RMBS Performance Watch - S&P Global › _assets › documents › ratings › ...Jun 30, 2020 ·...
24
RMBS Performance Watch Australia Part 2a – Prime Arrears & Prepayment Statistics (Including Non- Capital Market Issuance) At June 30, 2020
Transcript of RMBS Performance Watch - S&P Global › _assets › documents › ratings › ...Jun 30, 2020 ·...
-
RMBS Performance Watch Australia Part 2a – Prime Arrears &
Prepayment Statistics (Including Non-
Capital Market Issuance)
At June 30, 2020
-
RMBS Performance Watch | Australia at June 30, 2020
Arrears Statistics - Prime
Australia Prime S&P Global Ratings Mortgage Performance Index (SPIN)
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
40
80
120
160
200
Apr-
96
Oct-
96
Apr-
97
Oct-
97
Apr-
98
Oct-
98
Apr-
99
Oct-
99
Apr-
00
Oct-
00
Apr-
01
Oct-
01
Apr-
02
Oct-
02
Apr-
03
Oct-
03
Apr-
04
Oct-
04
Apr-
05
Oct-
05
Apr-
06
Oct-
06
Apr-
07
Oct-
07
Apr-
08
Oct-
08
Apr-
09
Oct-
09
Apr-
10
Oct-
10
Apr-
11
Oct-
11
Apr-
12
Oct-
12
Apr-
13
Oct-
13
Apr-
14
Oct-
14
Apr-
15
Oct-
15
Apr-
16
Oct-
16
Apr-
17
Oct-
17
Apr-
18
Oct-
18
Apr-
19
Oct-
19
Apr-
20
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB(Total current loan balance)
Metrics
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Prime SPIN
TCLB (Bil. A$)
0.40 0.34 0.34 0.32 0.33 0.34 0.36 0.40 0.40 0.44 0.47 0.34
0.24 0.24 0.20 0.20 0.19 0.19 0.22 0.22 0.23 0.20 0.22 0.27
0.84 0.83 0.81 0.80 0.79 0.76 0.78 0.79 0.79 0.71 0.71 0.72
1.49 1.41 1.34 1.32 1.30 1.28 1.36 1.41 1.41 1.34 1.40 1.33
117.53 116.80 119.59 117.64 118.39 121.83 119.10 115.88 120.02 130.15 131.91 131.71
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
Sep
-12
Ma
r-1
3
Sep
-13
Ma
r-1
4
Sep
-14
Ma
r-1
5
Sep
-15
Ma
r-1
6
Sep
-16
Ma
r-1
7
Sep
-17
Ma
r-1
8
Sep
-18
Ma
r-1
9
Sep
-19
Ma
r-2
0
2012 2013 2014 2015 2016 2017 2018 2019 2020
Cumulative Gross Losses As Percentage Of Total Initial Issuance By Year Of Issuance
Metrics
(%)
Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1Max (VAL) 1
Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20
2020
2019
2018
2017
2016
2015
2014
2013
2012
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.001
0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.003 0.003 0.003 0.006 0.008
0.000 0.000 0.000 0.000 0.000 0.001 0.002 0.004 0.005 0.007 0.008 0.010
0.000 0.002 0.003 0.005 0.008 0.009 0.013 0.013 0.013 0.014 0.015 0.015
0.009 0.010 0.011 0.015 0.016 0.019 0.021 0.024 0.025 0.028 0.028 0.030
0.021 0.024 0.025 0.026 0.028 0.031 0.034 0.038 0.039 0.041 0.042 0.051
0.035 0.036 0.039 0.039 0.040 0.041 0.042 0.044 0.044 0.048 0.049 0.053
0.031 0.033 0.036 0.037 0.043 0.050 0.052 0.052 0.053 0.053 0.054 0.057
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii,Part 1.
S&P Global Ratings
2-1
-
Arrears Statistics - Prime at June 30, 2020RMBS Performance Watch | Australia
Arrears Reported on a Full Doc Basis
31-60 days 61-90 days 90+ days TCLB
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days61-90 days
90+ daysFull Doc SPINTCLB (Bil. A$)
0.39 0.33 0.33 0.31 0.32 0.32 0.35 0.39 0.39 0.43 0.47 0.34
0.24 0.23 0.20 0.19 0.18 0.18 0.21 0.21 0.23 0.19 0.22 0.27
0.82 0.81 0.78 0.77 0.76 0.74 0.75 0.76 0.76 0.68 0.68 0.69
1.45 1.37 1.30 1.28 1.26 1.24 1.31 1.36 1.37 1.30 1.36 1.29
116.55 115.83 118.65 116.72 117.59 120.86 118.16 114.96 119.15 129.25 131.02 130.84
Arrears Reported on a LoDoc Basis
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Lo Doc SPIN
TCLB (Bil. A$)
1.68 1.45 1.58 1.38 1.31 1.70 1.70 1.37 1.66 1.49 1.82 1.35
0.75 0.88 0.86 1.13 0.98 0.90 0.93 0.85 0.85 1.08 1.17 0.84
3.60 3.74 3.87 3.75 4.51 3.95 4.19 4.62 5.05 4.93 5.12 5.31
6.03 6.08 6.31 6.26 6.79 6.55 6.82 6.83 7.56 7.50 8.11 7.50
0.98 0.96 0.94 0.92 0.81 0.97 0.94 0.92 0.86 0.90 0.89 0.87
Document Type Comparison
Full Doc Lo Doc PrimeSPIN
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
Full Doc SPIN
Lo Doc SPIN
Prime SPIN
Full Doc % Prime TCLB
Lo Doc % Prime TCLB
1.45 1.37 1.30 1.28 1.26 1.24 1.31 1.36 1.37 1.30 1.36 1.29
6.03 6.08 6.31 6.26 6.79 6.55 6.82 6.83 7.56 7.50 8.11 7.50
1.49 1.41 1.34 1.32 1.30 1.28 1.36 1.41 1.41 1.34 1.40 1.33
99.17 99.18 99.22 99.22 99.32 99.21 99.21 99.20 99.28 99.31 99.33 99.34
0.83 0.82 0.78 0.78 0.68 0.79 0.79 0.80 0.72 0.69 0.67 0.66
