series 2021-1 harvey trust

Presale:

Series 2021-1 Harvey TrustJuly 29, 2021

Preliminary Ratings

ClassPreliminaryrating

Preliminaryamount (mil. A$)

Minimum credit supportbefore credit is given tomortgage insurance (%)

Minimum credit supportafter credit is given to

mortgage insurance (%)Credit support

provided (%)

A AAA (sf) 460.00 4.00 3.37 8.00

AB AAA (sf) 19.25 4.00 3.37 4.15

B AA (sf) 9.25 2.50 1.86 2.30

C A (sf) 6.00 1.50 0.93 1.10

D BBB (sf) 2.05 1.00 0.60 0.69

E BB (sf) 1.80 0.50 0.28 0.33

F NR 1.65 N/A N/A N/A

Note: This presale report is based on information as of July 29, 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. N/A--Not applicable. NR--Not rated.

Profile

Expected closing date August 2021

Final maturity date March 2053

Collateral Fully amortizing, interest-only converting to amortizing, Australian dollar floating-rate andfixed-rate loans to prime-quality borrowers, secured by mortgages over Australian residentialproperties

Structure type Prime residential mortgage-backed pass-through securities

Issuer Perpetual Trustee Co. Ltd. as trustee for Series 2021-1 Harvey Trust

Trust manager CUA Management Pty Ltd.

Servicer and custodian Credit Union Australia Ltd. (trading as Great Southern Bank)

Security trustee P.T. Ltd.

Primary creditenhancement

Note subordination and lenders' mortgage insurance on a portion of the loans in the portfolio.

Presale:

Series 2021-1 Harvey TrustJuly 29, 2021

PRIMARY CREDIT ANALYST

Mei Lee Da Silva

Melbourne

+ 61 3 9631 2053

[email protected]

SECONDARY CONTACT

Alisha Treacy

Melbourne

+ 61 3 9631 2182

[email protected]

www.standardandpoors.com July 29, 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.

2696446

mailto: [email protected]




Supporting Ratings

Lenders' mortgage insurers QBE Lenders' Mortgage Insurance Ltd. and Genworth Financial Mortgage InsurancePty Ltd.

Liquidity facility provider National Australia Bank Ltd.

Standby fixed-rate swap provider Westpac Banking Corp.

Bank account provider National Australia Bank Ltd.

Loan Pool Statistics As Of June 30, 2021

Total number of loans 1,670

Total value of loans (A$) 499,997,179

Current maximum loan size (A$) 993,849

Average loan size (A$) 299,400

Maximum current loan-to-value (LTV) ratio (%) 94.0

Weighted-average current LTV ratio (%) 61.6

Weighted-average loan seasoning (months) 38.1

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

Rationale

The preliminary ratings assigned by S&P Global Ratings to the prime floating-rate residentialmortgage-backed securities (RMBS) to be issued by Perpetual Trustee Co. Ltd. as trustee forSeries 2021-1 Harvey Trust reflect the following factors.

The credit risk of the underlying collateral portfolio and the credit support provided to each classof rated notes are commensurate with the ratings assigned. Credit support is provided bysubordination and lenders' mortgage insurance (LMI) and is sufficient to cover assumed losses atthe applicable rating stress. The assessment of credit risk takes into account Credit UnionAustralia Ltd.'s (CUA; trading as Great Southern Bank) underwriting standards and approvalprocess, which are consistent with industry-wide practices; the servicing quality of CUA; and thesupport provided by the LMI policies on 21.5% of the loans in the portfolio (see "Reliance OnLenders' Mortgage Insurance"). The LMI policies on the insured loans provide 100% cover for theoutstanding principal of each insured loan, accrued interest, and reasonable selling costs.

The rated classes of notes can meet timely payment of interest and ultimate payment of principalunder the rating stresses. Key rating factors are the level of subordination provided, the LMI cover,the interest-rate swaps, the excess revenue reserve, the principal draw function, and the liquidityfacility. Our analysis is on the basis that the notes are fully redeemed by their legal final maturitydate and we do not assume the notes are called at or beyond the call date.

