latitude australia pl series 2017-1 trust transaction overview · collection period: 01-feb-18...
TRANSCRIPT
Latitude Australia PL Series 2017-1 TrustMonthly Investor Report
Report No: 3
Transaction overview
Bloomberg Ticker: AUPL 2017-1
Report for the period ended: 28-Feb-18
Determination Date: 14-Mar-18
Payment Date: 19-Mar-18
Next Payment Date: 17-Apr-18
Reporting Periods: From: To:
Collection Period: 01-Feb-18 28-Feb-18
Interest Period: 19-Feb-18 18-Mar-18
Note Class Currency Issuance Amount Outstanding Amount Maturity Date Interest Basis Initial Margin (%) Step-up Margin (%)
A AUD 397,800,000.00 397,800,000.00 17-Jan-28 BBSW1M 1.2000% 0.2500%
B AUD 67,200,000.00 67,200,000.00 17-Jan-28 BBSW1M 1.7500% N/A
C AUD 48,000,000.00 48,000,000.00 17-Jan-28 BBSW1M 2.3000% N/A
D AUD 32,400,000.00 32,400,000.00 17-Jan-28 BBSW1M 3.1500% N/A
E AUD 54,600,000.00 54,600,000.00 17-Jan-28 BBSW1M 4.7500% N/A
Seller Note AUD 51,000,000.00 51,000,000.00 N/A N/A N/A N/A
Eligible Receivable Balance (as at 28-Feb-18): 612,300,630.25
Seller Notes 51,000,000.00
CRR Retention 8.3300%
Latitude confirms that it will retain a material net economic interest of not less than 5%of the nominal value of the securitisation in accordance with Article 405 of the CRR and Article 51 of the AIFMR,
by way of an originator's interest of not less than 5% of the nominal value of the securitised exposures. As at the reporting date, this retention is in the form of the Seller Notes.
FALSE
FALSE
FALSE
Trust Assets
Transaction Events
Substitution Termination Event
Pro-Rata Pay Down
Excess Spread Turbo Trigger
Transaction Overview Page 1
NameRequired Rating
(Fitch & Moody's)
Current Rating
(Fitch & Moody's)Trigger Status Consequences of Trigger Breach
Westpac Banking
CorporationF1/A, P-1/A2 F1+/AA-, P-1/Aa3 PASS Replacement within specified period
Westpac Banking
CorporationF1/A, P-1 F1+/AA-, P-1 PASS
Collateralisation or replacement within specified
period
Credit Agricole CIB F1/A, A3 F1/A+, A2 PASSCollateralisation, guarantor or replacement
within specified period
Contact NameOriginator / Seller: Latitude Personal Finance Pty Limited Treasurer [email protected]
Servicer: Latitude Personal Finance Pty Limited Treasurer [email protected]
Trust Manager: KVD TM Pty Ltd Treasurer [email protected]
Trustee: Perpetual Corporate Trust Limited Manager, Transaction [email protected]
Trustee Account Bank: Westpac Banking Corporation Not Applicable Not Applicable
Initial Hedge Provider Credit Agricole CIB Not Applicable Not Applicable
Paul Varro [email protected]
Steven Mixter [email protected]
Key Contacts Contact E-mail
Trustee Account Bank
Liquidity Facility Provider
Initial Hedging Provider
Counterparty Role Counterparty Contact E-mail
Transaction Party Ratings
Transaction Overview Page 2
Latitude Australia PL Series 2017-1 TrustMonthly Investor Report
Report No: 3
Notes
Class A B C D E Seller Notes
Denomination AUD AUD AUD AUD AUD AUD
ISIN AU3FN0039178 AU3FN0039186 AU3FN0039194 AU3FN0039202 AU3FN0039210 N/A
Moodys / Fitch (Original) Aaa /AAA Aa2/AA A2/NR Baa2/NR Ba2/NR NR/NR
Moodys / Fitch (Current) Aaa /AAA Aa2/AA A2/NR Baa2/NR Ba2/NR NR/NR
