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For the upgrade of the Class C Notes of RedZed Trust Series 2018-1, Moody's has concluded that the net effect of risks posed and credit enhancement available to the notes is consistent with a Aa3 (sf) rating.

For both transactions, the increase in credit enhancement is driven by the amortisation of the portfolio and the repayment of the notes in sequential order since closing.

The risk of deterioration in mortgage loan performance is driven by both the proportion of loans currently subject to COVID-19-related hardship assistance, and the ongoing challenging economic environment. Moody's has also taken into consideration the potential performance deterioration among borrowers located in Victoria, which is currently under strict lockdown.

Moody's notes that despite the COVID-19-related payment holidays, interest collections and excess spread in the transactions remained high through the review period. Moody's cash flow analysis has considered the excess spread available in the transactions to cure losses.

RedZed Trust Series 2018-1

The note subordination available for the Class C Notes has increased to 10.5% from 7.3% in June 2019 when Moody's last upgraded this class. The note subordination available for the Class F Notes has increased to 3.1% from 1.8% at closing.

As of July 2020, 2.7% of the outstanding pool was 30-plus day delinquent, and 1.1% was 90-plus day delinquent. 9.1% of the outstanding pool was under hardship assistance due to COVID-19 disruptions. The portfolio has incurred a loss of AUD83,167 since closing, which has been covered by excess spread.

Based on the observed delinquencies, losses, COVID-19-related hardship assistance and considering the ongoing economic disruptions and the expected higher unemployment levels in 2020 and 2021, Moody's has updated its expected loss assumption to 2.6% of the outstanding pool, compared to 2.8% of the then outstanding pool in June 2019.

Moody's has maintained its MILAN CE assumption at 14.7% from the rating review in June 2020, based on the current portfolio characteristics.

RedZed Trust Series 2019-1

The note subordination available for the Class F Notes has increased to 2.1% from 1.4% at closing.

As of July 2020, 1.5% of the outstanding pool was 30-plus day delinquent, and 1.1% was 90-plus day delinquent. 9.8% of the outstanding pool was under hardship assistance due to coronavirus disruptions. The portfolio has incurred no losses to date.

Based on the observed delinquencies, losses, COVID-19-related hardship assistance and considering the ongoing economic disruptions and the expected higher unemployment levels in 2020 and 2021, Moody's has maintained its expected loss assumption at 2.3% as a percentage of the original pool balance, which is equivalent to 3.4% of the outstanding pool.

Moody's has decreased its MILAN CE assumption to 14.7% from 16% at closing, based on the current portfolio characteristics.

The rapid spread of the COVID-19 outbreak, the government measures put in place to contain it and the deteriorating global economic outlook have created a severe and extensive credit shock across sectors, regions and markets. Moody's analysis has considered the impact on the performance of mortgage loans from the collapse in Australia's economic activity and increase in unemployment in the second quarter and a gradual recovery in the second half of the year. However, that outcome depends on whether governments can reopen their economies, while also safeguarding public health and avoiding a further surge in infections. As a result, the degree of uncertainty around our forecasts is unusually high. Moody's regards the COVID-19 outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety.

The transactions are residential mortgage-backed securities (RMBS) originated by RedZed Lending Solutions Pty Limited (unrated), an Australian non-bank mortgage originator. The portfolios consist of mortgage loans extended to self-employed borrowers. A portion of the portfolios consist of loans extended to borrowers with impaired credit histories or made on a limited documentation basis.

Both transactions are supported by a liquidity reserve in the amount of 1.5% of the note balance, which can cover approximately 6 months of interest payments if no collections come in at all.

The principal methodology used in these ratings was Moody's Approach to Rating RMBS Using the MILAN Framework published in May 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1228742. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expectations and (2) an increase in credit enhancement available for the notes.

Factors that could lead to a downgrade of the ratings include (1) performance of the underlying collateral that is worse than Moody's expectations, (2) a decrease in the credit enhancement available for the notes and (3) a deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.

At least one ESG consideration was material to the credit rating action(s) announced and described above.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Alena Chen VP - Senior Credit Officer Structured Finance Group Moody's Investors Service Pty. Ltd. Level 10 1 O'Connell Street Sydney NSW 2000 Australia JOURNALISTS: 61 2 9270 8141 Client Service: 852 3551 3077 Ilya Serov Associate Managing Director Structured Finance Group JOURNALISTS: 61 2 9270 8141 Client Service: 852 3551 3077 Releasing Office: Moody's Investors Service Pty. Ltd. Level 10 1 O'Connell Street Sydney NSW 2000 Australia JOURNALISTS: 61 2 9270 8141 Client Service: 852 3551 3077

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