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Structured Finance

Prime RMBS/Australia

The Dinkum Index Q211


Fitch Ratings Quarterly Australian Residential Mortgage Performance Report
Special Report
Key Points
30+ days arrears in the prime RMBS sector decreased 10bp to 1.69% in Q211, as cash rates remained stable and households had the opportunity to adjust to the variables which affected performance in Q111. More susceptible borrowers (eg low-doc, self-employed) remain under pressure when making mortgage payments. Fitchs Low-doc Dinkum Index shows a slight decrease of 30+ day delinquency rates to 6.55% in Q211, from 6.74% in Q111. However, arrears remain high. The current stabilisation in delinquency rates is expected to last into Q311, as no event is expected to threaten mortgage performance.

Stable Cash Rates Bring Relief to Households


Declining Arrears: Arrears in the Australian prime RMBS sector decreased slightly in Q211. Households seem to have adjusted to the challenges which hampered mortgage performance during Q111, eg increasing interest rates, natural disasters, seasonal Christmas spending. 30+ days delinquencies were 1.69% in June 2011, down 10 basis points (bp) from the record high of 1.79% in March 2011. 30-89 Days Delinquencies Improve: As expected, the decrease in arrears was mainly in the 30-59 days and 60-89 days buckets, which were also the buckets in which arrears increased the most during Q111. The Fitch Dinkum 30-59 Days RMBS Index and 60-89 Days RMBS Index decreased to 0.71% and 0.31% in Q211 respectively, down 8bp and 3bp from 0.79% and 0.34% in Q111. 90+ Days Arrears Increase: The Fitch Dinkum 90+ Days RMBS Index (the Dinkum 90+) increased marginally to 0.66% in Q211 from 0.65% in Q111. The increase is in line with expectations. Medium-term Stability Expected: Mortgage performance is expected to stabilise in Q311 as the effect of Christmas spending continues to pass through and borrowers affected by natural disasters in Q111 (eg in terms of employment and affordability) receive financial support. Insurance claims should also become finalised, further helping distressed borrowers.
Figure 1

Collateral Performance Summary


Q211 Dinkum index No. of transactions Total current collateral (AUDm) 30-59 days delinquency ratio (%) 60-89 days delinquency ratio (%) 90+ days delinquency ratio (%) 30+ days delinquency ratio (%) Dinkum Index Low-doc No. of transactions Total current collateral (AUDm) Conforming low-doc (%) 30-59 days delinquency ratio 60-89 days delinquency ratio 90+ days delinquency ratio 30+ days delinquency ratio Non-conforming Low-doc (%) 30-59 days delinquency ratio 60-89 days delinquency ratio 90+ days delinquency ratio 30+ days delinquency ratio Total Low-doc (%) 30-59 days delinquency ratio 60-89 days delinquency ratio 90+ days delinquency ratio 30+ days delinquency ratio
Source: Fitch

Q111 81 35,309 0.79 0.34 0.65 1.79 102 54,330 1.87 0.93 2.64 5.45 4.26 3.21 9.41 16.88 3.40 1.19 2.14 6.74

87 36,257 0.71 0.31 0.66 1.69 102 54,488 1.81 0.85 2.72 5.38 4.13 3.75 7.94 15.83 3.31 1.18 2.07 6.55

Related Research
Australian Mortgage Delinquency by Postcode 31 March 2011 (March 2011) 2011 Outlook: Australian Structured Finance (January 2011)

Analysts
James Zanesi +61 2 8256 0306 james.zanesi@fitchratings.com Natasha Vojvodic +61 2 8256 0350 natasha.vojvodic@fitchratings.com Kim Bui +61 2 8256 0340 kim.bui@fitchratings.com

Investor Relations
Vickie Brumwell +61 2 8256 0305 vickie.brumwell@fitchratings.com

www.fitchratings.com

21 September 2011

Structured Finance
Certain borrowers (eg low-doc, self-employed) remain under pressure when making mortgage payments. In Q211, 30+ days low-doc arrears decreased to 6.55%, down 19bp from 6.74% in Q111. However, current levels are still relatively high. Arrears for prime low-doc borrowers were at 5.38% in June 2011 (versus 5.45% in March 2011). Moreover, the 90+days arrears for prime low-doc borrowers are currently at 2.72%, which is a new record high: this suggests that prime low-doc borrowers are finding it difficult to cure their delinquency status. Non-conforming low-doc 30+ days delinquencies decreased to 15.83% in Q211, down 105bp from Q111. However, this decrease was mainly due to the settlement of loans in arrears by more than 90+days. Fitch Ratings continues to believe that more vulnerable borrowers are more likely to be affected by eventual monetary policy decisions. As was the case in Q111, low-doc prime pools are currently experiencing arrears more than three times that of the full-doc pools. However, the agency believes that although mortgage arrears are at a higher than historical level, the Australian prime RMBS market is stable overall. Delinquency levels remain low (especially compared with other countries) and within Fitchs expectations. The unemployment rate is still only 5.3% and the economy is strong, although an interest rate rise might offset any otherwise improving arrears figures. Recent declining house prices have been mainly limited to specific geographical areas (eg Brisbane and Perth). Softening house prices could impact future 90+ days delinquencies. Concerns persist over a potential housing bubble in Australia. The agency has conducted a stress-test analysis using different property-price declines (for more information, please refer to Australian RMBS Housing Stress Test, dated 24 January 2011). Fitchs analysis has shown the robust nature of Australian RMBS ratings, even in the face of a simulated severe downturn.