Pool Factor (Original) 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000
Pool Factor (Current) 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000
Pay Frequency Monthly Monthly Monthly Monthly Monthly Monthly
Next Distribution Date 17-Apr-18 17-Apr-18 17-Apr-18 17-Apr-18 17-Apr-18 17-Apr-18
Interest Basis BBSW1M BBSW1M BBSW1M BBSW1M BBSW1M N/A
Status Substitution Period Substitution Period Substitution Period Substitution Period Substitution Period Substitution Period
First Distribution Date 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18 17-Jan-18
Maturity Date 17-Jan-28 17-Jan-28 17-Jan-28 17-Jan-28 17-Jan-28 17-Jan-28
Amortisation Type Pass Through Pass Through Pass Through Pass Through Pass Through Pass Through
Notes Opening Stated Amount Carryover Charge-Offs Charge-OffsRe-instatement of Carryover
Charge-OffsClosing Stated Amount
Class A 397,800,000.00 0.00 0.00 0.00 397,800,000.00
Class B 67,200,000.00 0.00 0.00 0.00 67,200,000.00
Class C 48,000,000.00 0.00 0.00 0.00 48,000,000.00
Class D 32,400,000.00 0.00 0.00 0.00 32,400,000.00
Class E 54,600,000.00 0.00 0.00 0.00 54,600,000.00
Seller 51,000,000.00 0.00 0.00 0.00 51,000,000.00
Current Period Rates Class A Class B Class C Class D Class E
Rate (BBSW 1 Month) 1.6700% 1.6700% 1.6700% 1.6700% 1.6700%
Margin 1.2000% 1.7500% 2.3000% 3.1500% 4.7500%
All-in-Rate 2.8700% 3.4200% 3.9700% 4.8200% 6.4200%
Coupon Details Class A Class B Class C Class D Class E
Interest Due 875,813.92 176,303.34 146,183.01 119,800.11 268,901.26
Interest Paid 875,813.92 176,303.34 146,183.01 119,800.11 268,901.26
Unpaid Interest 0.00 0.00 0.00 0.00 0.00
Note Details
Series 2017-1 Notes Page 3
Cashflow Waterfalls
Finance Charge Collections 9,042,505.28 Principal Collections 26,972,332.12
Recoveries from Write-off and Reallocated Receivables 807,750.87 Less: Substitution Reserve Draw 0.00
Other Income 44,500.21 Plus: Reimbursement of Principal Draw 0.00
Net Swap Settlement Proceeds 0.00 Reimbursement of Losses 3,391,267.58
Derivative Reserve Ledger Draw 0.00 0.00
Tax Ledger Draw and Release 0.00 Excess Spread Turbo Amount 0.00
Principal Draw 0.00 Excess Note Proceeds 0.00
Liquidity Draw 0.00 Release from Substitution Ledger 174.06
Distribution Reserve Ledger Draw and Release 0.00 Clean-Up Amount 0.00
Total Available Income 9,894,756.36 Derivative Reserve Ledger Draw (Excess Balance) 0.00
30,363,773.76
Total Available Income: 9,894,756.36 30,363,773.76
Income Unitholder 0.00 Principal Draw 0.00
Tax Liabilities 0.00 Fund Acquisition of Receivables 0.00
Trustee & Security Trustee Fee 9,888.07 Deposit to Substitution Ledger 30,363,773.76
Trust Expenses 11,026.18 Class A Notes Repayment Amount 0.00
Trust Manager Fee 51,095.60 Class B Notes Repayment Amount 0.00
Senior Servicing Fee 510,955.99 Class C Notes Repayment Amount 0.00
Back-Up Servicing Fee 1,100.00 Class D Notes Repayment Amount 0.00
Net Swap Amount Paid 149,358.91 Class E Notes Repayment Amount 0.00
Liquidity Facility Interest & Fees 4,212.23 Seller Notes Repayment Amount 0.00
Liquidity Draws Outstanding 0.00 0.00