Our ratings also take into account the counterparty exposure to National Australia Bank Ltd. (NAB)as liquidity facility provider and bank account provider, and Westpac Banking Corp. (WBC) asstandby fixed rate swap provider. WBC will act as standby fixed-rate swap provider to hedge themismatch between the fixed-rate receipts on the fixed-rate mortgage loans and the floating-rateinterest payable on the notes in the event that CUA as the fixed-rate swap provider is notappropriately rated. The transaction documents include downgrade language for the liquidity



2696446

Presale: Series 2021-1 Harvey Trust

facility, swap and bank account that is consistent with S&P Global Ratings' counterparty criteria.

We also have factored into our rating the legal structure of the trust, which is established as aspecial purpose entity and meets our criteria for insolvency remoteness.

Strengths And Weaknesses

Strengths

The strengths of the transaction observed in the rating analysis are:

- For the class A and class AB notes, the credit support provided by note subordination exceedsS&P Global Ratings' minimum credit enhancement at the 'AAA' level before and after credit isgiven to LMI. The subordination provided is more than sufficient to maintain the ratings onthese notes--assuming no deterioration in the underlying pool--if we were to lower or removeour ratings on the LMI providers.

- A total of 74% of the loans in the pool have a current loan-to-value (LTV) ratio of less than orequal to 75%, with a weighted-average current LTV of 61.6%. S&P Global Ratings recognizesthat the more equity that borrowers have in their property, the less likely they are to default.This factor is reflected in the credit analysis.

Weaknesses

Weaknesses identified with respect to the transaction are:

- A total of 43.9% of the loans in the portfolio were made to refinance existing debt. When therefinancing involves debt consolidation or cash/equity take-out, we assume the defaultfrequency on these loans is higher. We do this to account for situations in which borrowings areagainst the build-up of equity in a property because we believe this increases the likelihood ofthe borrower defaulting.

- About 34.0% of the portfolio is secured over properties in nonmetropolitan areas. S&P GlobalRatings adjusts the default frequency on loans in such areas because they historically havedemonstrated a higher probability of default. We also increase the recovery period for loans innonmetropolitan areas to reflect the lower demand for property in regional areas.

Notable Features

Class A notes refinance

The class A notes can be refinanced by the issuance of class A-R notes.

The manager will seek to market the issuance of class A-R notes on the distribution date in August2028 or any distribution date thereafter (class A refinancing date). The issuance of the class A-Rnotes is subject to certain conditions, including:

- The margin on the class A-R notes must not be more than 1.1%.

- The class A-R notes having the same credit rating as that on the class A notes on the class A



2696446


refinancing date.

- The manager is satisfied that the class A-R notes issuance will not cause a rating change onany rated notes outstanding.

- The issuance of the class A-R notes will yield sufficient proceeds to redeem all of the class Anotes at their invested amount on the class A refinancing date.

- The issuance will be in accordance with the public offer test, as applicable by law.

If the class A-R notes are issued in accordance with these terms, then the existing class A noteswill be fully repaid from the issuance proceeds of the class A-R notes. If the class A notes are notredeemed in full on the class A refinancing date, then beginning on the class A refinancing datethe margin on the class A notes will step up by 25 basis points. There will be no further step up onthe margin applicable on the class A notes on the call date after the mortgages amortize to 10% ofthe original portfolio balance. However, if the class A-R notes are issued, the margin will step upon the class A-R notes by 25 basis points on the 10% call date if the notes are not called at thattime.

The class A-R notes will not be issued at close and will only be issued to refinance the class Anotes (if any) in the event that they are not repaid in full on the class A refinancing date. In theevent that the class A-R notes are issued, the terms and conditions set out in the documents arecommensurate to that of a 'AAA (sf)' rating. Our stress analysis of the transaction has assumedthat the A-R notes will not be issued.

The legal final maturity date of the class A-R notes is the same as that of the class A notes' finalmaturity date.

Class AB notes

If there are insufficient interest collections, and the stated amount of class AB notes is less thanthe invested amount of the class AB notes, then the class AB notes will not have access to excessrevenue reserve, principal draw, and liquidity facility to support the timely interest payment. S&PGlobal Ratings has taken this feature into account in its cash-flow analysis (see "Cash-FlowAnalysis").



