Swan Trust Series

Transcription

1 Swan Trust Series st January th February 2017 Monthly Information Report

2 Portfolio: Swan Trust Series Monthly Information Report: 31st January th February 2017 Amounts denominated in currency of note class Monthly Payment date: 20 March 2017 ISIN Code Interest rate * % Spread per annum * Bond report Class A1 AUD Class A2 AUD Class A2R AUD Class AB AUD Class B AUD AU3FN AU3CB AU3FN AU3FN AU3FN M BBSW FIXED (5 yrs) 1M BBSW 1M BBSW undisclosed undisclosed Fixed Note Coupon % 5.75 Original Balance 365,000, ,000, ,800, ,500, ,500, Balance before Payment Principal Redemption Balance after Payment Bond Factor before Payment Bond Factor after Payment Interest Payment * If on the First Optional Redemption Date, the relevant classes of Notes have not been redeemed in full, the applicable margins on the relevant Classes of Notes will reset ,775, ,204, ,500, ,345, , ,430, ,973, ,500, , , undisclosed. Portfolio Information Reporting Period AUD Beginning of Mortgage Repayments and Month Period prepayments Repurchases Redraws Defaulted loans Substitutions End of Mortgage Period Feb17 100,480,048 2,638, ,062, ,904, Portfolio Information Cumulative (since Closing Date) AUD Portfolio Initial balance Repayments and prepayments Repurchases Redraws Defaulted loans Substitutions End of Mortgage Period Mortgage loans 496,420, ,009,426 79,526, ,019, ,904,085.46

3 Portfolio: Swan Trust Series Monthly Information Report: 31st January th February 2017 Monthly Calculation Period: 31/01/2017 to 28/02/2017 Monthly Determination Date: 13/03/2017 Monthly Payment Date: 20/03/ days Loan Portfolio Amounts Feb17 Outstanding principal 100,480, Scheduled Principal 342, Prepayments 2,296, Redraws 1,062, Defaulted Loans Loans repurchased by the seller Total 98,904, Gross cumulative realised losses (Net of Postforeclosure proceeds) Mortgage Insurance payments Net cumulative realised losses Monthly Cash Flows Investor Revenues Finance Charge collections 356, Interest Rate Swap receivable amount Any other nonprincipal income 1, Principal draws Liquidity Facility drawings Income Reserve Draw Total Investor Revenues 358, Total Investor Revenues Priority of Payments: Taxes ** Trustee Fees ** Servicing Fee ** 23, Management Fee ** 2, Custodian Fee ** Other Senior Expenses ** 22, Interest Rate Swap payable amount ** 83, Liquidity Facility fees and interest ** Repayment of Liquidity Facility drawings ** Class A1 Interest Amount ** Class A2 Interest Amount (allocation to swap)** 179, Redraw Notes Interest Amount Class AB Interest Amount ** 16, Reimbursing Principal draws Payment of current period Defaulted Amount Reinstate prior period unreimbursed ChargeOffs reimbursement of Extraordinary Expense Reserve Draw Subordinated Termination Payments Reimbursement of Income Reserve Excess Distributions to Income Unitholder Total of Interest Amount Payments 358, ** Shortfall in these items can be met with Liquidity Facility drawings

4 Portfolio: Swan Trust Series Monthly Information Report: 31st January th February 2017 Principal Collections Scheduled Principal repayments 342, Unscheduled Principal repayments 1,233, Repurchases of (Principal ) Reimbursement of Principal draws from Investor Revenues Any other Principal income Excess Class A2R Principal in Collections Account Issuance of Class A2R Notes Principal in Guaranteed Investment Contract Account Total Principal Collections 1,575, Total Principal Collections Priority of Payments: Pricipal Draw Redraw Notes repayment Class A1 Principal Class A2 Principal 1,345, Principal Payment to Guaranteed Investment Contract Account Class AB Principal 230, Class B Principal Excess Class A2R Principal in Collections Account Total Principal Priority of Payments 1,575, Additional Information Liquidity Facility (364 days) Available amount 2,000,000 Liquidity Facility drawn amount Interest due on drawn amount Interest payment on drawn amount Repayment of drawn amount Class A1 AUD Outstanding Balance beginning of the period Outstanding Balance end of the period Interest rate 1M BBSW+1.25% Rating (S&P/Fitch) AAA(sf)/AAAsf Chargeoff Analysis Class A1 AUD Previous Balance ChargeOff Additions ChargeOff Removals Final Balance Class A2 AUD Outstanding Balance beginning of the period Outstanding Balance end of the period Interest rate FIXED (5 yrs)+% Rating (S&P/Fitch) AAA(sf)/AAAsf Chargeoff Analysis Class A2 AUD Previous Balance ChargeOff Additions ChargeOff Removals Final Balance Class A2R AUD Outstanding Balance beginning of the period 85,775, Outstanding Balance end of the period 84,430, Interest rate 1M BBSW+1.1% Rating (S&P/Fitch) AAA(sf)/AAAsf Chargeoff Analysis Class A2R AUD Previous Balance ChargeOff Additions ChargeOff Removals Final Balance

