ABA Trust Preliminary Ratings As Of June 19, 2017

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1 Presale: ABA Trust This presale report is based on information as of June 19, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings As Of June 19, 2017 Class Preliminary Ratings Preliminary Amount (A$ mil.) Credit support before credit is given to mortgage insurance (%) Credit support after credit is given to mortgage insurance (%) Credit support provided (%) A AAA (sf) AB AAA (sf) B AA (sf) C A (sf) D NR 1.00 N/A N/A N/A Note: The rating on each class of notes is preliminary and subject to change at any time. N/A--Not applicable.nr--not rated. Profile Expected closing date Final maturity date Collateral Structure type Issuer and Trustee June 2017 The payment date in January 2049 Fully amortizing and interest-only reverting to fully amortizing Australian-dollar loans to prime-quality borrowers, maturing no later than 18 months before the final maturity date, secured by first-registered mortgages over Australian residential properties. Prime residential mortgage-backed, pass-through securities Perpetual Corporate Trust Ltd. as trustee for ABA Trust Primary Credit Analyst: Calvin C Leong, Melbourne (61) ; calvin.leong@spglobal.com Secondary Contact: Luke Elder, Melbourne (61) ; luke.elder@spglobal.com See complete contact list on last page(s) JUNE 18,

2 Profile (cont.) Originator and Servicer Security trustee Manager and Custodian Primary credit enhancement Auswide Bank Ltd. P.T. Ltd. WidCap Securities Pty Ltd. Note subordination, lenders' mortgage insurance on 100% of the loans in the portfolio, and excess spread, if any will be used to offset losses in priority to any distribution to the beneficiary and to build an excess reserve to cover any yield shortfalls or losses from the first call-option date onward. Lenders' mortgage insurance covers 100% of the principal balance on the insured loans, plus accrued interest and reasonable costs of enforcement. Supporting Ratings Interest-rate swap provider and bank account provider Lenders' mortgage insurer Australia and New Zealand Banking Group Ltd. QBE Lenders' Mortgage Insurance Ltd. Loan Pool Statistics As Of May 31, 2017 Total number of loans 1,214 Total value of loans (A$) 296,999,477 Current maximum loan size (A$) 1,230,880 Average loan size (A$) 244,645 Maximum current loan-to-value (LTV) ratio (%) Weighted-average current LTV ratio (%) 65.1 Weighted-average loan seasoning (months) 48.4 Note: All portfolio statistics are calculated on a consolidated basis. Rationale S&P Global Ratings has assigned preliminary ratings to the prime floating-rate residential mortgage-backed securities (RMBS) to be issued by Perpetual Corporate Trust Ltd. as trustee for ABA Trust The preliminary ratings reflect the following factors. The credit risk of the underlying collateral portfolio (discussed in more detail under "Credit Assessment") and the credit support provided to each class of rated notes are commensurate with the ratings assigned. Subordination and lenders' mortgage insurance (LMI) cover for the rated notes provide credit support. The credit support provided to the rated notes is sufficient to cover the assumed losses at the applicable rating stress. Our assessment of credit risk takes into account the underwriting standards and approval process of Auswide Bank Ltd. (Auswide), which are consistent with industrywide practices, the servicing quality of Auswide (discussed in more detail under "Origination And Servicing"), and the support provided by the LMI policies on all the loans in the portfolio. The LMI policies on the insured loans provide 100% cover for the outstanding principal of each insured loan, accrued interest, and reasonable selling costs. The rated notes can meet timely payment of interest and ultimate payment of principal under the rating stresses. Key rating factors are the level of subordination provided, the LMI cover, the interest-rate swap, the mechanism for trapping excess spread into an excess revenue reserve, the provision of a liquidity reserve, the principal draw function, JUNE 18,