Index Methodology
No transaction was removed from the Index during Q211. Five new transactions have been added since the last Dinkum report (Pinnacle Series Trust 2010-T1, WB Trust 2010-1, Series 2010-2 Swan Trust, Resimac Premier Series 2010-2, and Light Trust No. 3). The size of the portfolio on which the prime index is based increased to AUD36.2bn in Q211, from AUD35.3bn in Q111. The addition of these five transactions has partially contributed to the decrease in arrears in the Prime Dinkum Index, as their average 30+ days arrears level is much lower than the Dinkum level (0.25%). There were 102 transactions in the Dinkum Low-Doc Index as at Q211. The outstanding amount of prime and non-conforming collateral, where low-doc loans make up all or part of the pool, has increased slightly to AUD54.5bn, from AUD54.3bn in Q111. The amount of low-doc collateral in these transactions fell over the same period to AUD6.7bn from AUD7.1bn, although this did not drive the change in arrears. Effective 1 January 2008, the Australian Prudential Regulatory Authority (APRA) limited the circumstances in which an Australian deposit-taking institution (ADI) could make date-based calls to repurchase exposures from a securitisation. Clean-up calls are only allowed when the outstanding collateral amount has amortised to 10% or less of that at closing. As a result, a number of ADI transactions have gone beyond their date-based calls and have eventually been called when the outstanding amount has amortised to below 10%.

Related Criteria
Global Structured Finance Rating Criteria (August 2011) APAC Residential Mortgage Criteria (August 2011) APAC Residential Mortgage Criteria Addendum - Australia (August 2011) Counterparty Criteria for Structured Finance Transactions (March 2011) Counterparty Criteria for Structured Finance Transactions Derivative Addendum (March 2011) Criteria for Special-Purpose Vehicles in Structured Finance Transactions (June 2011) Global Criteria for Lenders Mortgage Insurance in RMBS (August 2011)

Interest Rates
Fitchs Dinkum 30+ Days Index shows arrears slightly decreasing in Q211. The decision by the Reserve Bank of Australia (RBA) to leave the current level of cash rates at 4.75% over the last nine months has contributed to the stabilisation of arrears through Q211. Stable interest rates have provided financial relief to households and Australian borrowers have proven able to

The Dinkum Index Q211 September 2011

Structured Finance
absorb interest-rate rises in the past; however, the recent level of high mortgage rates has been reducing borrower serviceability. As stated in the last Dinkum Index report (The Dinkum Index Q111), Fitch expected most borrowers who were in arrears to reduce their spending and cure their missed payments in the medium to long term. As interest rates have remained stable, this stabilisation of arrears is expected to continue into Q311. In the long term, the RBA states it will continue to assess carefully the evolving outlook for growth and inflation. Depending on the extent of any further increases in interest rates and the increasing cost of living, some borrowers may not be able to afford increasing expenditure. Australia is currently experiencing a slight increase in living costs. The Consumer Price Index (CPI) provided by the Australian Bureau of Statistics (ABS) shows an average 3.7% year-onyear (yoy) increase in consumer prices. In particular, the Queensland floods and cyclone Yasi contributed strongly to increased fruit and vegetable prices. Over the last year, the actual costs for households have actually increased beyond the CPI level, as the CPI does not include, eg interest paid on mortgages. The Analytical Living Cost Index (ALCI) includes changes in the amount of interest paid on mortgages (measured as part of financial and insurance services) and other costs, eg maintenance costs and council rates for owner-occupied housing. As such, the ALCI paints a gloomier picture, with increasing costs for salaried employee households of 4.5% yoy. However, in Q211, the ALCI reported costs increasing by 0.9% (versus the 1.0% CPI increase), mainly thanks to the stabilisation of interest rates. Fitch continues to believe that the increasing cost of living, together with potentially higher levels of mortgage rates, is a major threat to the performance of the mortgage market in the long term. Fitch anticipated the recent stabilisation in arrears, and expects this to continue through Q311.

