31 March 2015 (unless explicitly stated otherwise herein). Regulatory Guide 45 Disclosure 1

2 48.75 Disclose: Disclose: Disclosure Principle 2: Scheme Borrowing a. For borrowings due in less than two years the total debts due and their maturity profile, undrawn credit facility and whether refinancing or sale of assets is likely during this period; b. For borrowings due in between two and five years the total debts due and their maturity profile for each 12-month period and undrawn credit facility; c. For borrowings due after five years the total debts due; d. Why the Responsible Entity has borrowed the money, including whether the borrowed funds will be used to fund distributions or withdrawal requests; e. Any material loan covenant breaches; f. The fact that amounts owing to lenders and other creditors of the scheme rank before an investor s interests in the scheme; and g. The risks associated with the scheme s borrowing and credit facility maturity profile. a. The existence and details of any current interest rate and foreign exchange hedging policies of the Responsible Entity; b. Whether the scheme s variable interest rate and / or foreign exchange exposure conforms to these policies. a. The Scheme s finance facility with the Commonwealth Bank of Australia (Facility and Financier, respectively) was repaid in full on 25 July Therefore, the Fund has no borrowing arrangements in place (drawn or undrawn). b. Not applicable the Scheme has no borrowings. c. Not applicable the Scheme has no borrowings. d. The Former Responsible Entity entered into the original Facility with the Financier in March 2005 to meet cash flow requirements, including paying the Scheme s expenses and progress draws to its borrowers in accordance with the various loan facilities. e. No loan covenant breaches subsist. f. Not applicable the Scheme has no borrowings. g. Not applicable the Scheme has no borrowings. a. Not applicable - the Scheme does not retain any interest rate or foreign exchange hedging products or exposures. b. Not applicable (see above). Regulatory Guide 45 Disclosure 2

3 Disclosure Principle 3: Loan portfolio and diversification For pooled mortgage schemes, disclose: a. By number and value: i. Loans by class of activity (e.g. development or construction projects, industrial, commercial, retail, residential, specialised property and reverse mortgages); ii. Loans by geographic region; iii. The proportion of loans that are in default or arrears for more than 30 days; iv. The nature of the security for loans made by the scheme (e.g. first or second ranking); v. Loans that have been approved but have funds that have yet to be advanced and the funding arrangements in place for any of these undrawn loan commitments; vi. The maturity profile of all loans in increments of not more than 12 months; vii. Loan-to-valuation ratios for loans, in percentage ranges; viii. Interest rates on loans, in percentage ranges; and ix. Loans where interest has been capitalised. b. The proportion of the total loan money that has been lent to the largest borrower and the 10 largest borrowers; c. The percentage of loans (by value) that are secured by second-ranking mortgages; d. The use of derivatives (if any); e. A clear description of the non-mortgage assets of the scheme, including the value of such assets; and f. The scheme s diversification policy and how the assets correlate with that policy. See Annexure A hereto for details concerning the Scheme s mortgage exposures. v. as at 31 March 2015, no loans have been formally approved; f. Regarding the Scheme s diversification policy, as it is now in wind-up mode, with the underlying mortgage assets being progressively sold to return capital to Members, diversification of assets is no longer applicable. Regulatory Guide 45 Disclosure 3

