RMBS Performance Watch Part 1 As at June 30, 2009

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1 Australian RMBS Performance Watch Part 1 As at

2 Table of Contents Descriptions...iv Sponsor Classifications...vi Structured Finance Contacts...vi Select Rankings...vii Commentary... viii Market Overview... x PART 1 Prime...1 Adelaide Bank Ltd...9 Series TORRENS Trust Series (W) TORRENS Trust Series TORRENS Trust Series (S) TORRENS Trust Series E TORRENS Trust Series (AAA) TORRENS Trust TORRENS Series (E) Trust TORRENS Series Trust AIMS Home Loans Pty. Ltd AIMS Trust AIMS Trust AIMS Trust AMP Bank Ltd...22 Progress 2003 E-1 Trust Progress 2004 E-1 Trust Progress Trust Progress Trust Progress Trust Progress Trust Progress G Trust Progress R Trust Progress Trust Australia And New Zealand Banking Group Ltd...32 Kingfisher Trust G Australian Central Credit Union Ltd...34 Light Trust No Australian Mortgage Securities Ltd...36 ARMS II Fund XV ARMS II Euro Fund VI ARMS II Global Fund ARMS II Global Fund Bank of Queensland Ltd...41 Series REDS Trust Series REDS Trust Series REDS Trust Series REDS Trust Series E REDS Trust Series E REDS Trust Series REDS Trust Series REDS Trust Bank of Western Australia Ltd...50 Series E SN Trust Series E SN Trust Series E SN Trust Bendigo and Adelaide Bank Ltd TORRENS Series Trust TORRENS Series (W) Trust TORRENS Series Trust Calibre Financial Services Pty Ltd...58 Calibre Fund No Challenger Mortgage Management Pty Limited...60 Interstar Millennium Series G Trust Interstar Millennium Series G Trust Interstar Millennium Series E Trust Interstar Millennium Series G Trust Interstar Millennium Series E Trust Interstar Millennium Series Trust Interstar Millennium Series G Trust Interstar Millennium Series L Trust Interstar Millennium Series E Trust Interstar Millennium Series Trust Interstar Millennium Series G Trust Interstar Millennium Series L Trust Interstar Millennium Series H Trust Challenger Millennium Series E Trust Challenger Millennium Series L Trust Challenger Millennium Series Trust Challenger Millennium Series Trust Challenger Millennium Series Trust Citigroup Pty Limited...79 Compass Master Trust Securitised Australian Mortgage Trust Securitised Australian Mortgage Trust Securitised Australian Mortgage Trust Securitised Australian Mortgage Trust Securitised Australian Mortgage Trust Securitised Australian Mortgage Trust Columbus Capital Pty Limited Nautilus Trust No. 1Series Commonwealth Bank Of Australia Ltd...89 Medallion Trust Series G Medallion Trust Series G Medallion Trust Series G Medallion Trust Series G Medallion Trust Series G Medallion Trust Series G Connect Credit Union of Tasmania/ Queenslanders Credit Union...96 ConQuest Trust Credit Union Australia Ltd...98 Series Harvey Trust Series Harvey Trust Series Harvey Trust Series Harvey Trust Series Harvey Trust Series Harvey Trust Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s ii

3 First Permanent Securities Ltd First Permanent Super Prime RMBS Trust FirstMac Limited FirstMac Bond Series Trust FirstMac Bond Series Trust FirstMac Bond Series Trust FirstMac Bond Series Trust FirstMac Bond Series 1E-2006 Trust FirstMac Bond Series 1C-2006 Trust FirstMac Mortgage Funding Trust Series FirstMac Mortgage Funding Trust Series 1E FirstMac Mortgage Funding Trust Series FirstMac Mortgage Funding Trust Series FirstMac Mortgage Funding Trust Series Greater Building Society Ltd GBS Receivables Trust No GBS Receivables Trust No Heritage Building Society Ltd HBS Trust HBS Trust HBS Trust E HBS Trust HBS Trust E HBS Trust Homeloans Ltd RMT Securitisation Trust No HSBC Bank Australia Ltd Lion Series Trust IMB Ltd Illawarra Series Trust Illawarra Series RMBS Trust Illawarra Series RMBS Trust Illawarra Series RMBS Trust ING Bank (Australia) Limited IDS Trust Liberty Financial Pty Ltd Liberty PRIME Series Macquarie Securitisation Ltd PUMA Global Trust No PUMA Global Trust No PUMA Global Trust No PUMA Global Trust S PUMA Masterfund P PUMA Masterfund P PUMA Masterfund P PUMA Masterfund P PUMA Masterfund P PUMA Masterfund P PUMA Masterfund S PUMA Masterfund S-3 Series A PUMA Masterfund S PUMA Masterfund S PUMA Masterfund H PUMA Masterfund P-15 Series A PUMA Masterfund S PUMA Masterfund S COINUED See PART 2 of the Australian RMBS Performance Watch. Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s iii