3 and the provision of an extraordinary expenses reserve--funded by Auswide at closing to cover extraordinary expenses--sized at a level consistent with the ratings. All rating stresses are made on the basis that the trust does not call the notes at or beyond the call-option date, and that all rated notes must be fully redeemed via the principal waterfall mechanism under the transaction documents. Our ratings also take into account the counterparty exposure to Australia and New Zealand Banking Group Ltd. (ANZ) as interest-rate swap provider and bank account provider. Some 20.1% of the portfolio comprises loans for which the interest rate is fixed for up to three years. The interest-rate swap has been provided to hedge the mismatch between the fixed-rate receipts on the fixed-rate loans and the floating-rate interest payable on the notes (discussed in more details under "Interest-Rate Risk"). The transaction documents for the swap include downgrade language consistent with S&P Global Ratings' counterparty criteria. We also have factored into our ratings the legal structure of the trust, which is established as a special-purpose entity and meets our criteria for insolvency remoteness. Strengths And Weaknesses Strengths We have observed the following strengths in the transaction: For the class A notes, the 10.00% credit support provided by the subordinated class AB notes, class B notes, class C notes, and class D notes. The credit support provided to the class A notes exceeds S&P Global Ratings' credit enhancement at the 'AAA (sf)' rating level, both before and after credit is given to LMI. For the class AB notes, class B notes, and class C notes, the credit support provided by the subordination of notes that ranks below them in seniority marginally exceeds S&P Global Ratings' credit support at the 'AAA (sf)', 'AA (sf)', and 'A (sf)' levels after credit is given to LMI, providing a buffer for a one-notch downgrade of the insurer. The weighted-average seasoning of the loans is 48.4 months. Seasoned loans are less likely to default, given borrowers have a proven history of being able to afford loan repayments. S&P Global Ratings decreases the probability of default for loans that are seasoned by more than five years. Weaknesses Weaknesses identified with respect to the transaction are: Yield strain will occur in this transaction because the weighted-average coupon payable on the notes increases as the senior notes repay. In our cash-flow analysis, we assumed the servicer's ability to increase the asset margin is limited to a maximum of 50 basis points (bps) on the variable-rate mortgage loans. We also considered the impact on the cash flow of the swaps in place, and the availability of excess spread trapping into a reserve (excess revenue reserve). In addition, there is a restriction on the use of excess revenue reserve, principal draws, and liquidity draws for the class B notes and class C notes when there is a charge off to these notes. The pool has a 58.3% exposure to security properties located in nonmetropolitan areas. S&P Global Ratings applies a pool penalty to default frequency when the exposure to nonmetropolitan properties is more than 10%, and assumes a longer recovery period, following default, of 18 months on all nonmetropolitan properties to reflect the weaker employment trends and a longer selling period that tend to occur in nonmetropolitan areas. Loans made for refinance with equity takeout or refinance for debt consolidation make up 40.6% of the portfolio. S&P Global Ratings views products in which a borrowing is against the build-up of equity in a property as being JUNE 18,

4 more risky and adjusts the default frequency of these loans accordingly. The underlying collateral pool is geographically concentrated, with 71.2% of security properties located in Queensland. S&P Global Ratings applies a pool penalty where the proportion of loans in Queensland exceeds 40%. Transaction Structure The structure of the transaction is shown in chart 1. Chart 1 We understand that transaction counsel will lodge the relevant financing statements on the Personal Property Securities Register in connection with the security interest. JUNE 18,