4 45.81 Disclose: a. The maximum loan amount for any one borrower; b. The method of assessing borrowers capacity to service loans; c. The Responsible Entity s policy on revaluing security properties when a loan is rolled over or renewed; and d. The Responsible Entity s approach to taking security on lending by the scheme (e.g. the types of security it takes and in what circumstances, and whether the security must be income producing Disclose if the scheme invests in, or may invest in, other unlisted mortgages schemes (whether registered or unregistered) and the policy on investing in those schemes, including the extent to which there is a requirement for those schemes to meet the benchmarks and apply the disclosure principles. The Investment Manager adheres to specific lending criteria that are governed by an internal Credit Policy. The current profile of the Scheme s portfolio (as detailed in Annexure A) consists primarily of non-performing loans which are in significant arrears. This has resulted in the contravention of several policy guidelines in the context of loan to value ratios and individual exposure limits. The Investment Manager is actively managing the portfolio to ensure the risks associated with these exposures are mitigated. The Scheme s Credit Policy stipulates, amongst other things, that: a. the maximum loan to any one borrower is 20% of the total assets of the Scheme; b. a borrower s capacity to service loans must be assessed through the servicing capability of the borrower and the feasibility of the project; c. security properties be revalued prior to each loan rollover in accordance with the valuation requirements detailed in the valuation policy (further detailed in Disclosure Principle 5); and d. in most instances, other types of security have been taken in addition to the primary real property security to provide additional protection to the Scheme in the event of default, such as company charges and corporate and personal guarantees. It is not a requirement of the Scheme that the security property be income-producing. As at 31 March 2015, all 6 loans remaining in the Scheme have a first ranking mortgage over property assets situated within specified states and territories in Australia. For the purposes of this disclosure, the 6 loan files comprise those loans which have real property remaining as security. The Scheme does not invest in any other managed investment schemes nor intends to do so. Regulatory Guide 45 Disclosure 4

5 Disclosure Principle 4: Related Party Transactions Disclose the following: a. The value of the financial benefit; b. The nature of the relationship; c. Whether the arrangement is on arm s length terms and is reasonable remuneration; d. Whether member approval for the transaction has been sought and, if so, when; e. The risks associated with the related party arrangements; and f. The policies and procedures that the responsible entity has in place for entering into related party transactions, including how compliance with these policies and procedures is monitored. a. According to the Constitution, the Responsible Entity (designated as Manager therein) is entitled to a management fee of 1.5% per annum (plus GST) of the Gross Asset Value of the Scheme (comprised of impaired mortgage assets and cash) payable in instalments, calculated and payable monthly in arrears. According to clause 21.3 of the Constitution, the Responsible Entity will be paid or reimbursed on a full indemnity basis out of the mortgage assets of the Scheme in respect of all expenses and liabilities which the Responsible Entity may incur in connection with the Scheme or in performing its obligations or exercising its powers under the Constitution. There are no other related party transactions in connection with the Scheme. b. A meeting of the Members was held on 25 June 2009, at which a vote on a resolution to replace the Former Responsible Entity with the Responsible Entity was carried by a majority of Members (which appointment was formalised on 7 July 2009). By reason of that change and by virtue of section 601 FT of the Corporations Act, the Responsible Entity became party to all documents to which the Former Responsible Entity in its capacity as responsible entity of the Scheme was a party. c. Pursuant to Supplemental Deed Amending the Constitution of the Pacific First Mortgage Fund of 6 August 2009 (Supplemental Deed), the Responsible Entity amended clause 21.1(a) of the Constitution, which had the effect of lowering its fees to 1.5% (plus GST) in accordance with paragraph a (above). d. Clause 20.1(b) of the Constitution provides that it may be modified, repealed or replaced if the Responsible Entity reasonably believes the change will not adversely affect Members rights and Members are informed of the proposed change 30 days prior to the changes being made. Section 601GC(1)(b) of the Corporations Act provides that the constitution of a registered scheme may be modified by the responsible entity of the scheme if it reasonably considers that the change will not adversely affect Members rights. The Responsible Entity, by executing the Supplemental Deed, acknowledged that it reasonably believed that its provisions did not adversely affect the interests of the Members and confirmed that Members were informed of the proposed changes 30 days before the date of the Supplemental Deed in the Notice of Meeting and Explanatory Memorandum dated 20 May e. Not applicable. Related party fees have been set in accordance with the Constitution. f. The Responsible Entity has not and will not enter into any related party transactions in respect of the Scheme. Regulatory Guide 45 Disclosure 5