2696446


Transaction Structure

The structure of the transaction is shown in chart 1.

Chart 1

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



2696446


Note Terms And Conditions

Interest payments

All classes of notes rated are floating-rate, pass-through securities, paying a margin over theone-month bank-bill swap rate (BBSW) on the invested amount of the notes, unless the statedamount of a class of notes is zero, in which case no interest accrues. Interest payments are madesequentially to each class of notes.

A step-up margin will apply to the class A notes if they are not fully repaid with the issuance ofclass A-R notes on the class A refinancing date. There will be no further step up on the marginapplicable on the class A notes on the call date.

If the class A-R notes are issued, they will be subject to a step-up margin on the call date. Themargin on the class AB notes also steps up on the call date onward.

The call date occurs on the first distribution date on which the outstanding balance on themortgage loans becomes equal to or less than 10% of the initial balance on the mortgage loans.

On and from the call date, the manager can direct the trustee to call the notes and repay them attheir invested amount plus accrued interest. They can only be redeemed at a lesser amount by anextraordinary resolution of noteholders.

Principal allocation

Principal collections--after application of principal draws, if necessary, to cover any incomeshortfalls or to fund redraws--will be passed through to note holders on a sequential-paymentbasis. The transaction can convert to a serial payment structure, in which principal would bepassed through to each class of notes if the serial paydown conditions are met (see "SerialPaydown Conditions").

Given the pass-through nature of the notes, the actual date on which each class of notes will befully repaid will be determined by the actual prepayment rate experienced on the asset portfolio.In addition, the notes may be redeemed before their final maturity date if the issuer exercises itsrights under the call option. As such, the risk of mortgage prepayments is borne by thenoteholders.



2696446


Chart 2 shows the annualized prepayment speeds of CUA securitized loan portfolios againstStandard & Poor's Prepayment Index (SPPI), which measures prepayment rates for Australianprime RMBS. The prepayment speeds encompass both the scheduled and unscheduled principalpayments on the mortgage loans.

Chart 2

Loss allocation

Losses will first be allocated to the class F notes until their stated balance is reduced to zero,followed by the class E, class D, class C, class B, class AB, then class A notes. If losses can bereinstated throughout the life of the transaction, then the reinstatement will occur to each class ofnotes in the reverse order.

Serial paydown conditions

The triggers to allow serial paydown on a determination date are:

- There are no unreimbursed charge-offs to the notes.

- The class A or class A-R notes (if issued) subordination percentage on that determination dateis at least 14%.

- The outstanding balance of the mortgage loans must be more than 10% of the initial balance ofthe mortgage loans.



2696446


- The average 60-day arrears percentage in relation to that determination date is less than 4%.

- The determination date is at least two years after the issue date.

Reliance On Lenders' Mortgage Insurance

About 21.5% of the mortgage loans within the pool are insured by a primary LMI policy provided byQBE Lenders' Mortgage Insurance Ltd. (QBE) or Genworth Financial Mortgage Insurance Pty Ltd.(Genworth). The LMI policies cover the outstanding mortgage loan principal, accrued interest, andany reasonable enforcement expenses on the defaulted mortgage loans.

The policies contain terms and conditions that allow the insurer to reduce or deny a claim incertain circumstances. If a claim is reduced and results in a loss to the trust, the issuer may beable to offset that loss by applying excess spread to cover those losses before making anydistribution to beneficiaries.

Under our "Methodology For Assessing Mortgage Insurance And Similar Guarantees And SupportsIn Structured And Public Sector Finance And Covered Bonds" criteria, published on Dec. 7, 2014,the overall amount of credit given to LMI is the product of the stated coverage of the LMI policy,the insurer's estimated capacity to pay for a given rating scenario, and the estimated claimspayout ratio for a given issuer.

To adjust for the insurer's capacity to pay, S&P Global Ratings will look at the LMI provider's issuercredit rating. When sizing the credit support for the 'AAA (sf)' rated notes, S&P Global Ratingsassumes that 45% of claims to 'A+' rated LMI providers will be denied in full.