5 Note Terms And Conditions Interest payments All classes of rated notes are rated on a "timely interest and ultimate principal" basis. All classes of notes are floating-rate, pass-through securities, paying a margin over the one-month bank-bill swap rate. Interest on the class A, class AB, class B, and class C notes will be payable based on the invested amount of the notes. The margins on the class A and class AB notes will step up by 0.25% from the call-option date onward. Interest payments are made sequentially to each class of notes. Liquidity support is available for all classes of notes, except for the class D notes. However, liquidity support for class B and class C notes will cut off if the stated amount of that class is equal to or less than 95% of its invested amount (see "liquidity assessment" below). Prior to the call option date, interest on the unrated class D notes is payable based on a senior margin. From the call option date onward, the senior margin will step down, and the amount by which the senior margin steps down by will become a junior margin. The junior margin is payable subordinated in the interest waterfall. In addition, a residual interest amount will be payable on the class D notes. The residual interest amount is equal to the senior and junior margins, multiplied by the difference between the invested amount and stated amount of the class D notes. The residual interest amount is also payable subordinated in the interest waterfall. Principal allocation Principal collections--after application of principal draws, if necessary, to cover any income shortfalls or to fund redraws--will be passed through to noteholders on a sequential-payment basis. The transaction can convert to a pro-rata payment structure, in which principal would be passed through to each noteholder (see "Pro-Rata Paydown Triggers" for more detail), if the step-down tests are met. When the step-down tests are met, all classes of notes rank pari passu for principal allocation. Should these tests not be met, principal collections are passed through to each class of notes sequentially. Given the pass-through nature of the notes, the actual date on which the principal amount of the notes will be fully repaid will be determined by the actual prepayment rate experience on the loan portfolio. As a result, the risk of mortgage prepayments is borne by the noteholders. Chart 2 shows the annualized prepayment speeds of the loan portfolios securitized under the Auswide program against Standard & Poor's Prepayment Index (SPPI), which is a measure of prepayment rates for Australian prime RMBS. The prepayment speeds encompass the unscheduled principal payments on the mortgage loans. JUNE 18,

6 Chart 2 Loss allocation After firstly allocating any losses to the excess revenue reserve, losses are allocated to the class D notes, followed by the class C notes, then class B notes, then class AB notes, then class A notes. Any reimbursement of losses would occur in the reverse order to the classes of notes. Call-option date The manager may elect to call the notes after the payment date on which the outstanding balance of the housing loans is less than or equal to 10% of the initial aggregate outstanding balance of the housing loans. If the notes are not called on the call-option date, the margin on the class A and class AB notes will increase by 0.25% annually each, and the senior margin on the class D notes will step down. Pro-rata paydown triggers Provided the step-down tests have been satisfied, principal repayments will occur on a pro-rata basis among all classes of notes. The triggers to allow pro-rata paydown are: The payment date falls on or after the second anniversary of the transaction's closing date; Credit support for the class A notes is equal to or greater than 20.0%; Credit support for the class AB notes is equal to or greater than 8.7%; JUNE 18,

7 The stated amount of the class D notes is not less than its invested amount; The payment date is not on or after the first call-option date; and Four months' average arrears greater than 30 days must not exceed 4% of the aggregate outstanding loan amounts, and four months' average arrears greater than 60 days must not exceed 2% of the aggregate outstanding loan amounts. Reliance On Lenders' Mortgage Insurance All mortgage loans are insured by either a primary or pool LMI policy provided by a rated mortgage insurer. Auswide Bank generally mortgage insures loans under a primary LMI policy when the LTV ratio is more than 80%. Any mortgage loan not covered by a primary LMI policy will be insured under a pool LMI policy provided by QBE Lenders' Mortgage Insurance Ltd. (QBE). The LMI policies cover the outstanding mortgage loan principal, accrued interest, and any reasonable enforcement expenses on the defaulted mortgage loans. The rights under the primary LMI policies will be assigned to the trustee on the closing date. The policies contain terms and conditions that allow the insurer to reduce or deny a claim in certain circumstances. If a claim is reduced and results in a loss to the trust, then the issuer might be able to offset that loss by applying excess spread to cover those losses before making any distribution to beneficiaries. Under our "Methodology For Assessing Mortgage Insurance And Similar Guarantees And Supports In Structured And Public Sector Finance And Covered Bonds" criteria, published on Dec. 7, 2014, the overall amount of credit given to LMI is the product of the stated coverage of the LMI policy, the insurer's estimated capacity to pay for a given rating scenario, and the estimated claims payout ratio for a given issuer. To adjust for the insurer's capacity to pay, S&P Global Ratings will look to the LMI provider's issuer credit rating. When sizing the credit support for the 'AAA (sf)' rated notes, S&P Global Ratings assumes that 45% of claims to 'A+' rated LMI providers will be denied in full. In addition, the estimated claims payout ratio reflects the categorization of Auswide into CA1 due to a minimal level of claims adjustments, clearly documented servicing practices, and detailed procedures adhering to LMI policies and procedures. The claims adjustment rate for CA1 is 10%. Commingling Risk A number of borrowers are contracted to make their payments on the 24th of each month, which increases the risk of commingling. To address this risk, the transaction documents require Auswide to transfer an amount equal to the next month's scheduled principal and interest payments of those borrowers with a common payment date of the 24th of each month, if the rating on Auswide is below 'BBB/A-2'. This is consistent with our counterparty criteria. JUNE 18,

