sapphire xxv series 2021-1 trust

Presale:

Sapphire XXV Series 2021-1 TrustNovember 25, 2021

Preliminary Ratings

Class Preliminary ratings Preliminary amount (mil. A$)Minimum credit support

(%)Credit support provided

(%)

A1S AAA (sf) 115.00 9.47 25.0

A1L AAA (sf) 260.00 9.47 25.0

A2 AAA (sf) 67.00 9.47 11.6

B AA (sf) 22.50 6.65 7.1

C A (sf) 13.00 4.15 4.5

D BBB (sf) 9.50 2.41 2.6

E BB+ (sf) 4.00 1.64 1.8

F B+ (sf) 4.50 0.79 0.9

G1 NR 2.00 N/A 0.5

G2 NR 2.50 N/A N/A

Note: This presale report is based on information as of Nov. 26, 2021. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. The class A1S and class A1L arecollectively referred to as class A1 notes. The class A1 and A2 notes are collectively referred to as class A notes. The class G1 and class G2notes are collectively referred to as class G notes. NR--Not rated. N/A--Not applicable.

Profile

Expected closingdate

December 2021

Expected finalmaturity date

Sept. 21, 2053

Collateral Fully amortizing, interest only, reverting to amortizing and line of credit Australian-dollar loans tononconforming and prime Australian resident borrowers secured by first-registered mortgages overAustralian residential property. The loans mature no later than 18 months before final maturity of thenotes.

Structure type Residential mortgage-backed pass-through securities

Issuer Permanent Custodians Ltd. as trustee for Sapphire XXV Series 2021-1 Trust

Servicer Bluestone Servicing Pty Ltd.

Presale:

Sapphire XXV Series 2021-1 TrustNovember 25, 2021

PRIMARY CREDIT ANALYST

Fiona L Otway

Melbourne

+ 61 3 9631 2060

[email protected]

SECONDARY CONTACT

Alisha Treacy

Melbourne

+ 61 3 9631 2182

[email protected]

www.spglobal.com November 25, 2021 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Profile (cont.)

Primary creditenhancement

Note subordination and excess spread, if any

Supporting Ratings

Bank account provider Commonwealth Bank of Australia

Liquidity facility provider National Australia Bank Ltd.

Loan Pool Statistics As Of Oct. 31, 2021

Total number of loans 930

Total value of loans (A$) 499,135,582

Current maximum loan size (A$) 2,405,101

Average loan size (A$) 536,705

Maximum current loan-to-value (LTV) ratio (%) 89.3

Weighted-average current LTV ratio (%) 68.5

Weighted-average loan seasoning (months) 13.6

Note: All portfolio statistics are calculated on a consolidated basis.

Rationale

The preliminary ratings assigned by S&P Global Ratings to the floating-rate residentialmortgage-backed securities (RMBS) to be issued by Permanent Custodians Ltd. as trustee forSapphire XXV Series 2021-1 Trust reflect the following factors.

The credit risk of the underlying collateral portfolio (discussed in more detail under "CreditAssessment") and the credit support provided to each class of notes are commensurate with theratings assigned. Note subordination and excess spread provide credit support. Our assessmentof credit risk takes into account Bluestone Group Pty Ltd.'s and Bluestone Mortgages Pty Ltd.'s(collectively Bluestone) underwriting standards and approval process, and Bluestone's strongservicing quality (discussed in more detail under "Origination And Servicing").

The rated notes can meet timely payment of interest and ultimate payment of principal under therating stresses. Key rating factors are the level of subordination provided, the provision of aliquidity facility, the principal draw function, the yield reserve (see "Yield reserve"), retentionamount built from excess spread (see "Retention mechanism"), and the provision of anextraordinary expense reserve. Our analysis is on the basis that the rated notes are fully redeemedvia the principal waterfall mechanism under the transaction documents by their legal finalmaturity date, and we assume the notes are not called at or beyond the call-option date.

Our ratings also consider the counterparty exposure to Commonwealth Bank of Australia (CBA) asbank account provider and National Australia Bank Ltd. (NAB) as the liquidity facility provider. Thetransaction documents for the facilities include downgrade language consistent with S&P GlobalRatings' counterparty criteria.

We have also factored into our ratings the legal structure of the trust, which is established as a



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Presale: Sapphire XXV Series 2021-1 Trust

special-purpose entity and meets our criteria for insolvency remoteness.