Macroeconomic Outlook
Fitchs macroeconomic outlook has not changed considerably since December 2010. At current interest rates, any negative long-term impact is unlikely, as borrowers are currently paying less than pre-2008 levels. An adjustment in arrears is expected in the long term, although this may depend on monetary policy over the rest of 2011 and 2012. While Australias economy continues to expand, thanks in part to the strong growth experienced by the Asian region, there is growing concern that the economic relationship with certain Asian markets (eg China) may not provide a healthy long-term equilibrium. According to the ABS, Australias unemployment rate increased to 5.3% in August 2011, from 4.9% in April 2011. While unemployment remains above the 2005-08 average, it is still lower than a year ago and it has remained stable in the 5% area. Fitch believes the current unemployment rate is not a concern for arrears in 2011.

House Prices
According to preliminary estimates from the ABS, house prices in the eight state capital cities fell in Q211, with a quarter-on-quarter (qoq) decrease of 0.1% in March 2011 and a yoy decrease of 1.9%. Perth and Brisbane have recorded a yoy decrease of 4.1% and 3.6%, respectively. The RPData - Rismark Home Value Index also suggests a similar trend in the housing market, with seasonally-adjusted Q211 house prices decreasing 0.9% qoq (and decreasing 2.0% yoy). A drop in house prices could negatively affect transactions, both in terms of recovery rate and recovery time. As house prices drop, the eventual sale price is more likely to be below the mortgage balance, leading to more losses and eventual LMI claims. This obviously depends on

The Dinkum Index Q211 September 2011

Structured Finance
the price at which the property was first purchased. Less seasoned mortgages tend to have amortised less and therefore tend to experience a more modest house price appreciation, in turn being more likely to generate a loss. Moreover, in a downturn, oversupply is likely to extend recovery times as it becomes harder to sell properties. If properties are not easily sold, and more borrowers migrate from 30-59 days into a longer period of arrears, 90+ days delinquencies tend to increase. Fitch notes concerns over a potential housing bubble in Australia. The agency has conducted a stress-test analysis using different property-price declines (for more information please refer to Australian RMBS Housing Stress Test, dated 24 January 2011). Fitchs analysis has shown the robust nature of Australian RMBS ratings, even in the face of a simulated severe downturn.

Prime RMBS Delinquencies


Arrears slightly decreased in Q211 as the effects of the seasonal increase in spending during the Christmas period have diminished. The Prime RMBS Dinkum Index has shown signs of stabilisation: 30+ days arrears were 1.69% in June 2011, down 10bp from the record high of 1.79% in March 2011. As expected, the decrease in arrears was predominantly in the 30-59 days and 60-89 days buckets, which were most affected during Q111. As there have been no interest rate increases this year, Fitch would expect this stabilisation to continue through Q311.
Figure 2

The Fitch Dinkum Index


RMBS delinquencies
(%) 2.0 1.5 1.0 0.5 0.0 Jun 00 90+ days 60-89 days 30-59 days

Jun 01

Jun 02

Jun 03

Jun 04

Jun 05

Jun 06

Jun 07

Jun 08

Jun 09

Jun 10

Jun 11

Source: Fitch

30+ Days Delinquencies


Overall, the Fitch Dinkum 30+ Days RMBS Index (the Dinkum 30+) decreased to 1.69% in Q211 (from 1.79% in Q111). The 10bp decline is in line with forecasts, as the variables which negatively affected households during Q111 (increasing interest rates, natural disasters, seasonal spending) were expected to be temporary.
Figure 3

The Fitch Dinkum Index


30+ days RMBS delinquencies
(%) 2.0 1.6 1.2 0.8 0.4 0.0 Jun 01 Jun 02 Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Jun 10 Jun 11 Source: Fitch

In Q311, Fitch expects 30+ days arrears to continue stabilising, due to 30-59 days and 60-89

The Dinkum Index Q211 September 2011

Structured Finance
days arrears being partly cured and the absence of negative events affecting households.

30-59 Days Delinquencies


The Fitch Dinkum 30-59 Days RMBS Index (the Dinkum 30) decreased to 0.71% in Q211, down 8bp from 0.79% in Q111. The decrease in 30-59 days arrears resulted from the stabilisation of household expenditure through Q211. Fitch expects this trend to continue, although eventual monetary policy decisions and the increased cost of living may potentially elevate mortgage arrears for longer.
Figure 4

The Fitch Dinkum Index


30-59 days RMBS delinquencies
(%) 1.0 0.8 0.6 0.4 0.2 0.0 Jun 01 Jun 02 Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Jun 10 Jun 11 Source: Fitch

60-89 Days Delinquencies


The Fitch Dinkum 60-89 Days RMBS Index (the Dinkum 60) decreased to 0.31% in Q211 from 0.34% in Q111. As is the case for the Dinkum 30, the stabilisation of household expenditure has positively affected 60-89 days arrears. Fitch does not expect volatility in the 60-89 days delinquencies bucket in the long term.
Figure 5

