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RMBS Performance Watch Australia Part 2b – Prime Arrears &
Prepayment Statistics (Excluding
Non-Capital Market Issuance)
At September 30, 2020
RMBS Performance Watch | Australia at September 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
20
40
60
80
100
120
140
160
180
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
$)
31-60 days 61-90 days 90+ days TCLB(Total current loan balance)
Metrics
(%)
Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Prime SPIN
TCLB (Bil. A$)
0.26 0.26 0.28 0.29 0.33 0.34 0.41 0.46 0.34 0.28 0.23 0.21
0.14 0.14 0.14 0.17 0.16 0.18 0.17 0.22 0.24 0.19 0.17 0.14
0.52 0.50 0.48 0.49 0.52 0.51 0.53 0.54 0.57 0.62 0.66 0.63
0.93 0.90 0.90 0.95 1.00 1.03 1.11 1.22 1.15 1.09 1.05 0.98
75.78 77.18 80.74 78.59 75.62 78.78 78.65 77.01 76.27 75.97 74.93 73.50
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
0.07%
Dec-1
2
Jun-1
3
Dec-1
3
Jun-1
4
Dec-1
4
Jun-1
5
Dec-1
5
Jun-1
6
Dec-1
6
Jun-1
7
Dec-1
7
Jun-1
8
Dec-1
8
Jun-1
9
Dec-1
9
Jun-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
Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-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 0.002 0.002
0.000 0.000 0.000 0.000 0.000 0.000 0.003 0.003 0.003 0.006 0.009 0.010
0.000 0.000 0.000 0.000 0.001 0.002 0.004 0.005 0.007 0.008 0.010 0.012
0.002 0.003 0.005 0.008 0.009 0.013 0.013 0.013 0.014 0.015 0.015 0.015
0.009 0.010 0.015 0.015 0.018 0.020 0.023 0.024 0.027 0.028 0.030 0.030
0.025 0.025 0.026 0.028 0.031 0.035 0.038 0.039 0.041 0.043 0.051 0.052
0.036 0.038 0.038 0.039 0.040 0.042 0.044 0.044 0.047 0.048 0.052 0.055
0.033 0.036 0.037 0.043 0.050 0.052 0.053 0.053 0.054 0.054 0.057 0.060
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 September 30, 2020RMBS Performance Watch | Australia
Arrears Reported on a Full Doc Basis
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days61-90 days
90+ daysFull Doc SPINTCLB (Bil. A$)
0.26 0.25 0.26 0.28 0.32 0.33 0.40 0.45 0.33 0.27 0.22 0.20
0.14 0.14 0.13 0.16 0.15 0.18 0.17 0.21 0.24 0.18 0.16 0.14
0.50 0.48 0.46 0.47 0.49 0.48 0.50 0.51 0.54 0.59 0.62 0.60
0.89 0.87 0.86 0.91 0.96 0.98 1.06 1.17 1.10 1.04 1.01 0.94
75.11 76.60 79.99 77.86 74.91 78.13 77.96 76.33 75.60 75.32 74.28 72.86
Arrears Reported on a LoDoc Basis
(Bil. A
$)
TCLB90+ days61-90 days31-60 days
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Lo Doc SPIN
TCLB (Bil. A$)
1.09 1.34 1.78 1.44 1.17 1.34 1.31 1.55 1.53 1.51 1.32 0.92
0.93 0.67 0.91 0.98 0.78 0.82 1.04 1.18 0.72 0.63 0.63 0.45
2.95 3.58 2.78 3.18 3.65 4.11 4.10 4.44 4.68 4.38 4.25 4.07
4.97 5.59 5.47 5.60 5.60 6.27 6.46 7.17 6.93 6.52 6.19 5.44
0.67 0.58 0.75 0.72 0.71 0.65 0.69 0.68 0.67 0.66 0.65 0.64
Document Type Comparison
Full Doc Lo Doc Prime SPIN
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-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
0.89 0.87 0.86 0.91 0.96 0.98 1.06 1.17 1.10 1.04 1.01 0.94
4.97 5.59 5.47 5.60 5.60 6.27 6.46 7.17 6.93 6.52 6.19 5.44
0.93 0.90 0.90 0.95 1.00 1.03 1.11 1.22 1.15 1.09 1.05 0.98
99.12 99.25 99.08 99.08 99.06 99.18 99.12 99.12 99.12 99.13 99.13 99.13
0.88 0.75 0.92 0.92 0.94 0.82 0.88 0.88 0.88 0.87 0.87 0.87Copyright © 2020 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Arrears Statistics Australia is subject to the full disclaimer on the insideback cover.