In 2020, we updated our outlook assumptions for Australian RMBS in response to changingmacroeconomic conditions as a result of the COVID-19 outbreak. As of Nov. 22, 2021, there are noborrowers with COVID-19-related hardship arrangements present within the pool.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors (see "ESGIndustry Report Card: Residential Mortgage-Backed Securities," March 31, 2021).

We consider the transaction's exposure to environmental credit factors to be average. Physicalclimate risks such as floods, storms, or bushfires could severely damage properties and reducetheir value. In our view, well-diversified portfolios reduce exposure to extreme weather events. Wehave factored the geographic diversity of the underlying portfolio into our credit analysis (seebelow).

For RMBS, social credit factors are generally considered above average because housing is viewedas one of the most basic human needs and conduct risk presents a direct social exposure forlenders and servicers. We review lenders' underwriting practices as part of our operational riskassessment and factor them into our credit analysis (see "Origination And Servicing" sectionbelow).

The transaction's exposure to governance credit factors is below average, in line with the sectorbenchmark. Given the nature of structured finance transactions, most have relatively stronggovernance frameworks that typically restrict what activities the special-purpose entity canundertake. We consider the risk-management and governance practices in place to be consistentwith industry standards and our benchmark expectations.

Strengths And Weaknesses

Strengths

We observed the following strengths in our analysis of the transaction:

- For the class A1 notes, the credit support provided by note subordination significantly exceedsthe level of credit support commensurate with a 'AAA (sf)' rating.

- The weighted-average loan-to-value (LTV) ratio for the pool is 68.5%, and 58.3% of the loanshave an LTV ratio lower than 75%. S&P Global Ratings assumes a lower default frequency forloans with an LTV ratio lower than 75%.

- Bluestone's loan servicing for the specific requirements of the Australian market fornonconforming residential mortgages. S&P Global Ratings has given Bluestone a STRONGresidential subprime loan-servicer ranking, with a stable outlook. The STRONG servicerevaluation reflects our view of Bluestone's clearly defined business strategy, servicingstandards, strong and experienced management team, and that Bluestone can meet the morerigorous requirements of servicing nonconforming loans (more detail is provided in the"Origination And Servicing" section).



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Weaknesses

Weaknesses identified with respect to the transaction are:

- Bluestone has not carried out full income verification for loans comprising 60.0% of theportfolio. S&P Global Ratings has assumed a higher default frequency for alternativedocumentation (alt-doc) loans in its calculation of credit support for the corresponding ratinglevels.

- By current balance, 13.9% of the loans in the portfolio are to borrowers with unfavorable creditrecords in the five years before settlement of the loan and 2.7% of the borrowers have been inarrears at least once during the past 12 months. Market experience has shown that suchborrowers are more likely to default than the general population. S&P Global Ratings assumeshigher default frequencies for loans to nonconforming borrowers.

- Self-employed borrowers account for 63.7% of the pool. S&P Global Ratings expectsself-employed borrowers to experience higher cash-flow variability and, thus, higher loanarrears, making them more susceptible to defaults should there be a downturn in theAustralian economy. S&P Global Ratings assumes higher default frequencies for such loans.

- Approximately 46.4% of the portfolio comprises loans for refinance purposes. S&P GlobalRatings assumes a higher default frequency for such loans.

- Some 72.5% of the portfolio is seasoned by 12 months or less.



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Transaction Structure

Chart 1 illustrates the transaction structure.

We understand that transaction counsel will lodge the relevant financing statements on thePersonal Property Securities Register in connection with the security interest.



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Note Terms And Conditions

Interest payments

The notes are all floating-rate securities, with interest payable on the invested amount of thenotes, unless the stated amount of a class of notes is zero, in which case no interest accrues. Thenotes will all pay a margin over the one-month bank-bill swap rate. Interest payments are madesequentially to each class of notes; however, payments of interest to the class A1S and class A1Lnotes rank pari passu.

The manager may elect to call the notes in full on any payment date after the payment on theoutstanding mortgage balance is less than 20% of the mortgage balance, or the payment date inOctober 2026. If the notes are not called on the call-option date, then the margin applicable to theclass A1 and class A2 notes will step up by 0.25%.

Principal allocation

Principal collections--after application of principal draws, if necessary, to cover any incomeshortfalls or to fund redraws and further advances--will be passed through to each class of noteon a sequential basis.