The Fitch Dinkum Index


60-89 days RMBS delinquencies
(%) 0.4 0.3 0.2 0.1 0.0 Jun 01 Jun 02 Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Jun 10 Jun 11 Source: Fitch

90+ Days Delinquencies


The Fitch Dinkum 90+ Days RMBS Index (the Dinkum 90+) increased marginally to 0.66% in Q211, from 0.65% in Q111. The current level of 90+ days arrears is still below the 0.72% peak reached in December 2008 (following the liquidity crunch). In the current scenario of relatively flat house prices, a strong economy and stable employment, it is very unlikely 90+ days delinquencies will reach a new peak. The increase is in line with expectations, as not all borrowers in arrears by one or two months in Q111 were expected to cure their delinquency status through Q211. However, if no adverse developments influence the Australian economy or housing market, Fitch expects 90+ days arrears to remain at historical levels in the long term.

The Dinkum Index Q211 September 2011

Structured Finance
Figure 6

The Fitch Dinkum Index


90+ days RMBS delinquencies
(%) 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 Jun 01 Jun 02 Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Jun 10 Jun 11 Source: Fitch

Low-Doc Delinquencies
In Q211, 30+ days low-doc arrears decreased to 6.55%, down 19bp from 6.74% in Q111, however, current levels are still relatively high. 90+ days arrears remained at 3.31% (versus 3.40% in Q111). Low-doc arrears began to fall at the beginning of 2009 but started to rise again in Q110. The increasing 90+ days arrears suggest that a stabilisation is unlikely in the near term. Fitch has separated reduced-documentation (low-doc) conforming mortgage delinquencies from low-doc non-conforming mortgage delinquencies. Non-conforming low-doc mortgages currently represent just 11.2% of all low-doc loans securitised in Australia (versus 11.3% in Q111). As mentioned in previous reports, the decreasing portion of non-conforming loans in the low-doc market is a trend which is likely to continue, at least in the short to medium term. Non-conforming low-doc loans which typically have significantly higher loan-to-value ratios (LVRs) usually have delinquency levels at around three times that of conforming low-doc loans. However, as performance in the overall market deteriorates, the divergence between conforming and non-conforming loans increases. Currently, non-conforming low-doc pools are experiencing 2.9 times the level of 30+ days arrears of conforming low-doc pools.
Figure 7

The Fitch Dinkum Index


Low-doc delinquencies
(%) 8 6 4 2 0 Jun 07 Source: Fitch Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 90+ days 60-89 days 30-59 days

Non-conforming low-doc 30+ days delinquencies decreased to 15.83% in Q211, down 105bp from Q111. The decrease in non-conforming low-doc arrears in Q211 was due to a reduction in 90+ days arrears, which was driven mainly by severe delinquencies becoming defaulted loans in Q211.

The Dinkum Index Q211 September 2011

Structured Finance
Figure 8

The Fitch Dinkum Index


Non-conforming low -doc delinquencies
(%) 25 20 1 5 1 0 5 0 Jun 07 So urce: Fitch Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 1 0 Dec 1 0 Jun 1 1 90+ days 60-89 days 30-59 days

Since Q210, Fitch has anticipated that low-doc conforming loans would experience considerable deterioration and prime low-doc borrowers are now doing so. Arrears for these borrowers continue to be high at 5.38% in June 2011 (versus 5.45%in March 2011). Moreover, 90+ days arrears are currently at 2.72%, which is a record high. The increase in 90+ days arrears suggests that prime low-doc borrowers are struggling to cure their delinquency status. As was the case in Q111, the low-doc prime pool is currently experiencing arrears more than three times that of the full-doc pool. The ratio is at its highest since December 2006 (when the Index was created) and indicates that the increase in interest payments over the past two years has particularly affected self-employed borrowers who have self-certified their income. As low-doc borrowers adjust to the November 2010 cash-rate increase, Christmas spending and the Queensland floods, a return to delinquency rates in line with historical levels is likely in the next few quarters. However, Fitch continues to believe that low-doc borrowers are likely to take longer to cure their delinquency status. If low-doc households are not affected by further financial pressures in terms of cost of living or interest rate rises delinquencies may begin to fall over the next two quarters.
Figure 9

The Fitch Dinkum Index


Conforming low-doc delinquencies
(%) 6 5 4 3 2 1 0 Jun 07 Source: Fitch Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 90+ days 60-89 days 30-59 days

Lenders Mortgage Insurance (LMI) Claims


LMI offers an extra level of protection to the lender for conforming loans, where losses ensue following the sale of the underlying collateral. Fitch has published its Global Criteria for Lenders' Mortgage Insurance, dated 10 August 2011, which outlines the credit given to LMI within RMBS transactions. Fitch's criteria will continue to give credit to LMI within RMBS transactions on the basis of the LMI's ability to pay claims, measured by its Insurer Financial Strength (IFS) rating and a Quality

