monthly investor report...2016/06/30 · covered bond trust - monthly investor report bond issuance...
TRANSCRIPT
Covered Bond Trust - Monthly Investor Report
Compliance Tests
PassAsset Coverage Test
PassLegislated Asset Test
NoIssuer Event of Default
NoCovered Bond Guarantor Event of Default
PassInterest Rate Shortfall Test
N/APre-Maturity Test
Determination Date: 1/07/2016
Distribution Date: 12/07/2016
Monthly Covered Bond Report Date: 30/06/2016
Parties
Macquarie Bank LimitedIssuer
Perpetual LimitedCovered Bond Guarantor
P.T. LimitedSecurity Trustee
Macquarie Securitisation LimitedServicer
Macquarie Securitisation LimitedTrust Manager
Interest Rate Swap Provider
Bond Trustee DB Trustees (Hong Kong) Limited
Macquarie Bank Limited
Ratings Overview Moody's Fitch
P-1MBL Short Term Senior
A2MBL Long Term Senior
AaaCovered Bond Rating
Stable
Stable
F1
A
AAA
Stable
Stable
Asset Coverage Test as at 1/07/2016
Calculation of Adjusted Aggregate Mortgage Loan Amount
A The lower of:
(i) LVR Adjusted Mortgage Loan Balance Amount,
and(ii) Asset Percentage Adjusted Mortgage Loan
Balance Amount.
$1,735,009,792
$1,526,146,275
$1,526,146,275
BAggregate amount of any proceeds of any Term Advances and/or any Demand Loan Advances
which have not been applied as at the Determination Date.$0.00
CAggregate principal balance of any Substitution Assets and Authorised Investments as at
the relevant Determination Date.$0.00
DAggregate amount of Principal Collections collected by the Servicer during the preceding
Collection Period excluding any amounts applied in accordance with the Priority of Payments.$0.00
EThe sum Sale Proceeds credited to the GIC Account, remaining Available Principal held in
the GIC Account, as at the Determination Date.$0.00
Z Negative Carry Factor $0.00
Y
Amount equal to the fnancial loss incurred by the Covered Bond Guarantor due to the
Seller materially breaching any warranty under the Mortgage Sale Agreement and/or the
Servicer materially breaching any term of the Servicing Deed.
$0.00
Adjusted Aggregate Mortgage Loan Amount
(A+B+C+D+E)-Z-Y $1,526,146,275
Results of Asset Coverage Test
Adjusted Aggregate Mortgage Loan Amount $1,526,146,275
AUD Equivalent of the Aggregate Principal Amount Outstanding of the Covered Bonds $775,572,750
Asset Coverage Test is satisfied Yes
Asset Percentage 87.00%
Current Overcollateralisation Percentage 126.23%
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Covered Bond Trust - Monthly Investor Report
Bond Issuance Summary as at 01 July 2016
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Principal Balance Exchange RateBonds Issue Date AUD Equiv of Principal Balance Coupon Rate
MBLCOV03MAR21 3-Mar-2016 EUR 500,000,000 $775,572,750 1.5511 0.375%
$775,572,750Total
Note TypeBonds ISIN Final Maturity Date
MBLCOV03MAR21 XS1371532547 Soft Bullet 3-Mar-2021
Bonds
MBLCOV03MAR21
MBLCOV03MAR21 ING Bank N.V.