8 Rating-Transition Analysis Scenario analysis: Lenders' mortgage insurance The principal rating-transition risk in most Australian prime RMBS transactions is a downward transition in the rating on one or more of the lenders' mortgage insurers. We consider the rating-transition risk to be low for the 'AAA (sf)' rating on the class A notes. This is because the credit support from the subordination of the class AB, class B, class C, and class D notes exceeds the 'AAA (sf)' level of credit support without credit to LMI, and provides a buffer should the ratings on the LMI providers be lowered. We consider the rating-transition risk for the 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings on the class AB, class B, and class C notes, respectively, to be moderate because the credit support from the subordination of the notes that ranks below them in seniority marginally exceeds the 'AAA (sf)', 'AA (sf)', and 'A (sf)' level of credit support after credit is given to LMI respectively, and provides a degree of protection should the rating on the LMI provider be lowered. However, given the level of credit support provided to the class AB, class B, and class C notes from day one, they are not independent from the rating on the lenders' mortgage insurer. If the step-down tests are not satisfied and principal repayments are made on a sequential basis, then as the collateral portfolio amortizes, the proportion of subordination relative to the senior notes increases, and the class AB, class B, and class C notes' reliance on the lenders' mortgage insurers will decrease. Assuming that there is no deterioration in the portfolio credit quality and performance, table 1 details the level of subordination that would support the current rating on the class AB, class B and class C notes if the rating on QBE were lowered by one notch to 'A' at the current estimated claims payout ratio. Table 1 Rating Sensitivity To Lowering Of Rating On Lenders' Mortgage Insurer QBE rating subject to hypothetical downgrades Subordination required to support 'AAA (sf)' rating on class AB notes (%) Rating transition of class AB notes if no additional support were provided 'A' 4.10 aaa No credit to LMI 6.90 aa- QBE rating subject to hypothetical downgrades Subordination required to support 'AA (sf)' rating on class B notes (%) Rating transition of class B notes if no additional support were provided 'A' 1.71 aa No credit to LMI 4.80 bbb QBE rating subject to hypothetical downgrades Subordination required to support 'A (sf)' rating on class C notes (%) Rating transition of class C notes if no additional support were provided 'A' 0.19 a No credit to LMI 2.96 b- The LMI principal cover is factored into the cash-flow modeling through the loss-severity assumption, and the post-lmi loss severity has been modeled for all classes of notes. The model shows that after recognizing this insurance cover, all principal will be paid to the rated notes under the relevant rating stresses. JUNE 18,

9 Scenario analysis: Property market value decline S&P Global Ratings has performed a scenario analysis to determine the impact on the ratings if property values were to decrease by 10% during a short period of time. After adjusting down property values by 10% and increasing LTV ratios for this impact, we applied the default frequency and loss-severity assumptions to arrive at the implied credit assessments in table 2. Table 2 shows the credit support and the implied credit assessment (credit only) should this scenario occur, and all else remained constant. The implied ratings are taking credit into consideration only, and do not consider any yield or liquidity issues that may be relevant at the time. Table 2 Credit Support And Implied Credit Assessments Under The Scenario Class Credit support pre-lmi (%) Implied credit assessment pre-lmi A 9.87 aaa AB 9.87 a- B 7.01 b C 4.40 Below b- LMI--Lenders' mortgage insurance. S&P Global Ratings believes the other major factors that would drive negative rating changes in this transaction are significant deterioration in asset portfolio performance and a lowering of the rating of the interest-rate swap provider within the transaction. Origination And Servicing Auswide, formerly Wide Bay Australia, became a bank in April Auswide began as Burnett Permanent Building Society in 1996 and merged with Maryborough Permanent Building Society in Auswide amalgamated with the Gympie and NorthCoast Building Society in 1981 and with the Port Curtis Permanent Building Society in In 2008, Auswide acquired Mackay Permanent Building Society and in 2015 merged with Your Credit Union, which has now been fully integrated. Auswide listed on the Australian Stock Exchange in September Based in Bundaberg, Queensland, Auswide has a network of 24 branches throughout the state. The company's principal activities are retail banking services, including residential and commercial mortgage lending. Auswide originates mortgage loans mainly through its branch network and referral sources. The mortgage loan portfolio is concentrated in Queensland, but the introduction of broker-originated business outside Queensland is progressively reducing this concentration. Brokers currently originate approximately 55% of Auswide's loans. Chart 3 illustrates Auswide's RMBS issuance history since JUNE 18,

