NAB Covered Bond Trust - Monthly Investor Report

Transcription

1 NAB Covered Bond Trust - Monthly Investor Report Monthly Covered Bond Report Date: 31 January 2013 Determination Date: 08 February 2013 Payment Date: 15 February 2013 Asset Coverage Test as at 31 January 2013 Calculation of Adjusted Aggregate Mortgage Loan Amount A The lower of: (i) Aggregate LVR Adjusted Mortgage Loan Amounts $9,131,063,542 (ii) Aggregate Asset Percentage Adjusted Mortgage Loan Amounts $7,986,862,446 $7,986,862,446 B Aggregate Amount of any Proceeds of any Intercompany Notes and/or any Demand Notes $0 which have not been applied as at the Calculation Date C Aggregate Principal of any Substitution Assets and Authorised Investments $0 as at the Calculation Date. D E Z Aggregate Mortgage Loan Principal Receipts standing to the credit of GIC Account and not $961,845,509 applied in accordance with the applicable Priority of Payments Amount of Sale Proceeds standing to the credit of the the Pre-Maturity Ledger as at the Calculation Date. $0 Negative Carry Adjustment $0 Adjusted Aggregate Mortgage Loan Amount (A+B+C+D+E)-Z $8,948,707,956 Results of Asset Coverage Test Adjusted Aggregate Mortgage Loan Amount $8,948,707,956 AUD Equivalent of the Aggregate Principal Amount of the Covered Bonds $7,500,800,511 Excess/(Shortfall) over adjusted Mortgage Loan Amount $1,447,907,445 ACT Test Pass or Fail Pass Asset Percentage 86.96% Asset Summary as at 31 January 2013 Ratings Overview Moody's Fitch NAB Short Term Senior Unsecured Rating P1 F1+ NAB Long Term Senior Unsecured Rating Aa2 AA- Covered Bonds Ratings Aaa AAA Bond Issuance Bonds Issue Date Principal AUD Equiv. of Coupon ISIN Legal Maturity Listing Principal Rate Date Series Dec-2011 kr3,125,000,00 $528,269, XS Dec-2021 Series Jan ,000,000,00 $1,250,441, XS Jan-2017 Series Jan ,000,00 $248,275, XS Jan-2027 Series Jan ,000,00 $743,281,459 3M_LIBOR XS Jan-2015 Series Jun-2012 US$2,500,000,00 $2,450,990, US63253WAA99 20-Jun-2017 Series Sep ,000,00 $383,294, XS Sep-2026 Series Sep ,000,00 $247,319, XS Jan-2028 Series Sep ,000,00 $168,439, WKNONS2D3 04-Oct-2024 Series-9-1 Series Sep Dec-2012 US$250,000,00 1,000,000,00 $239,280,245 $1,241,208,393 3M_LIBOR US63253WAB72 XS Sep Feb-2023 Unlisted Unlisted

2 Pool Summary Portfolio Cut off Date 05-November-2012 Current Principal (AUD) Number 34,961 Loan Groups 34,961 Average Loan Size 263, Maximum Housing Loan 1,500,00 Weighted Average Loan Interest Rate 5.77% Weighted Average Current Loan to Value Ratio (LVR) 58.54% Weighted Average Consolidated Indexed Loan to Value Ratio (LVR) 62.04% Weighted Average Seasoning (WAS) Weighted Average Remaining Term (Months) Prepayment Information Prepayment History (CPR) 1 Month 3 Months 12 Months Cumulative Prepayment History (SMM) Mortgage Pool by Original Loan to Value Ratio (LVR) ( %) up to and including 50% 11, ,170,576, > 50% up to and including 55% 1, ,210, > 55% up to and including 60% 2, ,257, > 60% up to and including 65% 2, ,121, > 65% up to and including 70% 2, ,294, > 70% up to and including 75% 3, ,172,652, > 75% up to and including 80% 7, ,248,383, > 80% up to and including 85% 1, ,500, > 85% up to and including 90% 1, ,986, > 90% up to and including 95% ,951, > 95% up to and including 100% ,064, > 100% ,617, Mortgage Pool by Current Loan to Value Ratio (LVR) ( %) up to and including 50% 15, ,864,509, > 50% up to and including 55% 2, ,330, > 55% up to and including 60% 2, ,010, > 60% up to and including 65% 2, ,139, > 65% up to and including 70% 2, ,783, > 70% up to and including 75% 3, ,350,269, > 75% up to and including 80% 4, ,434,952, > 80% up to and including 85% 1, ,549, > 85% up to and including 90% ,985, > 90% up to and including 95% ,007, > 95% up to and including 100% ,272, > 100% ,807,

