Potential Rating Migrations of Individual Senior and Mezzanine Notes in Australian Prime RMBS

International Structured Finance Australia

Special Report

Potential Rating Migrations of Individual Senior and Mezzanine Notes in Australian Prime RMBS

Table of Contents − Overview

− Findings

− Appendix 1

− Appendix 2

− Appendix 3

OVERVIEW

This special report addresses the need for investors of senior or mezzanine notes in Prime Australian RMBS deals to know both the potential for ratings migration and the level of migration due to a ratings downgrade of one or both of the two dominant providers of lenders mortgage insurance (LMI) in the Australian market – Genworth (A1) and QBE LMI (Aa3).

The charts below reveal that senior and mezzanine notes are resilient to Genworth and QBE LMI downgrades.

Our analysis shows that only one note is a candidate for potential downgrade if QBE LMI were downgraded three notches, and only four notes would be candidates for potential downgrade if Genworth were downgraded three notches.

And importantly, under no circumstances, would any note be a potential candidate for downgrade to below investment grade.

In fact, only one mezzanine note currently rated Aa1 could be downgraded to the Baa range if both Genworth and QBE LMI were downgraded to below investment grade.

This report is a continuation of the special report, “Impact of LMI Rating Migrations on Individual Senior and Mezzanine Notes of Australian Prime RMBS,” August 20091.

For an understanding on how Moody’s assigns benefit for LMI, refer to the special report, “The Impact of Mortgage Insurance On The Subordination Levels of Australian RMBS, May 2000”.

FINDINGS

There were 150 Prime Australian RMBS deals analysed for this report, and consisting of 260 senior and mezzanine notes. Of these, 64 notes have their current ratings dependent on the benefit Moody’s places on the mortgage insurance policies provided by Genworth and QBE LMI

Appendix 1 illustrates how many of these notes are candidates for potential downgrade --under all possible Genworth and QBE rating combinations.

Appendix 2 illustrates, for each of the 64 notes mentioned above, the indicative ratings levels that a note would obtain under all possible ratings combinations for Genworth and QBE.

The results for each note are tabulated in a standard format for easy comparison.

Author(s) Arthur Karabatsos Vice President – Senior Analyst +61 2 9270-8160 [email protected]

Ryan Lu, CFA Assistant Vice President – Analyst +61 2 9270-8104 [email protected]

Additional Contacts Jacob Ezrakhovich Senior Associate +61 2 9270-8124 [email protected]

Investor Liaison Josephine Brodsky Associate Director – Regional Account Manager +61 2 9270-8117 [email protected]

Client Service Desk Sydney: +61 2 9270-8100 [email protected]

Monitoring [email protected]

Website www.moodys.com

1 The previous report only examined the likelihood of a downgrade of senior and mezzanine notes, whereas this report also examines the

potential rating.

28 September 2009

http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF179345



2 • Moody’s Investors Service Potential Rating Migrations of Individual Senior and Mezzanine Notes in Australian Prime RMBS

Broadly speaking, the indicative ratings levels that a note will obtain are dependent onAaa credit enhancement requirements, subordination levels and the benefit given to LMI.

For an explanation on how Moody’s assigns benefit for LMI, refer to the special report,“The Impact of Mortgage Insurance On The Subordination Levels of Australian RMBS, May 2000”. The ratings of the junior notes is highly correlated to the rating of the lowestrated mortgage insurer and not reported upon in this report.

Examination of Appendix 2 reveals that even if both mortgage insurers were downgraded to below investment grade (below Baa3 and hence no value given by Moody’s to theirmortgage insurance policies), then:

− Of the 47 of senior notes currently rated Aaa:

− 32 could be downgraded to Aa (Aa1, Aa2, Aa3) levels; and

− 15 could be downgraded to A (A1, A2, A3) levels.