5 Portfolio: Swan Trust Series Monthly Information Report: 31st January th February 2017 Class AB AUD Outstanding Balance beginning of the period 5,204, Outstanding Balance end of the period 4,973, Interest rate 1M BBSW+2.5% Rating (S&P/Fitch) AAA(sf)/AAAsf Chargeoff Analysis Class AB AUD Previous Balance ChargeOff Additions ChargeOff Removals Final Balance Class B AUD Outstanding Balance beginning of the period 9,500, Outstanding Balance end of the period 9,500, Interest rate undisclosed Rating (S&P/Fitch) NR / NRsf Chargeoff Analysis Class B AUD Previous Balance ChargeOff Additions ChargeOff Removals Final Balance Key Characteristics of the Mortgage Pool (summary) Offering Circular 28 February 2017 Number of Loans 2, Min (Interest Rate) 6.19% 3.78% Max (Interest Rate) 8.64% 5.82% Weighted Average (Interest Rate) 7.13% 4.64% Weighted Average Seasoning (Months) Weighted Average Maturity (Months) Original Balance (AUD) 499,880, ,480,048 Outstanding Principal Balance (AUD) 499,880,226 98,904,085 Average Loan Size (AUD) 239, ,082 Maximum Loan Value (AUD) 980, ,000 Current Average LoantoValue 56.11% 32.97% Current Weighted Average LoantoValue 61.14% 45.97% Current Maximum LoantoValue 94.00% 93.00% Counterparty Ratings/Trigger Events Perfection of Title Events Unremedied breach of representation or warranty by Seller Event of default by Seller under Interest Rate Swaps Servicer Default Insolvency Event occurs in relation to Seller Seller's long term credit rating downgraded below BBB by S&P or BBB by Fitch Collection Account (Commonwealth Bank of Australia) ShortTerm Rating (S&P/Fitch) Rating Requirement (S&P/Fitch) Mortgage Insurance Provider (QBE Lender's Mortgage insurance) LongTerm Rating (S&P/Fitch) Liquidity Facility Provider (Commonwealth Bank of Australia) ShortTerm Rating (S&P/Fitch) Rating Requirement (S&P/Fitch) None None None None AA/AA A1+/F1+ A1/F1 AA/AA A1+/F1+ A1/F1

6 Portfolio: Swan Trust Series Monthly Information Report: 31st January th February 2017 Arrears Breakdown Number of Percentage of Principal Balance Percentage of Total Days in Arrears Loans in Arrears Number of Loans of Delinquent Principal Outstand. Arrears Outstanding (1) Loans of the Loans (1) amount(1) (%) (%) % 321, % 5, % 546, % 12, % 0.00% % 0.00% % 0.00% > % 597, % 90, Grand Total % 1,465, % 107, Default Statistics During Monthly Period Properties Loss on Sale Claims Submitted Claims Paid Claims Denied Loss Covered by Loss Charged Defaulted Loans Foreclosed of Property to Insurer by Insurer by Insurer Excess Spread off to Noted 1 0 Default Statistics Since Closing Properties Loss on Sale Claims Submitted Claims Paid Claims Denied Loss Covered by Loss Charged Defaulted Loans Foreclosed of Property to Insurer by Insurer by Insurer Excess Spread off to Noted 6 5 CPR Statistics Annualised Prepayments (CPR) Feb %