6 45.91 Disclose: Disclosure Principle 5: Valuation Policy a. Where investors may access the scheme s valuation policy; b. The processes that the directors employ to form a view on the value of the security property; c. The frequency of valuations of security property; and d. Any material inconsistencies between any current valuation over the security property and the scheme s valuation policy. a. The Replacement Compliance Plan for the Scheme adopted by the Responsible Entity on 20 November 2013 (Compliance Plan) governs the Scheme s valuation procedures in relation to the provision of finance secured by real property. Specifically, Rule 21.4 aims to ensure timely and prudent lending decisions and mitigate the risks of adverse fluctuations in the value of securities underpinning the loans, which may result in a loss; it prescribes the following regime: The Manager Structured Finance must confirm in writing that the valuation procedures include the following and are adhered to: o o o o o o loans will only be advanced if supported by a valuation of secured property which is not more than 4 months old from approval date of the loan; valuations will be conducted by a registered independent valuer; the Manager must maintain a panel of valuers; the Investment Manager ensures that no one valuer conducts more than 1/3 of the valuation work calculated on the value of the security properties; the Investment Manager ensures that no one valuer may undertake more than 3 consecutive valuation in respect of the same Mortgaged Property, other than for development and construction loans; and secured properties are valued at market value. The Manager Structured Finance must confirm in writing that a copy of the valuation report is kept with the records of the Scheme. b. To determine market fair value, directors employ a process which takes into account a number of factors, including a discounted cash flow or hypothetical valuation calculation reflecting projected recoveries from and effluxion of time until mortgage asset disposals. A numbers of assumptions are made, including consumer price index, outgoing escalations, disposal costs and capitalisation rates. Prior to adopting these assumptions, a review of market conditions is undertaken, which includes an analysis of supply & demand, comparable sales rates & prices, market depth & transaction volumes, etc. The collection of market data is carried out by way of discussions with valuers and real estate consultants, as well as perusal of applicable research publications. c. As per Rule 21.4 of the Compliance Plan, valuations of real property and other property forming security must be undertaken at least once every three years or at such times as considered appropriate by the Responsible Entity or the Investment Manager. d. Not applicable. Regulatory Guide 45 Disclosure 6

7 45.94 Disclose: Disclosure Principle 6: Lending Principles Loan-to-Valuation Ratios a. The maximum and weighted average loanto-valuation ratios for the scheme as at the date of reporting; and b. Where funds are lent for property development: Disclose: i. The criteria against which the funds are drawn down; ii. The percentage (by value) of the completion of any property that is under development as at the date of reporting; and iii. The loan-to-cost ratio of each property development loan as at the date of reporting. a. The percentage of the scheme s assets that are property development loans; b. If property development loans exceed 20% of the scheme s assets, the Responsible Entity should identify the scheme as one that invests a significant component of funds in property development loans; c. If the loan-to-cost ratio of any property development loan exceeds 75%; and d. If (c) above exceeds 75%, disclose how and when funds are provided to developers. Disclosure Principle 7: Distribution Practices Disclose: a. The source of the current and forecast distributions (e.g. from income earned in the relevant distribution period, operating cash flow, financing facility, capital, application money); b. If the distribution is not solely sourced form income received in the relevant distribution period, the reasons for making those distributions and the risks associated with such distributions; c. If the distribution is sourced other than from income, whether this is sustainable over the next 12 months; and d. When the Responsible Entity will pay distributions and the frequency of payment of distributions. a. See Annexure A hereto for details concerning the Scheme s mortgage exposures. b. No new lending has been provided by the Responsible Entity. See Annexure A hereto for details. The Former Responsible Entity suspended payment of income distributions to Members in July Subsequently, as stipulated in Disclosure Principle 1 (above), the Scheme was declared a non-liquid registered managed investment scheme by the Directors of the Former Responsible Entity on 13 October 2008, ergo: a. there are no income distributions being paid by the Scheme; b. not applicable; c. not applicable; and d. per above, there are no income distributions being paid by the Scheme. Regulatory Guide 45 Disclosure 7