The transaction can convert to a pro rata payment structure, in which principal would be passedthrough to each class of notes based on their documented note principal allocation calculations ifthe principal step-down triggers (see "Pro rata paydown triggers") are met. Under the pro ratapayment structure, the class G notes will not receive principal payments until after all otherclasses of notes have been repaid. Any principal allocated to the class G notes will be allocated tothe class F notes until repaid in full, followed by the class E notes, class D notes, class C notes,class B notes, class A2 notes, class A1 notes, and then the class G notes.

Under a retention mechanism and yield enhancement-reserve release mechanism, explainedfurther below, the most subordinated rated notes outstanding might be repaid via the applicationof excess spread.

Given the pass-through nature of the notes, the actual date on which the principal amount of thenotes will be fully repaid will be determined by the actual prepayment rate experience on the loanportfolio. As a result, the risk of mortgage prepayments is borne by the noteholders.



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Chart 2 shows the prepayment rate for Bluestone transaction issuance compared with theweighted-average prepayment rate for all Australian rated nonconforming RMBS transactions, asrepresented by Standard & Poor's Prepayment Index (SPPI) for Australian nonconformingmortgage loans.

Chart 2

Loss allocation

After losses, including any principal draws, have been firstly allocated to the various ledgers or RMnotes (see "Cash-Flow Analysis"), they will be allocated to the class G2 notes until the outstandingbalance is reduced to zero, followed by the class G1, class F, class E, class D, class C, class B,class A2, then pari passu among the class A1L and class A1S notes.

If losses can be reinstated throughout the life of the transaction, then the reinstatement will occurto each class of notes in the reverse order.

Pro rata paydown triggers

The triggers to allow pro rata paydown are:

- There are no class A1S notes outstanding;



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- The payment date falls on or after the second anniversary of the transaction's closing date.

- The subordination percentage for the class A2 notes is double the initial credit support at close(23.2%)

- The percentage of mortgage loans in arrears greater than 90 days over the prior three months,must not exceed 5%.

- There are no carryover charge offs to any notes (excluding the class RM notes).

- There are no unreimbursed principal draws.

- The payment date is not on or after the first possible call-option date.

Rating-Transition Analysis

Scenario analysis: Property market value decline

S&P Global Ratings performed a scenario analysis to determine the potential impact on theratings at transaction close if the values of every security property decreased by 10%. We applieda haircut of 10% to the original property values and increased LTV ratios for this impact. Note thatthis scenario does not take into account potential increases or decreases in the security propertyvalue compared with its original value, and does not consider cash-flow analysis and, therefore,the potential use of excess spread to cover losses. The implied credit assessments are set out intable 1.

Table 1

Minimum Credit Support For Credit Losses And Implied Credit Assessments UnderThe Scenario

ClassMinimum credit support for credit

losses (%) Implied credit assessment

A1S 17.58 aaa

A1L 17.58 aaa

A2 17.58 aa-

B 12.86 a-

C 8.37 bbb

D 5.09 bb+

E 3.00 bb-

F 1.52 b

Origination And Servicing

We assess the quality of the origination, underwriting, and servicing of the loans as part of ourcredit analysis because it can affect the performance of the portfolio.

Bluestone is a specialist mortgage finance company that provides home loans to prime andnonconforming consumers and those who fall outside the lending criteria of traditional banklenders. In particular, Bluestone advances residential mortgage loans to prime borrowers and



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those who are self-employed or who use nontraditional documentation to verify their income,borrowers who have had previous credit impairment, and others who may not meet therequirements of traditional lenders. These features, and the absence of lenders' mortgageinsurance (LMI) on Bluestone's mortgage loans, stress the critical role of Bluestone's creditunderwriting and security valuation standards as well as its loan servicing and collectionsmanagement platforms and processes.

Bluestone offers a range of nonconforming home loan products for those who can fully documenttheir income but have an adverse credit history or those whose ability to pay needs to be assessedby alternative means and have adverse credit history. It also has prime and near-primefull-documentation products and prime and near-prime alternate-documentation products forborrowers with cleaner credit histories.

Bluestone has developed an extensive network of accredited mortgage brokers and financialplanners throughout Australia to distribute its home loan products. All loan applications areassessed for completeness and compliance with stringent acceptance parameters. Bluestonecontrols all aspects of the underwriting and credit-assessment processes, which have beenspecifically developed for nonconforming lending. Bluestone's underwriting function also controlsall aspects of the security-valuation process, which its panel valuers conduct under Bluestones'sinstructions. In determining the market-value decline assumption, we have factored in the type ofvaluation that was obtained when the loans were originated. Just over 98% of the loans in thisportfolio had a full valuation conducted at origination by a registered valuer. The remaining 2% ofloans were valued by reference to an electronic valuation. We have taken into account theinterest-rate buffers and haircuts Bluestone applies so we can assess the consistency and qualityof Bluestones's debt-serviceability assessment in our credit analysis.