In addition, the estimated claims payout ratio reflects the categorization of CUA into CA1 due to aminimal level of claims adjustments, clearly documented servicing practices, and detailedprocedures adhering to LMI policies and procedures. The claims adjustment rate for CA1 is 10%.

Rating-Transition Analysis

Scenario analysis: Lenders' mortgage insurance

The principal rating-transition risk in most Australian prime RMBS transactions is a lowering ofour rating on one or more of the lenders' mortgage insurers. We consider the rating-transition riskto be low for the 'AAA (sf)' ratings on the class A and class AB notes, when considering LMI. On theclosing of the transaction, the credit support provided to the class A and class AB notes will bemore than the minimal level before giving credit to LMI.

Assuming that there is no deterioration in the portfolio credit quality and performance, table 1details the level of subordination that would support the current ratings on the notes if we were tolower our ratings on Genworth Financial Mortgage Insurance Pty Ltd. (Genworth) or QBE Lenders'Mortgage Insurance Ltd. (QBE) by one notch to 'A-', at the current estimated claims payout ratio.

We consider the rating-transition risk to be moderate for the class B, class C, class D, and class Enotes, when considering LMI. The ratings on these notes are unlikely to be affected by a one-notchdowngrade on either of the insurers, all else remaining equal. However, these notes are likely to beaffected if no credit is given to LMI.

If the serial paydown conditions are not satisfied and principal repayments are made on asequential basis, then the proportion of subordination relative to the senior notes increases, and



2696446


the class B, class C, class D, and class E notes' reliance on the lenders' mortgage insurers willdecrease as the collateral portfolio amortizes.

Table 1

Rating Sensitivity To Lowering Of Rating On Lenders' Mortgage Insurer

Lenders' mortgage insurers (andratings) subject to hypotheticaldowngrades

Minimum credit supportcommensurate with a 'AA (sf)' rating

(%)

Likely rating transition of class Bnotes if no additional support were

provided

Genworth Financial Mortgage Insurance Pty Ltd. (Genworth)

'A-' 1.86 AA

QBE Lenders' Mortgage Insurance Ltd. (QBE)

'A-' 1.95 AA

Both Genworth and QBE

'A-' 1.95 AA

No credit to lenders' mortgage insurance(LMI)

2.50 AA-


Minimum credit supportcommensurate with a 'A (sf)' rating (%)

Likely rating transition of class Cnotes if no additional support were

provided

Genworth

'A-' 0.93 A

QBE

'A-' 0.99 A


'A-' 0.99 A

No credit to LMI 1.50 BBB


Minimum credit supportcommensurate with a 'BBB (sf)' rating

(%)

Likely rating transition of class Dnotes if no additional support were

provided

Genworth

'A-' 0.60 BBB

QBE

'A-' 0.60 BBB


'A-' 0.60 BBB

No credit to LMI 1.00 BB+


Minimum credit supportcommensurate with a 'BB (sf)' rating

(%)

Likely rating transition of class Enotes if no additional support were

provided

Genworth

'A-' 0.28 BB

QBE

'A-' 0.28 BB



2696446


Table 1

Rating Sensitivity To Lowering Of Rating On Lenders' Mortgage Insurer (cont.)


'A-' 0.28 BB

No credit to LMI 0.50 B-

We have factored the LMI principal cover into the cash-flow modeling through the loss-severityassumption, and we have modeled the post-LMI loss severity for all classes of notes. The modelshows that after recognizing this insurance cover, all principal will be paid to the rated notesunder the relevant rating stresses.

S&P Global Ratings believes that the other major factor that would drive negative rating changesin this transaction is significant deterioration in asset portfolio.

Scenario analysis: Property market value decline

S&P Global Ratings has performed a scenario analysis to determine the potential impact on theratings at transaction close if property values of every security property decreased by 10%. Weapplied a haircut of 10% to the original property values and increased LTV ratios for this impact.Note that this scenario does not take into account potential increases or decreases in the securityproperty value 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 areset out in table 2.