8 If the scheme promotes a particular return on investments, disclose details of the circumstances in which a lower return may be payable, together with details of how that lower return will be determined a. Include a table identifying up to five main factors that would have the most material impact on forecast distributions, the risks of changes to those factors on distributions and a sensitivity analysis based on changes to those factors Disclose: b. Also explain how any excess returns actually earned by the scheme will be applied. Disclosure Principle 8: Withdrawal Arrangements a. The schemes withdrawal policy and any rights that the Responsible Entity has to change the policy; b. The ability of investors to withdraw from the scheme when it is liquid; c. The ability of investors to withdraw from the scheme when it is non-liquid; d. Any significant risk factors or limitations that may affect the ability of investors to withdraw from the scheme; e. How investors can exercise their withdrawal rights, including any conditions on exercising these rights; f. The approach to rollovers and renewals, including whether the default is that investments in the scheme are automatically rolled over or renewed; g. If the withdrawals from the scheme are to be funded from an external liquidity facility, the material terms of this facility, including any rights the provider has to suspend or cancel the facility; h. The maximum withdrawal period that applies to the payment of withdrawal requests when the scheme is liquid; i. Any rights the Responsible Entity has to refuse or suspend withdrawal requests; and j. The policy of the scheme on balancing the maturity of its assets with the maturity of its liabilities and the ability of its members to withdraw (e.g. if a scheme has a policy of ensuring that sufficient assets are held in readily realisable investments to meet future withdrawal requests, the Responsible Entity should state this in the PDS, provide details of the source of the realisable investment and report against this in its ongoing disclosure). The Scheme is a non-liquid scheme and therefore no distributions are being paid (per above). The Scheme is a non-liquid scheme and therefore no distributions are being paid. As a consequence of the Scheme s classification as a nonliquid registered managed investment scheme in October 2008, redemption requests existing at the time were extinguished and no subsequent redemption requests were approved other than in accordance with the Scheme s Hardship Program (currently suspended). Regulatory Guide 45 Disclosure 8

9 If the Responsible Entity makes representations to investors that they can withdraw from the scheme, disclose: a. The grounds (which must be verifiable) for the statement; b. The supporting assumptions (which must not be hypothetical only) for the statement; c. The basis for the statement (which must not be based only on an opinion of the directors of the Responsible Entity if there are no objective grounds to support that opinion); and d. Any specific risk factors that mean that withdrawal requests might not be satisfied within the expected period If the PDS contains a statement to the effect that, historically, withdrawal requests have been satisfied within a particular period, this may suggest a link between historical withdrawal periods and withdrawal periods that are likely to apply in the future. The Responsible Entity should ensure the statement clarifies that investors should not conclude that there is such a link between the historical availability of withdrawals and their future availability If the scheme promotes a fixed redemption unit price for investments (e.g. $1 per unit), the Responsible Entity must clearly disclose details of the circumstances in which a lower amount may be payable, details of how that amount will be determined and the impact of a default under the scheme s mortgage assets on investors (e.g. on investor distributions and the unit price). The Scheme is a non-liquid registered managed investment scheme and Members ability to withdraw therefrom is therefore suspended. The Responsible Entity keeps investors regularly abreast of the status of the Fund s Hardship Program (currently suspended). Not applicable. There is no such statement in the Scheme s PDS. The Scheme is a non-liquid scheme and therefore no units can be redeemed. Units previously redeemed pursuant to the Scheme s Hardship Policy (currently suspended) were redeemed at the prevailing net asset value per unit. As detailed in the Financial Report for the year ended 30 June 2014 (Accounts), the net asset value per unit is $0.08. Other than hardship redemptions (currently suspended), the constitution only allows for units to be redeemed at fixed price of $1 per unit. Regulatory Guide 45 Disclosure 9

10 Benchmark 1: Liquidity The Responsible Entity has cash flow estimates that: a. Demonstrate the scheme s capacity to meet its expenses, liabilities and other cash flow needs for the next 12 months; b. Are updated at least every three months and reflect any material changes; and c. Are approved by the directors of the responsible entity at least every three months. Benchmark 2: Scheme Borrowing The Responsible Entity does not have current borrowing and does not intend to borrow on behalf of the scheme. The Responsible Entity satisfies this Benchmark The Investment Manager appointed to manage the assets of the Scheme: a. Maintains and regularly updates cash flow estimates for the Scheme for the next twelve months and forecasts that it will have sufficient cash (or cash equivalents) to meet its projected cash needs over the next twelve months; b. Updates cash flow estimates at least every three months to reflect any material changes; and c. Presents the cash flow estimates to the Board for approval every three months. The Responsible Entity does not satisfy this Benchmark Per above, the Scheme has no current borrowings. Regulatory Guide 45 Disclosure 10