3 Mortgage Pool by Consolidated Indexed Loan to Value Ratio (LVR)* ( %) up to and including 50% 12, ,228,084, > 50% up to and including 55% 2, ,710, > 55% up to and including 60% 2, ,175, > 60% up to and including 65% 2, ,402, > 65% up to and including 70% 3, ,027,543, > 70% up to and including 75% 3, ,293,424, > 75% up to and including 80% 4, ,384,909, > 80% up to and including 85% 2, ,017, > 85% up to and including 90% ,967, > 90% up to and including 95% ,577, > 95% up to and including 100% ,282, > 100% ,521, Total 34, *Based on quarterly data provided by the Australian Bureau of Statistics Mortgage Pool by Mortgage Loan Interest Rate ( %) up to and including 0.0% 0 > 0.0% up to and including 5.0% > 5.0% up to and including 5.5% ,610, > 5.5% up to and including 6.0% 30, ,143,844, > 6.0% up to and including 6.5% 1, ,661, > 6.5% up to and including 7.0% ,813, > 7.0% up to and including 7.5% 1, ,114, > 7.5% up to and including 8.0% ,268, > 8.0% up to and including 8.5% ,345, > 8.5% up to and including 9.0% ,777, > 9.0% up to and including 9.5% ,181, > 9.5% up to and including 10.0% 0 > 10.0% up to and including 10.0% 0 Mortgage Pool by Interest Option ( %) 1 Year Fixed 1, ,769, Year Fixed ,321, Year Fixed ,664, Year Fixed ,870, Year Fixed ,017, Beyond 5 Years ,893, Total Fixed Rate Total Variable Rate Total 2,755 32,206 34, ,536, ,589,081,

4 Mortgage Pool by Loan Size (Consolidated) ( %) up to and including $100,000 4, ,437, > $100,000 up to and including $200,000 9, ,382,874, > $200,000 up to and including $300,000 10, ,575,828, > $300,000 up to and including $400,000 6, ,221,369, > $400,000 up to and including $500,000 2, ,240,767, > $500,000 up to and including $600,000 1, ,562, > $600,000 up to and including $700, ,965, > $700,000 up to and including $800, ,540, > $800,000 up to and including $900, ,251, > $900,000 up to and including $1,000, ,483, > $1,000,000 up to and including $1,250, ,013, > $1,250,000 up to and including $1,500, ,523, > $1,500,000 up to and including $1,750,000 0 > $1,750,000 up to and including $2,000,000 0 > $2,000,000 0 Mortgage Pool by Geographic Distribution ( %) ACT ,349, NSW 12, ,463,579, NT ,640, QLD 3, ,288, SA 2, ,014, TAS ,030, VIC 11, ,984,395, WA 3, ,011,320, Mortgage Pool by Payment Type ( %) Interest Only 6, ,188,188, P&I 28, ,018,429, Mortgage Pool by Documentation Type ( %) Full Doc 34, Total 34, Mortgage Pool by Remaining Interest Only Period ( %) up to and including 1 years ,243, up to and including 2 years 1, ,784, up to and including 3 years 4, ,481,040, up to and including 4 years ,584, up to and including 5 years , Total 6, ,188,188,

5 Mortgage Pool by Occupancy Status ( %) Investment 5, ,590,871, Owner Occupied 29, ,615,747, Mortgage Pool by Loan Purpose ( %) Home Improvement 2, ,666, Investment 5, ,560,128, Other ,618, Purchase Existing Dwelling 12, ,549,861, Purchase New Dwelling 1, ,379, Refinance 12, ,095,963, Mortgage Pool by Loan Seasoning ( %) up to and including 0 months 0 0 > 0 up to and including 3 months 0 0 > 3 up to and including 6 months ,051, > 6 up to and including 12 months ,300, > 12 up to and including 18 months ,258, > 18 up to and including 24 months 3, ,211, > 24 up to and including 30 months 11, ,358,952, > 30 up to and including 36 months 7, ,154,786, > 36 up to and including 48 months 6, ,738,536, > 48 up to and including 60 months 2, ,585, > 60 up to and including 72 months 1, ,815, > 72 up to and including 84 months ,658, > 84 up to and including 96 months ,813, > 96 up to and including 108 months ,928, > 108 up to and including 120 months ,063, > 120 up to and including 126 months ,360, > 126 months 1, ,294, Total 34, Mortgage Pool by Payment Frequency ( %) Fortnightly 3, ,922, Monthly 29, ,123,268, Weekly 1, ,427,

6 Mortgage Pool by Remaining Tenor ( %) > 0 up to and including 1 years ,083, > 1 up to and including 2 years ,265, > 2 up to and including 3 years ,388, > 3 up to and including 4 years ,558, > 4 up to and including 5 years , > 5 up to and including 6 years ,622, > 6 up to and including 7 years ,249, > 7 up to and including 8 years ,623, > 8 up to and including 9 years ,499, > 9 up to and including 10 years ,269, > 10 up to and including 15 years 1, ,040, > 15 up to and including 20 years ,908, > 20 up to and including 25 years 4, ,998, > 25 up to and including 30 years 27, ,946,932, > 30 years 0 0 Total 34, Mortgage Pool by Delinquencies ( %) 0 months 34, ,087,712, > 0 up to and including 1 months ,626, > 1 up to and including 2 months ,032, > 2 up to and including 3 months ,040, > 3 up to and including 4 months ,779, > 4 up to and including 5 months ,427, > 5 up to and including 6 months 0 0 > 6 months 0 0 Total 34, Mortgage Pool by Mortgage Insurer (LVR Specific) ( %) Genworth Financial 1, ,844, QBE Lenders Mortgage Insurance 3, ,356, Uninsured 30, ,908,417,

7 Trust Manager National Australia Bank Limited Contacts Ms Eva Zileli Senior Manager, Secured Funding National Australia Bank Limited (+613) (+613) Mr Paul Duns Manager, Secured Funding National Australia Bank Limited (+613) (+613) Page 7 of 7