S&P Global Ratings
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
2-2
-
RMBS Performance Watch | Australia
Arrears Statistics - Prime
at June 30, 2020
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
50.0
Ja
n-9
6
Ju
l-9
6
Ja
n-9
7
Ju
l-9
7
Ja
n-9
8
Ju
l-9
8
Ja
n-9
9
Ju
l-9
9
Ja
n-0
0
Ju
l-0
0
Ja
n-0
1
Ju
l-0
1
Ja
n-0
2
Ju
l-0
2
Ja
n-0
3
Ju
l-0
3
Ja
n-0
4
Ju
l-0
4
Ja
n-0
5
Ju
l-0
5
Ja
n-0
6
Ju
l-0
6
Ja
n-0
7
Ju
l-0
7
Ja
n-0
8
Ju
l-0
8
Ja
n-0
9
Ju
l-0
9
Ja
n-1
0
Ju
l-1
0
Ja
n-1
1
Ju
l-1
1
Ja
n-1
2
Ju
l-1
2
Ja
n-1
3
Ju
l-1
3
Ja
n-1
4
Ju
l-1
4
Ja
n-1
5
Ju
l-1
5
Ja
n-1
6
Ju
l-1
6
Ja
n-1
7
Ju
l-1
7
Ja
n-1
8
Ju
l-1
8
Ja
n-1
9
Ju
l-1
9
Ja
n-2
0
Arrears Reported on a Missed Payment Basis(B
il. A$)
31-60 days 61-90 days 90+ days TCLB
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.36 0.35 0.28 0.28 0.30 0.37 0.34 0.40 0.39 0.49 0.62 0.45
0.22 0.19 0.19 0.14 0.15 0.18 0.19 0.16 0.22 0.22 0.28 0.39
0.66 0.68 0.57 0.60 0.63 0.63 0.67 0.70 0.69 0.68 0.70 0.73
1.24 1.23 1.04 1.02 1.07 1.18 1.20 1.25 1.30 1.38 1.60 1.58
18.79 18.43 21.91 21.43 21.00 21.10 20.30 19.84 20.21 21.41 20.95 20.43
Arrears Reported on a Scheduled Balance Basis
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
160.0
Ja
n-9
6
Ju
l-9
6
Ja
n-9
7
Ju
l-9
7
Ja
n-9
8
Ju
l-9
8
Ja
n-9
9
Ju
l-9
9
Ja
n-0
0
Ju
l-0
0
Ja
n-0
1
Ju
l-0
1
Ja
n-0
2
Ju
l-0
2
Ja
n-0
3
Ju
l-0
3
Ja
n-0
4
Ju
l-0
4
Ja
n-0
5
Ju
l-0
5
Ja
n-0
6
Ju
l-0
6
Ja
n-0
7
Ju
l-0
7
Ja
n-0
8
Ju
l-0
8
Ja
n-0
9
Ju
l-0
9
Ja
n-1
0
Ju
l-1
0
Ja
n-1
1
Ju
l-1
1
Ja
n-1
2
Ju
l-1
2
Ja
n-1
3
Ju
l-1
3
Ja
n-1
4
Ju
l-1
4
Ja
n-1
5
Ju
l-1
5
Ja
n-1
6
Ju
l-1
6
Ja
n-1
7
Ju
l-1
7
Ja
n-1
8
Ju
l-1
8
Ja
n-1
9
Ju
l-1
9
Ja
n-2
0
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.41 0.34 0.35 0.33 0.33 0.33 0.36 0.40 0.40 0.43 0.45 0.32
0.25 0.25 0.20 0.21 0.20 0.19 0.22 0.23 0.23 0.19 0.21 0.25
0.88 0.86 0.86 0.84 0.82 0.79 0.80 0.81 0.81 0.71 0.71 0.72
1.53 1.45 1.41 1.38 1.35 1.31 1.39 1.44 1.44 1.33 1.37 1.29
98.74 98.37 97.68 96.21 97.39 100.73 98.80 96.04 99.80 108.74 110.95 111.28
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
Jan-9
6
Jul-96
Jan-9
7
Jul-97
Jan-9
8
Jul-98
Jan-9
9
Jul-99
Jan-0
0
Jul-00
Jan-0
1
Jul-01
Jan-0
2
Jul-02
Jan-0
3
Jul-03
Jan-0
4
Jul-04
Jan-0
5
Jul-05
Jan-0
6
Jul-06
Jan-0
7
Jul-07
Jan-0
8
Jul-08
Jan-0
9
Jul-09
Jan-1
0
Jul-10
Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Jan-1
9
Jul-19
Jan-2
0
Arrears Calculation Method Comparison
Missed Payments Prime SPIN Scheduled Balance
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
Missed payments
Scheduled balance
Prime SPIN
1.24 1.23 1.04 1.02 1.07 1.18 1.20 1.25 1.30 1.38 1.60 1.58
1.53 1.45 1.41 1.38 1.35 1.31 1.39 1.44 1.44 1.33 1.37 1.29
1.49 1.41 1.34 1.32 1.30 1.28 1.36 1.41 1.41 1.34 1.40 1.33
S&P Global Ratings
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
2- 3
-
Arrears Statistics -at June 30, 2020RMBS Performance Watch | Australia
PrimeArrears Domestic Issues
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.41 0.35 0.35 0.33 0.34 0.34 0.37 0.41 0.41 0.44 0.48 0.35
0.25 0.24 0.20 0.20 0.19 0.19 0.22 0.22 0.24 0.20 0.23 0.28
0.86 0.85 0.82 0.81 0.80 0.79 0.80 0.82 0.81 0.72 0.71 0.73
1.51 1.43 1.37 1.35 1.33 1.32 1.39 1.45 1.45 1.36 1.43 1.36
111.41 110.77 112.61 110.78 111.64 113.17 110.87 107.78 112.18 122.44 124.34 124.32
Arrears Cross Border Issues
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.33 0.26 0.21 0.22 0.20 0.26 0.26 0.28 0.27 0.37 0.32 0.24
0.15 0.16 0.14 0.07 0.13 0.11 0.13 0.12 0.15 0.15 0.16 0.16
0.58 0.61 0.51 0.54 0.52 0.45 0.47 0.46 0.48 0.51 0.56 0.56
1.06 1.03 0.86 0.84 0.84 0.81 0.86 0.86 0.89 1.03 1.04 0.97
6.12 6.02 6.98 6.86 6.75 8.66 8.23 8.10 7.83 7.71 7.57 7.39
Market Comparison
Cross Border Domestic Prime SPIN
(%) Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
Domestic
Cross Border
Prime SPIN
1.51 1.43 1.37 1.35 1.33 1.32 1.39 1.45 1.45 1.36 1.43 1.36
1.06 1.03 0.86 0.84 0.84 0.81 0.86 0.86 0.89 1.03 1.04 0.97
1.49 1.41 1.34 1.32 1.30 1.28 1.36 1.41 1.41 1.34 1.40 1.33
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings 2-4
-
RMBS Performance Watch - Australia
Arrears Statistics - Primeat June 30, 2020
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Ju
n-0
4
Fe
b-0
5
Oct-
05
Ju
n-0
6
Fe
b-0
7
Oct-