Bluestone, which has a STRONG residential prime and subprime loan servicer ranking from S&PGlobal Ratings, conducts post-settlement servicing of the loan portfolio. The servicer evaluationreport for Bluestone Servicing Pty Ltd. is available on S&P Global Ratings' website, athttps://www.capitaliq.com. In sizing the credit support for the Sapphire XXIV Series 2021-1 Trustcollateral pool, S&P Global Ratings has taken into account Bluestone's underwriting and servicingplatforms and historical arrears performance.

AMAL Asset Management Ltd. (AMAL) provides backup servicing to the loan pool should Bluestonebe replaced as servicer.



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Chart 3 compares the level of arrears on Bluestone's securitized mortgage loans with theaggregate level of arrears on loans collateralizing all S&P Global Ratings-rated nonconformingRMBS in Australia. Bluestone measures loan arrears on a "scheduled payments" basis. Sometransactions included in the nonconforming SPIN are combined portfolios, in which the portfolioincludes prime and nonconforming loans. The performance of some prime loans is thereforeincluded in the nonconforming SPIN. The spike in arrears in mid-2020 was due to borrowers thatwere in arrears prior to an approval of a COVID hardship arrangement.

Chart 3

This is the fourth Sapphire Trust transaction to be rated by S&P Global Ratings since 2007.

Credit Assessment

The portfolio comprises full, and alternative documentation nonconforming as well as primeresidential mortgage loans originated by Bluestone. This is a closed pool, which means noadditional loans will be assigned to the trust after the closing date.

In our determination of the minimum credit support levels for this transaction, we assessed thecredit quality of the collateral. In addition to the key collateral characteristics highlighted under"Strengths And Weaknesses," we consider other weaknesses in the credit quality of the portfolioto include the exposure to nonmetropolitan locations and loans for investment properties. Ourcredit support calculation also takes into account that borrowers can redraw prepaid principalunder the mortgage loans and request further advances, which would increase the LTV ratio asborrowers draw additional funds.

To calculate the minimum credit support levels, we compare the characteristics of the portfoliowith an archetypical pool and apply multiples as a way to increase or decrease credit supportlevels to reflect higher or lower credit risk compared with the characteristics of the archetypicalpool. The credit support levels comprise default frequency and loss severity. A summary of this



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calculation is shown in table 2. Table 3 lists the five main default frequency characteristics thathave deviated from the archetypical pool.

Table 2

Summary Credit Assessment

AAA AA A BBB BB+ B+

Expected default frequency (%) 23.08 17.69 12.13 8.16 6.38 3.93

Loss severity (%) 41.04 37.61 34.24 29.58 25.67 20.23

Minimum credit support 9.47 6.65 4.15 2.41 1.64 0.79

Assumptions

Benchmark market value decline (%) 45.0 43.0 41.0 38.0 35.3 31.3

Weighted-average recovery period (months) 15.6 15.6 15.6 15.6 15.6 15.6

Interest rate through recovery period (%) 9.39 8.89 8.39 7.89 7.56 7.06

Table 3

Rating Default Multiples

Criteria Default frequency multiple for total pool (x)

Credit history 1.236

Loan purpose 1.232

Reduced documentation: income verification 1.205

Employment type 1.178

Loan-to-value ratio 0.944

Note: Default multiples are weighted by each loan's current balance.

Loan Pool Profile

The characteristics of the loan pool as of Oct. 31, 2021, are summarized in the Loan Pool Statisticstable (before the "Rationale" section) and table 4. All portfolio statistics are calculated on aconsolidated loan basis.

Table 4

Loan Pool Characteristics

Value of loans (%)

Current loan size distribution (A$)

Less than or equal to 100,000 0.2

Greater than 100,000 and less than or equal to 200,000 2.2





Greater than 800,000 and less than or equal to 1,000,000 11.2



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Table 4

Loan Pool Characteristics (cont.)