4 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) or by at: erin_kitson@standardandpoors.com. 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 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. Subprime 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. 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. 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 days, 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. Australian Prime LoDoc SPIN 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. 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. Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s iv

5 Descriptions Australian Prime SPPI 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. 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 2 U = unscheduled principal repayments R = redraws F = further advances O = mortgage pool balance at the beginning of the quarter S = loans added during a substitution period P = loans added during a prefunding period I = 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 2 Sc = scheduled principal repayments U = unscheduled principal repayments R = redraws F = further advances O = mortgage pool balance at the start of the quarter. S = loans added during a substitution period P = loans added during a prefunding period I = 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 Mortgage Arrears Data The mortgage arrears data depicts the proportionate value of loans days, 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. 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 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) CoA AAA/Stable Genworth Financial Mortgage Insurance Pty Ltd GFMI AA-/Stable Mortgage Risk Management Pty Ltd MRM BBB-/Stable QBE Lenders Mortgage Insurance Ltd* QBE AA-/Negative St.George Insurance Australia Pty Ltd SGIA AA-/Stable Genworth Financial Mortgage GFM Indemnity Ltd (formerly Vero Indemnity Lenders Mortgage Insurance Ltd) (Vero) A-/Stable 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 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 Standard & Poor s v

6 Sponsor Classifications Sponsor Classifications 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. 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 Structured Finance Contacts Non Bank Financial Institution (NBFI) 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 Non Bank 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 Melbourne Fabienne Michaux, Managing Director Regional Practice Leader...(61) Vera Chaplin Asia Pacific Regional Surveillance Manager...(61) Key RMBS Analytical Contacts Kate Thomson, RMBS Analytical Manager...(61) Erin Kitson, Surveillance Analytical Manager...(61) Analytical Team Alisha Treacy...(61) Camille Diafas...(61) Elizabeth Steenson...(61) Fiona Otway...(61) Jenny Campbell...(61) Luke Elder...(61) Mei Lee Da Silva...(61) Narelle Coneybeare...(61) Peter Eastham...(61) Sarah Samson...(61) Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s vi

7 Rankings Residential Loan Adelaide Bank Ltd Bluestone Servicing Pty. Ltd. EDS (BPA) Pty Ltd. FirstMac Limited Heritage Building Society Ltd IMB Ltd. Challenger Mortgage Management Pty Ltd Members Equity Pty Ltd Resimac Ltd. Unisys Credit Services Pty. Ltd. Ranking/ Strong/Stable Above Average/Stable Strong/Stable Above Average/Stable Strong/Stable Strong/Stable Strong/Stable Strong/Stable Strong/Stable Above Average/Stable Residential Sub-Prime Loan Bluestone Servicing Pty. Ltd. Liberty Financial Pty Ltd. Pepper Australia Pty Limited Above Average/Stable Strong/Stable Above Average/Stable Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s vii

8 Commentary Australian RMBS Performance Watch Second-Quarter 2009: 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 Q were wholly supported by the Australian Office of Financial Management program. Arrears Continue To Improve On the other hand, arrears performance of loans underlying Australian RMBS continued to improve during Q 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, as measured by the Standard & Poor s Australian Prime SPIN. The prime SPIN reached its peak at 1.84% in January 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 It fell by a large single-quarter decline of 2.85% to 13.6 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 Furthermore, each of the three arrears categories experienced a drop during the three months to. 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 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. 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 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 Q 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 1.1 for the three months ended. Arrears for non-bank originators mortgages experienced the biggest decline of 0.63%, from 2.59% at end-q 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. Issuance And Sponsors Lists Are Largely Unchanged The three biggest issuers in the year to had mainly repo-eligible transactions. No repo-eligible transactions were issued during Q 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. 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$24.0 billion. The remainder of the sponsors in the list in the year to June 30, 2009, maintained their respective positions from Q As at, the total outstanding balance of residential mortgage loans underlying Australian prime and subprime RMBS was A$ 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, cumulative gross losses recorded continued to rise. For prime RMBS, the 2004 and 2005 vintages recorded the highest cumulative losses of 0.2 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 24%, while cumulative losses for the 2008 vintage remained at 19%. 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, 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 Q 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 0.7 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. Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s viii