7 Monthly Information Report: 31st January th February 2017 Interest Rate Distribution Report Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Total Variable ,059, , Fixed (Term Remaining) <= 1 Year , , >1 Year <=2 Years ,808, , >2 Year <=3 Years , , >3 Year <=4 Years , , >4 Year <=5 Years >5 Years Total Fixed ,844, , Grand Total ,904, , Loan to Value Ratio Distribution LVR Tier Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <=20% ,792, , > 20% <= 25% ,127, , > 25% <= 30% ,403, , > 30% <= 35% ,782, , > 35% <= 40% ,740, , > 40% <= 45% ,659, , > 45% <= 50% ,878, , > 50% <= 55% ,337, , > 55% <= 60% ,654, , > 60% <= 65% ,750, , > 65% <= 70% ,733, , > 70% <= 75% ,781, , > 75% <= 80% , , > 80% <= 85% , , > 85% <= 90% > 90% <= 95% , , > 95% <= 100% > 100% Total ,904, , Mortgage Insurer Distribution Mortgage Insurer Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % PMI , , PMI POOL ,333, , WLENDER ,073, , Total ,904, , Loan Maturity Distribution Loan Maturity (year) Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % , , , , , , , , , , , , , , , , , , , , , , ,282, , , , , , ,112, , ,744, , ,944, , ,933, , ,843, , ,446, , ,017, , ,017, , , , Total ,904, , Loan Purpose Distribution Loan Purpose Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Purchase ,614, , Refinance ,287, , Renovation , , Total ,904, ,

8 Loan Seasoning Distribution Loan Seasoning Distribution Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <= 3 Months > 3 Months <= 6 Months > 6 Months <= 9 Months > 9 Months <= 12 Months > 12 Months <= 18 Months > 18 Months <= 24 Months > 24 Months <= 36 Months > 36 Months <= 48 Months > 48 Months <= 60 Months > 60 Months ,904, , Total ,904, , Loan Size Distribution Loan Size Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <= 50, ,507, , >50,000 <= 100, ,741, , >100,000 <= 150, ,494, , >150,000 <= 200, ,335, , >200,000 <= 250, ,730, , >250,000 <= 300, ,800, , >300,000 <= 350, ,017, , >350,000 <= 400, ,291, , >400,000 <= 450, ,471, , >450,000 <= 500, ,849, , >500,000 <= 550, ,627, , >550, ,036, , Total ,904, , Occupancy Type Distribution Occupancy Type Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Owner Occupied ,012, , Investment ,891, , Other Total ,904, , Property Type Distribution Property Type Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Detached ,072, , Duplex , , Unit ,699, , Semi Detached ,498, , Vacantland , , Other Total ,904, , Geographical Distribution by State State Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % WA ,654, , NSW ,301, , Victoria ,640, , Queensland ,641, , South Australia ,532, , ACT , , Tasmania , , Northern Territory , , Total ,904, ,

9 Article 122a of CRD4 retention of interest report for Swan Trust Series As at the Closing Date, Bankwest retained a randomly selected exposures equivalent to no less than 5% of the aggregate principal balance of the securitised in accordance with Article 122a paragraph (1) subparagraph (c). Each prospective investor that is required to comply with Article 122a of the CRD4 Rules (as implemented in each Member State of the European Economic Area) is required to independently assess and determine the sufficiency of the information described in this report and in the Information Memorandum generally for the purposes of complying with Article 122a and none of the Trustee, Bank of Western Australia Ltd and each other party to a Transaction Document makes any representation that the information described in this report or in the Information Memorandum is sufficient in all circumstances for such purposes. Prospective investors who are uncertain as to the requirements under Article 122a which apply to them in respect of their relevant jurisdiction, should seek guidance from their regulator. Initial Balance Current Balance Retained Interest 39,245, ,296, Loan Portfolio Amounts Feb17 Outstanding principal 7,484, Net Repayments 187, Total 7,296, Key Characteristics of the Mortgage Pool (summary) Offering Circular Feb17 Number of Loans Min (Interest Rate) 6.19% 3.69% Max (Interest Rate) 8.59% 5.82% Weighted Average (Interest Rate) 7.16% 4.65% Weighted Average Seasoning (Months) Weighted Average Maturity (Months) Original Balance (AUD) 39,245,715 7,484,019 Outstanding Principal Balance (AUD) 39,245,715 7,296,450 Average Loan Size (AUD) 218, ,669 Maximum Loan Value (AUD) 824, ,406 Current Average LoantoValue 55.22% 33.89% Current Weighted Average LoantoValue 61.59% 51.34% Current Maximum LoantoValue 94.00% 98.00% Monthly Information Report: 31st January th February 2017 Arrears Breakdown Number of Percentage of Principal Balance Percentage of Total Days in Arrears Loans in Arrears Number of Loans of Delinquent Principal Outstand. Arrears Outstanding (1) Loans of the Loans (1) amount(1) (%) (%) % 355, % 5, % 0.00% % 0.00% % 0.00% % 0.00% > % 0.00% Grand Total % 355, % 5, Default Statistics During Monthly Period Defaulted Loans Properties Loss on Sale Claims Submitted Claims Paid Claims Denied Loss Covered by Loss Charged Foreclosed of Property to Insurer by Insurer by Insurer Excess Spread off to Noted Default Statistics Since Closing Defaulted Loans Properties Loss on Sale Claims Submitted Claims Paid Claims Denied Loss Covered by Loss Charged Foreclosed of Property to Insurer by Insurer by Insurer Excess Spread off to Noted CPR Statistics Annualised Prepayments (CPR) Feb %