Similarly

− Of the 17 of mezzanine notes currently rated Aa1:

− 7 could remain in the Aa (Aa1, Aa2, Aa3) levels

− 9 could be downgraded to the A (A1, A2, A3) levels; and

− 1 could be downgraded to Baa (Baa1, Baa2, Baa3) levels

The one note rated Aa1 -- that could be downgraded to Baa levels -- is the Resimac Triomphe Trust Warehouse Series No.1, Class AB note. This is because it is a revolvingwarehouse (ability to add new loans to the portfolio), whose required credit support is based on a worst case portfolio scenario, based in turn on pool parameters and eligibilitycriteria, such as maximum allowable loan to value ratios and loan sizes.

However, if the required credit support were based on current portfolio composition / characteristics -- and if both mortgage insurers were downgraded to below investment grade -- then the note would be a potential candidate for downgrade to only A levels.

The results for each note were categorised into a ratings bucket, e.g. Aa rather than say, Aa1, Aa2 or Aa3, to emphasis the fact that these are indicative ratings only, and thatultimate rating decisions are subject to a Moody’s rating committee, based on bothquantitative and qualitative factors prevailing at the time.

Appendix 3 lists all of the 196 (260 – 64) notes whose ratings are independent of the benefit Moody’s places on the insurance provided by Genworth and QBE.

All of the above analysis was conducted using performance data as a June 2009.

RELATED RESEARCH

www.moodys.com.au

For a more detailed explanation of Moody’s approach to this type of transaction as wellas similar transactions please refer to the following reports:

Performance Review Report

− Australian RMBS Performance Review: Q1 2009 (SF166116)

− Australian RMBS Performance Review: Q4 2008 (SF156630) Special Report

− Impact of LMI Rating Migrations on Australian Aaa Prime RMBS, June 2009

(SF167234)

− Asia Pacific Structured Finance Recap: Summary of Outlooks for the next 12-18 Months Across Asset Classes, September 2008 (SF141256)

− Trends in Australian RMBS Collateral: 2004 – 2007, July 2008 (SF131305) Rating Methodology

− AU-MILAN – The Scoring Formula Revisited – Moody's Individual Loan Analysis for

Australian RMBS, August 2003 (SF25565)

− The Impact of Mortgage Insurance on the Subordination Level of Australian MBS, May 2000 (SF8895)

To access any of these reports, click on the entry above. Note that these references are current as of the date ofpublication of this report and that more recent reports may be available. All research may not be available to all clients.

Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.













http://www.moodys.com/moodys/cust/research/MDCdocs/25/2007400000612669.xls?frameOfRef=structured

APPENDIX 1 – NOTES DEPENDENT ON GENWORTH AND QBE LMI

The table below illustrates how many senior and mezzanine notes are candidates for potential downgrade under all possibleGenworth and QBE rating combinations. It reveals that there are 64 notes whose current ratings are dependent on Genworth (A1)and QBE LMI (Aa3), but as long as their ratings remain A1 of A3 respectively, or better (grey shaded area in the table), then theirratings are unaffected.

Genworth Ratings (A1)

Genworth Ratings (A1) Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Below Baa3

Aaa 3 3 3 8 13 18 Aa1 3 3 3 9 14 19 Aa2 3 3 3 9 15 24 Aa3 3 3 4 10 18 29 A1 3 4 4 14 23 31 A2 3 4 7 19 27 34 A3 1 1 1 1 1 5 7 14 21 32 40

Baa1 6 6 6 6 7 12 14 21 31 39 48 Baa2 6 6 6 8 8 15 19 23 33 44 52

Baa3 8 8 9 11 14 21 24 28 40 51 59

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Similarly, reading off the table, if Genworth were downgraded 1 notch to A2, while QBE remained at Aa3, then 3 notes could be downgraded.

If Genworth were downgraded to A3 or Baa1, then an additional note (4 in total) could be downgraded.

The relatively number of notes affected by a ratings downgrade of Genworth and or QBE LMI can be attributed to two factors.

Since the credit crisis in late 2007, most Australian Prime RMBS senior notes have been structured such that their Aaa ratings are independent of the ratings of their mortgage insurer(s).

