ANZ Residential Covered Bond Trust - Monthly Investor Report
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1 Residential Covered Bond Trust - Monthly Investor Report Collection Period End Date: 30 September 2013 Determination Date: 18 October 2013 Trust Payment Date: 22 October 2013 Date of Report: 22 October 2013 Note: In this Investor Report, the ACT and Strat tables are calculated based on Pool Composition as at the Trust Payment Date & Loan s as at the Collection Period End Date. Issuer: Trustee / Covered Bond Guarantor: Security Trustee: Bond Trustee: Servicer: Trust Manager: Asset Monitor: Australia and New Zealand Banking Group Limited Perpetual Corporate Trust Limited P.T. Limited DB Trustees (Hong Kong) Limited Australia and New Zealand Banking Group Limited Capel Court Ltd KPMG Ratings Overview Moody's Fitch Short Term Senior Unsecured Rating P1 (stable) F-1+ (stable) Long Term Senior Unsecured Rating Aa2 (stable) AA- (stable) Covered Bond Rating Aaa AAA Compliance Tests Asset Coverage Test Issuer Event of Default Covered Bond Guarantor Event of Default Interest Rate Shortfall Test Yield Shortfall Test Pre-Maturity Test Pass No No N/A N/A N/A Page 1 of 14
2 Asset Coverage Test as at 22 October 2013 Calculation of Adjusted Aggregate Receivable Amount A The lower of: (i) Aggregate LVR Adjusted Receivable Amount $16,789,429,895 (ii) Aggregate Asset Percentage Adjusted Receivable Amount $14,628,612,141 $14,628,612,141 B Aggregate Amount of any Proceeds of any Term Advances and/or any Demand Loan Advances which have not been applied (held in GIC Account): $0 C Aggregate Principal of any Substitution Assets and Authorised Investments: $0 D Aggregate Receivable Principal Receipts standing to the credit of GIC Account and not applied in accordance with the Cashflow Allocation Methodology: $0 E The sum of of the Pre-Maturity Ledger and Remaining Available Principal Receipts held in the GIC Account via Supplemental Deed 16.4: $0 Z Negative carry adjustment: $0 Adjusted Aggregate Receivable Amount (A+B+C+D+E)-Z $14,628,612,141 Results of Asset Coverage Test Adjusted Aggregate Receivable Amount (AARA): $14,628,612,141 AUD Equivalent of the Aggregate Principal Amount of the Covered Bonds: $13,251,903,958 ACT is Satisfied, i.e. AARA >= AUD Equivalent of the Aggregate Principal Amount of the Covered Bonds? Yes Asset Percentage: % Contractual Overcollateralisation: % Total Overcollateralisation: % Note: Terms used in this table have the meaning given to them in Schedule 2 of the Supplemental Deed dated November 2011 between, among others, the Covered Bond Guarantor, the Trust Manager and, as described in the applicable disclosure document. For the purposes of calculating this ACT, Current Principal of the Purchased Receivables are as at the end of the Collection Period and the pool composition is as at the current Trust Payment Date (net of purchase and repurchase activities). Page 2 of 14
3 Summary as at 22 October 2013 Bond Issuance Bonds Issue Date Principal Exchange Rate Coupon Frequency Coupon Rate Series Nov 2011 USD 1,250,000,000 $1,231,527, Semi Annual 2.40 % Series Jan 2012 NOK 2,000,000,000 $326,614, Annual 5.00 % Series Jan 2012 EUR 1,000,000,000 $1,243,836, Annual 3.63 % Series Feb 2012 CHF 325,000,000 $332,152, Annual 1.50 % Series Feb 2012 CHF 400,000,000 $408,588, Quarterly LIBOR CHF 3 Month % Series Mar 2012 AUD 1,000,000,000 $1,000,000, Semi Annual 5.25 % Series Mar 2012 AUD 2,000,000,000 $2,000,000, Quarterly Series Jun 2012 HKD 400,000,000 $53,120, Quarterly BBSW 3 Month % HIBOR HKD 3 Month % Series Sep 2012 USD 1,500,000,000 $1,471,309, Semi