National Australia Bank Limited
Swap Provider
Covered Bond Swap Providers
Notional Principal
EUR250,000,000
EUR250,000,000
Covered Bond Trust - Monthly Investor Report
Mortgage Pool By Current Loan To Value Ratio (LVR)
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
up to and including 50% 645 18.89% $207,284,328.96 11.81%
>50% up to and including 55% 146 4.28% $84,558,187.05 4.82%
>55% up to and including 60% 156 4.57% $106,793,824.70 6.09%
>60% up to and including 65% 212 6.21% $144,608,402.60 8.24%
>65% up to and including 70% 225 6.59% $158,439,249.96 9.03%
>70% up to and including 75% 320 9.37% $218,074,576.19 12.43%
>75% up to and including 80% 689 20.18% $427,103,126.74 24.34%
>80% up to and including 85% 122 3.57% $53,879,791.45 3.07%
>85% up to and including 90% 576 16.87% $227,536,206.78 12.97%
>90% up to and including 95% 324 9.49% $126,322,171.54 7.20%
>95% up to and including 100% 0 0.00% $0.00 0.00%
>100% 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Pool Summary
Portfolio Cut off Date
Current Principal Balance (AUD)
Total Number of Facilities
Total Number of Accounts
30/06/2016
$1,754,599,866
3,415
5,644
Average Loan Size $513,792
Maximum Housing Loan Balance $1,986,665
Weighted Average Loan Interest Rate 4.50%
Weighted Average Current Loan to Value Ratio (LVR) 70.22%
Weighted Average Indexed Loan to Value Ratio (LVR) 64.42%
Weighted Average Seasoning (Months) 25
Weighted Average Remaining Term (Months) 335
Reserve Balance $8,422,246
12 Month Cumulative3 Month1 Month
Prepayment Information
19.32% Prepayment History (CPR) 19.32%21.79% 20.71%
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Covered Bond Trust - Monthly Investor Report
Mortgage Pool By Current Indexed Loan To Value Ratio (LVR)
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
up to and including 50% 834 24.42% $311,056,903.68 17.73%
>50% up to and including 55% 200 5.86% $137,837,898.90 7.86%
>55% up to and including 60% 234 6.85% $157,718,506.65 8.99%
>60% up to and including 65% 271 7.94% $171,075,383.07 9.75%
>65% up to and including 70% 340 9.96% $219,809,838.17 12.53%
>70% up to and including 75% 422 12.36% $241,441,190.33 13.76%
>75% up to and including 80% 424 12.42% $222,451,941.14 12.68%
>80% up to and including 85% 366 10.72% $164,303,670.51 9.36%
>85% up to and including 90% 218 6.38% $83,108,986.57 4.74%
>90% up to and including 95% 90 2.64% $39,157,103.12 2.23%
>95% up to and including 100% 16 0.47% $6,638,443.83 0.38%
>100% 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Interest Rate
Balance Outstanding (%) Balance OutstandingNumber of Accounts (%) Number of
Accounts
up to and including 4.0% 102 1.81% $52,482,386.05 2.99%
>4.0% up to and including 4.5% 2,652 46.99% $915,561,338.78 52.18%
>4.5% up to and including 5.0% 2,496 44.22% $708,675,405.59 40.39%
>5.0% up to and including 5.5% 315 5.58% $61,294,117.00 3.49%
>5.5% up to and including 6.0% 78 1.38% $16,260,962.32 0.93%
>6.0% up to and including 6.5% 0 0.00% $0.00 0.00%
>6.5% up to and including 7.0% 0 0.00% $0.00 0.00%
>7.0% up to and including 7.5% 1 0.02% $325,656.23 0.02%
>7.5% up to and including 8.0% 0 0.00% $0.00 0.00%
>8.0% up to and including 8.5% 0 0.00% $0.00 0.00%
>8.5% up to and including 9.0% 0 0.00% $0.00 0.00%
>9.0% up to and including 9.5% 0 0.00% $0.00 0.00%
>9.5% up to and including 10.0% 0 0.00% $0.00 0.00%
>10% 0 0.00% $0.00 0.00%
Total 5,644 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Interest Option
Balance Outstanding (%) Balance OutstandingNumber of Accounts (%) Number of
Accounts
1 Year Fixed 37 0.66% $12,232,771.34 0.70%
2 Year Fixed 252 4.46% $88,584,901.64 5.05%
3 Year Fixed 378 6.70% $138,411,136.90 7.89%
4 Year Fixed 8 0.14% $3,816,090.13 0.22%
5 Year Fixed 130 2.30% $44,699,990.93 2.55%
6+ Years Fixed 0 0.00% $0.00 0.00%
Total Fixed Rate 805 14.26% $287,744,890.94 16.40%
Total Variable Rate 4,839 85.74% $1,466,854,975.03 83.60%
Total 5,644 100.00% $1,754,599,865.97 100.00%
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Covered Bond Trust - Monthly Investor Report