07
Ju
n-0
8
Fe
b-0
9
Oct-
09
Ju
n-1
0
Fe
b-1
1
Oct-
11
Ju
n-1
2
Fe
b-1
3
Oct-
13
Ju
n-1
4
Fe
b-1
5
Oct-
15
Ju
n-1
6
Fe
b-1
7
Oct-
17
Ju
n-1
8
Fe
b-1
9
Oct-
19
Ju
n-2
0
Major Banks
(Bil. A
$)
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Ju
n-0
4
Fe
b-0
5
Oct-
05
Ju
n-0
6
Fe
b-0
7
Oct-
07
Ju
n-0
8
Fe
b-0
9
Oct-
09
Ju
n-1
0
Fe
b-1
1
Oct-
11
Ju
n-1
2
Fe
b-1
3
Oct-
13
Ju
n-1
4
Fe
b-1
5
Oct-
15
Ju
n-1
6
Fe
b-1
7
Oct-
17
Ju
n-1
8
Fe
b-1
9
Oct-
19
Ju
n-2
0
(Bil. A
$)
Regional Banks
31-60 days 61-90 days 90+ days TCLB 31-60 days 61-90 days 90+ days TCLB
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Major Banks SPIN
TCLB (Bil. A$)
0.41 0.44 0.42 0.48 0.58 0.44
0.28 0.30 0.29 0.25 0.29 0.37
1.19 1.22 1.16 1.02 1.04 1.10
1.88 1.96 1.87 1.75 1.91 1.91
41.60 39.67 42.58 42.96 42.22 41.08
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Regional Banks SPIN
TCLB (Bil. A$)
0.61 0.66 0.69 0.57 0.64 0.32
0.30 0.34 0.38 0.25 0.28 0.22
1.26 1.26 1.29 1.01 1.11 1.07
2.16 2.27 2.36 1.82 2.03 1.61
15.90 15.45 15.50 20.74 20.34 20.40
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Ap
r-0
4
Oct-
04
Ap
r-0
5
Oct-
05
Ap
r-0
6
Oct-
06
Ap
r-0
7
Oct-
07
Ap
r-0
8
Oct-
08
Ap
r-0
9
Oct-
09
Ap
r-1
0
Oct-
10
Ap
r-1
1
Oct-
11
Ap
r-1
2
Oct-
12
Ap
r-1
3
Oct-
13
Ap
r-1
4
Oct-
14
Ap
r-1
5
Oct-
15
Ap
r-1
6
Oct-
16
Ap
r-1
7
Oct-
17
Ap
r-1
8
Oct-
18
Ap
r-1
9
Oct-
19
Ap
r-2
0
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Jun-0
4
Feb-0
5
Oct-
05
Jun-0
6
Feb-0
7
Oct-
07
Jun-0
8
Feb-0
9
Oct-
09
Jun-1
0
Feb-1
1
Oct-
11
Jun-1
2
Feb-1
3
Oct-
13
Jun-1
4
Feb-1
5
Oct-
15
Jun-1
6
Feb-1
7
Oct-
17
Jun-1
8
Feb-1
9
Oct-
19
Jun-2
0 0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Jun-0
4
Feb-0
5
Oct-
05
Jun-0
6
Feb-0
7
Oct-
07
Jun-0
8
Feb-0
9
Oct-
09
Jun-1
0
Feb-1
1
Oct-
11
Jun-1
2
Feb-1
3
Oct-
13
Jun-1
4
Feb-1
5
Oct-
15
Jun-1
6
Feb-1
7
Oct-
17
Jun-1
8
Feb-1
9
Oct-
19
Jun-2
0
Other Banks Non-Bank Financial Institutions
(Bil. A
$)
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB 31-60 days 61-90 days 90+ days TCLB
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Other Banks SPIN
TCLB (Bil. A$)
0.27 0.33 0.32 0.39 0.35 0.29
0.16 0.15 0.16 0.15 0.15 0.24
0.47 0.47 0.47 0.43 0.42 0.44
0.91 0.95 0.95 0.97 0.93 0.97
32.92 32.54 33.25 36.96 39.01 38.95
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Non-Bank Financial Institutions SPIN
TCLB (Bil. A$)
0.22 0.23 0.24 0.17 0.16 0.14
0.11 0.10 0.07 0.08 0.09 0.08
0.19 0.21 0.26 0.26 0.20 0.18
0.52 0.54 0.56 0.51 0.44 0.41
4.87 4.79 4.66 4.58 5.95 6.38
Non-Bank Originators
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0
17
34
51
68
85
Oct-
03
Jun-0
4
Feb-0
5
Oct-
05
Jun-0
6
Feb-0
7
Oct-
07
Jun-0
8
Feb-0
9
Oct-
09
Jun-1
0
Feb-1
1
Oct-
11
Jun-1
2
Feb-1
3
Oct-
13
Jun-1
4
Feb-1
5
Oct-
15
Jun-1
6
Feb-1
7
Oct-
17
Jun-1
8
Feb-1
9
Oct-
19
Jun-2
0
(Bil. A
$)
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
Oct-
03
Jun-0
4
Feb-0
5
Oct-
05
Jun-0
6
Feb-0
7
Oct-
07
Jun-0
8
Feb-0
9
Oct-
09
Jun-1
0
Feb-1
1
Oct-
11
Jun-1
2
Feb-1
3
Oct-
13
Jun-1
4
Feb-1
5
Oct-
15
Jun-1
6
Feb-1
7
Oct-
17
Jun-1
8
Feb-1
9
Oct-
19
Jun-2
0
Financial Institutions Comparison
31-60 days 61-90 days 90+ days TCLBMajor Banks Regional Banks Other Banks
Non - Bank Financial Inst. Non-Bank Originators Prime SPIN
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
31-60 days
61-90 days
90+ days
Non-Bank Originators SPIN
TCLB (Bil. A$)
0.24 0.25 0.29 0.32 0.37 0.29
0.13 0.10 0.14 0.13 0.19 0.19
0.30 0.33 0.34 0.34 0.34 0.35
0.67 0.68 0.77 0.80 0.90 0.82
22.12 21.72 22.33 22.85 22.39 22.90
(%) Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20
Major Banks
Regional Banks
Other Banks
Non-Bank Financial Institutions
Non-Bank Originators
Prime SPIN
1.88 1.96 1.87 1.75 1.91 1.91
2.16 2.27 2.36 1.82 2.03 1.61
0.91 0.95 0.95 0.97 0.93 0.97
0.52 0.54 0.56 0.51 0.44 0.41
0.67 0.68 0.77 0.80 0.90 0.82
1.36 1.41 1.41 1.34 1.40 1.33
S&P Global Ratings
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
2-5
-
RMBS Performance Watch | Australia at June 30, 2020
Arrears Statistics - PrimeBy Year Of Issuance
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Feb-
14
Aug
-14
Feb-
15
Aug
-15
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Feb-
13
Aug
-13
Feb-
14
Aug
-14