The Dinkum Index Q211 September 2011

Structured Finance
Adjustment (QA). The QA takes into account that even in benign economic environments, the LMI does not cover all losses accruing to insured loans, irrespective of the insurer's capacity to pay. Fitch-rated prime RMBS transactions experienced only 16 new claims during Q211, totalling approximately AUD1.2m (versus AUD3.0m in Q111), a 60% decrease in cumulative claims over the past six months. The Fitch Dinkum LMI Index (the Dinkum LMI) shows the loss rate for prime/conforming transactions. Since the beginning of 2010, LMI claims have been stable, with the average cumulative LMI claim in June 2011 being AUD79,564. House price appreciation over the last couple of years has helped boost recoveries on those properties that proceeded to default. Despite increasing inflation, the average LMI claim has stabilised at between AUD75,000 and AUD80,000 during the past 24 months. The recent decrease in house prices over Q211 has not substantially affected average LMI claims. However, in the event of a further fall in house prices, Fitch would expect the average LMI claim to increase.
Figure 10

Average LMI Claim


(AUD) 95,000 85,000 75,000 65,000 55,000 45,000 35,000 25,000 15,000 5,000 Jun 01 Source: Fitch Jun 02 Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Jun 10 Jun 11

In Q211 the number of claims per quarter stabilised. Losses tended to be limited or in some cases zero especially for well-seasoned mortgages. Stagnation in the housing market sometimes due to events in particular geographical areas (eg Queensland floods) may lead to a decrease in property sales and to a rise in 90+ days arrears. For a claim on LMI to materialise, the loan must first default and then, upon foreclosure, proceeds must be insufficient to repay the loan. Fitchs analysis for Australian RMBS transactions takes into account the possibility of a sharp market value decline and considers current and near-term performance projections to be well within the modelled scenarios.

About the Dinkum Index


Fitchs Dinkum Index has been designed to enable investors to track the arrears and LMI performance of the mortgages underlying Australian RMBS. Separate indices are shown for all Fitch-rated Australian conforming (prime) RMBS, as well as the delinquency performance of low-doc mortgages. Each index uses a weighted average, based on current collateral for the RMBS and low-doc indices and initial collateral for the Dinkum LMI. Transactions are added to the indices approximately six months after issue, to allow some seasoning to occur (with the exception of the Dinkum Low-Doc Index, where transactions are included as soon as they are released) and are removed once fully redeemed. The data for the Dinkum Low-Doc Index covers approximately 95% of all Australian publicly issued term RMBS transactions (where the underlying pool contains at least some element of reduced or low-doc mortgages). Data are captured from both the conforming and nonThe Dinkum Index Q211 September 2011

Structured Finance
conforming sectors. LMI claims are the amounts claimed by servicers from LMI providers as a result of principal shortfalls on loans where the contracts have been terminated and the underlying collateral liquidated.

Individual Transaction Performance


The Appendix sets out the performance data for each transaction used to construct the indices, as reported to Fitch at 30 June 2011 (or the nearest available date). The delinquency ratios show the current balance of the loan accounts in arrears for the relevant period, expressed as a percentage of the transactions total current principal collateral balance. Total 30+ days delinquencies ranged between a low of 0.01%, and a high of 9.11% in Q211 for the Series 2005-2(S) Torrens Trust. The arrears in this transaction have decreased over the last quarter although they are still relatively high, predominantly due to the low-doc nature of the loans. Currently, 90+ days arrears are high at 6.22%, mainly driven by common reasons of defaults, such as unemployment and divorce. Transactions that have experienced a sharp increase in delinquencies over the past quarter are: Liberty PRIME Series 2010-1; Series 2004-2 (W) Torrens Trust; Series 2004-1 REDS Trust; and Maxis Loans Securitisation Fund 2009-1. Conversely and in addition to the already mentioned Series 2005-2(S) Torrens Trust Nautilus Trust No. 1 Series 2007-1, Interstar Millennium Series 2005-2L Trust, Interstar Millennium Series 2004-5 Trust, and Interstar Millennium Series 2006-4H Trust have experienced an improvement in arrears through Q211. The claim amounts show the total cumulative claims against LMI for all deals up to the date the data was provided. This amount is then expressed as a ratio of the maximum initial collateral level of the portfolio, ie at closing or after pre-funded purchases. Several transactions have had no claims and the highest claims ratio is 1.36% (Interstar Millennium Series 2006-4H Trust). Transactions that have experienced a considerable increase in claim amount during Q211 include: Series 2004-2 (W) Torrens Trust (AUD488,182); Apollo Series 2007-1E Trust (AUD138,764); PUMA Masterfund S-7 (AUD106,711); Series 2004-1 Torrens Trust (AUD96,485); Interstar Millennium Series 2006-4H Trust (AUD64,716); and Interstar Millennium Series 2006-1 Trust (AUD62,962).