Value of loans (%)

Greater than 1,000,000 and less than or equal to 1,500,000 15.7

Greater than 1,500,000 6.0

Current loan-to-value ratio distribution (%)

Less than or equal to 50 11.7

Greater than 50 and less than or equal to 60 11.1





Geographic distribution of primary property security (by state)

New South Wales and Australian Capital Territory 37.2

Victoria 34.7

Queensland 19.6

Western Australia 4.3

South Australia 3.4

Tasmania and Northern Territory 0.7

Geographic distribution (metro/nonmetro)

Inner city 0.1

Metropolitan 81.4

Nonmetropolitan 18.6

Seasoning

Less than or equal to six months 48.1

Six months – one year 28.3

1-2 years 12.2

2-3 years 1.0

3-4 years 0.0

4-5 years 4.6

Greater than five years 5.9

Current delinquency

Less than or equal to 30 days in arrears 99.8

Greater than 30 days and less than or equal to 60 days in arrears 0.2

Greater than 60 days and less than or equal to 90 days in arrears 0.0

Greater than 90 days in arrears 0.0

Principal amortization

Fully amortizing 95.4

Interest-only for up to five years, reverting to fully amortizing 4.4



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Table 4

Loan Pool Characteristics (cont.)

Value of loans (%)

Line of Credit 0.2

Ownership type

Owner-occupier 82.7

Investor 17.3

Employment status

P-A-Y-E (full, part time or casual) 36.3

Self-employed 63.7

Unemployed 0.0

Loan documentation

Full documentation 40.0

Alt/Low documentation 60.0

Rate type

Variable rate 98.1

Fixed rate 1.9

Loan purpose

Purchase 53.5

Refinance 46.5

Borrower residency

Australia 100.0

Prior credit impairment (in the last five years)

No adverse history 86.1

One event of default or judgement 8.4

Two or more events of default or judgement 5.5

Arrears history (past 12 months)

Zero 97.3

One 0.4

Two 0.2

Greater than three 2.1

Cash-Flow Analysis

Our cash-flow analysis shows that the transaction has sufficient income to support timelypayment of interest and ultimate repayment of principal to the rated notes under various stressscenarios commensurate with the ratings assigned.



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Liquidity assessment

If there are insufficient interest collections, then the primary liquidity support to meet seniorexpenses and interest on all notes, excluding the class G notes, is provided through the ability todraw on principal. An amortizing liquidity facility will be available if interest collections plusprincipal draw is insufficient. However, if the stated amount of any class of notes, other than theclass A notes, is less than 95% of the invested amount, then that class of notes cannot utilizeprincipal draw or the liquidity facility. In all cases, the class A notes are at no time restricted fromthe use of liquidity support. A yield reserve funded by excess spread is also available for thepayment of senior expenses and interest payable to rated noteholders.

The asset liquidity facility provided by NAB represents 2.0% of the outstanding aggregate amountof the notes at that time (excluding the class RM notes), subject to a floor of A$1,000,000.

The class G notes are excluded from required payments under the income waterfall, and henceliquidity support.

Retention mechanism

On or before the call date, to the extent there is excess spread available, the retention amount willbe applied as a principal payment to the most subordinated rated note at that time to a maximumamount of A$3,500,000. The maximum amount of excess spread trapped under this mechanismon any one payment date is 0.30% per year of the aggregate outstanding mortgage balance.

With the payment of the retention amount, an equal and offsetting amount will be issued to theResidual Unit Holder as subordinated class RM notes to which losses will be allocated before therated notes.

Yield reserve

The yield reserve is a form of liquidity support to the transaction and can be drawn to meetpayment of senior expenses and interest payable to class A noteholders. Before the call-optiondate and while the class A notes remain outstanding, 0.3% per year of the outstanding mortgagebalance will be trapped from excess spread to build the reserve to the documented limit ofA$2,000,000.

Following the repayment of the class A notes, the yield reserve will be released to pay the principaloutstanding starting with the class F notes, followed by the class E, then class D, class C, andclass B notes. Thereafter, it will be available to pay the principal outstanding of the unrated classG notes, followed by the residual income unitholder once all rated notes have been fully repaid.

Extraordinary expense reserve

At closing, an extraordinary expense reserve of $150,000 will be provided by the seller and will beavailable to cover extraordinary expenses that may arise.

Amortization ledger

On or after the call-option date, an amount equal to the amortization amount may be trapped asexcess spread and credited to the outstanding rated notes on a pro rata basis. An equal amount



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would be credited to the amortization ledger and may be drawn to cover losses. We have given nocredit to this in our analysis due to its subordinate ranking in the income waterfall.