Class A Note Interest 875,813.92
Class B Note Interest 176,303.34
Class C Note Interest 146,183.01
Class D Note Interest 119,800.11
Class E Note Interest 268,901.26
Principal Draw Reimbursement 0.00
Reimbursement of Losses (preceding Collection Period) 3,391,267.58
Derivative Reserve Ledger Allocation 500,000.00
Reimburse Derivative Reserve Draw 0.00
Excess Spread Turbo Amount 0.00
Carryover Charge-Offs (Class A) 0.00
Carryover Charge-Offs (Class B) 0.00
Carryover Charge-Offs (Class C) 0.00
Carryover Charge-Offs (Class D) 0.00
Carryover Charge-Offs (Class E) 0.00
Carryover Charge-Offs (Seller) 0.00
Junior Servicing Fee 3,678,850.16
Any other amounts payable to the Liquidity Facility Provider 0.00
Subordinated Swap Termination Payment 0.00
Seller Note Interest 0.00
Payments to the Originator and Unitholders 0.00
Total Available Principal Collections:
Payments to the Originator and Unitholders
Application of Total Available Income Application of Principal Collections
Sources of Funds (Income Collections) Sources of Funds (Principal Collections)
Reimbursement of Carryover Charge-Offs
Total Available Principal Collections
Series 2017-1 Notes Page 4
Bank Account Ledgers
Principal Draws Outstanding 0.00 Carryover balance of Liquidity Draws 0.00
Principal Draw 0.00 Liquidity Draw 0.00
Reimbursement of Principal Draws 0.00 Repayment of Liquidity Draw 0.00
Carry over Balance of Principal Draws 0.00 Closing Balance of Liquidity Draw 0.00
Liquidity Facility Limit 9,151,578.32
Opening Balance of the Substitution Reserve Ledger 29,269,530.39 Undrawn Liquidity Amount 9,151,578.32
Substitution Reserve Ledger Draw (29,269,356.33)
Release of the Substitution Reserve Ledger (174.06)
Deposit to the Substitution Reserve Ledger 30,363,773.76 Opening Balance of Derivative Reserve Ledger 10,000,000.00
Closing Balance of the Substitution Reserve Ledger 30,363,773.76 Derivative Reserve Ledger Required Draw 0.00
Derivative Reserve Ledger Excess Draw 0.00
Derivative Reserve Ledger Allocation 500,000.00
Opening Balance of the Excess Spread Turbo Ledger 0.00 Closing Balance of Derivative Reserve Ledger 10,500,000.00
Deposit to the Excess Spread Turbo Ledger 0.00
Excess Spread Turbo Ledger Draw 0.00
Closing Balance of the Excess Spread Turbo Ledger 0.00
Excess Spread Turbo Ledger
Principal Draw Ledger Liquidity Facility Ledger
Substitution Ledger
Derivative Reserve Ledger
Series 2017-1 Notes Page 5
Latitude Australia PL Series 2017-1 TrustMonthly Investor Report
Report No: 3
Collection Period Start 01-Feb-18
Collection Period End 28-Feb-18
Portfolio Parameters
Reporting Period
Outstanding Principal Balance of
Receivables with term > 72 months
(A)
Outstanding Principal Balance
of all Receivables
(B)
A/B % Parameter
Feb-18 146,266,767.55 612,300,630.25 23.8881% 37.5000%
Jan-18 157,796,220.19 613,147,183.01 25.7355% 37.5000%
Dec-17 167,217,486.25 608,065,203.34 27.4999% 37.5000%
Reporting Period
Outstanding Principal Balance of
Receivables > A$35,000
(A)
Outstanding Principal Balance
of all Receivables
(B)
A/B % Parameter
Feb-18 41,077,828.49 612,300,630.25 6.7088% 10.0000%
Jan-18 43,088,353.43 613,147,183.01 7.0274% 10.0000%