Additionally, notes issued prior to the credit crisis -- although not initially structured to be independent of the mortgage insurer(s) – have now become so because of the increase in subordination, due in turn to their typically sequential pay structures and the benefits of seasoning.

Moody’s expects the number of LMI independent senior and mezzanine note to increase as subordination levels increase (due to the sequential paydown nature of the notes) and Aaa credit requirements decrease (due to declining loan to value ratios because of the amortisation nature of the loans).

Potential Rating Migrations of Individual Senior and Moody’s Investors Service • 3 Mezzanine Notes in Australian Prime RMBS

APPENDIX 2 – INDICATIVE RATINGS OF NOTES DEPENDENT LMI

Below listed in alphabetical order are notes whose current ratings are dependent on the benefit Moody’s places on the mortgage insurance provided by Genworth (A1) and QBE LMI (Aa3). The results are displayed in a standard format to allow for easycomparison.

The shaded areas of the table represent Genworth and QBE LMI rating combinations under which an individual note would not be considered a candidate for possible downgrade.

Conversely, the unshaded areas represent Genworth and QBE LMI rating combinations under which a note could become a candiate for downgrade and display indicative rating levels.

The indicative rating levels are categorised into rating buckets e.g. Aa rather than say, Aa1, Aa2 or Aa3 to emphasis the fact that these are indicative ratings only and that ultimate rating decisions are subject to a Moody’s rating committee, based on both quantitative and qualitative factors prevailing at the time.

Apollo Series 2007-1E Trust Class 1A (Aaa)


Aaa Aa1 Aa2 Aa3 A1 A2 A3

Baa1 Baa2 Baa3 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa

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Challenger Millennium Series 2007-1E Trust Class A1 (Aaa)



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Challenger Millennium Series 2007-1E Trust Class A2a (Aaa)



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Challenger Millennium Series 2007-1E Trust Class A2b (Aaa)



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Challenger Millennium Series 2007-2L Trust Class A (Aaa)



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Aaa Aa Aa1 Aa Aa2 Aa Aa3 Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa A3 Aa Aa Aa A

Baa1 Aa Aa Aa A Baa2 Aa Aa Aa A A Baa3 Aa Aa Aa Aa A A

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FirstMac Mortgage Funding Trust Series 1-2007 Class AB Notes (Aa1)


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A1 A2 A3

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FirstMac Mortgage Funding Trust Series 1E-2007 Class A1 Notes (Aaa)


Aaa

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FirstMac Mortgage Funding Trust Series 1E-2007 Class A2 Notes (Aaa)


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Interstar Millennium Series 2004-4E Trust Class AB (Aa1)


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Interstar Millennium Series 2005-3E Trust Class AB (Aa1)


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Interstar Millennium Series 2006-3L Trust Class A2 (Aaa)




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Aaa Aa1 Aa2 Aa Aa3 Aa A1 Aa Aa A2 Aa Aa Aa A3 Aa Aa Aa

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Interstar Millennium Series 2006-4H Class A2 (Aaa)



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Baa1 Aa Aa Aa Aa A Baa2 Aa Aa Aa Aa A A Baa3 Aa Aa Aa Aa A A A

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Baa1 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Baa3 A A A A A A A A A A A

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Medallion Trust Series 2007-1G Class A-1 (Aaa)


Aaa Aa Aa Aa Aa1 Aa Aa Aa Aa2 Aa Aa Aa Aa3 Aa Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa A3 Aa Aa Aa

Baa1 Aa Aa Aa Baa2 Aa Aa Aa Baa3 Aa Aa Aa

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Medallion Trust Series 2007-1G Class A-4 (Aaa)




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Baa1 Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Baa3 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa

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Progress 2005-1 Trust Class A (Aaa)



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Progress 2007-1G Trust Class 1A (Aaa)



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PUMA Global Trust No.5 Class A-1 (Aaa)


Aaa Aa1 Aa2 Aa Aa3 Aa A1 Aa Aa A2 Aa Aa Aa A3 Aa Aa Aa Aa

Baa1 Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa Baa3 Aa Aa Aa Aa Aa A

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Puma Masterfund P-12 Series A Class A (Aaa)