S&P Global Ratings 2-2
RMBS Performance Watch | Australia
Arrears Statistics - Prime
at September 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
Ju
l-2
0
Arrears Reported on a Missed Payment Basis(B
il. A$)
31-60 days 61-90 days 90+ days TCLB
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.27 0.28 0.35 0.34 0.39 0.40 0.52 0.66 0.44 0.49 0.38 0.31
0.14 0.15 0.18 0.19 0.16 0.23 0.24 0.33 0.34 0.29 0.24 0.22
0.59 0.62 0.63 0.67 0.71 0.73 0.78 0.79 0.82 0.93 0.96 0.88
1.00 1.05 1.16 1.20 1.25 1.35 1.54 1.78 1.60 1.71 1.58 1.41
20.69 20.27 20.39 19.60 19.16 18.68 18.33 17.96 17.53 17.11 16.76 16.30
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
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
Ju
l-2
0
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.26 0.25 0.25 0.28 0.31 0.32 0.37 0.40 0.31 0.22 0.19 0.18
0.14 0.14 0.13 0.16 0.16 0.17 0.15 0.18 0.21 0.16 0.14 0.12
0.50 0.46 0.43 0.43 0.45 0.44 0.45 0.47 0.50 0.53 0.57 0.56
0.90 0.85 0.81 0.87 0.92 0.93 0.98 1.05 1.02 0.91 0.90 0.86
55.09 56.91 60.35 58.98 56.46 60.10 60.32 59.05 58.73 58.87 58.18 57.20
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
Jul-20
Arrears Calculation Method Comparison
Missed Payments Prime SPIN Scheduled Balance
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
Missed payments
Scheduled balance
Prime SPIN
1.00 1.05 1.16 1.20 1.25 1.35 1.54 1.78 1.60 1.71 1.58 1.41
0.90 0.85 0.81 0.87 0.92 0.93 0.98 1.05 1.02 0.91 0.90 0.86
0.93 0.90 0.90 0.95 1.00 1.03 1.11 1.22 1.15 1.09 1.05 0.98
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 September 30, 2020RMBS Performance Watch | Australia
PrimeArrears Domestic Issues
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.27 0.27 0.28 0.30 0.34 0.35 0.41 0.48 0.35 0.29 0.24 0.21
0.15 0.15 0.15 0.17 0.16 0.18 0.18 0.22 0.25 0.19 0.17 0.15
0.52 0.50 0.48 0.49 0.52 0.51 0.53 0.54 0.57 0.62 0.66 0.63
0.94 0.91 0.91 0.96 1.02 1.04 1.12 1.24 1.17 1.11 1.07 0.99
68.92 70.43 72.08 70.35 67.51 70.95 70.95 69.44 68.88 68.76 67.88 66.62
Arrears Cross Border Issues
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL VAL
31-60 days
61-90 days
90+ days
Total
TCLB (Bil. A$)
0.22 0.20 0.26 0.26 0.28 0.27 0.37 0.32 0.24 0.22 0.19 0.19
0.07 0.13 0.11 0.13 0.12 0.15 0.15 0.16 0.16 0.12 0.14 0.11
0.54 0.52 0.45 0.47 0.46 0.48 0.51 0.56 0.56 0.59 0.60 0.59
0.84 0.84 0.81 0.86 0.86 0.89 1.03 1.04 0.97 0.93 0.93 0.89
6.86 6.75 8.66 8.23 8.10 7.83 7.71 7.57 7.39 7.21 7.06 6.88