The Dinkum Index Q211 September 2011

Structured Finance
Appendix
Figure 11

Individual Transaction Data


(AUD) Issue name AIMS 2004-1 Trust AIMS 2005-1 Trust AIMS 2007-1 Trust Apollo Series 2007-1E Trust Apollo Series 2009-1 Trust Challenger Millennium Series 2007-1E Trust Challenger Millennium Series 2007-2L Trust Challenger Millennium Series 2008-1 Trust Challenger Millennium Series 2008-2 Trust Challenger Millennium Series 2009-1 Trust ConQuest 2010-2 Trust Crusade Euro Trust No. 1E of 2006 Crusade Euro Trust No. 1E of 2007 Crusade Global Trust No. 1 of 2005 Crusade Global Trust No. 1 of 2006 Crusade Global Trust No. 1 of 2007 Crusade Global Trust No. 2 of 2005 Crusade Global Trust No. 2 of 2006 FirstMac Bond Series 1C-2006 FirstMac Bond Series 1E-2006 Trust FirstMac Bond Series 2-2004 Trust FirstMac Bond Series 2-2005 Trust FirstMac Mortgage Funding Trust Series 1-2007 FirstMac Mortgage Funding Trust Series 1-2009 FirstMac Mortgage Funding Trust Series 1-2010 FirstMac Mortgage Funding Trust Series 1E-2007 FirstMac Mortgage Funding Trust Series 2-2008 FirstMac Mortgage Funding Trust Series 2-2009 GBS Receivables Trust No.4 HBS Trust 2004-1 Illawarra Series 2003-1 Trust Illawarra Series 2004-1 Trust Illawarra Series 2005-1 Trust Illawarra Series 2006-1 Trust Initial housing pool 585,984,108.00 400,000,000.00 345,687,557.00 2,501,000,000.00 1,478,000,000.00 1,652,270,136.00 894,712,600.00 432,877,787.00 824,100,000.00 625,778,317.00 250,250,000.00 2,093,377,056.00 2,221,307,737.00 2,546,977,095.00 3,090,762,748.00 3,653,000,000.00 2,250,004,171.00 3,007,131,563.00 335,431,874.00 830,965,852.00 500,000,000.00 596,992,197.00 706,387,280.35 620,838,348.00 414,954,078.00 1,322,102,139.03 586,994,181.51 466,131,122.00 261,692,685.00 499,984,165.00 499,050,940.00 493,934,715.00 499,284,178.00 499,678,091.00 Current housing pool 63,271,178.82 82,657,935.08 114,187,777.88 812,907,715.00 948,585,929.00 845,432,345.00 328,146,981.00 256,414,688.00 516,885,817.00 424,873,888.00 196,058,099.72 637,917,385.20 907,353,765.56 488,529,570.00 830,025,911.97 1,363,475,743.96 525,657,619.00 1,016,778,453.18 289,622,661.07 297,550,287.72 95,541,676.52 166,654,368.15 282,176,711.42 417,174,644.09 374,881,979.28 440,899,864.21 369,660,889.08 393,252,163.76 170,373,876.44 72,218,695.00 55,863,027.87 93,257,056.23 116,616,160.54 165,096,067.70 30-59 days 0.51 1.10 0.91 0.55 1.11 2.96 0.26 0.38 0.49 0.29 1.18 1.14 0.83 1.26 1.26 1.10 1.38 0.62 1.26 1.49 1.12 1.20 0.58 0.15 0.55 0.18 0.36 0.31 0.01 0.39 0.18 0.13 0.74 (%) 60-89 days 0.80 0.78 0.47 0.24 0.49 1.56 0.26 0.19 0.04 0.19 0.61 0.36 0.35 0.46 0.38 0.41 0.17 0.27 0.10 0.72 0.21 0.17 0.03 0.29 0.39 0.08 0.81 90+ days 0.32 3.39 2.47 0.70 0.54 1.08 2.12 0.18 0.40 0.35 0.62 0.50 0.80 0.80 0.35 0.88 0.58 0.63 0.64 2.96 1.61 1.12 1.01 0.30 0.10 0.20 0.48 Total 30+ Total 30+ AUD amount No. claims 1.12 708,637.20 15 4.68 3,868,391.36 24 3.57 4,076,503.67 25 2.08 16,908,480.47 7 1.33 12,616,192.86 0 2.68 22,657,586.85 75 6.64 21,788,959.54 14 0.70 1,794,902.82 0 0.97 5,013,792.42 1 0.88 3,738,890.21 1 0.29 568,568.49 0 1.99 12,694,555.97 14 2.25 20,415,459.73 8 1.99 9,721,738.44 8 2.41 20,003,624.48 21 2.07 28,223,947.90 14 2.36 12,405,519.81 8 2.37 24,097,649.34 19 1.42 4,112,641.79 6 2.17 6,456,841.24 59 4.55 4,347,146.28 45 3.45 5,749,575.70 44 2.53 7,139,070.80 34 1.76 7,342,273.74 0 0.48 1,799,433.50 0 0.94 4,144,458.72 4 0.38 1,404,711.38 0 1.23 4,837,001.61 0 0.39 664,458.12 0 0.01 7,221.87 4 1.20 670,356.33 0 0.18 167,862.70 1 0.13 151,601.01 1 0.74 1,221,710.90 2 Claims ratio (%) 0.10 0.41 0.72 0.03 0.37 0.18 0.00 0.01 0.07 0.03 0.02 0.06 0.03 0.05 0.03 0.10 0.52 0.56 0.62 0.30 0.00 0.01 0.00 0.04 0.02 0.01 0.04