Table 2

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

Class

Minimum credit supportfor credit losses pre-LMI

(%)Implied credit

assessment pre-LMI

Minimum credit supportfor credit losses post-LMI

(%)Implied credit

assessment post-LMI

A 5.65 aaa 4.67 aaa

AB 5.65 aa 4.67 aa+

B 4.01 a- 2.88 a+

C 2.54 bb+ 1.48 bbb+

D 1.51 b+ 0.86 bb+

E 0.87 b- 0.47 b+

Note: LMI--Lenders' mortgage insurance.



2696446


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.

CUA's underwriting practices and standards are in line with industry standards. We have takeninto account the role of brokers as introducers of loans in the portfolio. We have also factored intoour analysis the fact that regardless of the originator channel, all loans go through the centralizedapproval processes of CUA and the credit team manually assesses all loans. We consider theexceptions to credit policy to be low. CUA's calculation of borrowers' repayment capacity takesinto account a borrower's employment status, the sources of income, other commitments, andliving expenses, in line with industry standards. We have taken into account the interest-ratebuffers and haircuts CUA applies so we can assess the consistency and quality of CUA'sdebt-serviceability assessment in our credit analysis.

In determining the market value decline assumption, we have factored in the type of valuationobtained when the loans were originated. The type of valuation is determined by factors such asloan amount and LTV ratios. CUA uses valuation methods such as a full valuation, purchase pricevaluation, valuer general's valuation, kerbside valuation, automated valuation, and desktopvaluation.

We have taken into account CUA's arrears-management processes and policies as well as itshistorical arrears and loss performance to assess the quality of CUA's servicing. CUA maintainsfull control over all elements of its loan servicing, arrears management, and loss-mitigationprocesses.



2696446


CUA measures and manages arrears with reference to the scheduled balance of the loan. Thismeans that CUA deems a mortgage to be delinquent when the actual loan balance exceeds thescheduled balance. Chart 3 compares the level of arrears on residential mortgage loanssecuritized under the Harvey Trust's program with the aggregate level of arrears on loanscollateralizing all rated prime RMBS transactions in Australia, as measured by Standard & Poor'sPerformance Index (SPIN). To date, CUA loans have performed well, and have consistently trackedwell below the SPIN.

Chart 3



2696446


CUA, through the Harvey Trust securitization program, has been a regular issuer of Australianprime RMBS. Chart 4 illustrates CUA's issuance history.

Chart 4

Credit Assessment

The portfolio consists entirely of full-documentation prime residential mortgage loans originatedby CUA. This is a closed pool, which means no additional loans will be assigned to the trust afterthe closing date.

We have assessed the credit quality of the collateral to determine the minimum credit supportlevels for this transaction. Among the strengths that we identified are that all loans are assessedon a full-documentation basis and are seasoned. A high proportion of loans have an initial loanterm of less than 30 years. We assume the default frequency is lower for those loans. The keyweaknesses in the credit quality of the portfolio are the exposure to security properties innonmetropolitan areas and the proportion of loans made to refinance existing debt. Our creditsupport calculation takes into account that borrowers can redraw prepaid principal under themortgage loans up to the scheduled balance or obtain further advances over the scheduledbalance, which would increase LTV ratios as borrowers draw additional funds.

In calculating 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 two components: default frequency and loss severity. A



2696446


summary of this calculation is shown in table 3. Table 4 lists the five main default frequencycharacteristics that have deviated from the archetypical pool.

Table 3

Summary Credit Assessment – Total Pool

'AAA' 'AA' 'A' 'BBB' 'BB'

(a) Default frequency (%) 10.57 8.14 5.63 3.84 2.68

(b) Loss severity (%) 29.63 26.64 23.77 19.92 15.33

(c) Credit support required before credit to lenders' mortgage insurance(LMI) (a) x (b) (%) (subject to a floor)

4.00 2.50 1.50 1.00 0.50

(d) Credit to LMI (%) 0.63 0.64 0.57 0.40 0.22

(e) Credit support required after credit to LMI (c) – (d) (%) 3.37 1.86 0.93 0.60 0.28

Assumptions

Market value decline (%) 45.0 43.0 41.0 38.0 34.0

Weighted-average recovery period (months) 14.6 14.6 14.6 14.6 14.6

Interest rate through recovery period (%) 7.85 7.35 6.85 6.35 5.85

Table 4

Rating Multiples

Criteria Default frequency multiple (x)

Loan term 0.745

LTV ratio 0.829

Seasoning 0.936

Nonmetro concentration 1.121

Loan purpose 1.074

Loan Pool Profile

The pool as of June 30, 2021, is summarized in table 5. All portfolio statistics are calculated on aconsolidated loan basis.

