latitude australia pl series 2017-1 trust transaction overview · collection period: 01-feb-18...

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

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

mailto:[email protected]






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

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

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


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


Receivables > A$35,000

(A)


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


Receivables GECO Grade = CR3

(A)


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


Receivables GECO Grade = CR4

(A)


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


Receivables not in NSW, VIC or QLD

(A)


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

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



(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



(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


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


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


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

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

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%










> 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










> 72 Months

Portfolio Strats

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

latitude australia pl series 2017-1 trust transaction overview · collection period: 01-feb-18...

Documents