10 Article 122a of CRD4 retention of interest report for Swan Trust Series Monthly Information Report: 31st January th February 2017 Interest Rate Distribution Report Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Total Variable ,090, , Fixed (Term Remaining) <= 1 Year >1 Year <=2 Years , , >2 Year <=3 Years >3 Year <=4 Years >4 Year <=5 Years >5 Years Total Fixed , , Grand Total ,296, , Loan to Value Ratio Distribution LVR Tier Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <=20% , , > 20% <= 25% , , > 25% <= 30% , , > 30% <= 35% , , > 35% <= 40% , , > 40% <= 45% , , > 45% <= 50% > 50% <= 55% , , > 55% <= 60% , , > 60% <= 65% , , > 65% <= 70% , , > 70% <= 75% ,367, , > 75% <= 80% , , > 80% <= 85% > 85% <= 90% , , > 90% <= 95% > 95% <= 100% , , > 100% Total ,296, , Mortgage Insurer Distribution Mortgage Insurer Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % MGICA ,764, , NONE ,873, , PMI , , WLENDER , , Total ,296, , Loan Maturity Distribution Loan Maturity (year) Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % , , , , , , , , , , , , , , ,065, , , , ,916, , ,077, , ,330, , Total ,296, ,

11 Loan Purpose Distribution Loan Purpose Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Purchase ,786, , Refinance , , Total ,296, , Loan Seasoning Distribution Loan Seasoning Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <= 3 Months > 3 Months <= 6 Months > 6 Months <= 9 Months > 9 Months <= 12 Months > 12 Months <= 18 Months > 18 Months <= 24 Months > 24 Months <= 36 Months > 36 Months <= 48 Months > 48 Months <= 60 Months > 60 Months ,296, , Total ,296, , Loan Size Distribution Loan Size Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % <= 50, , , >50,000 <= 100, , , >100,000 <= 150, ,267, , >150,000 <= 200, , , >200,000 <= 250, ,537, , >250,000 <= 300, , , >300,000 <= 350, ,011, , >350,000 <= 400, ,124, , >400,000 <= 450, >450,000 <= 500, >500,000 <= 550, >550, Total ,296, , Occupancy Type Distribution Occupancy Type Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Owner Occupied ,586, , Investment , , Total ,296, , Property Type Distribution Property Type Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % Detached ,709, , Duplex Unit ,522, , Semi Detached , , Vacantland Total ,296, , Geographical Distribution by State State Number Number % Current Balances Current Balances % Average Loan Size Weighted Average LVR % WA ,816, , NSW ,115, , Queensland ,405, , Victoria , , South Australia , , Tasmania ACT Northern Territory Total ,296, ,

12 Portfolio: Swan Trust Series Transaction parties Issuer Security Trustee Perpetual Trustee Company Limited P.T. Limited Level 12 Angel Place Level 12 Angel Place 123 Pitt Street 123 Pitt Street Sydney NSW 2000 Sydney NSW 2000 Seller and Servicer Trust Manager Bank of Western Australia Ltd Securitisation Advisory Services Pty Limited Level 34, BankWest Tower Ground Floor Tower St Georges Terrace 201 Sussex Street Perth WA 6000 Sydney NSW 2000 Monthly Information Report Arranger and Joint Lead Managers Commonwealth Bank of Australia Commonwealth Bank of Australia Ground Floor Darling Park Tower 1 Ground Floor Darling Park Tower Sussex Street 201 Sussex Street Sydney NSW 2000 Sydney NSW 2000 CoManager Macquarie Bank Limited 1 Martin Place Sydney NSW 2000 Legal Advisers to Bank of Western Australia Ltd and Commonwealth Bank of Australia Mallesons Stephen Jaques Level 61 Governor Phillip Tower 1 Farrer Place Sydney NSW 2000