Table 5

Loan Pool Characteristics

Value of loans (%)

Current loan size distribution (A$)

Less than or equal to 100,000 1.8

Greater than 100,000 and less than or equal to 200,000 9.0







2696446


Table 5

Loan Pool Characteristics (cont.)

Value of loans (%)

Greater than 800,000 and less than or equal to 1,000,000 2.3

Current loan-to-value ratio distribution (%)

Less than or equal to 50 25.1

Greater than 50 and less than or equal to 60 14.0





Geographic distribution (by state)

New South Wales and Australian Capital Territory 34.9

Victoria 21.4

Queensland 35.6

Western Australia 5.9

South Australia 1.7

Tasmania and Northern Territory 0.5

Geographic distribution (metro/nonmetro)

Inner city 0.5

Metropolitan 65.5

Nonmetropolitan 34.0

Seasoning

Less than or equal to six months 3.1

Six months – one year 12.6

1-2 years 23.8

2-3 years 13.7

3-4 years 17.5

4-5 years 9.0

Greater than five years 20.3

Principal amortization

Fully amortizing 94.9

Interest-only for up to 4.95 years, reverting to fully amortizing 5.1

Ownership type

Owner-occupier 79.7

Investor 20.3

Loan purpose

Purchase (new or existing) 43.0

Refinance for debt consolidation 13.9



2696446


Table 5

Loan Pool Characteristics (cont.)

Value of loans (%)

Refinance equity takeout 30.0

Other 13.1

Loan documentation

Full documentation 100.0

Borrower residency

Australian resident 100.0

Mortgage insurers

Genworth Financial Mortgage Insurance Pty Ltd. 0.9

QBE Lenders' Mortgage Insurance Ltd. 20.6

Uninsured 78.5

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.

Liquidity assessment

If there are insufficient interest collections, then liquidity support to meet senior expenses andinterest on the rated notes is firstly provided through the excess revenue reserve (discussed inmore detail under "Excess Revenue Reserve"). Principal draws will be available if interestcollections plus the excess revenue reserve are insufficient. An amortizing liquidity facility to beprovided by NAB will be available if there are insufficient principal draws. The amortizing liquidityfacility is equal to 1.0% of the aggregate invested amount of the notes. This will amortize with thenote balance to a floor of 0.10% of the liquidity limit specified on the issue date. In the event of adowngrade of the liquidity facility provider, the liquidity facility will be fully drawn and the moniesdeposited into an account of an appropriately rated bank or the liquidity facility provider will bereplaced with an appropriately rated counterparty.

The excess revenue reserve, principal draw, and liquidity facility are not available to the class AB,class B, class C, class D, class E, and class F notes as well as any notes ranking below each ofthose classes if the stated amount of the class AB, class B, class C, and class D notes is less thanthe invested amount of the respective class AB, class B, class C, class D, class E, and class Fnotes.

Excess revenue reserve

Subject to meeting certain conditions, the excess revenue reserve will trap all available excessspread up to a limit of A$1,000,000 from the closing date to the payment date before the firstpossible call-option date.



2696446


From the payment date that is on or after the first possible call-option date, all excess spread willbe trapped, with no conditions and no maximum limit in place. This will be available to cover seniorexpenses and interest shortfalls on the notes.

Interest-rate risk

Interest-rate risk between any fixed-rate mortgage loans and the floating-rate obligations on thenotes is hedged via a fixed-rate swap that will be provided by CUA. WBC will act as standbyfixed-rate swap provider if CUA is not appropriately rated. In addition, CUA will provide a basisswap to hedge the basis risk associated with all variable-rate mortgage loans and thefloating-rate obligations under the notes. The threshold-rate mechanism will be utilized if thebasis swap terminates or if there is insufficient income from the basis swap to allow the trustee tomeet its obligations.