The Dinkum Index Q211 September 2011

10

Structured Finance
Individual Transaction Data (Cont.)
Issue name Illawarra Series 2010-1 Trust Interstar Millennium Series 2004-5 Trust Interstar Millennium Series 2005-2L Trust Interstar Millennium Series 2005-3E Trust Interstar Millennium Series 2006-1 Trust Interstar Millennium Series 2006-2G Trust Interstar Millennium Series 2006-3L Trust Interstar Millennium Series 2006-4H Trust Kingfisher Trust 2004-1G Liberty PRIME Series 2009-1 Liberty PRIME Series 2009-2 Liberty PRIME Series 2010-1 Light Trust No. 2 Light Trust No. 3 Maxis Loans Securitisation Fund 2008-1 Maxis Loans Securitisation Fund 2009-1 Medallion Trust Series 2006-1G Medallion Trust Series 2007-1G Nautilus Trust No. 1 Series 2007-1 Nautilus Trust No. 1 Series 2008-1 Pinnacle Series Trust 2010-T1 Progress 2010-1 Trust PUMA Masterfund P-15 PUMA Masterfund S-6 PUMA Masterfund S-7 Resimac Premier Series 2008-1 Resimac Premier Series 2009-1 Resimac Premier Series 2009-2 Resimac Premier Series 2010-1 Resimac Premier Series 2010-2 Resimac Tromphe Trust - Series 2011-1 Series 2004-1 REDS Trust Series 2004-1 Torrens Trust Series 2004-2 (W) Torrens Trust Initial housing pool 297,900,000.00 742,152,613.00 1,373,209,818.00 2,041,228,813.00 979,190,101.00 1,389,098,848.00 999,281,085.00 396,740,866.00 1,481,226,046.66 591,033,348.00 123,443,832.00 196,009,861.00 263,200,000.00 529,668,174.00 470,000,000.00 276,000,000.00 5,464,095,487.00 7,070,031,216.00 253,014,278.00 253,014,278.00 267,770,177.00 1,000,000,000.00 314,999,745.00 294,886,799.08 689,669,263.00 609,007,766.00 550,104,531.00 289,847,791.00 249,318,807.00 399,516,268.00 3,000,000,000.00 465,387,559.00 800,000,000.00 1,000,000,000.00 (AUD) Current housing pool 235,403,738.37 133,268,916.00 309,159,350.00 564,656,952.00 264,505,874.00 519,461,512.00 551,500,847.00 243,294,599.00 173,366,992.00 288,604,903.83 79,296,266.65 162,561,397.93 129,598,939.40 432,535,464.97 168,342,199.00 151,670,484.00 1,347,196,585.99 2,493,883,962.37 79,538,991.00 79,641,217.00 232,201,213.00 726,664,634.28 147,548,352.21 117,624,675.21 259,461,524.69 319,023,764.75 347,370,833.28 210,932,166.26 196,601,732.00 365,272,638.93 763,615,787.68 51,586,089.00 136,138,311.33 155,987,456.78 30-59 days 0.14 0.54 1.61 0.73 1.10 1.08 1.39 0.73 0.41 0.76 1.47 0.96 0.29 0.09 0.71 1.66 0.51 0.51 2.30 1.97 0.41 0.54 0.28 0.41 1.35 0.52 0.12 0.31 0.36 2.51 1.63 1.82 (%) 60-89 days 0.14 0.24 1.05 0.43 0.93 0.53 0.54 0.19 0.12 0.40 0.82 0.87 0.96 0.89 0.16 0.33 0.60 0.39 1.37 0.38 0.17 0.16 0.37 0.80 90+ days 0.06 2.86 2.25 1.21 1.59 0.60 1.67 1.51 0.08 2.00 1.03 0.92 0.06 1.36 2.89 0.78 0.69 0.40 0.62 0.43 0.21 0.39 1.56 3.24 0.28 0.28 0.44 0.35 0.16 1.93 3.34 Total 30+ Total 30+ AUD amount No. claims 0.34 800,372.71 0 3.64 4,850,988.54 59 4.91 15,179,724.09 85 2.37 13,382,369.76 166 3.62 9,575,112.64 34 2.21 11,480,099.42 83 3.60 19,854,030.49 40 2.43 5,912,058.76 66 0.61 1,057,538.65 0 3.16 9,119,914.96 0 3.32 2,632,636.05 0 2.75 4,470,438.44 0 0.29 375,836.92 0 0.15 648,803.20 0 3.03 5,100,768.63 1 5.44 8,250,874.33 0 1.45 19,534,350.50 16 1.53 38,156,424.62 11 3.30 2,624,786.70 6 2.59 2,062,707.52 9 0.84 1,950,490.00 0 1.14 8,283,976.83 0 0.67 995,176.00 0 1.97 2,312,183.00 2 5.96 15,453,042.00 8 0.90 2,871,213.88 4 0.40 1,389,483.33 0 0.28 590,610.07 1 0.75 1,474,512.99 0 0.17 620,963.49 1 0.87 6,643,457.35 2 2.67 1,377,348.58 5 3.93 5,350,235.64 3 5.96 9,296,852.42 9 Claims ratio (%) 0.53 0.53 0.70 0.28 0.50 0.42 1.36 0.10 0.02 0.01 0.13 0.24 0.04 0.08 0.00 0.00 0.00 0.00 0.09 0.02 0.10