Annual 1.00 % Series Sep 2012 USD 750,000,000 $735,654, Quarterly Series Feb 2013 GBP 500,000,000 $758,206, Quarterly LIBOR (USD) 3 Month % LIBOR GBP 3 Month % Series May 2013 EUR 1,000,000,000 $1,286,523, Annual 1.13 % Series Jul 2013 EUR 150,000,000 $212,198, Annual 2.77 % Series Aug 2013 AUD 700,000,000 $700,000, Semi Annual 5.00 % Series Sep 2013 EUR 1,000,000,000 $1,492,170, Annual 1.38 % Total - - $13,251,903, Bonds Series Series Series Series Contingent Covered Bond Swap Provider ISIN Listing Note Type Final Maturity Date Extended Due for Payment Date Not Listed Hard Bullet 23 Nov 2016 n/a LSE Hard Bullet 24 Jan 2022 n/a LSE Hard Bullet 18 Jul 2022 n/a SIX Hard Bullet 13 Feb 2019 n/a Page 3 of 14
4 Bonds Series Series Series Series Series Series Series Series Series Series Series Contingent Covered Bond Swap Provider ISIN Listing Note Type Final Maturity Date Extended Due for Payment Date SIX Hard Bullet 13 Feb 2015 n/a Not Listed Hard Bullet 23 Mar 2016 n/a Not Listed Hard Bullet 23 Mar 2016 n/a Not Listed Hard Bullet 12 Jun 2015 n/a ASX Soft Bullet 06 Oct Oct 2016 ASX Soft Bullet 06 Oct Oct 2016 LSE Soft Bullet 04 Feb Feb 2017 LSE Soft Bullet 13 May May 2021 LSE Soft Bullet 19 Jan Jan 2030 Not Listed Soft Bullet 16 Aug Aug 2024 LSE Soft Bullet 04 Sep Sep 2019 Funding Summary (AUD) Nominal Value % Intercompany Loan $13,251,903, % Subordinated Demand Loan* $3,562,592, % Senior Demand Loan $ - - Total Funding $16,814,496,710 *$1,582,423,199 of the Subordinated Demand Loan represents collateralisation above the current minimum requirement and is therefore transferable into the senior demand loan at 's discretion. Pool Summary Portfolio Cut-off Date 30 Sep 2013 Current Aggregate Principal (AUD) $16,814,496,710 (Unconsolidated) 58,013 (Consolidated) 58,013 Average Loan Size (Consolidated) $289,840 Maximum Loan (Consolidated) $2,000,000 Weighted Average Consolidated Current Loan to Value Ratio (LVR) % Weighted Average Consolidated Current Indexed Loan to Value Ratio (LVR) % Weighted Average Interest Rate 5.13 % Weighted Average Seasoning (Months) Weighted Average Remaining Term (Months) Note: Values reflected in the individual line items on some of the stratification tables may not always sum to the totals noted in those stratification tables due to rounding of values at the individual line item levels. Page 4 of 14
5 Prepayment Information* 1 Month 3 Month 12 Month Cumulative Prepayment History (CPR) 15.34% 16.92% 16.40% 15.83% Prepayment History (SMM) 1.38% 1.53% 1.48% 1.43% *CPR is Constant Prepayment Rate; SMM is Single Monthly Mortality. Mortgage Pool by Unconsolidated Original Loan to Value Ratio (LVR) up to and including 40.00% 9, % $1,210,416, % > 40.00% up to and including 45.00% 2, % $469,225, % > 45.00% up to and including 50.00% 2, % $668,358, % > 50.00% up to and including 55.00% 2, % $763,348, % > 55.00% up to and including 60.00% 3, % $1,048,734, % > 60.00% up to and including 65.00% 3, % $1,159,881, % > 65.00% up to and including 70.00% 4, % $1,453,443, % > 70.00% up to and including 75.00% 5, % $1,862,678, % > 75.00% up to and including 80.00% 22, % $8,178,407, % > 80.00% up to and including 85.00% > 85.00% up to and including 90.00% > 90.00% up to and including 95.00% > 95.00% up to and including % > % (%) Page 5 of 14