Aaa Aa Aa1 Aa Aa2 Aa Aa Aa3 Aa Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa Aa A3 Aa Aa Aa Aa Aa

Baa1 Aa Aa Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa A Baa3 Aa Aa Aa Aa Aa A A

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PUMA Masterfund P-12 Series B Class A (Aaa)


Aaa Aa1 Aa Aa2 Aa Aa3 Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa Aa A3 Aa Aa Aa Aa

Baa1 Aa Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa A Baa3 Aa Aa Aa Aa Aa Aa A

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Aaa Aa Aa1 Aa Aa Aa2 Aa Aa Aa3 Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa A3 Aa Aa Aa

Baa1 Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Baa3 Aa Aa Aa Aa

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RAMS MORTGAGE SECURITIES TRUST in respect of Series 2006-1 Class A (Aaa)



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RAMS Mortgage Securities Trust Series UniCredit (1) Class A (Aaa)


Aaa Aa Aa Aa1 Aa Aa Aa Aa2 Aa Aa Aa Aa3 Aa Aa Aa Aa A1 Aa Aa Aa Aa Aa A2 Aa Aa Aa Aa Aa A3 Aa Aa Aa Aa Aa Aa

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Aaa Aa1 Aa2 Aa3 A1 A2 Aa A3 Aa


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RESIMAC Triomphe Trust Warehouse Series No.1 Class AB (Aa1)


Aaa Aa Aa A A A Baa Aa1 Aa Aa A A A Baa Aa2 Aa Aa A A A Baa Aa3 Aa Aa A A A Baa A1 Aa Aa A A A Baa A2 Aa Aa A A A Baa A3 Aa Aa A A A Baa

Baa1 Aa Aa A A A Baa Baa2 Aa Aa A A A Baa Baa3 Aa Aa A A A Baa

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Aaa Aa Aa

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Aa1 Aa Aa Aa2 Aa Aa Aa3 Aa Aa A1 Aa Aa A2 Aa Aa A3 Aa Aa

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TORRENS Series 2008-2(W) Trust Class AB (Aa1)


Aaa Aa1 Aa2 Aa Aa3 Aa Aa A1 Aa Aa Aa A2 Aa Aa Aa Aa A3 Aa Aa Aa Aa A

Baa1 Aa Aa Aa Aa A A Baa2 Aa Aa Aa Aa Aa A A A Baa3 Aa Aa Aa Aa Aa A A A A

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Baa1 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Baa2 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Baa3 Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa Aa

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Series 2007-1E SWAN Trust Class A3 (Aaa)




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Series 2009-1 REDS Trust Class A1 (Aaa)




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Series 2009-1 REDS Trust Class A-S (Aaa)




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Aaa Aa Aa1 Aa Aa2 Aa Aa3 Aa A1 Aa A2 Aa A3 Aa

Baa1 Aa Baa2 Aa Aa Baa3 Aa Aa

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Baa1 Aa Baa2 Aa Aa Baa3 Aa Aa

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SMHL Global Fund 2007-1 Class A1 (Aaa)


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Below Baa3 Aa Aa SMHL Global Fund 2007-1 Class A2 (Aaa)




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Below Baa3 Aa Aa SMHL Global Fund 2007-1 Class A3 (Aaa)




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Below Baa3 Aa Aa


SMHL Private Placement Trust 2008-2 Class A (Aaa)


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APPENDIX 3 – NOTES INDEPENDENT OF GENWORTH AND QBE LMI

Below listed in alphabetical order are the notes who’s current rating is independent of the credit benefit Moody’s places on the mortgage lenders insurance provided by Genworth and QBE LMI.