10 Chart 3 Auswide measures and manages delinquencies using the scheduled-basis arrears method. Under this method, a mortgage loan is only deemed to be delinquent when the actual loan balance exceeds the scheduled balance. Chart 4 compares the level of delinquencies on residential mortgage loans in securitization programs managed by Auswide with the aggregate level of delinquencies on loans collateralizing all rated prime RMBS transactions in Australia. Auswide has typically exhibited arrears levels higher than that of the Standard & Poor's Performance Index (SPIN) for Australian prime mortgages. JUNE 18,

11 Chart 4 Credit Assessment The portfolio consists entirely of full-documentation prime residential mortgage loans. This is a closed pool, which means no additional loans will be assigned to the trust after the closing date. S&P Global Ratings' credit assessment is based on the current balance of the loans. Borrowers can redraw prepaid principal amounts up to the scheduled balance of the loan, subject to Auswide's approval. Further advances are not permitted. S&P Global Ratings has increased the minimum level of credit support for the transaction to reflect borrowers' ability to redraw on their loans. We have assessed the credit quality of the collateral to determine the minimum credit support levels for this transaction. In addition to the key collateral characteristics highlighted under "Strengths And Weaknesses," some of the characteristics that we have considered as strengths are the loan term and the modest weighted-average LTV ratio. Some of the weaknesses in the credit quality of the portfolio are the exposure to self-employed borrowers and loans for investment properties in the pool. In calculating the minimum credit support levels, we compare the characteristics of the portfolio with an archetypical JUNE 18,

12 pool and apply multiples as a way to increase or decrease credit support levels to reflect higher or lower credit risk compared with the characteristics of the archetypical pool. A summary of the default frequency and loss severity of the total portfolio of loans is shown in table 3. Table 4 lists the five main default frequency characteristics that have deviated from the archetypical pool. Table 3 Summary Credit Analysis Total Pool AAA (sf) AA (sf) A (sf) (a) Default frequency (%) (b) Loss severity (%) (c) Credit support required before credit to lenders' mortgage insurance (LMI) (a) x (b) (%) (d) Credit to LMI (%) (e) Credit support required after credit to LMI (c) (d) (%) Assumptions Market value decline (%) Weighted-average recovery period (months) Interest rate through recovery period (%) Table 4 Rating Multiples Criteria Default frequency multiple (x) Location - nonmetropolitan Borrower employment Loan purpose Seasoning Loan term Loan Pool Profile The pool as of May 31, 2017, is summarized in table 5. All portfolio statistics are calculated on a consolidated loan basis. Table 5 Loan Pool Characteristics Value of loans (%) Current loan size distribution (A$) Less than or equal to 100, Greater than 100,000 and less than or equal to 200, Greater than 200,000 and less than or equal to 300, Greater than 300,000 and less than or equal to 400, Greater than 400,000 and less than or equal to 600, Greater than 600,000 and less than or equal to 800, Greater than 800,000 and less than or equal to 1,000, JUNE 18,