Feb-
15
Aug
-15
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
(Bil. A$)
2014
31-60 days 61-90 days 90+ days
2013
TCLB
(Bil. A$)
31-60 days 61-90 days 90+ days TCLB
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Feb-
15
Aug
-15
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
(Bil. A$)
2016
31-60 days 61-90 days 90+ days
2015
TCLB
(Bil. A$)
31-60 days 61-90 days 90+ days TCLB
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Jan-
18
Jul-1
8
Jan-
19
Jul-1
9
Jan-
20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Jan-
17
Jul-1
7
Jan-
18
Jul-1
8
Jan-
19
Jul-1
9
Jan-
20
(Bil. A$)
2018
31-60 days 61-90 days 90+ days
2017
TCLB
(Bil. A$)
31-60 days 61-90 days 90+ days TCLB
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Jan-
20
Feb-
20
Mar
-20
Apr
-20
May
-20
Jun-
20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
14
28
43
57
71
85
Jan-
19
Jul-1
9
Jan-
20
(Bil. A$)
2020
31-60 days 61-90 days 90+ days
2019
TCLB
(Bil. A$)
31-60 days 61-90 days 90+ days TCLB
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Pageiii, Part 1.
S&P Global Ratings2-6
-
Prepayment Statistics - PrimeRMBS Performance Watch | Australia June 30, 2020at
-12.83%
-7.54%
-2.26%
3.02%
8.30%
13.59%
18.87%
24.15%
29.43%
34.72%
40.00%D
ec-9
6
Jun-9
7
Dec-9
7
Jun-9
8
Dec-9
8
Jun-9
9
Dec-9
9
Jun-0
0
Dec-0
0
Jun-0
1
Dec-0
1
Jun-0
2
Dec-0
2
Jun-0
3
Dec-0
3
Jun-0
4
Dec-0
4
Jun-0
5
Dec-0
5
Jun-0
6
Dec-0
6
Jun-0
7
Dec-0
7
Jun-0
8
Dec-0
8
Jun-0
9
Dec-0
9
Mar-
10
Jun-1
0
Dec-1
0
Jun-1
1
Dec-1
1
Jun-1
2
Dec-1
2
Jun-1
3
Dec-1
3
Jun-1
4
Dec-1
4
Apr-
15
Sep-1
5
Mar-
16
Aug-1
6
Dec-1
6
Jun-1
7
Dec-1
7
Jun-1
8
Sep-1
8
Jan-1
9
Jun-1
9
Dec-1
9
Feb-2
0
Jun-2
0
Domestic Cross Border Prime SPPI I
Australian Prime S&P Global Ratings Prepayment Index (SPPI) By Market
(%) Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20
Domestic 19.91 20.51 17.74 20.80 20.03 19.83 16.42 13.48 17.91 17.83 17.69 30.17
Cross Border 17.47 17.10 17.04 15.63 18.27 16.65 13.05 11.82 15.18 14.92 13.51 18.27
Prime SPPI 19.80 20.36 17.71 20.52 19.92 19.66 16.22 13.39 17.76 17.66 17.41 29.49
-20.00%
-15.00%
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
45.00%
0 3 6 912
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60
63
66
69
72
75
78
81
84
87
90
93
96
99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
Domestic Cross Border Total Prepayment Rate F
Months
Annualised Quarterly Prepayment Rates - Months From Issue Date
2-7
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings
-
PrimePrepayment Statistics -RMBS Performance Watch - Australia at June 30, 2020
-500.00%
100.00%
Jun-
13
Sep
-13
Dec
-13
Mar
-14
Jun-
14
Sep
-14
Dec
-14
Mar
-15
Apr
-15
Jun-
15
Sep
-15
Dec
-15
Mar
-16
Jun-
16
Aug
-16
Sep
-16
Dec
-16
Mar
-17
Jun-
17
Sep
-17
Dec
-17
Mar
-18
Jun-
18
Aug
-18
Sep
-18
Dec
-18
Jan-
19
Mar
-19
Jun-
19
Sep
-19
Dec
-19
Jan-
20
Feb-
20
Mar
-20
Jun-
20
2013 2014 2015 2016 2017 2018 2019 2020 3000
Annualised Quarterly Prepayment Rate Index (By Year Of Issuance)
-300.00%
50.00%
0 6 9 12 15 18 21 24 27 30 33 36 39 42 45 48 51 54 57 60 63 66 69 72 75 78 81 84 87 90
2013 2014 2015 2016 2017 2018 2019 2020 3000
Annualised Quarterly Prepayment Rate Index - Months From Issue Date (By Year Of Issuance)
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings 2-8
-
RMBS Performance Watch New Issuance Overview
At June 30, 2020
-
Market Overview
RMBS Performance Watch | Australia Part 1 - Overview at June 30, 2020
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimerat the end of Part 1.
S&P Global Ratings2-9
The following transactions have issued RMBS in the past three months, hence there may be insufficient history available to create the graphs titled "Loan Pool Arrears Performancevs. SPIN" and "Loan Pool Repayment Rate & Outstanding Security Balances".
Recent Issues
Transaction Name Asset Sub Class Sponsor Closing Date
Firstmac Mortgage Funding Trust No. 4 Series 1-2020
Hunter Trust Repo Series No. 1
La Trobe Financial Capital Markets Trust 2020-1
Triton Bond Trust 2020 Series 2
MTG SCU Trust Repo Series No.1
Pepper Residential Securities Trust No. 26
RESIMAC Triomphe Trust - RESIMAC Premier Series 2020-2
Prime
Prime
Non- Conforming
Prime
Prime
Non- Conforming
Prime
FirstMac Ltd.
Maitland Mutual Ltd.