Apollo Series 2003-1E Trust Class A

Apollo Series 2004-1E Trust Class 1A


Apollo Series 2004-2 Trust Class A



Apollo Series 2005-2 Trust Class A



Australian Residential Mortgage Securities (ARMS) II Euro Fund VI Class A

Australian Residential Mortgage Securities (ARMS) II Fund XV Class A Bonds

Australian Residential Mortgage Securities (ARMS) II Global Fund 3 Class A-1(a)

Australian Residential Mortgage Securities (ARMS) II Global Fund 3 Class A-1(b)

Australian Residential Mortgage Securities (ARMS) II Low Doc Fund I Class A-2

Challenger Millennium Series 2008-1 Trust Class A

Crusade Euro Trust No. 1E of 2004 Class A1


Crusade Euro Trust No. 1E of 2004 Class B



Crusade Euro Trust No. 1E of 2007 Class A-1

Crusade Euro Trust No. 1E of 2007 Class A-2

Crusade Euro Trust No. 1E of 2007 Class B

Crusade Global Trust No. 1 of 2007 Class A-1






Crusade Global Trust No.1 of 2003 Class A

Crusade Global Trust No.1 of 2004 Class A-1








Crusade Global Trust No.2 of 2003 Class A






Crusade Trust No.1A of 2002 Class A2

Crusade Trust No.1A of 2002 Class B


Crusade Trust No.1A of 2005 Class A

FirstMac Bond Series 1-2005 Trust Class A1-1 Notes

FirstMac Bond Series 1-2005 Trust Class A1-2 Notes

FirstMac Bond Series 1E-2006 Trust Class A Notes

FirstMac Bond Series 2-2005 Trust Class A1 Notes

FirstMac Bond Series 2-2005 Trust Class AB Notes

FirstMac Bond Series 3-2005 Trust Class A Notes

FirstMac Bond Series 3-2005 Trust Class AB Notes

FirstMac Mortgage Funding Trust Series 1-2007 Class A Notes

HBS Trust 2003-1E Class A

HBS Trust 2004-1 Class A

HBS Trust 2005-1E Class A

HBS Trust 2006-1 Class A

Illawarra Series 2003-1 Trust Class A-2

Interstar Millennium Series 2002-1G Trust Class A2



Interstar Millennium Series 2004-1E Trust Class A2

Interstar Millennium Series 2004-2G Trust Class A



Interstar Millennium Series 2005-1G Trust Class A

Interstar Millennium Series 2005-2L Trust Class A-1

Interstar Millennium Series 2005-2L Trust Class A-2

Interstar Millennium Series 2005-3E Trust Class A-1

Interstar Millennium Series 2005-3E Trust Class A-2



Kingfisher Trust 2004-1G Class A

Maxis Loans Securitisation Fund 2004-1 Class A1

Maxis Loans Securitisation Fund 2004-1 Class A2

Maxis Loans Securitisation Fund 2005-1 Class A

Medallion Trust Series 2003-1G Class A

Medallion Trust Series 2004-1G Class A-1






Medallion Trust Series 2005-2G Class A




National RMBS Trust 2004-1 Class A1





Progress 2003 E-1 Trust Class 1A





Progress 2004-2 Trust Class A



Progress 2009-1 Trust Class A-1

Progress 2009-1 Trust Class A-2

Puma Global Trust No.3 Class A Notes

Puma Global Trust No.4 Class A Notes

Puma Global Trust S-1 Class A Notes

Puma Masterfund H-1 Class A

Puma Masterfund P-10 Class A Notes

PUMA Masterfund P-10 Series B Class A Notes

PUMA Masterfund P-10 Series C Class A Notes

PUMA Masterfund P-11 Series A Class A

Puma Masterfund P-11 Series B Class A

Puma Masterfund P-8 Class A-2 Notes

PUMA Masterfund P-8 Series B Class A-2 Notes

Puma Masterfund P-9 Class A-2

PUMA Masterfund S-2 Series A Class A Notes

Puma Masterfund S-3 Class A

PUMA Masterfund S-5 Class A

RAMS Mortgage Corporation Ltd Series 1 Cl. A

RAMS Mortgage Corporation Ltd Series 11 Series 11 - Class A3

RAMS Mortgage Securities Trust in respect of Series 2007-1HE Class A

RAMS Mortgage Securities Trust in respect of Series 2007-1HE Class AB

RAMS Mortgage Securities Trust in respect of the Series 2007-2H Class A

RAMS Mortgage Securities Trust in respect of the Series 2007-2H Class AB

RAMS Mortgage Securities Trust Series 2007-3 Class A

RBS Trust 2004-1 Class A

RBS Trust 2004-1 Super Senior Notes



Resimac Premier Euro 2004-2E Trust Class 1A1

Resimac Premier Euro 2004-2E Trust Class 1A2

Resimac Premier Euro 2004-2E Trust Class 2A