13 Table 5 Loan Pool Characteristics (cont.) Value of loans (%) Greater than 1,000, Current loan-to-value ratio distribution (%) Less than or equal to Greater than 50 and less than or equal to Greater than 60 and less than or equal to Greater than 70 and less than or equal to Greater than 80 and less than or equal to Greater than 90 and less than or equal to Geographic distribution (by state) New South Wales and Australian Capital Territory 15.0 Victoria 10.5 Queensland 71.2 Western Australia 1.0 South Australia 0.9 Tasmania and Northern Territory 1.4 Geographic distribution (metro/nonmetro) Inner city 0.3 Metropolitan 41.5 Nonmetropolitan 58.3 Seasoning Less than or equal to six months 4.7 Six months one year years years years years 10.4 Greater than five years 20.0 Principal amortization Fully amortizing 81.7 Interest-only, reverting to fully amortizing 18.3 Ownership type Owner-occupied 76.0 Investment 24.0 Borrower residency Australian resident Nonresident 0.0 Loan documentation Full documentation Mortgage insurers JUNE 18,

14 Table 5 Loan Pool Characteristics (cont.) Value of loans (%) QBE Lenders' Mortgage Insurance Ltd Loan purpose Purchase (new or existing) 56.1 Refinance 0.0 Refinance for equity takeout 40.6 Refinance for debt consolidation 0.0 Other 3.3 Cash-Flow Analysis Our cash-flow analysis shows that the transaction has sufficient income to support timely payment of interest and ultimate repayment of principal to the rated notes under various stress scenarios commensurate with the ratings assigned. Liquidity assessment If there are insufficient interest collections, then liquidity support to meet senior fees, expenses, and interest on the notes, is first provided through the excess revenue reserve (discussed in more detail under "Excess revenue reserve"). An amortizing liquidity reserve, funded by note overissuance, will be available if interest collections and the excess reserve are insufficient. In addition, principal draws will be available if there is a further shortfall. On closing, the liquidity reserve is set to equal to 1.00% of the aggregate invested amount of all notes. The liquidity reserve can amortize to a floor of A$300,000. The reserve will be invested in authorized short-term investments when not used for liquidity purposes. The excess revenue reserve, liquidity reserve draws, and principal draw mechanism will not be available to meet interest shortfalls on the class B or class C notes if the stated amount of that class is equal to or less than 95% of its invested amount. Excess revenue reserve From the call-option date onward, a nonamortizing excess revenue reserve will trap all available excess spread. This reserve will be available to cover senior expenses and interest shortfalls on the rated notes (for class B and class C notes, access to the excess revenue reserve to meet timely interest payments will be cut-off if the stated amount of that class is equal to or less than 95% of its invested amount). The excess revenue reserve will also be available to absorb any losses, prior to allocation of the losses to the classes of notes. Extraordinary expense reserve Auswide will deposit A$150,000 into the extraordinary expense reserve on the closing date of the transaction to cover any extraordinary expenses that might arise. This reserve will be maintained and topped up from excess spread up to A$150,000, where possible, through the life of the transaction. JUNE 18,

15 Interest-rate risk Interest-rate risk between any fixed-rate mortgage loans and the floating-rate obligations on the notes is hedged via interest-rate swap provided by ANZ. The interest-rate swap agreement includes downgrade language that requires the posting of collateral or the replacement of the swap counterparty or other remedy, consistent with our "Counterparty Risk Framework Methodology And Assumptions" criteria, published on June 25, 2013, should the rating of ANZ fall below the applicable level. S&P Global Ratings is satisfied that the income received under the interest-rate swap, the use of the threshold-rate mechanism, and trapping of excess spread into the excess revenue reserve will ensure that there is sufficient yield for the trust to meet its obligations. Cash-flow modeling assumptions Based on our cash-flow analysis and stresses, the rated notes can meet timely interest and ultimate principal repayment by the legal final maturity date. Our cash-flow analysis allows us to test the capacity of the transaction's cash flow to support the rated notes under various stress scenarios, repay principal on the rated notes by their respective legal final maturity date, and to determine whether the liquidity support, which includes the use of principal draws, a liquidity reserve, and the excess revenue reserve available, is sufficient. The key rating stresses and assumptions modeled at each rating level are: Analyzing and modeling the structure of the transaction to include all note balances and margins, trust expenses, liquidity mechanisms within the structure, the priority of payments for income and principal, and loss mechanism, as described in the transaction documents. Default frequency and loss severity commensurate with the ratings on the notes. Timing of defaults. S&P Global Ratings assumes most defaults would likely occur within the first few years of the transaction. We have run three default curve assumptions: a front-end default curve whereby most of the expected losses occur earlier in the first few years of the transaction's life, a base-case default curve, and a back-end default curve whereby losses occur later within the first five years of the transaction's life (table 6). Time to recovery of sale proceeds from defaulted loans. A key driver in the cash-flow model is the time it takes to foreclose and recover monies from the defaulted borrower. We have assumed a recovery period of 17 months. Loan prepayment rates. S&P Global Ratings has considered various prepayment rates when modeling the cash flows of the underlying mortgage loans to assess the impact on the ability of the trust to meet its obligations. S&P Global Ratings has modeled a low, constant, and high prepayment rate. The prepayment stresses assumed are shown in table 7. These rates include voluntary and involuntary (default) prepayments. Modeling the cash flows of the assets based on the characteristics of the underlying collateral pool, and the margin set on all loans. Interest rates, by varying the bank-bill swap rate curves at each rating level. An assumed servicer fee of 0.35%, should it be necessary for Auswide to be replaced as servicer. The sequential and pro-rata principal payment structure of the notes. The threshold-rate mechanism to allow the trustee to meet its payment obligations under the transaction documents. In cash-flow modeling, we recognize a step up in the threshold rate of a total of 50 bps, with 25 bps each on months 36 and JUNE 18,