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Structured Finance
Individual Transaction Data (Cont.)
Issue name Series 2005-1 Torrens Trust Series 2005-2(S) Torrens Trust Series 2005-3(E) Torrens Trust Series 2006-1(E) Torrens Trust Series 2010-1 Harvey Trust Series 2010-1 Swan Trust Series 2010-2 Swan Trust SMHL Global Fund 2007-1 SMHL Global Fund No. 8 SMHL Securisation Fund 2010-1 SMHL Securisation Fund 2010-2E SMHL Securisation Fund 2010-3 SMHL Securitisation Fund 2008-1 SMHL Securitisation Fund 2008-2 SMHL Securitisation Fund 2009-1 SMHL Securitisation Fund 2009-2 SMHL Securitisation Fund 2009-3 WB Trust 2009-1 WB Trust 2010-1
Source: Fitch

Initial housing pool 994,259,355.00 750,000,000.00 1,998,869,313.00 1,500,000,000.00 650,000,000.00 619,936,612.00 999,998,893.00 3,200,000,001.00 2,499,999,981.00 673,000,000.00 1,200,027,462.00 999,999,750.00 300,000,000.00 599,999,994.00 713,994,537.00 1,255,300,000.00 783,700,000.00 424,011,572.00 252,908,908.00

(AUD) Current housing pool 271,463,719.74 91,212,652.48 330,037,225.00 398,800,811.67 489,222,665.90 437,960,101.00 862,280,732.19 981,074,224.39 429,064,272.00 447,546,060.00 895,566,876.00 881,667,576.00 134,753,628.00 331,951,022.00 367,965,219.00 814,427,604.00 467,650,086.00 288,657,374.47 213,975,793.00

30-59 days 0.73 1.80 0.72 0.79 0.90 0.06 0.57 0.57 0.63 0.32 0.31 0.40 0.74 0.87 0.14 0.43 0.67 0.27

(%) 60-89 days 0.06 1.09 0.50 0.45 0.06 0.42 0.03 0.19 0.27 0.07 0.23 0.34 0.31 0.21 0.16 0.18 0.49 -

90+ days 1.51 6.22 1.69 1.19 0.06 0.84 0.08 0.30 0.42 0.04 0.12 0.01 0.17 0.18 0.28 0.21 0.19 0.53 -

Total 30+ Total 30+ AUD amount No. claims 2.30 6,243,665.55 5 9.11 8,309,472.64 6 2.91 9,604,083.25 12 2.43 9,690,859.72 7 0.12 590,980.98 0 2.16 9,459,938.18 0 0.17 1,465,877.24 0 1.06 10,399,386.78 5 1.26 5,406,209.83 6 0.74 3,311,840.84 0 0.67 6,000,298.07 0 0.32 2,821,336.24 0 0.91 1,226,258.01 0 1.23 4,082,997.57 0 1.36 5,004,326.98 1 0.51 4,153,580.78 0 0.80 3,741,200.69 0 1.69 4,878,309.63 0 0.27 577,734.64 0

Claims ratio (%) 0.03 0.09 0.07 0.02 0.01 0.01 0.01 -

The Dinkum Index Q211 September 2011

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Structured Finance

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The Dinkum Index Q211 September 2011

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