Dec-17 44,067,423.39 608,065,203.34 7.2472% 10.0000%
Reporting Period
Outstanding Principal Balance of
Receivables GECO Grade = CR3
(A)
Outstanding Principal Balance
of all Receivables
(B)
A/B % Parameter
Feb-18 176,935,592.62 612,300,630.25 28.8968% 32.5000%
Jan-18 177,043,547.83 613,147,183.01 28.8746% 32.5000%
Dec-17 175,416,950.54 608,065,203.34 28.8484% 32.5000%
Reporting Period
Outstanding Principal Balance of
Receivables GECO Grade = CR4
(A)
Outstanding Principal Balance
of all Receivables
(B)
A/B % Parameter
Feb-18 32,164,777.97 612,300,630.25 5.2531% 8.0000%
Jan-18 31,949,304.04 613,147,183.01 5.2107% 8.0000%
Dec-17 31,673,755.18 608,065,203.34 5.2089% 8.0000%
Reporting Period
Outstanding Principal Balance of
Receivables not in NSW, VIC or QLD
(A)
Outstanding Principal Balance
of all Receivables
(B)
A/B % Parameter
Feb-18 146,616,962.55 612,300,630.25 23.9453% 40.0000%
Jan-18 146,158,688.65 613,147,183.01 23.8375% 40.0000%
Dec-17 144,348,417.75 608,065,203.34 23.7390% 30.0000%
Key Performance Indicators Page 6
Reporting Period
Weighted Average APR of all
Receivables
(A)
B (Fixed) % C ( Fixed Rate Payable under
IRS + 11.5 %)Parameter
Feb-18 16.4440% 13.0000% 13.4945% 13.4945%
Jan-18 16.4644% 13.0000% 13.4945% 13.4945%
Dec-17 16.4973% 13.0000% 13.4945% 13.4945%
Substitution Termination Triggers
Reporting Period
Outstanding Principal Balance at
Beginning of Collection Period
(A)
Delinquent Receivables 90+ as
at last day of Collection Period
(B)
Delinquency Ratio of 90+
(B/A) %
Arrears Ratio 90+
(3 Months)
Feb-18 613,147,183.01 3,241,990.53 0.5287% 0.5031%
Jan-18 608,065,203.34 3,041,962.00 0.5003% 0.4903%
Dec-17 641,999,737.86 3,083,543.73 0.4803% 0.4803%
Excess Spread Turbo Triggers
Reporting Period
Outstanding Principal Balance at
Beginning of Collection Period
(A)
Net Charge-offs in
Collection Period
(B)
Loss Ratio
B/A %
Average Monthly Loss
Ratio (3 Months)
Feb-18 613,147,183.01 2,583,516.71 0.4214% 0.4530%
Jan-18 608,065,203.34 2,821,226.44 0.4640% 0.4688%
Dec-17 641,999,737.86 3,040,703.15 0.4736% 0.4736%
Reporting Period
Outstanding Principal Balance at
Beginning of Collection Period
(A)
Delinquent Receivables 60+ as
at last day of Collection Period
(B)
Delinquency Ratio of 60+
(B/A) %
Arrears Ratio 60+
(3 Months)
Feb-18 613,147,183.01 10,174,763.51 1.6594% 1.4666%
Jan-18 608,065,203.34 8,952,278.36 1.4723% 1.3702%
Dec-17 641,999,737.86 8,141,721.47 1.2682% 1.2682%
Pro-Rata Paydown Triggers
Reporting Period
Outstanding Principal Balance of
Acquired Receivables at Cut-Off
Date
(A)
Aggregate Net Charge-offs
(B)
Loss Ratio
(B/A)%
Feb-18 705,256,882.08 8,445,446.30 1.1975%
Jan-18 675,987,525.75 5,861,929.59 0.8672%
Dec-17 641,999,737.86 3,040,703.15 0.4736%
Loan Additions (Substitution Period)
Reporting Period No. of Loans Added
Principal Balance of
Receivables Added at Cut-off
Date
Feb-18 1,914 29,269,356.33
Jan-18 2,173 33,987,787.89
Dec-17 0 0.00
Key Performance Indicators Page 7
Repurchased Loans
Reporting Period Reason No. of Loans RepurchasedPrincipal Balance of
Receivables
Feb-18 Defaulted Accounts 282 0.00