Cash-Flow Modeling Assumptions

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

- Analyzing and modeling the structure of the transaction to include all note balances andmargins, trust expenses, liquidity facility, expense revenue reserve, waterfall priority for bothincome and principal payments, and the loss mechanism, as described in the transactiondocuments.

- Default frequency and loss severity assumed at different rating levels.

- Timing of defaults (table 6).

- Foreclosure period and time to recover sale proceeds from defaulted loans, assuming arecovery of 15 months.

- Prepayment rates, assuming low prepayment rates to test potential yield shortfalls, as well asrunning high prepayment rate scenarios to stress the excess spread available (table 7).

- Modeling the cash flows of the assets based on the characteristics of the underlying collateralpool, and the margin set on all loans.

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

- Arrears levels and cure periods.

- Modeling the higher of actual servicer fee or an assumed servicer fee of 0.35% per annum,should it be necessary for CUA to be replaced as servicer.

- Extraordinary expenses of 0.25% per annum.

- The threshold-rate mechanism, which includes an additional 25 basis points (bps) above therequired weighted-average return on the loans, to allow the trustee to meet its paymentobligations under the transaction documents. In cash-flow modeling, we recognize a step up inthe threshold rate of a total of 50 bps, with 25 bps each on months 36 and 60.

- Sequential and serial principal payment structures of the notes.



2696446


Table 6

Assumed Default Curves

Month Front-loaded default curve (%) Back-loaded default curve (%) Standard default curve (%)

6 10 - 10

12 25 5 15

18 - 15 -

24 30 25 25

36 20 25 25

48 10 15 15

60 5 10 10

72 - 5 -

Table 7

Assumed Constant Prepayment Rates (CPR)

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

Up to month 12 5 20 20

Month 13 to month 18 5 20 25

Month 18 to 36 5 20 35

After month 36 5 20 40

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 restriction on objects and powers, debt limitations, independence, andseparateness.

The transaction will have counterparty exposure to WBC as fixed-rate swap provider and NAB asliquidity facility provider and bank account provider. The documentation of these roles requiresreplacement and or posting of collateral if the rating of these entities falls below certain levels.These mechanisms are consistent with our counterparty rating criteria.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For RMBS,we view the exposure to environmental credit factors as average, social credit factors as aboveaverage, and governance credit factors as below average (see "ESG Industry Report Card:Residential Mortgage-Backed Securities," March 31, 2021).

In our view, the exposure to ESG credit factors in this transaction is in line with our sectorbenchmark. For RMBS, social credit factors are generally considered above average becausehousing is viewed as one of the most basic human needs and conduct risk presents a direct socialexposure for lenders and servicers, particularly because regulators are increasingly focused onensuring fair treatment of borrowers.



2696446


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

- 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 | RMBS: Methodology For Assessing Mortgage Insurance AndSimilar Guarantees And Supports In Structured And Public Sector Finance And Covered Bonds,Dec. 7, 2014

- 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

- Criteria | Structured Finance | General: Global Derivative Agreement Criteria, June 24, 2013

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, 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-Backed Securities, March 31, 2021

- 2021 Outlook Assumptions For The Australian RMBS Market, Jan. 11, 2021

- An Overview Of Australia's Housing Market And Residential Mortgage-Backed Securities, Dec.14, 2020

- Australia And New Zealand Structured Finance Scenario And Sensitivity Analysis:



2696446


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).



2696446


S&P may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of securities or from obligors.S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites,www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributedthrough other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available atwww.standardandpoors.com/usratingsfees.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respectiveactivities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has establishedpolicies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed andnot statements of fact. S&P's opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase,hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation toupdate the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment andexperience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not actas a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable,S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-relatedpublications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limitedto, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certainregulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Partiesdisclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damagealleged to have been suffered on account thereof.

Copyright © 2021 Standard & Poor's Financial Services LLC. All rights reserved.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any partthereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrievalsystem, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not beused for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees oragents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are notresponsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or forthe security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESSOR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE ORUSE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THECONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct,indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, withoutlimitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advisedof the possibility of such damages.

Standard & Poor’s | Research | July 29, 2021 21

2696446


series 2021-1 harvey trust

Documents