9 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, to 1.53% from 0.59 in March 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 Q 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 22.8, from 20.62% in March However, we believe the increase is due to March prepayment rates historically being low. Similarly, the subprime SPPI rose to 32.04%, from 30.1 in March 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 The Australian economy grew at its fastest pace in more than a year in the three months to June 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 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-15 household debt-to-income ratio--which could reverse this improving trend. Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s ix

10 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 REDS Trust Prime Bank of Queensland 21- Challenger Millennium Series Trust Prime Challenger Mortgage Management Pty Ltd 22- SMHL Securitisation Fund Prime Members Equity Bank Pty Ltd 13- RESIMAC Triomphe Trust in respect of RESIMAC Premier Series Prime RESIMAC Ltd 28- FirstMac Mortgage Funding Trust Series Prime FirstMac Ltd 05- RMBS Outstandings as at Jun. 30, 2009 No. Deals Mil. A$ % Prime , % Prime REPO Eligible Sub-Prime 9 67, % 21 3, % Total , Domestic Domestic - REPO Eligible Euro Global Total Major Banks Major Banks REPO Eligible , % 9 67, % 30 17, % 42 37, , , % 3 42, % Regional Banks 52 31, % Regional Banks REPO Eligible 2 12, % Other Banks 68 36, % Other Banks REPO Eligible 3 11, % Non-Bank Financial Institutions 29 6, % Non-Bank Financial Institutions REPO Eligible % Non-Bank s 85 28, % Top 10 Sponsors by New RMBS Issues Yr Ending Jun. 30, 2009 incl. REPO 1 ING Bank (Australia) Ltd. 7, AMP Bank Ltd 3, National Australia Bank Ltd 2, Challenger Mortgage Management Pty Ltd 1, Members Equity Bank Pty Ltd 2, RESIMAC Ltd. 1, FirstMac Ltd 1, Bendigo and Adelaide Bank Ltd 1, St George Bank Ltd 1, Macquarie Securitisation Ltd 1, Top 10 Sponsors by RMBS Outstandings at Jun. 30, 2009 incl. REPO 1 Westpac Banking Corp. 24, National Australia Bank Ltd 23, St.George Bank Ltd. 17, Members Equity Bank Pty Ltd (SMHL) 13, Suncorp-Metway Ltd. 12, Challenger Mortgage Management Pty Limited 10, Commonwealth Bank Of Australia Ltd 8, Macquarie Securitisation Ltd 8, ING Bank (Australia) Limited 7, AMP Bank Ltd 6, Total , No. Classes Mil. A$ % AUD , % AUD REPO Eligible 25 67, % USD 59 22, % EUR 66 15, % GBP 5 2, % Total , Australian RMBS Performance Watch as at Jun. 30, 2009 Standard & Poor s x

11 New Issuance Domesic / Euro / Global Domestic Domestic REPO-Eligible Euro Global 70,000 60,000 A$ Amount 50,000 40,000 30,000 20,000 10, Year A$ Amount (Mil) Domestic 3, , , , , , , , , , , , , , Domestic REPO-Eligible , Euro 0 3, , , , , , , , , , , Global 0 0 2, , , , , , , , , , Sub-Total Offshore 0 3, , , ,635 14, , , , , , , Total 3, , , , , , , , , , , , , , % Domestic % % 46.42% 48.52% 39.72% 32.26% % 25.19% Domestic REPO-Eligible 75.09% 2.1 Euro % 42.83% 15.62% % 17.27% 8.78% 11.5 Global % % 40.48% 47.07% 43.76% 38.83% Sub-Total Offshore % % 53.58% 51.48% 60.28% 67.74% % 74.8 Total New Issuance Domesic / Euro / Global (No. of Issues) 70 Domestic Domestic REPO-Eligible Euro Global No. Of Issues Year No. of Deals Domestic Domestic REPO-Eligible Euro Global Sub-Total Offshore Total % Domestic % 83.33% 77.42% 81.58% 77.14% 78.57% 67.24% 63.93% 69.39% 78.26% 67.44% Domestic REPO-Eligible 26.19% 9.09% Euro 13.04% % 7.89% 2.86% 7.14% 8.62% 14.75% 12.24% 6.52% 9.3 Global 4.17% 6.45% 10.53% % 24.14% % 15.22% 23.26% Sub-Total Offshore 13.04% 16.67% 22.58% 18.42% 22.86% 21.43% 32.76% 36.07% % 32.56% Total Australian RMBS Performance Watch as at Jun 30, 2009 Standard & Poor s xi