16 Table 6 Assumed Default Curves Month Front-end default curve (%) Back-end default curve (%) Base-case default curve (%) Table 7 Assumed Constant Prepayment Rates (CPR)* Transaction seasoning Low CPR scenario (% per year) Constant CPR scenario (% per year) High CPR (% per year) Up to month Month 13 to month Month 19 to month After month *Total CPR shown is inclusive of voluntary and involuntary (defaults) prepayments. Legal And Counterparty Risks In our view, the issuer has features consistent with our criteria on special-purpose entities, including the restriction on objects and powers, debt limitations, independence, and separateness. The transaction will have counterparty exposure to ANZ as interest-rate swap provider and as bank account provider. The documentation of these roles as well as the requirements for replacement and posting collateral where appropriate for each role in place are consistent with S&P Global Ratings' counterparty rating criteria. Issuer Disclosure The issuer has informed S&P Global Ratings Australia Pty Ltd. whether the issuer will be publically disclosing all relevant information about the structured finance instruments that are subject to this rating report. Related Criteria And Research Related Criteria Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017 Methodology For Assessing Mortgage Insurance And Similar Guarantees And Supports In Structured And Public Sector Finance And Covered Bonds, Dec. 7, 2014 Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014 Australian RMBS Postcode Classification Assumptions, July 10, 2013 Counterparty Risk Framework Methodology And Assumptions, June 25, JUNE 18,

17 Global Derivative Agreement Criteria, June 24, 2013 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 Australian RMBS Rating Methodology And Assumptions, Sept. 1, 2011 Methodology And Assumptions For Analyzing The Cash Flow And Payment Structures Of Australian and New Zealand RMBS, June 2, 2010 Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Related Research Australia And New Zealand Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, April 17, Outlook Assumptions For The Australian Residential Mortgage Market, Jan. 30, 2017 Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 An Overview Of Australia's Housing Market And Residential Mortgage-Backed Securities, May 30, 2016 Industry Economic And Ratings Outlook: Australian RMBS Fundamentals Reflect A Stable Economic Environment, Sept. 30, 2014 RMBS Performance Watch: Australia, published quarterly RMBS Arrears Statistics: Australia, published monthly Australian Securitization News, published monthly S&P Global Ratings Australia Pty Ltd. holds Australian financial services licence number under the Corporations Act S&P Global Ratings' credit ratings and related research are not intended for and must not be distributed to any person in Australia other than a wholesale client (as defined in Chapter 7 of the Corporations Act). Analytical Team Primary Credit Analyst: Calvin C Leong, Melbourne (61) ; calvin.leong@spglobal.com Secondary Contact: Luke Elder, Melbourne (61) ; luke.elder@spglobal.com JUNE 18,

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