11 Benchmark 3: Loan Portfolio and Diversification For a pooled mortgage scheme: a. The scheme holds a portfolio of assets diversified by size, borrower, class of borrower activity and geographic region; b. The scheme has no single asset in the scheme portfolio that exceeds 5% of the total scheme assets; c. The scheme has no single borrower who exceeds 5% of the scheme assets; and d. All loans made by the scheme are secured by first mortgages over real property (including registered leasehold title). The Responsible Entity does not satisfy this Benchmark a. Refer to Annexure A hereto. b. Assets exceeding 5% of the Scheme s total gross assets: GROSS ASSET VALUE ($) % OF TOTAL GROSS ASSETS 11,546, % 12,947, % 15,449, % 22,100, % 62,042, % c. Borrowers exceeding 5% of the Scheme s total impaired mortgage: IMPAIRED LOAN VALUE ($) % OF IMPAIRED MORTGAGES 2,698, % 9,200, % 11,049, % 6,862, % 18,672, % 48,483, % d. All loans made by the scheme are secured by first mortgages over real property. Benchmark 4: Related Party Transactions The responsible entity does not lend to related parties of the responsible entity or to the scheme s investment manager. The Responsible Entity satisfies this Benchmark The Former Responsible Entity has advanced various loans to related parties prior to being replaced by the Responsible Entity on 7 July The Responsible Entity has not lent to parties related to it or the Investment Manager and maintains a strict policy against lending to related entities. Regulatory Guide 45 Disclosure 11

12 Benchmark 5: Valuation Policy In relation to valuations for the scheme s mortgage assets and their security property, the board of the responsible entity requires; a. A valuer to be a member of an appropriate professional body in the jurisdiction in which the relevant property is located; b. A valuer to be independent; c. Procedures to be followed for dealing with any conflict of interest; d. The rotation and diversity of valuers; e. In relation to security property for a loan, an independent valuation to be obtained: i. Before the issue of a loan and on renewal: A. For development property, on both an as is and as if complete basis; and B. For all other property, on an as is basis: and ii. Within two months after the directors form a view that there is a likelihood that a decrease in the value of security property may have caused a material breach of loan covenant. Benchmark 6: Lending Principles Loan-to-Valuation Ratios If the scheme directly holds mortgage assets: a. Where the loan relates to property development funds are provided to the borrower in stages based on independent evidence of the progress of the development; b. Where the loan relates to property development the scheme does not lend more than 70% on the basis of the latest as if complete valuation of property over which security is provided; and c. In all other cases the scheme does not lend more than 80% on the basis of the latest market valuation of property over which security is provided. The Responsible Entity satisfies this Benchmark The Board of the Responsible Entity requires: a. A valuer to be a member of an appropriate professional body in the jurisdiction in which the relevant property is located; b. A valuer to be independent; c. Procedures to be followed for dealing with any conflict of interest; d. The rotation and diversity of valuers; and e. In relation to security property for a loan: i. i. not applicable. No new lending has been provided by the Responsible Entity; and ii. within two months after the directors form a view that there is a likelihood that a decrease in the value of security property may have caused a material breach of loan covenant. The Responsible Entity satisfies this Benchmark Following the realisation of its investment property on 14 September 2012, the Scheme no longer directly holds any real property assets. a. Not applicable. No new lending has been provided by the Responsible Entity. b. Not applicable. No new lending has been provided by the Responsible Entity. c. Not applicable. No new lending has been provided by the Responsible Entity. Regulatory Guide 45 Disclosure 12

13 Benchmark 7: Distribution Practices The responsible entity will not pay current distributions from scheme borrowings. Benchmark 8: Withdrawal Arrangements For liquid schemes: a. The maximum period allowed for in the constitution for the payment of withdrawal requests is 90 days or less; b. The responsible entity will pay withdrawal requests within the period allowed for in the constitution; and c. The responsible entity only permits members to withdraw at any time on request if at least 80% (by value) of the scheme s property is: i. Money in an account or on deposit with a bank and is available for withdrawal immediately, or otherwise on expiry of a fixed term not exceeding 90 days, during the normal business hours of the bank; or ii. Assets that the responsible entity can reasonably expect to realise for market value within 10 business days For non-liquid schemes, the responsible entity intends to make withdrawal offers to investors at least quarterly. The Responsible Entity satisfies this Benchmark The Responsible Entity does not and will not pay current income distributions from scheme borrowings (of which there are none following repayment of the Facility on 25 July 2013). The Responsible Entity does not satisfy this Benchmark The Scheme is a non-liquid registered managed investment scheme. The Responsible Entity does not intend to make withdrawal offers to investors. Regulatory Guide 45 Disclosure 13