12 New Issuance Prime / Sub-Prime Prime Prime REPO Eligible Sub-Prime 70,000 60,000 A$ Amount 50,000 40,000 30,000 20,000 10, Year A$ Amount (Mil) Prime 3, , , , , , , , , , , , , , Prime REPO Eligible , Sub-Prime , ,779 2, , , , Total 3, , , , , , , , , , , , , , % Prime % % % 95.84% 92.32% % 23.77% 97.9 Prime REPO Eligible 75.09% 2.1 Sub-Prime 0.68% % 3.99% 6.34% 4.16% 7.68% % 1.13% Total New Issuance Prime / Sub-Prime (No. of Issues) 70 Prime Prime REPO Eligible Sub-Prime No. Of Issues Year No. of Deals Prime Prime REPO Eligible Sub-Prime Total % Prime % 97.37% 97.14% 90.48% 84.48% % 90.9 Prime REPO Eligible 26.19% 9.09% Sub-Prime 3.23% 2.63% 2.86% 9.52% 15.52% % 17.39% % Total Australian RMBS Performance Watch as at Jun 30, 2009 Standard & Poor s xii

13 Arrears Statistics - Prime Australian Prime Standard & Poor's Mortgage Performance Index (SPIN) days days 90+ days TCLB (Total current loan balance) Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Jan days 0.68% 0.62% 0.64% 0.67% % 0.72% 0.72% 0.64% 0.64% 0.58% 0.56% days 0.26% % 0.28% 0.32% 0.32% 0.33% % 0.26% 0.24% 0.23% 90+ days 0.57% % 0.63% 0.68% 0.73% 0.79% % 0.72% 0.69% 0.65% Prime SPIN % 1.52% 1.58% % 1.84% 1.82% 1.66% 1.62% % TCLB (Bil. A$) Cumulative Gross Losses as Percentage of Total Initial Issuance by Year Of Issuance Mar-02 Jun-02 Sep-02 Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 Mar-04 Jun #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A % 19% 2007 #N/A #N/A % 08% 13% 19% 24% % 04% 07% 14% 24% 32% 45% 58% 68% % 24% 36% 52% 67% % 0.125% 0.145% % % 29% 5 68% 83% 0.104% 0.116% % 0.167% 0.174% 0.208% % 2 26% 35% 4 46% 5 55% 6 66% 68% 77% % 07% 09% 12% 16% 19% 22% 24% 26% 29% 3 3 Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Page 1

14 RMBS Arrears Statistics - Australia Arrears Statistics - Prime Arrears on Full Doc Loans days days 90+ days TCLB Apr-05 May-05 Aug-05 Nov-05 Feb days 0.58% 0.54% 0.53% 0.56% % 0.63% 0.55% 0.56% % days % % 0.26% 0.27% 0.25% 0.23% % 90+ days 0.47% 0.49% 0.49% 0.49% 0.52% 0.54% 0.59% % 0.53% % Full Doc SPIN 1.26% 1.26% 1.22% 1.27% 1.38% 1.42% 1.49% 1.47% 1.35% % TCLB (Bil. A$) Arrears on LoDoc Loans days days 90+ days TCLB Apr-05 May-05 Aug-05 Nov-05 Feb days 1.33% 1.14% 1.43% 1.45% 1.34% 1.48% 1.42% 1.38% 1.29% 1.29% 1.25% 1.15% days 0.57% 0.75% 0.57% 0.73% 0.82% 0.76% 0.77% % % 0.55% 90+ days 1.22% % 1.65% 1.84% 2.05% 2.26% 2.34% 2.14% 2.23% 2.16% 2.05% Lo Doc SPIN % 3.56% 3.84% % 4.45% 4.42% % 3.96% 3.76% TCLB (Bil. A$) Documentation Type Total Arrears Comparison Full Doc LoDoc Prime SPIN Apr-05 May-05 Aug-05 Nov-05 Feb-06 Full Doc SPIN 1.26% 1.26% 1.22% 1.27% 1.38% 1.42% 1.49% 1.47% 1.35% % LoDoc SPIN % 3.56% 3.84% % 4.45% 4.42% % 3.96% 3.76% Prime SPIN % 1.52% 1.58% % 1.84% 1.82% 1.66% 1.62% % Full Doc % Prime TCLB 86.8% 86.8% 87.3% 87.7% 87.7% % 88.7% 88.8% 88.9% 89. Lo Doc % Prime TCLB 13.2% 13.2% 12.7% 12.3% 12.3% % 11.7% 11.3% 11.2% 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