La Trobe Financial Services Pty Ltd.
Columbus Capital Pty Ltd.
Summerland Financial Services Ltd.
Pepper HomeLoans Pty Ltd.
RESIMAC Ltd.
02-Apr-20
30-Apr-20
19-May-20
15-Jun-20
16-Jun-20
19-Jun-20
30-Jun-20
-
Market Overview
RMBS Performance Watch | Australia Part 1 - Overview at June 30, 2020
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimerat the end of Part 1.
S&P Global Ratings2-10
1
2
3
4
5
6
7
8
9
10
Columbus Capital Pty Ltd.
Westpac Banking Corp.
Macquarie Securitisation Ltd.
FirstMac Ltd.
La Trobe Financial Services Pty Ltd.
RESIMAC Ltd.
ING Bank (Australia) Ltd.
Commonwealth Bank of Australia
Bendigo and Adelaide Bank Ltd.
Bank of Queensland Ltd.
2,568.81
2,444.50
2,377.00
2,273.61
2,203.52
2,151.70
1,400.18
1,276.87
853.78
806.15
1
2
3
4
5
6
7
8
9
10
National Australia Bank Ltd.
Suncorp-Metway Ltd.
ING Bank (Australia) Ltd.
Commonwealth Bank of Australia
FirstMac Ltd.
Westpac Banking Corp.
AMP Bank Ltd.
RESIMAC Ltd.
Pepper HomeLoans Pty Ltd.
Macquarie Securitisation Ltd.
21,454.30
14,991.41
14,241.86
11,801.54
9,039.36
7,697.96
7,314.30
6,430.33
6,121.87
4,829.37
RMBS Outstandings as at Jun. 30, 2020 Top 10 Sponsors by New RMBS Issues
Yr Ending Jun. 30, 2020 (Mil. A$) incl. Other*
at Jun. 30, 2020 (Mil. A$) incl. Other*
No. Transactions Mil. A$ %Prime
Non-Conforming
Total
222 133,224.19 92.73
24 10,449.57 7.27
246 143,673.77 100.00
Domestic
Euro
Global
Total
208 130,512.04 90.84
3 115.69 0.08
35 13,046.04 9.08
246 143,673.77 100.00
Major Banks
Non-Bank FinancialInstitutions
Non-Bank Originators
Other Banks
Regional Banks
Total
29 41,086.04 28.60
18 6,676.19 4.65
104 34,253.64 23.84
69 40,963.13 28.51
26 20,694.77 14.40
246 143,673.77 100.00
No. Classes Mil. A$ %AUD
EUR
GBP
USD
Total
1,247 140,386.32 97.71
12 551.22 0.38
1 17.75 0.01
29 2,718.48 1.89
1,289 143,673.77 100.00
Top 10 Sponsors by RMBS Outstandings
-
Market Overview
RMBS Performance Watch | Australia Part 1 - Overview at June 30, 2020
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimerat the end of Part 1.
S&P Global Ratings2-11
0
20000
40000
60000
80000
100000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Am
ou
nt(
Mil. A
$)
Global Euro Domestic
S&P Global Ratings Rated New IssuanceDomestic / Euro / Global (Mil. A$)
54,692.81 91,167.47 14,660.83 21,749.04 23,434.07 14,967.33 28,595.11 32,256.01 26,767.36 14,066.21 34,091.26 24,359.05 32,676.93 7,415.30
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
11,511.48 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
30,152.37 0.00 0.00 0.00 1,881.21 5,316.51 1,912.89 2,425.35 0.00 1,859.24 5,264.88 6,463.11 7,425.33 0.00
41,663.85 0.00 0.00 0.00 1,881.21 5,316.51 1,912.89 2,425.35 0.00 1,859.24 5,264.88 6,463.11 7,425.33 0.00
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
13,028.96 91,167.47 14,660.83 21,749.04 21,552.86 9,650.82 26,682.22 29,830.66 26,767.36 12,206.98 28,826.37 17,895.94 25,251.60 7,415.30
13,028.96 91,167.47 14,660.83 21,749.04 21,552.86 9,650.82 26,682.22 29,830.66 26,767.36 12,206.98 28,826.37 17,895.94 25,251.60 7,415.30
Global
Sub- Total Offshore
Total
Amount (Mil. A$)
Domestic
Euro
Sub- Total Domestic
23.82 100.00 100.00 100.00 91.97 64.48 93.31 92.48 100.00 86.78 84.56 73.47 77.28 100.00
21.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
55.13 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.00
76.18 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.00
100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
23.82 100.00 100.00 100.00 91.97 64.48 93.31 92.48 100.00 86.78 84.56 73.47 77.28 100.00
21.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
55.13 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.0023.82 100.00 100.00 100.00 91.97 64.48 93.31 92.48 100.00 86.78 84.56 73.47 77.28 100.00
21.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
55.13 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.00
%Domestic
Sub- Total Domestic
Euro
Global
Sub- Total Offshore
Total
23.82 100.00 100.00 100.00 91.97 64.48 93.31 92.48 100.00 86.78 84.56 73.47 77.28 100.00
21.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
55.13 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.00
23.82 100.00 100.00 100.00 91.97 64.48 93.31 92.48 100.00 86.78 84.56 73.47 77.28 100.00
21.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
55.13 0.00 0.00 0.00 8.03 35.52 6.69 7.52 0.00 13.22 15.44 26.53 22.72 0.00
0
5
10
15
20
25
30
35
40
45
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
No
. O
f Is
su
es
Global Euro Domestic
S&P Global Ratings Rated New IssuanceDomestic / Euro / Global (No. of Issues)
6 0 0 0 0 0 0 0 0 0 0 0 0 0
8 0 0 0 1 5 3 3 0 2 5 7 9 1
14 0 0 0 1 5 3 3 0 2 5 7 9 1
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
29 44 27 27 26 17 33 32 27 17 35 25 27 8
29 44 27 27 26 17 33 32 27 17 35 25 27 8
Global
Sub- Total Offshore
Total
No. of Transactions
Domestic
Euro
Sub- Total Domestic
43 44 27 27 27 22 36 35 27 19 40 32 36 9
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
67.44 100.00 100.00 100.00 96.30 77.27 91.67 91.43 100.00 89.47 87.50 78.13 75.00 88.89
13.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
18.60 0.00 0.00 0.00 3.70 22.73 8.33 8.57 0.00 10.53 12.50 21.88 25.00 11.11
67.44 100.00 100.00 100.00 96.30 77.27 91.67 91.43 100.00 89.47 87.50 78.13 75.00 88.89
13.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
18.60 0.00 0.00 0.00 3.70 22.73 8.33 8.57 0.00 10.53 12.50 21.88 25.00 11.11
32.56 0.00 0.00 0.00 3.70 22.73 8.33 8.57 0.00 10.53 12.50 21.88 25.00 11.11
100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
Global
Sub- Total Offshore
Total
%Domestic
Euro
Sub- Total Domestic
-
Market Overview
RMBS Performance Watch | Australia Part 1 - Overview at June 30, 2020
Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimerat the end of Part 1.
