The benefit of a currency swap to be provided by NAB to hedge the currency risk between the Australian dollar receipts from the underlying assets and the British pounds payments on the class A2 notes.Ī copy of Standard & Poor’s complete report for National RMBS Trust 2012-2 can be found on Global Credit Portal, Standard & Poor’s Web-based credit analysis system, at “ “. The benefit of a standby fixed-to-floating interest-rate swap to be provided by NAB to hedge the mismatch between receipts from any fixed-rate mortgage loans and the variable-rate RMBS. Our expectation that the various mechanisms to support liquidity within the transaction, including an amortizing liquidity facility equal to 1.9% of the outstanding balance of performing loans, and principal draws, are sufficient under our stress assumptions to ensure timely payment of interest. This credit support comprises mortgage insurance to 23.5% of the portfolio, which covers 100% of the face value of the loans, accrued interest, and reasonable costs of enforcement and note subordination for the class A and class B notes. Our view that the credit support is sufficient to withstand the stresses we apply. Our view of the credit risk of the underlying collateral portfolio at close.

Ltd., a wholly owned subsidiary of National Australia Bank Ltd. National RMBS Trust 2012-2 is a securitization of prime residential mortgages originated by Advantedge Financial Services Pty.

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