6 Mortgage Pool by Consolidated Current Loan to Value Ratio (LVR) up to and including 40.00% 12, % $1,748,844, % > 60.00% up to and including 65.00% 4, % $1,389,482, % > 70.00% up to and including 75.00% 6, % $2,394,382, % > 75.00% up to and including 80.00% 15, % $5,965,590, % > 80.00% up to and including 85.00% > 85.00% up to and including 90.00% > 90.00% up to and including 95.00% > 95.00% up to and including % > % (%) > 40.00% up to and including 45.00% 2, % $630,639, % > 45.00% up to and including 50.00% 3, % $792,055, % > 50.00% up to and including 55.00% 3, % $964,876, % > 55.00% up to and including 60.00% 4, % $1,243,338, % > 65.00% up to and including 70.00% 5, % $1,685,286, % Mortgage Pool by Consolidated Current Indexed Loan to Value Ratio (LVR)* (%) up to and including 40.00% 14, % $1,988,114, % > 40.00% up to and including 45.00% 2, % $694,106, % > 45.00% up to and including 50.00% 3, % $868,461, % > 50.00% up to and including 55.00% 3, % $1,069,252, % > 55.00% up to and including 60.00% 4, % $1,248,464, % > 60.00% up to and including 65.00% 4, % $1,510,597, % > 65.00% up to and including 70.00% 5, % $1,931,947, % > 70.00% up to and including 75.00% 7, % $2,678,995, % > 75.00% up to and including 80.00% 9, % $3,847,586, % > 80.00% up to and including 85.00% 2, % $891,425, % > 85.00% up to and including 90.00% % $75,529, % > 90.00% up to and including 95.00% % $6,245, % > 95.00% up to and including % % $3,521, % > % % $248, % * Based on quarterly data provided by RP Data using the hedonic index values as at the latest Property Index available to the Trust Manager on each Determination Date falling in March, June, September and December. For further information please refer to Schedule 2 of the Supplemental Deed, as described in the applicable disclosure document. Page 6 of 14
7 Mortgage Pool by Mortgage Loan Interest Rate up to and including 5.00% 15, % $6,180,110, % > 5.00% up to and including 5.25% 33, % $8,637,314, % > 6.25% up to and including 6.50% % $170,018, % > 6.50% up to and including 6.75% % $15,867, % > 6.75% up to and including 7.00% % $10,223, % > 7.00% up to and including 7.25% % $431, % > 7.25% up to and including 7.50% > 7.50% up to and including 7.75% % $231, % > 7.75% up to and including 8.00% > 8.00% up to and including 8.25% > 8.25% up to and including 8.50% > 8.50% (%) > 5.25% up to and including 5.50% 3, % $922,116, % > 5.50% up to and including 5.75% % $64,958, % > 5.75% up to and including 6.00% 3, % $552,261, % > 6.00% up to and including 6.25% % $260,963, % Mortgage Pool by Interest Option (%) <= 1 Year Fixed 2, % $650,147, % <= 2 Year Fixed 2, % $624,462, % <= 3 Year Fixed % $173,201, % <= 4 Year Fixed % $17,985, % <= 5 Year Fixed % $18,524, % > 5 Year Fixed % $231, % Total Fixed Rate 5, % $1,484,552, % Total Variable Rate 52, % $15,329,944, % Page 7 of 14
8 Mortgage Pool by Consolidated Loan up to and including $100,000 6, % $388,892, % > $500,000 up to and including $600,000 2, % $1,468,452, % > $700,000 up to and including $800, % $505,667, % > $800,000 up to and including $900, % $360,085, % > $900,000 up to and including $1.00m % $244,515, % > $1.00m up to and including $1.25m % $282,551, % > $1.25m up to and including $1.50m % $181,309, % > $1.50m up to and including $1.75m % $74,255, % > $1.75m up to and including $2.00m % $46,807, % > $2.00m (%) > $100,000 up to and including $200,000 12, % $1,880,766, % > $200,000 up to and including $300,000 16, % $4,132,870, % > $300,000 up to and including $400,000 11, % $3,967,472, % > $400,000 up to and including $500,000 5, % $2,412,872, % > $600,000 up to and including $700,000 1, % $867,977, % Mortgage Pool by Geographic Distribution (%) NSW/ACT 14, % $4,818,879, % VIC 18, % $5,667,661, % TAS 1, % $277,776, % QLD 9, % $2,575,042, % SA 4, % $1,017,403, % WA 7, % $2,345,785, % NT % $111,947, % Mortgage Pool by Region (%) Metro 41, % $13,169,553, % Non Metro 16, % $3,644,942, % Page 8 of 14