S&P Global Ratings2-12
Non-Conforming Prime
S&P Global Ratings Rated New IssuancePrime/ Non-Conforming (Mil. A$)
0
20000
40000
60000
80000
100000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Am
ou
nt(
Mil. A
$)
Amount (Mil. A$) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Prime
Non-Conforming
Total
52,422.81 90,532.27 14,660.83 21,547.54 23,104.07 14,078.25 26,773.94 30,659.90 24,677.91 11,776.10 30,994.75 18,495.94 26,774.10 6,165.30
2,270.00 635.20 0.00 201.50 330.00 889.08 1,821.17 1,596.11 2,089.45 2,290.11 3,096.51 5,863.11 5,902.83 1,250.00
54,692.81 91,167.47 14,660.83 21,749.04 23,434.07 14,967.33 28,595.11 32,256.01 26,767.36 14,066.21 34,091.26 24,359.05 32,676.93 7,415.30
% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Prime
Non-Conforming
Total
95.85 99.30 100.00 99.07 98.59 94.06 93.63 95.05 92.19 83.72 90.92 75.93 81.94 83.14
4.15 0.70 0.00 0.93 1.41 5.94 6.37 4.95 7.81 16.28 9.08 24.07 18.06 16.86
100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
Non-Conforming Prime
S&P Global Ratings Rated New IssuancePrime/ Non-Conforming (No. of Issues)
0
5
10
15
20
25
30
35
40
45
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
No
. o
f Is
su
es
No. of Transactions 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Prime
Non- Conforming
Total
38 41 27 26 25 19 30 30 22 15 34 26 28 7
5 3 0 1 2 3 6 5 5 4 6 6 8 2
43 44 27 27 27 22 36 35 27 19 40 32 36 9
% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Prime
Non- Conforming
Total
88.37 93.18 100.00 96.30 92.59 86.36 83.33 85.71 81.48 78.95 85.00 81.25 77.78 77.78
11.63 6.82 0.00 3.70 7.41 13.64 16.67 14.29 18.52 21.05 15.00 18.75 22.22 22.22
100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-13
Sponsor Classifications
The classifications into major bank, regional bank, nonbank financial institution, other bank, and nonbank originator are based on the predominant source of origination within the securitization pools.
Following a review of Sponsor classifications, we have reclassified certain sponsors from June 2020.
Major BankAdvantedge Financial Services Pty Ltd Westpac Banking Corp. Commonwealth Bank of Australia Ltd. National Australia Bank Ltd.
Regional BankBank of Queensland Ltd. Suncorp-Metway Ltd. Bendigo and Adelaide Bank Ltd.
Other BankAMP Bank Ltd. IMB Ltd. Arab Bank Australia Ltd. ING Bank (Australia) Ltd. Auswide Bank Ltd. Macquarie Securitisation Ltd. Citigroup Pty Ltd. Members Equity Bank Pty Ltd. Heritage Bank Ltd. MyState Bank Ltd. Police & Nurses Limited Beyond Bank Australia Ltd. Police Financial Services Limited. B&E Ltd. Hume Bank Ltd. Gateway Bank Ltd. Regional Australia Bank Ltd. Maitland Mutual Ltd.
Nonbank Financial Institution (NBFI)Australian Central Credit Union Ltd. Newcastle Permanent Building Society Ltd. Queensland Country Credit Union Ltd. Police Credit Union Ltd. Credit Union Australia Ltd. QPCU Ltd. Cuscal Ltd. Illawarra Credit Union Ltd. Holiday Coast Credit Union Ltd. Summerland Financial Services Ltd. Credit Union SA Ltd.
Nonbank OriginatorAIMS Home Loans Pty Ltd. Bluestone Mortgages Pty Ltd. Challenger Mortgage Management Pty Ltd FirstMac Ltd. Columbus Capital Pty Ltd. Fox Symes Home Loans (Services) Pty Ltd. RedZed Lending Solutions Pty Ltd. Pepper HomeLoans Pty Ltd. Homeloans Ltd. RHG Home Loans Pty Ltd. Resimac Ltd. La Trobe Financial Services Pty Ltd. AFG Securities Pty Ltd. Mortgage House of Australia Pty Ltd.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-14
Rankings
Structured Finance Rankings
Ranking/Outlook
Residential Loan Servicer
Bluestone Servicing Pty. Ltd. Strong/Stable
Bluestone Servicing NZ Ltd. Strong/Stable
FirstMac Ltd. Strong/Stable
IMB Ltd. Strong/Stable
Liberty Financial Pty Ltd. Strong/Stable
Pepper Australia Pty Ltd. Strong/Stable
Resimac Ltd. Strong/Stable
Residential Non-Conforming Loan Servicer
Bluestone Servicing Pty Ltd. Strong/Stable
Bluestone Servicing NZ Ltd. Strong/Stable
Liberty Financial Pty Ltd. Strong/Stable
Pepper Australia Pty Ltd. Strong/Stable
Resimac Ltd. Strong/Stable
Rankings as of June 30, 2020 A ranking may change at any time, for current rankings please refer to www.capitaliq.com.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-15
Descriptions
About this PublicationAustralian RMBS Performance Watch is a quarterly review of the performance of residential mortgage pools that collateralize Australian term securities. If you or your colleagues would like to receive a copy of Australian RMBS Performance Watch, please visit www.sfsurveillance.com.au or contact S&P Global Ratings Client Services on (61) 1300-732-553 or by e-mail at: [email protected].
Comparative Pool Characteristics We have calculated comparative pool statistics using outstanding loan balances. All data are provided as of or as near as possible to June 30, 2020, unless otherwise stated.
Data Collection To allow the timely delivery of information to the market, we do not include in the Australian RMBS Performance Watch statistics any data that are not received by the 15th day after the end of a quarter. Any late data will be included in updated statistics and subsequent publications.