14 Annexure A A) CLASS OF ACTIVITY SECTOR IMPAIRED VALUE % OF TOTAL IMPAIRED VALUE NUMBER OF LOANS % OF TOTAL REMAINING LOANS Commercial $11,049,471 23% 1 20% Residential $18,672,397 39% 1 20% Vacant Land $18,761,268 39% 4 60% Grand Total $48,483, % 6 100% B) GEOGRAPHIC REGION STATE IMPAIRED VALUE % OF TOTAL IMPAIRED VALUE NUMBER OF LOANS % OF TOTAL REMAINING LOANS QLD $18,672,398 39% 1 20% VIC - Martha Cove $29,810,738 61% 5 80% VIC - Other $0 0% 0 0% Grand Total $48,483, % 6 100% C) LOANS IN DEFAULT OR ARREARS LOANS IN DEFAULT NUMBER OF LOANS IMPAIRED BALANCE % OF PORTFOLIO (BY VALUE) Performing 0 $0 0% In Default 6 $48,483, % Grand Total 6 $48,483, % D) NATURE OF THE SECURITY FOR LOANS NATURE OF SECURITY TOTAL IMPAIRED BALANCE % OF IMPAIRED BALANCE NUMBER OF LOANS % OF TOTAL REMAINING LOANS 1st Ranking Mortgage $48,483, % 6 100% Grand Total $48,483, % 6 100% E) LARGEST BORROWER AND THE LARGEST 10 BORROWERS LARGEST BORROWERS LOAN VALUE % OF LOAN PORTFOLIO Top 10 Borrowers $48,483, % Largest Borrower $18,672,398 39% F) UNDRAWN LOAN COMMITMENTS Nil to report G) MATURITY PROFILE OF ALL LOANS NUMBER OF LOANS LOAN VALUE % OF TOTAL REMAINING LOANS Past due 5 $45,784,260 83% 1-2 Years 1 $2,698,876 17% Total 6 $48,483, % Regulatory Guide 45 Disclosure 14

15 H) LVR FOR LOANS IN PERCENTAGE RANGES (PLEASE NOTE THE LVR TABLE IS BASED ON THE IMPAIRED BOOK VALUES) LVR RANGE NO. OF LOANS LOAN VALUE % OF IMPAIRED BALANCES (BY VALUE) Less than 50% 2 $6,862,114 33% Loans between 71%-80% of security value 1 $9,200,278 17% Loans between 81%-90% of security value 3 $32,420,744 50% Grand Total 6 $48,483, % I) INTEREST RATES ON LOANS, IN PERCENTAGE NO. OF LOANS LOAN VALUE 12.00% 1 $2,698, % 5 $45,784, % 0 $0 TOTAL 6 $48,483,136 J) LOANS WHERE INTEREST HAS BEEN CAPITALISED NO. OF LOANS LOAN VALUE Interest has been capitalised 6 $48,483,136 Interest paid 0 $0 Total 6 $48,483,136 K) DERIVATIVES Derivatives are not used in the Fund L) NON LOAN ASSETS OTHER ASSETS VALUE Cash and Cash Equivalents $6,153,076 Total $6,153,076 M) LVR METRICS FUND Maximum LVR 88.3% Weighted Average LVR 78.3% N) DELINQUENCY STATUS TOTAL IMPAIRED BALANCE % OF IMPAIRED BALANCE NUMBER OF LOANS % OF TOTAL REMAINING LOANS Performing 0 0% 0 0% In Default 48,483, % 6 100% Grand Total $48,483, % 6 100% Regulatory Guide 45 Disclosure BTI