Mortgage Pool By Loan Type
Balance Outstanding (%) Balance OutstandingNumber of Accounts (%) Number of
Accounts
P&I 2,911 51.58% $942,365,545.05 53.71%
Interest Only 2,733 48.42% $812,234,320.92 46.29%
Total 5,644 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Remaining Interest Only Period
Balance Outstanding (%) Balance OutstandingNumber of Accounts (%) Number of
Accounts
up to and including 1 year 153 5.60% $35,884,064.88 4.42%
>1 up to and including 2 years 208 7.61% $57,314,720.33 7.06%
>2 up to and including 3 years 726 26.56% $232,696,452.27 28.65%
>3 up to and including 4 years 1,241 45.41% $374,446,972.39 46.10%
>4 up to and including 5 years 349 12.77% $104,113,460.36 12.82%
>5 up to and including 6 years 1 0.04% $304,022.50 0.04%
>6 up to and including 7 years 0 0.00% $0.00 0.00%
>7 up to and including 8 years 0 0.00% $0.00 0.00%
>8 up to and including 9 years 7 0.26% $1,017,155.33 0.13%
>9 years 48 1.76% $6,457,472.86 0.80%
Total 2,733 100.00% $812,234,320.92 100.00%
Mortgage Pool by Remaining Term on Fixed Rate Period
Balance Outstanding (%) Balance OutstandingNumber of Accounts (%) Number of
Accounts
>0 up to and including 3 months 115 14.29% $42,197,218.40 14.66%
>3 up to and including 6 months 95 11.80% $32,545,466.79 11.31%
>6 up to and including 9 months 64 7.95% $24,340,783.59 8.46%
>9 up to and including 12 months 31 3.85% $9,878,998.31 3.43%
>12 up to and including 15 months 50 6.21% $18,494,098.02 6.43%
>15 up to and including 18 months 53 6.58% $18,152,237.40 6.31%
>18 up to and including 21 months 77 9.57% $27,918,295.89 9.70%
>21 up to and including 24 months 98 12.17% $33,046,530.13 11.48%
>24 up to and including 27 months 57 7.08% $22,989,115.43 7.99%
>27 up to and including 30 months 27 3.35% $9,570,717.82 3.33%
>30 up to and including 33 months 19 2.36% $4,971,773.87 1.73%
>33 up to and including 36 months 12 1.49% $3,933,873.99 1.37%
>36 up to and including 48 months 80 9.94% $29,566,351.96 10.28%
>48 up to and including 60 months 27 3.35% $10,139,429.34 3.52%
>60 months 0 0.00% $0.00 0.00%
Total 805 100.00% $287,744,890.94 100.00%
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Covered Bond Trust - Monthly Investor Report
Mortgage Pool By Size (Consolidated)
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
up to and including $100,000 180 5.27% $5,198,032.88 0.30%
>$100,000 up to and including $200,000 214 6.27% $33,195,350.02 1.89%
>$200,000 up to and including $300,000 562 16.46% $143,437,716.50 8.17%
>$300,000 up to and including $400,000 700 20.50% $244,761,720.84 13.95%
>$400,000 up to and including $500,000 499 14.61% $222,228,518.35 12.67%
>$500,000 up to and including $600,000 307 8.99% $167,826,442.01 9.56%
>$600,000 up to and including $700,000 173 5.07% $111,872,385.24 6.38%
>$700,000 up to and including $800,000 140 4.10% $104,697,779.73 5.97%
>$800,000 up to and including $900,000 115 3.37% $97,430,117.67 5.55%
>$900,000 up to and including $1m 120 3.51% $114,804,511.71 6.54%
>$1m up to and including $1.25m 249 7.29% $276,630,115.53 15.77%
>$1.25m up to and including $1.50m 87 2.55% $118,160,777.02 6.73%
>$1.50m up to and including $1.75m 51 1.49% $81,191,273.31 4.63%
>$1.75m up to and including $2m 18 0.53% $33,165,125.16 1.89%
>$2m 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Loan Seasoning
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
>0 up to and including 3 months 0 0.00% $0.00 0.00%
>3 up to and including 6 months 0 0.00% $0.00 0.00%
>6 up to and including 9 months 66 1.93% $35,638,325.62 2.03%
>9 up to and including 12 months 423 12.39% $256,872,997.71 14.64%
>12 up to and including 15 months 458 13.41% $249,872,633.86 14.24%
>15 up to and including 18 months 377 11.04% $197,000,623.03 11.23%
>18 up to and including 21 months 302 8.84% $163,094,864.21 9.30%
>21 up to and including 24 months 348 10.19% $181,019,370.13 10.32%
>24 up to and including 27 months 297 8.70% $157,002,158.77 8.95%
>27 up to and including 30 months 199 5.83% $106,120,160.34 6.05%
>30 up to and including 33 months 187 5.48% $104,726,071.55 5.97%