15 RMBS Arrears Statistics - Australia Arrears Statistics - Prime on a Missed Payments Basis days days 90+ days TCLB 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 days 0.85% 0.85% 0.83% 0.89% % 0.83% 0.79% 0.83% % days 0.34% 0.43% 0.37% % 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% % 1.25% 1.23% 1.16% 1.06% 0.98% Total 1.98% 2.14% 2.04% 2.19% 2.43% % 2.46% 2.39% % 1.87% TCLB (Bil. A$) (Bil. A$) on a Scheduled Balance Basis days days 90+ days TCLB 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 (Bil. A$) days % 0.57% 0.59% 0.63% 0.65% 0.67% 0.67% 0.58% 0.57% 0.53% 0.53% days 0.22% 0.24% 0.19% 0.22% 0.26% 0.26% 0.27% 0.27% 0.24% 0.23% 0.22% 0.22% 90+ days 0.48% % 0.53% 0.54% 0.58% 0.62% 0.63% 0.56% 0.55% 0.54% 0.52% Total 1.32% 1.28% % 1.43% 1.49% 1.56% 1.58% 1.39% 1.36% 1.29% 1.26% TCLB (Bil. A$) Arrears Calculation Method Comparison Missed Payments Scheduled Balance Prime SPIN 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 (Bil. A$) Missed Payments 1.98% 2.14% 2.04% 2.19% 2.43% % 2.46% 2.39% % 1.87% Scheduled Balance 1.32% 1.28% % 1.43% 1.49% 1.56% 1.58% 1.39% 1.36% 1.29% 1.26% Prime SPIN % 1.52% 1.58% % 1.84% 1.82% 1.66% 1.62% % 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

16 RMBS Arrears Statistics - Australia Arrears Statistics - Prime Arrears Domestic Issues days days 90+ days TCLB 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 days 0.67% 0.66% 0.69% 0.68% 0.73% 0.73% 0.72% % 0.63% 0.57% 0.54% days 0.26% 0.34% 0.27% % 0.36% 0.37% % 0.26% 0.22% 0.22% 90+ days 0.67% 0.73% 0.75% 0.73% 0.78% % % % 0.7 Total % % % 1.92% 1.76% 1.69% 1.56% 1.47% TCLB (Bil. A$) Arrears Cross Border Issues days days 90+ days Total Current Loan Balance Apr-97 Jul-97 Oct-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Jan-02 Apr-02 Jul-02 Oct-02 Jan-03 Apr-03 Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr days 0.68% 0.59% % 0.68% % 0.73% 0.64% 0.66% 0.59% 0.58% days 0.25% 0.26% 0.22% 0.25% 0.29% 0.28% 0.29% 0.29% 0.26% 0.26% 0.25% 0.24% 90+ days 0.49% % 0.54% 0.58% 0.65% 0.69% 0.69% 0.65% 0.63% % Total 1.43% 1.35% 1.35% 1.46% 1.55% 1.63% % 1.56% 1.55% 1.44% 1.4 TCLB (Bil. A$) Market Comparison Domestic Cross Border Prime SPIN (Bil. A$) 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 Domestic % % % 1.92% 1.76% 1.69% 1.56% 1.47% Cross Border 1.43% 1.35% 1.35% 1.46% 1.55% 1.63% % 1.56% 1.55% 1.44% 1.4 Prime SPIN % 1.52% 1.58% % 1.84% 1.82% 1.66% 1.62% % 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