Market Comparison
Cross Border Domestic Prime SPIN
(%) Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
Domestic
Cross Border
Prime SPIN
0.94 0.91 0.91 0.96 1.02 1.04 1.12 1.24 1.17 1.11 1.07 0.99
0.84 0.84 0.81 0.86 0.86 0.89 1.03 1.04 0.97 0.93 0.93 0.89
0.93 0.90 0.90 0.95 1.00 1.03 1.11 1.22 1.15 1.09 1.05 0.98
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 September 30, 2020
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0.0
5.5
10.9
16.4
21.8
27.3
32.7
38.2
43.6
49.1
54.5
60.0
Ja
n-0
4
Se
p-0
4
Ma
y-0
5
Ja
n-0
6
Se
p-0
6
Ma
y-0
7
Ja
n-0
8
Se
p-0
8
Ma
y-0
9
Ja
n-1
0
Se
p-1
0
Ma
y-1
1
Ja
n-1
2
Se
p-1
2
Ma
y-1
3
Ja
n-1
4
Se
p-1
4
Ma
y-1
5
Ja
n-1
6
Se
p-1
6
Ma
y-1
7
Ja
n-1
8
Se
p-1
8
Ma
y-1
9
Ja
n-2
0
Se
p-2
0
Major Banks
(Bil. A
$)
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0.0
5.5
10.9
16.4
21.8
27.2
32.7
38.1
43.6
49.1
54.5
60.0
Ja
n-0
4
Se
p-0
4
Ma
y-0
5
Ja
n-0
6
Se
p-0
6
Ma
y-0
7
Ja
n-0
8
Se
p-0
8
Ma
y-0
9
Ja
n-1
0
Se
p-1
0
Ma
y-1
1
Ja
n-1
2
Se
p-1
2
Ma
y-1
3
Ja
n-1
4
Se
p-1
4
Ma
y-1
5
Ja
n-1
6
Se
p-1
6
Ma
y-1
7
Ja
n-1
8
Se
p-1
8
Ma
y-1
9
Ja
n-2
0
Se
p-2
0
(Bil. A
$)
Regional Banks
31-60 days 61-90 days 90+ days TCLB 31-60 days 61-90 days 90+ days TCLB
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Major Banks SPIN
TCLB (Bil. A$)
0.39 0.47 0.40 0.28 0.25 0.23
0.20 0.25 0.28 0.24 0.20 0.19
0.58 0.60 0.66 0.73 0.79 0.79
1.17 1.32 1.34 1.25 1.25 1.20
22.97 22.61 21.89 21.39 21.06 20.63
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Regional Banks SPIN
TCLB (Bil. A$)
0.60 0.57 0.27 0.21 0.24 0.31
0.20 0.20 0.17 0.11 0.11 0.10
0.80 0.96 0.92 0.91 0.92 0.87
1.61 1.73 1.36 1.23 1.27 1.27
7.99 7.83 7.66 7.48 7.33 7.07
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0.0
5.5
10.9
16.4
21.8
27.2
32.7
38.1
43.6
49.1
54.5
60.0
Jan-0
4
Sep-0
4
May-0
5
Jan-0
6
Sep-0
6
May-0
7
Jan-0
8
Sep-0
8
May-0
9
Jan-1
0
Sep-1
0
May-1
1
Jan-1
2
Sep-1
2
May-1
3
Jan-1
4
Sep-1
4
May-1
5
Jan-1
6
Sep-1
6
May-1
7
Jan-1
8
Sep-1
8
May-1
9
Jan-2
0
Sep-2
0 0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0.0
5.5
10.9
16.4
21.8
27.2
32.7
38.1
43.6
49.1
54.5
60.0
Jan-0
4
Sep-0
4
May-0
5
Jan-0
6
Sep-0
6
May-0
7
Jan-0
8
Sep-0
8
May-0
9
Jan-1
0
Sep-1
0
May-1
1
Jan-1
2
Sep-1
2
May-1
3
Jan-1
4
Sep-1
4
May-1
5
Jan-1
6
Sep-1
6
May-1
7
Jan-1
8
Sep-1
8
May-1
9
Jan-2
0
Sep-2
0
Other Banks Non-Bank Financial Institutions
(Bil. A
$)
(Bil. A
$)
31-60 days 61-90 days 90+ days TCLB 31-60 days 61-90 days 90+ days TCLB