>33 up to and including 36 months 145 4.25% $85,221,012.45 4.86%
>36 up to and including 48 months 256 7.50% $114,902,897.25 6.55%
>48 up to and including 60 months 85 2.49% $33,229,060.60 1.89%
>60 up to and including 72 months 14 0.41% $5,372,193.01 0.31%
>72 up to and including 84 months 1 0.03% $474,367.54 0.03%
>84 up to and including 96 months 3 0.09% $701,648.96 0.04%
>96 up to and including 108 months 36 1.05% $12,531,409.35 0.71%
>108 up to and including 120 months 75 2.20% $22,469,862.40 1.28%
>120 months 143 4.19% $28,350,209.19 1.62%
Total 3,415 100.00% $1,754,599,865.97 100.00%
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Covered Bond Trust - Monthly Investor Report
Mortgage Pool by Remaining Tenor
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
up to and including 1 year 0 0.00% $0.00 0.00%
>1 up to and including 2 years 0 0.00% $0.00 0.00%
>2 up to and including 3 years 0 0.00% $0.00 0.00%
>3 up to and including 4 years 0 0.00% $0.00 0.00%
>4 up to and including 5 years 0 0.00% $0.00 0.00%
>5 up to and including 6 years 0 0.00% $0.00 0.00%
>6 up to and including 7 years 0 0.00% $0.00 0.00%
>7 up to and including 8 years 0 0.00% $0.00 0.00%
>8 up to and including 9 years 0 0.00% $0.00 0.00%
>9 up to and including 10 years 0 0.00% $0.00 0.00%
>10 up to and including 15 years 0 0.00% $0.00 0.00%
>15 up to and including 20 years 131 3.84% $25,750,692.63 1.47%
>20 up to and including 25 years 139 4.07% $43,671,546.57 2.49%
>25 up to and including 30 years 3,145 92.09% $1,685,177,626.77 96.04%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Geographic Distribution
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
NSW 1,370 40.12% $829,256,711.62 47.26%
ACT 75 2.20% $35,936,832.53 2.05%
VIC 742 21.73% $349,495,255.71 19.92%
TAS 20 0.59% $5,763,220.73 0.33%
QLD 693 20.29% $275,361,478.74 15.69%
SA 132 3.87% $54,314,819.30 3.10%
WA 365 10.69% $193,662,758.03 11.04%
NT 18 0.53% $10,808,789.31 0.62%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool By Loan Purpose
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
Purchase 1,372 40.18% $677,144,092.29 38.59%
Refinance 1,934 56.63% $1,027,911,082.75 58.58%
Other 109 3.19% $49,544,690.93 2.82%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool by Documentation Type
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
Full Doc 3,415 100.00% $1,754,599,865.97 100.00%
Low Doc 0 0.00% $0.00 0.00%
No Doc 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
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Covered Bond Trust - Monthly Investor Report
Mortgage Pool by Occupancy Status
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
Owner Occupied 2,291 67.09% $1,216,620,884.68 69.34%
Investment 1,124 32.91% $537,978,981.29 30.66%
Other 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool by Mortgage Insurer
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
Genworth (Primary) 2,952 86.44% $1,565,204,951.49 89.21%
QBE LMI (Primary) 84 2.46% $22,051,931.60 1.26%
Genworth Indemnity 0 0.00% $0.00 0.00%
Commonwealth of Australia 0 0.00% $0.00 0.00%
No primary Mortgage Insurer 379 11.10% $167,342,982.88 9.54%
Other 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Mortgage Pool by Delinquencies
Balance Outstanding (%) Balance OutstandingNumber of Facilities (%) Number of
Facilities
0 month 3,362 98.45% $1,724,260,770.42 98.27%
>0 up to and including 1 month 32 0.94% $19,873,725.94 1.13%
>1 up to and including 2 months 12 0.35% $5,561,799.49 0.32%
>2 up to and including 3 months 8 0.23% $4,494,825.31 0.26%
>3 up to and including 6 months 1 0.03% $408,744.81 0.02%
>6 months 0 0.00% $0.00 0.00%
Total 3,415 100.00% $1,754,599,865.97 100.00%
Contacts
Trust Manager
ABN 16 003 297 336
1 Shelley Street
MACQUARIE SECURITISATION LIMITED
Sydney NSW 2000, Australia
Issuer
ABN 46 008 583 542
Level 1, 1 Martin Place
MACQUARIE BANK LIMITED
Sydney NSW 2000, Australia
Contacts
Angus Cameron
Head of Funding
Group Treasury, Macquarie Group Limited
+612 8232 9992
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