Feb-18 Hardship Accounts 43 686,217.32
Jan-18 Defaulted Accounts 266 0.00
Jan-18 Hardship Accounts 37 591,355.67
Dec-17 Defaulted Accounts 247 0.00
Dec-17 Hardship Accounts 44 768,033.44
Key Performance Indicators Page 8
Latitude Australia PL Series 2017-1 TrustStrat Tables
Report No: 3
Collection Period Start 01-Feb-18
Collection Period End 28-Feb-18
No. of Days in Collection Period 28
Interest Period Start 19-Feb-18
Interest Period End 18-Mar-18
No. of Days in Interest Period 28
Determination Date 14-Mar-18
Payment Date 19-Mar-18
Portfolio Summary
Opening Outstanding Balance of Receivables 613,147,183.01
Opening No. of Loans 41,300
Closing Outstanding Balance of Receivables 612,300,630.25
Closing No. of Loans 41,601
Max. Loan Size 57,921.33
Average Loan Size 14,718.41
W.A. Remaining Term 56.25
Weighted Average APR 16.4440%
Loan Age Distribution
Loan Age Balance % Balance Loan Count % Loan Count
< 1 years 228,416,865.65 37.30% 12,271 29.50%
1 - 2 years 181,547,719.27 29.65% 11,142 26.78%
2 - 3 years 95,370,821.71 15.58% 6,876 16.53%
3 - 4 years 49,422,806.50 8.07% 4,347 10.45%
4 - 5 years 34,529,122.54 5.64% 3,639 8.75%
5 - 6 years 14,274,277.56 2.33% 1,878 4.51%
> 6 years 8,739,017.02 1.43% 1,448 3.48%
Total 612,300,630.25 100.00% 41,601 100.00%0 100,000,000 200,000,000 300,000,000
< 1 years
1 - 2 years
2 - 3 years
3 - 4 years
4 - 5 years
5 - 6 years
> 6 years
Portfolio Strats Page 9
Balance Distribution
Current Balance Balance % Balance Loan Count % Loan Count
<= $0 0.00 0.00% 228 0.55%
$0 > and <= $5,000 17,303,955.17 2.83% 6,348 15.26%
$5,000 > and <= $10,000 69,422,545.27 11.34% 9,167 22.04%
$10,000 > and <= $15,000 98,954,491.26 16.16% 7,928 19.06%
$15,000 > and <= $20,000 107,682,492.38 17.59% 6,176 14.85%
$20,000 > and <= $25,000 110,326,785.10 18.02% 4,921 11.83%
$25,000 > and <= $30,000 101,312,030.10 16.55% 3,713 8.93%
$30,000 > and <= $35,000 66,220,502.48 10.82% 2,053 4.93%
$35,000 > and <= $40,000 30,540,936.54 4.99% 825 1.98%
$40,000 > and <= $45,000 7,854,419.22 1.28% 187 0.45%
$45,000 > and <= $50,000 1,781,299.45 0.29% 38 0.09%
> $50,000 901,173.28 0.15% 17 0.04%
Total 612,300,630.25 100.00% 41,601 100.00%
Loan Purpose
Loan Purpose Balance % Balance Loan Count % Loan Count
Vehicle Purchase & Repair 57,865,198.78 9.45% 4,783 11.50%
Recreational Vehicles 1,283,182.52 0.21% 159 0.38%
Debt Consolidation 136,040,042.67 22.22% 10,424 25.06%
Education 4,513,645.71 0.74% 359 0.86%
Home Improvements & Furnishings 90,548,630.32 14.79% 6,088 14.63%
Medical & Dental 2,594,631.69 0.42% 275 0.66%
Refinance 206,777,213.66 33.77% 10,829 26.03%
Travel 40,215,945.46 6.57% 3,722 8.95%
Other 72,462,139.44 11.83% 4,962 11.93%
Total 612,300,630.25 100.00% 41,601.00 100.00%
APR Distribution
APR Balance % Balance Loan Count % Loan Count
<=5% 12,642,646.50 2.06% 745 1.79%
5%> and <= 10% 30,997,736.92 5.06% 1,715 4.12%
10%> and <= 15% 289,836,241.98 47.34% 16,067 38.62%
15%> and <= 20% 161,694,943.47 26.41% 11,043 26.55%
20%> and <= 25% 64,667,447.98 10.56% 5,405 12.99%
25%> and <= 30% 45,790,387.04 7.48% 5,465 13.14%
>30% 6,671,226.36 1.09% 1,161 2.79%
Total 612,300,630.25 100.00% 41,601 100.00%