9 Mortgage Pool by State and Region (%) NSW/ACT - Metro 10, % $3,839,455, % NSW/ACT - Non Metro 4, % $979,424, % VIC - Metro 15, % $4,926,935, % VIC - Non Metro 3, % $740,726, % TAS - Metro % $157,441, % TAS - Non Metro % $120,335, % QLD - Metro 4, % $1,248,863, % QLD - Non Metro 5, % $1,326,178, % SA - Metro 3, % $813,799, % SA - Non Metro 1, % $203,603, % WA - Metro 6, % $2,086,042, % WA - Non Metro 1, % $259,743, % NT - Metro % $97,015, % NT - Non Metro % $14,931, % Mortgage Pool by Top 20 Postcodes* (%) 3030 (Melb North West, VIC) % $118,365, % 3977 (Frankston, VIC) % $94,761, % 3029 (Melb North West, VIC) % $86,488, % 6065 (Brand, WA) % $81,026, % 2155 (Seven Hills, NSW) % $78,645, % 6164 (Brand, WA) % $75,708, % 3023 (Footscray, VIC) % $67,029, % 6018 (Stirling, WA) % $66,605, % 6155 (Tangney, WA) % $65,804, % 3064 (Melb North West, VIC) % $65,273, % 3121 (Moorabbin, VIC) % $61,543, % 4740 (Central QLD, QLD) % $61,023, % 3806 (Dandenong, VIC) % $60,217, % 2026 (Waterloo, NSW) % $57,881, % 2153 (Seven Hills, NSW) % $57,211, % 3150 (Mulgrave, VIC) % $54,552, % 3805 (Dandenong, VIC) % $54,307, % 3195 (Dandenong, VIC) % $53,513, % 3000 (Melbourne City, VIC) % $53,280, % 3204 (Dandenong, VIC) % $52,649, % Total 4, % $1,365,888, % * One postcode can correspond to multiple suburbs. The name assigned to a postcode in this table is based on its Barcode Sort Plan Area Name under the Australia Post Barcode Sort Plan. Page 9 of 14
10 Mortgage Pool by Top 20 Statistical Subdivisions (%) (Inner Melbourne, VIC) 1, % $678,888, % (Western Melbourne, VIC) 2, % $652,767, % (North Metropolitan, WA) 1, % $608,153, % (Southern Melbourne, VIC) 1, % $601,353, % (Eastern Middle Melbourne, VIC) 1, % $509,059, % (South West Metropolitan, WA) 1, % $482,706, % (Inner Sydney, NSW) 1, % $469,449, % (St George-Sutherland, NSW) 1, % $436,662, % (South Eastern Outer Melbourne, VIC) 1, % $386,019, % (Central Western Sydney, NSW) 1, % $353,920, % (East Metropolitan, WA) 1, % $352,737, % (Lower Northern Sydney, NSW) % $337,171, % (Boroondara City, VIC) % $325,476, % (South East Metropolitan, WA) 1, % $323,444, % (Central Northern Sydney, NSW) % $308,870, % (Northern Middle Melbourne, VIC) % $303,972, % (Northern Beaches, NSW) % $293,838, % (Central Metropolitan, WA) % $260,631, % (Southern Adelaide, SA) 1, % $246,277, % (Eastern Outer Melbourne, VIC) % $242,108, % Total 23, % $8,173,511, % Mortgage Pool by Payment Type (%) P&I 45, % $12,154,718, % Interest Only 12, % $4,659,778, % Mortgage Pool by Documentation Type Full Doc 58, % $16,814,496, % Low Doc No Doc (%) Page 10 of 14
11 Mortgage Pool by Remaining Interest Only Period Interest Only : > 2 yrs up to and including 3 yrs 2, % $851,804, % Interest Only : > 3 yrs up to and including 4 yrs 2, % $1,139,261, % Interest Only : > 5 yrs up to and including 6 yrs % $39,469, % Interest Only : > 6 yrs up to and including 7 yrs % $96,464, % Interest Only : > 7 yrs up to and including 8 yrs % $130,774, % Interest Only : > 8 yrs up to and including 9 yrs % $182,922, % Interest Only : > 10 yrs (%) Amortising 45, % $12,154,718, % Interest Only : > 0 yrs up to and including 1 yr 1, % $666,639, % Interest Only : > 1 yrs up to and including 2 yrs 2, % $889,249, % Interest Only : > 4 yrs up to and including 5 yrs 1, % $573,489, % Interest Only : > 9 yrs up to and including 10 yrs % $89,702, % Mortgage Pool by Occupancy Status Owner Occupied (Full Recourse) 43, % $12,287,270, % Residential Investment (Full Recourse) 14, % $4,527,226, % Residential Investment (Limited Recourse) Mortgage Pool by Loan Purpose (%) (%) Alterations to existing dwelling 1, % $233,242, % Construction of a dwelling (completed) 2, % $703,921, % Purchase of established dwelling 14, % $4,697,514, % Purchase of new erected dwelling 1, % $374,631, % Refinancing an existing debt from another lender 10, % $3,070,164, % Refinancing an existing debt with 16, % $4,466,053, % Other 11, % $3,268,968, % Page 11 of 14