17 RMBS Arrears Statistics - Australia Arrears Statistics - Prime Major Banks Regional Banks days days 90+ days TCLB days days 90+ days TCLB (Bil. A$) (Bil. A$) Nov-96 May-97 Nov-97 May-98 Nov-98 May-99 Nov-99 May-00 Nov-00 May-01 Nov-01 May-02 Nov-02 May-03 Nov-03 May-04 Nov-04 May-05 Nov-05 Mar-96 Sep-96 Mar-97 Sep-97 Mar-98 Sep-98 Mar-99 Sep-99 Mar-00 Sep-00 Mar-01 Sep-01 Mar-02 Sep-02 Mar-03 Sep-03 Mar days 0.58% 0.56% 0.57% 0.54% 0.52% days % % 0.66% 0.69% days % 0.18% % 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 % 0.66% 0.62% % Major Banks SPIN 1.14% 1.15% 1.14% Regional Banks SPIN 1.86% 1.95% 1.66% 1.64% % TCLB (Bil. A$) TCLB (Bil. A$) Other Banks days days 90+ days TCLB Non-Bank Financial Institutions days days 90+ days TCLB (Bil. A$) (Bil. A$) Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Jan-05 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Jan days 0.58% % 0.43% days 0.38% 0.36% 0.32% 0.29% 0.34% 0.28% days % 0.23% 0.18% 0.17% 0.13% days 0.13% 0.13% 0.12% 0.15% 9% 7% 90+ days 0.57% 0.62% 0.56% 0.55% 0.54% days % 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% % % 0.5 TCLB (Bil. A$) TCLB (Bil. A$) Non-Bank s days days 90+ days TCLB Company Type Comparison Non-Bank s Major Banks Regional Banks Other Banks Non-Bank Financial Institutions Prime SPIN (Bil. A$) Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Jan-05 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Aug-98 Jan-99 Aug-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Aug-02 Jan-03 Aug-03 Jan-04 Jul-04 Jan days 0.95% 0.77% % 0.64% 0.55% Major Banks 1.14% 1.15% 1.14% days 0.46% 0.44% 0.35% 0.36% 0.29% 0.3 Regional Banks 1.86% 1.95% 1.66% 1.64% % 90+ days 1.54% 1.46% 1.44% % 1.1 Other Banks 1.45% 1.45% 1.29% 1.33% 1.17% 1.07% Non-Bank s SPIN 2.96% 2.67% 2.59% 2.38% 2.12% 1.96% Non-Bank Financial Institutions 0.73% % % 0.5 TCLB (Bil. A$) Non-Bank s 2.96% 2.67% 2.59% 2.38% 2.12% 1.96% Prime SPIN 1.84% 1.82% 1.66% 1.62% % 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

18 RMBS Arrears Statistics - Australia Feb Aug-02 Feb-03 Aug-03 Feb-04 Aug-04 Feb-05 Aug-05 Feb-06 Arrears Statistics - Prime By Year Of Issuance days days 90+ days TCLB Jan days days 90+ days TCLB Jul-03 Jan-04 Jul-04 Jan days days 90+ days TCLB days days 90+ days TCLB Mar-01 Sep-01 Mar-02 Sep-02 Mar-03 Sep-03 Mar-04 Feb days days 90+ days TCLB days days 90+ days TCLB Feb days days 90+ days TCLB days days 90+ days TCLB Feb 09 Mar 09 Apr 09 May 09 Jun 09 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

19 Prepayment Statistics - Prime 5 Australian Prime Standard & Poors Prepayment Index (SPPI) by Market Domestic Cross Border Prime SPPI 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 Domestic 26.02% 24.37% 20.18% 23.66% % 23.32% 23.94% % 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% % 20.62% 22.8 Annualised Quarterly Prepayment Rates - Months From Issue Date 5 Domestic Cross Border Total Prepayment Rate Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Page 7

20 Prepayment Statistics - Prime Annualised Quarterly Prepayment Rate Index (By Year Of Issuance) Jun-02 Sep-02 Dec-02 Mar-03 Jun-03 Sep-03 Dec-03 Mar-04 Jun-04 Annualised Quarterly Prepayment Rate Index - Months From Issue Date (By Year Of Issuance) Copyright 2006 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. RMBS Perfomance Page 8