Cash-flow modeling assumptions

The key rating stresses and assumptions modeled at each rating level are:

- Analyzing and modeling the structure of the transaction to include all note balances andmargins, trust expenses, liquidity mechanisms within the structure, the priority of payments forboth income and principal, and loss mechanism, as described in the transaction documents.

- Default frequency and loss severity assumed at each rating level.

- Timing of defaults (table 5).

- Time to recovery of sale proceeds from defaulted loans. A key driver in the cash-flow model isthe time it takes to foreclose and recover monies from the defaulted borrower. We haveassumed a recovery period of 15 months.

- Prepayment rates. To test potential yield shortfalls, we have assumed low prepayment rates,and to stress the excess spread available, we have run high prepayment rate scenarios (table6).

- Modeling the cash flows of the assets based on the characteristics of the underlying collateralpool loans with interest-only periods, for example, as well as the margin set on all loans, whichincludes a documented minimum margin over the one-month bank-bill swap rate (BBSW).

- Interest rates, by varying the BBSW curves at each rating level.

- Arrears levels and cure periods.

- A replacement servicer fee of 0.50%, should it be necessary for Bluestone to be replaced asservicer.

- Any fees due as broker trail fees have been included as senior expenses in our analysis.

- The sequential and pro rata principal payment structure of the notes.

Table 5

Assumed Default Curves

Month Front-end default curve (%) Back-end default curve (%) Base-case default curve (%)

4 20 - 5

7 30 5 10

12 - 10 15

18 20 15 25

24 20 25 25

36 10 25 15

48 - 15 5

60 - 5



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Table 6

Assumed Constant Prepayment Rates (CPR)

Transaction seasoning Low CPR scenario (% per year) Constant CPR scenario (% per year) High CPR (% per year)

Up to month 12 10 30 30

Month 13 to month 18 10 30 40

Month 19 to month 36 10 30 50

After month 36 10 30 60

Note: Total CPR shown is inclusive of voluntary and involuntary (defaults) prepayments.

Legal And Counterparty Risks

In our view, the issuer has features consistent with our criteria on special-purpose entities,including the restrictions on objects and powers, debt limitations, independence, andseparateness.

The transaction will have counterparty exposure to NAB as liquidity facility provider, and CBA asbank account provider. The documentation of these roles requires replacement if our rating ofthese entities falls below certain levels; these mechanisms are consistent with S&P GlobalRatings' counterparty criteria.

Issuer Disclosure

The issuer has not informed S&P Global Ratings Australia Pty Ltd. whether the issuer is publiclydisclosing all relevant information about the structured finance instruments that are subject tothis rating report or whether relevant information remains nonpublic.

Related Criteria

- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10,2021

- Criteria | Structured Finance | General: Global Framework For Payment Structure And CashFlow Analysis Of Structured Finance Securities, Dec. 22, 2020

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology AndAssumptions, March 8, 2019

- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology,March 29, 2017

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk InStructured Finance Transactions, Oct. 9, 2014

- Criteria | Structured Finance | RMBS: Assumptions: Australian RMBS Postcode ClassificationAssumptions, July 10, 2013

- General Criteria: Global Investment Criteria For Temporary Investments In Transaction



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Accounts, May 31, 2012

- Criteria | Structured Finance | RMBS: Australian RMBS Rating Methodology And Assumptions,Sept. 1, 2011

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Analyzing The CashFlow And Payment Structures Of Australian And New Zealand RMBS, June 2, 2010

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- ESG Industry Report Card: Residential Mortgage-Back Securities, March 31, 2021

- 2021 Outlook Assumptions For The Australian RMBS Market, Jan 10, 2021

- An Overview Of Australia's Housing Market And Residential Mortgage-Backed Securities, Nov.17, 2021

- Australian Prime And Nonconforming RMBS: What's The Difference, Nov. 17, 2019

- Australia And New Zealand Structured Finance Scenario And Sensitivity Analysis:Understanding The Effects Of Macroeconomic Factors On Credit Quality, April 17, 2017

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

- RMBS Performance Watch: Australia, published quarterly

- RMBS Arrears Statistics: Australia, published monthly

S&P Global Ratings Australia Pty Ltd holds Australian financial services license number 337565 under the CorporationsAct 2001. S&P Global Ratings' credit ratings and related research are not intended for and must not be distributed to anyperson in Australia other than a wholesale client (as defined in Chapter 7 of the Corporations Act).



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