DefinitionsS&P Global Ratings has compiled the information in this publication using information received from the issuer, manager, or servicer of each program. S&P Global Ratings has endeavoured to provide data on a basis that is comparable among programs. However, users of the information in this publication should exercise caution because there may be inconsistencies in the way that each of the programs is reported to S&P Global Ratings. The descriptions below highlight how S&P Global Ratings interprets general terminology; they are not intended to be industry-standard definitions.
10 Worst-Performing Postcodes For the purpose of this analysis, we have excluded postcodes with fewer than 250 loans. In line with our RMBS Rating Methodology and Assumptions, the archetypical pool, which underpins our credit analysis, is comprised of at least 250 consolidated Australian residential mortgage loans because our analysis suggests that a pool of this size is statistically valid. Our parameters for the 10 worst-performing postcodes therefore are consistent with this assumption.
Annualized Quarterly Prepayment Rate We calculate the annualized QPR by compounding the rate using the following formula: 1-(1-QPR)4
Annualized Quarterly Repayment Rate We calculate the annualized QRR by compounding the rate using the following formula: 1-(1-QRR)4
Australian Prime Full-Doc SPIN The Australian prime full-doc SPIN is a measure of arrears on full-doc residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
Australian Prime Low-Doc SPIN The Australian prime low-doc SPIN is a measure of arrears on low-doc residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
Australian Prime SPIN The Australian prime SPIN is a measure of arrears on residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-16
Australian Prime SPPI The Australian prime SPPI is a measure of prepayment rates on residential mortgage loans underlying Australian prime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
Australian Subprime SPIN The Australian subprime SPIN is a measure of arrears on residential mortgage loans underlying Australian subprime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
Australian Subprime SPPI The Australian subprime SPPI is a measure of prepayment rates on residential mortgage loans underlying Australian subprime RMBS transactions, both publicly and privately rated by S&P Global Ratings.
Cumulative Gross Losses Cumulative gross losses refer to the aggregate amount of losses in a pool of mortgage loans after recognizing the proceeds from the sale of the underlying security properties, but before including other loss support, such as claims paid under lenders' mortgage insurance policies or the application of excess spread. The cumulative gross loss percentage is expressed as a percentage of Australian dollar equivalent note balance, including further issuances from the same transaction at a later date. Warehouses are excluded from this calculation.
Domestic, Global, And Euro We determine the categorization of an RMBS transaction by market by the legislation under which the notes are offered and the stock exchanges on which the notes are listed. Transactions with a securities and exchange commission (SEC)-registered or 144A tranche are classified as “global.” Transactions that are not global, but which are Euroclear- and/or Clearstream-settled and have a tranche listed on a European exchange, are classified as “euro.” All other transactions generally will be classified as “domestic.”
Full–Documentation Loans A full-doc loan is a loan for which the borrower's income has been fully verified by the lender through reference to relevant source documents, such as payslips or tax returns.
Lenders' Mortgage Insurance (LMI) The lenders' mortgage insurers distribution graphs display only those mortgage insurers that provide mortgage insurance for 1% or more of the pool. For a more detailed breakdown of mortgage insurer distribution, refer to the Lenders' Mortgage Insurers Distribution table in part 2 of this publication. The mortgage insurer short-names used in the pie charts are as listed in the table below.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-17
Mortgage Insurer Short-Names Used In Charts
LMI Short Name Public Rating
HLIC (guaranteed by Commonwealth of Australia) HLIC AAA/Negative
Genworth Financial Mortgage Insurance Pty Ltd. GFM Ins. A/Negative
QBE Lenders Mortgage Insurance Ltd.* QBE A/Stable
Westpac Lenders Mortgage Insurance Ltd. § WLMI AA-/Negative
Prime Insurance Group Ltd. PIGL NR**
*QBE Lenders Mortgage Insurance was formerly known as PMI Mortgage Insurance Ltd. **NR--Not rated. § Westpac Lenders Mortgage
Insurance Ltd includes the former St George Insurance Australia Pty Ltd. Ratings at June 2020. A rating may change at any time, for current
ratings please refer to www.standardandpoors.com.au.
Low-Documentation Loans A low-doc loan is a loan for which the borrower's income has not been fully verified by the lender. Low-doc loans are often referred to by a variety of terms, including self-certified and stated income loans.
Missed-Payments Basis The measurement of arrears on a missed-payments basis means that a loan is in arrears when a scheduled payment is missed, despite the fact that the borrower may be ahead of the scheduled payment curve.
Mortgage Arrears Data The mortgage arrears data depict the proportionate value of loans 31-60 days, 61-90 days, and 90+ days in arrears. We calculate the percentages using the outstanding balance of loans in arrears as a proportion of the aggregate outstanding balance of total loans at the end of each month. We note the reporting method used by issuers in reporting arrears (scheduled-balance basis or missed-payments basis) on the loan pool arrears performance graph for each transaction.
Non-Conforming Loans Non-Conforming loans are residential mortgage loans that would not typically qualify for a loan from a traditional prime lender and are generally not eligible to be covered by lenders' mortgage insurance from a nonassociated mortgage insurer. Non-Conforming loans may include LoDoc loans and subprime loans.
Note Balances All note balances are based on invested amounts. The term “note” refers to a note, bond, security, or any other instrument issued by the issuer.
Prime Prime loans are residential mortgage loans that generally would be made by traditional residential-mortgage lenders in the Australian market and usually would be eligible to be covered by a primary lenders' mortgage insurance policy from a nonassociated and rated mortgage insurer. Prime loans are usually to borrowers with clean credit histories, though some pools may include a small percentage of loans of a minor nonconforming nature. Prime loans can include low-documentation (low-doc) loans.
Quarterly Prepayment Rate We calculate the QPR using the following formula:
U – R – F
O + (S+P)2 – I
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-18
Where: U = unscheduled principal repayments R = redraws F = further advances O = mortgage pool balance at the beginning of the quarter S = loans added during a substitution period P = loans added during a prefunding period I = capitalized interest
Quarterly Repayment Rate We calculate the quarterly repayment rate (QRR) using the following formula:
(Sc+U) – R – F
O + (S+P)2 – I
Where: Sc = scheduled principal repayments U = unscheduled principal repayments R = redraws F = further advances O = mortgage pool balance at the start of the quarter S = loans added during a substitution period P = loans added during a prefunding period I = capitalized interest
Scheduled-Balance Basis The measurement of arrears on a scheduled-balance basis means that a loan is in arrears when the current loan balance less the scheduled loan balance is a positive number.
Sponsor The sponsor is the party that has the primary commercial or beneficial interest in the residential mortgage-backed securities (RMBS) transaction.