12 Mortgage Pool by Loan Seasoning up to and including 3 months % $101,648, % > 3 up to and including 6 months 4, % $1,356,024, % > 6 up to and including 9 months 3, % $1,176,022, % > 24 up to and including 27 months 4, % $1,249,960, % > 27 up to and including 30 months 2, % $725,481, % > 30 up to and including 33 months 2, % $589,239, % > 33 up to and including 36 months 3, % $907,394, % > 36 up to and including 48 months 5, % $1,566,980, % > 48 up to and including 60 months 1, % $348,895, % > 60 up to and including 72 months % $14,072, % > 72 up to and including 84 months > 84 up to and including 96 months > 96 up to and including 108 months > 108 up to and including 120 months > 120 months Mortgage Pool by Remaining Tenor up to and including 1 year % $6, % > 1 up to and including 2 years % $175, % > 2 up to and including 3 years % $1,572, % > 3 up to and including 4 years % $3,522, % > 4 up to and including 5 years % $3,784, % > 5 up to and including 6 years % $5,419, % > 6 up to and including 7 years % $5,156, % > 7 up to and including 8 years % $9,081, % > 8 up to and including 9 years % $20,800, % > 9 up to and including 10 years % $12,228, % > 10 up to and including 15 years % $109,782, % > 15 up to and including 20 years 1, % $244,935, % > 20 up to and including 25 years 5, % $1,167,516, % > 25 up to and including 30 years 49, % $15,230,513, % > 30 years (%) (%) > 9 up to and including 12 months 5, % $1,683,087, % > 12 up to and including 15 months 5, % $1,567,907, % > 15 up to and including 18 months 5, % $1,604,485, % > 18 up to and including 21 months 7, % $2,028,524, % > 21 up to and including 24 months 6, % $1,894,771, % Page 12 of 14
13 Mortgage Pool by Delinquencies > 30 days up to and including 60 days % $26,215, % > 90 days up to and including 120 days > 120 days up to and including 150 days > 150 days up to and including 180 days > 180 days (%) Current (0 days) 57, % $16,568,836, % > 0 days up to and including 30 days % $202,471, % > 60 days up to and including 90 days % $16,973, % Mortgage Pool by Remaining Term on Fixed Rate Period (%) Variable Rate 52, % $15,329,944, % Fixed Rate : > 0 up to and including 3 months % $151,703, % Fixed Rate : > 3 up to and including 6 months 1, % $344,560, % Fixed Rate : > 6 up to and including 9 months % $89,920, % Fixed Rate : > 9 up to and including 12 months % $63,962, % Fixed Rate : > 12 up to and including 15 months % $114,267, % Fixed Rate : > 15 up to and including 18 months 1, % $309,840, % Fixed Rate : > 18 up to and including 21 months % $130,803, % Fixed Rate : > 21 up to and including 24 months % $69,551, % Fixed Rate : > 24 up to and including 27 months % $62,639, % Fixed Rate : > 27 up to and including 30 months % $46,033, % Fixed Rate : > 30 up to and including 33 months % $52,762, % Fixed Rate : > 33 up to and including 36 months % $11,765, % Fixed Rate : > 36 up to and including 48 months % $17,985, % Fixed Rate : > 48 up to and including 60 months % $18,524, % Fixed Rate : > 60 months % $231, % Mortgage Pool by Payment Frequency (%) Weekly 12, % $2,881,342, % Fortnightly 18, % $4,619,579, % Monthly 27, % $9,313,574, % Page 13 of 14
14 Page 14 of 14 Contacts: Trust Manager Issuer DISCLAIMER
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