0 40,000,000 80,000,000 120,000,000
$0 > and <= $5,000
$5,000 > and <= $10,000
$10,000 > and <= $15,000
$15,000 > and <= $20,000
$20,000 > and <= $25,000
$25,000 > and <= $30,000
$30,000 > and <= $35,000
$35,000 > and <= $40,000
$40,000 > and <= $45,000
$45,000 > and <= $50,000
> $50,000
0 50,000,000100,000,000150,000,000200,000,000250,000,000300,000,000
<=5%
5%> and <= 10%
10%> and <= 15%
15%> and <= 20%
20%> and <= 25%
25%> and <= 30%
>30%
Vehicle Purchase & Repair
Recreational Vehicles
Debt Consolidation
Education
Home Improvements & Furnishings
Medical & Dental
Refinance
Travel
Other
Portfolio Strats Page 10
Remaining Term Distribution
Remaining Term Balance % Balance Loan Count % Loan Count
<= 12 Months 6,941,387.03 1.13% 2,640 6.35%
12 Months > and <= 18 Months 11,109,719.37 1.81% 2,141 5.15%
18 Months > and <= 24 Months 18,435,005.69 3.01% 2,591 6.23%
24 Months > and <= 30 Months 25,393,217.49 4.15% 2,792 6.71%
30 Months > and <= 36 Months 38,549,705.83 6.30% 3,489 8.39%
36 Months > and <= 42 Months 44,275,423.32 7.23% 3,360 8.08%
42 Months > and <= 48 Months 51,895,554.97 8.48% 3,467 8.33%
48 Months > and <= 54 Months 64,199,576.61 10.48% 3,844 9.24%
54 Months > and <= 60 Months 65,914,855.75 10.77% 3,684 8.86%
60 Months > and <= 66 Months 57,379,288.02 9.37% 3,029 7.28%
66 Months > and <= 72 Months 81,940,128.62 13.38% 3,937 9.46%
> 72 Months 146,266,767.55 23.89% 6,627 15.93%
Total 612,300,630.25 100.00% 41,601 100.00%
Loan GECO Grade
GECO Risk Grade Balance % Balance Loan Count % Loan Count
CR1 78,560,086.06 12.83% 4,676 11.24%
CR2 324,640,173.60 53.02% 19,013 45.70%
CR3 176,935,592.62 28.90% 14,057 33.79%
CR4 32,164,777.97 5.25% 3,855 9.27%
Total 612,300,630.25 100.00% 41,601 100.00%
Arrears Days
Arrears Band Balance % Balance Loan Count % Loan Count
Current 556,403,479.56 90.87% 37,453 90.03%
1-30 days 34,821,354.79 5.69% 2,536 6.10%
31-60 days 10,901,032.39 1.78% 827 1.99%
61-90 days 6,932,772.98 1.13% 509 1.22%
91-120 days 3,241,990.53 0.53% 276 0.66%
>120 days 0.00 0.00% 0 0.00%
Total 612,300,630.25 100.00% 41,601 100.00%
0 50,000,000 100,000,000150,000,000200,000,000250,000,000300,000,000350,000,000
CR1
CR3
0
10,000,000
20,000,000
30,000,000
40,000,000
1-30 days 31-60 days 61-90 days 91-120 days >120 days
0 50,000,000 100,000,000 150,000,000
<= 12 Months
12 Months > and <= 18 Months
18 Months > and <= 24 Months
24 Months > and <= 30 Months
30 Months > and <= 36 Months
36 Months > and <= 42 Months
42 Months > and <= 48 Months
48 Months > and <= 54 Months
54 Months > and <= 60 Months
60 Months > and <= 66 Months
66 Months > and <= 72 Months
> 72 Months
Portfolio Strats Page 11
State Distribution
Location Balance % Balance Loan Count % Loan Count
NSW 161,969,916.12 26.45% 11,213 26.95%
VIC 126,429,458.78 20.65% 8,711 20.94%
QLD 177,284,292.80 28.95% 11,805 28.38%
SA 36,041,026.04 5.89% 2,470 5.94%
WA 77,809,297.59 12.71% 5,124 12.32%
TAS 14,932,818.34 2.44% 1,077 2.59%
NT 8,448,162.47 1.38% 557 1.34%
ACT 9,385,658.11 1.53% 644 1.55%
Total 612,300,630.25 100.00% 41,601 100.00%
NSW
VIC
QLD
SA
WA
TAS
NT
ACT
Portfolio Strats Page 12