RESIMAC Premier Euro 2005-1E Trust Class 1A

RESIMAC Premier Euro 2005-1E Trust Class 2A

RESIMAC Triomphe Trust Warehouse Series No.1 Class A

RMS Trust 2002-1 Class A3

RMS Trust 2003-1E Class 1A

RMS Trust 2003-1E Class 2A

RMS Trust 2004-1E Class A1

RMS Trust 2004-1E Class A2

Securitised Australian Mortgage Trust 2003-1 Class A




Series 2004-1 Torrens Trust Class A-1


Series 2005-1 Reds Trust Class A-1





Series 2005-1G WST Trust Class A-1



Series 2005-2(S) TORRENS Trust Class A

Series 2006-1E REDS Trust Class A-1

Series 2006-1E REDS Trust Class A-2

Series 2006-1E SWAN Trust Class A1




Series 2007-1G WST Trust Class A-2a

Series 2007-1G WST Trust Class A-2b

Series 2007-1G WST Trust Class A-2c

Series 2007-2 REDS Trust Class A

SMHL Global Fund No. 4 Class A



SMHL Global Fund No. 7 Class A1







SMHL Private Placement Trust 2008-1 Class A1

SMHL Private Placement Trust 2008-1 Class A2

SMHL Securitisation Fund 2006-1 Class A

Superannuation Members' Home Loans (SMHL) Securitisation Fund 2003-1 Class A-2

Superannuation Members' Home Loans (SMHL) Securitisation Fund 2003-2 Class A3

Superannuation Members' Home Loans (SMHL) Securitisation Fund 2005-1 Class A

Superannuation Members' Home Loans (SMHL) Securitisation Fund 2005-2 Class A

TORRENS Series 2005-3(E) Trust Class A-1




TORRENS Series 2008-2(W) Trust Class A

TORRENS Series 2009-1 Trust Class A1

TORRENS Series 2009-1 Trust Class A2

Unity Series 2003-1 Trust Class AB

WB Trust 2003-1 Class A

WB Trust 2003-1 Class B

WB Trust 2003-1 Super Senior


WB Trust 2004-1 Class B

WB Trust 2004-1 Class C



SF179345isf

CREDIT RATINGS ARE MIS’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MIS DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. CREDIT RATINGS DO NOT CONSTITUTE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS ARE NOT RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. CREDIT RATINGS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MIS ISSUES ITS CREDIT RATINGS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

© Copyright 2009, Moody’s Investors Service, Inc. and/or its licensors and affiliates (together, “MOODY’S”). All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, such information is provided “as is” without warranty of any kind and MOODY’S, in particular, makes no representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such information. Under no circumstances shall MOODY’S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of MOODY’S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY’S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The credit ratings and financial reporting analysis observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER. Each rating or other opinion must be weighed solely as one factor in any investment decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security and of each issuer and guarantor of, and each provider of credit support for, each security that it may consider purchasing, holding or selling. MOODY’S hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MOODY’S have, prior to assignment of any rating, agreed to pay to MOODY’S for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,400,000. Moody’s Corporation (MCO) and its wholly-owned credit rating agency subsidiary, Moody’s Investors Service (MIS), also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually on Moody’s website at www.moodys.com under the heading “Shareholder Relations – Corporate Governance – Director and Shareholder Affiliation Policy.”

30 • Moody’s Investors Service Potential Rating Migrations on Individual Senior and Mezzanine Notes in Australian Prime RMBS

Potential Rating Migrations of Individual Senior and Mezzanine Notes in Australian Prime RMBS

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