S&P Global Ratings Performance Index S&P Global Ratings Performance Index (SPIN) is a measure of arrears on residential mortgage loans underlying RMBS transactions, both publicly and privately rated by S&P Global Ratings. We calculate the SPIN for Australian prime and subprime asset classes, as well as Australian prime low-doc and prime full-doc loans. It is the weighted-average balance of loans in arrears in each of the 31-60 days, 61-90 days, and 90+ day categories. We calculate the SPIN on a monthly basis from information provided to us for each transaction.
S&P Global Ratings Prepayment Index S&P Global Ratings Prepayment Index (SPPI) is a measure of prepayment rates on residential mortgage loans underlying RMBS transactions, both publicly and privately rated by S&P Global Ratings. We calculate the SPPI for Australian prime and subprime loans. It is the weighted-average of the annualized quarterly prepayment rates (QPRs) across the asset subclass. We calculate the SPPI monthly from information provided to us for each transaction.
Subprime Subprime loans are loans to borrowers with adverse credit histories.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-19
Total Current Loan Balance The total current loan balance (TCLB) is the outstanding dollar amount of the underlying loans as of the report date.
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-20
Contacts
Key RMBS Analytical ContactsKate Thomson, Analytical Manager | Melbourne | + 61 3 9631 2104 | [email protected] Narelle Coneybeare, Sector Lead | Sydney | + 61 2 9255 9838 | [email protected] Erin Kitson, Sector Specialist Research | Melbourne | + 61 3 9631 2166 | [email protected]
Analytical TeamAlisha Treacy | Melbourne | + 61 3 9631 2182 | [email protected] Calvin Leong | Melbourne | + 61 3 9631 2142 | [email protected] Fiona Otway | Melbourne | + 61 3 9631 2060 | [email protected] Elizabeth Steenson | Melbourne | + 61 3 9631 2162 | [email protected] Mei Lee Da Silva | Melbourne | + 61 3 9631 2053 | [email protected] Paul Prajogo | Melbourne | + 61 3 9631 2069 | [email protected] Justin Rockman | Melbourne | + 61 3 9631 2183 | [email protected] Catherine Chooi | Melbourne | + 61 3 9631 2135 | [email protected] Leslie Wong | Melbourne | + 61 3 9631 2932| leslie.wong @spglobal.com James Page | Melbourne | + 61 3 9631 2013| [email protected] Puchen Wang | Melbourne | +61 3 9631 2099 | [email protected]
mailto:[email protected]
-
RMBS Performance Watch | Australia As of June 30, 2020
S&P GLOBAL RATINGS 2-21
Under S&P Global Ratings' policies, only a Rating Committee can determine a Credit Rating Action (including a Credit Rating change,affirmation or withdrawal, Rating Outlook change, or CreditWatch action). This commentary and its subject matter have not been the subject ofa Rating Committee action and should not be interpreted as a change to, or affirmation of, a Credit Rating or Rating Outlook.
No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or anypart thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database orretrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). TheContent shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers,shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of theContent. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtainedfrom the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&PPARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OFMERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS ORDEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANYSOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable toany party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses,legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) inconnection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they areexpressed and not statements of fact. S&P's opinions, analyses and rating acknowledgment decisions (described below) are notrecommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of anysecurity. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied onand is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when makinginvestment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. WhileS&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligenceor independent verification of any information it receives.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction forcertain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgement at any time and in its solediscretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as wellas any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of theirrespective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&Phas established policies and procedures to maintain the confidentiality of certain non-public information received in connectionwith each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&Preserves 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 bedistributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is
available at www.standardandpoors.com/usratingsfees.
Permissions: To reprint, translate, or quote S&P Global Ratings' publications, contact: Client Services, 120 Collins Street, Melbourne, Vic 3000Australia, (61) 1300-792-553.
This report and the ratings contained within it are based on published information as of June 30, 2020. Subsequent informationmay result in the assignment of ratings that differ from the ratings published here. Please call Standard & Poor's Client Services at (61) 1300-792-553 for the most recent rating assigned.
For Australian Users— S&P Global Ratings Australia Pty Ltd holds Australian financial services licence number 337565under the Corporations Act 2001. Standard & Poor's credit ratings and related research are not intended for and must notbe distributed to any person in Australia other than a wholesale client (as defined in Chapter 7 of the Corporations Act).
S&P Global Ratings 17g-7 Disclosure ReportSEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule,to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how theydiffer from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scopesecurities initially rated (including preliminary ratings) on or after Sept. 26, 2011.
Copyright © 2020 by Standard & Poor's Financial Services LLC. All rights reserved.STANDARD & POOR'S, S&P and RATINGSDIRECT are registered trademarks of Standard & Poor's Financial Services LLC.
Reproduction in whole or in part prohibited except by permission.
http://www.standardandpoors.com/?sp_mid=69226&sp_rid=1299251http://www.ratingsdirect.com/?sp_mid=69226&sp_rid=1299251http://www.globalcreditportal.com/?sp_mid=69226&sp_rid=1299251http://www.standardandpoors.com/usratingsfees?sp_mid=69226&sp_rid=1299251
-
www.SPRatings.com.au
Front CoverIncluding Prime Page 1Including Prime Page 2Including Prime Page 3Including Prime Page 4Including Prime Page 5Including Prime Page 6including prime page 7Including Prime Page 8Front Cover overviewMarket Overview AUSRMBS_Q1 2020_Glossary and TermsSponsor ClassificationsMajor BankRegional BankOther BankNonbank Financial Institution (NBFI)Nonbank Originator
RankingsDescriptionsAbout this PublicationComparative Pool CharacteristicsData Collection
Definitions10 Worst-Performing PostcodesAnnualized Quarterly Prepayment RateAnnualized Quarterly Repayment RateAustralian Prime Full-Doc SPINAustralian Prime Low-Doc SPINAustralian Prime SPINAustralian Prime SPPIAustralian Subprime SPINAustralian Subprime SPPICumulative Gross LossesDomestic, Global, And EuroFull–Documentation LoansLenders' Mortgage Insurance (LMI)Low-Documentation LoansMissed-Payments BasisMortgage Arrears DataNote BalancesPrimeQuarterly Prepayment RateQuarterly Repayment RateScheduled-Balance BasisSponsorS&P Global Ratings Performance IndexS&P Global Ratings Prepayment IndexSubprimeTotal Current Loan Balance
ContactsKey RMBS Analytical ContactsAnalytical Team
Back Cover