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Other Banks SPIN
TCLB (Bil. A$)
0.42 0.49 0.34 0.39 0.25 0.20
0.18 0.22 0.26 0.20 0.17 0.13
0.54 0.57 0.62 0.70 0.70 0.60
1.14 1.27 1.22 1.29 1.12 0.92
20.03 19.48 19.01 18.51 17.99 18.37
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Non-Bank Financial Institutions SPIN
TCLB (Bil. A$)
0.19 0.17 0.13 0.10 0.19 0.12
0.10 0.12 0.09 0.06 0.10 0.13
0.29 0.32 0.29 0.33 0.68 0.80
0.57 0.61 0.51 0.49 0.98 1.04
2.83 2.77 2.90 2.83 2.84 2.78
Non-Bank Originators
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
0.0
5.5
10.9
16.4
21.8
27.3
32.7
38.2
43.6
49.1
54.5
60.0
Jan-0
4
Sep-0
4
May-0
5
Jan-0
6
Sep-0
6
May-0
7
Jan-0
8
Sep-0
8
May-0
9
Jan-1
0
Sep-1
0
May-1
1
Jan-1
2
Sep-1
2
May-1
3
Jan-1
4
Sep-1
4
May-1
5
Jan-1
6
Sep-1
6
May-1
7
Jan-1
8
Sep-1
8
May-1
9
Jan-2
0
Sep-2
0
(Bil. A
$)
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
Jan-0
4
Sep-0
4
May-0
5
Jan-0
6
Sep-0
6
May-0
7
Jan-0
8
Sep-0
8
May-0
9
Jan-1
0
Sep-1
0
May-1
1
Jan-1
2
Sep-1
2
May-1
3
Jan-1
4
Sep-1
4
May-1
5
Jan-1
6
Sep-1
6
May-1
7
Jan-1
8
Sep-1
8
May-1
9
Jan-2
0
Sep-2
0
Financial Institutions Comparison
31-60 days 61-90 days 90+ days TCLBMajor Banks Regional Banks Other Banks
Non - Bank Financial Inst. Non-Bank Originators Prime SPIN
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
31-60 days
61-90 days
90+ days
Non-Bank Originators SPIN
TCLB (Bil. A$)
0.32 0.37 0.29 0.21 0.18 0.16
0.13 0.19 0.19 0.12 0.11 0.10
0.34 0.34 0.35 0.37 0.37 0.36
0.79 0.90 0.82 0.69 0.66 0.61
22.78 22.31 22.82 23.81 23.82 23.21
(%) Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
Major Banks
Regional Banks
Other Banks
Non-Bank Financial Institutions
Non-Bank Originators
Prime SPIN
1.17 1.32 1.34 1.25 1.25 1.20
1.61 1.73 1.36 1.23 1.27 1.27
1.14 1.27 1.22 1.29 1.12 0.92
0.57 0.61 0.51 0.49 0.98 1.04
0.79 0.90 0.82 0.69 0.66 0.61
1.11 1.22 1.15 1.09 1.05 0.98
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 September 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
5
11
16
2227
33
38
44
49
55
60
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
Aug
-20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
5
11
16
2227
33
38
44
49
55
60
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
Aug
-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
5
11
16
2227
33
38
44
49
55
60
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
Aug
-20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
5
11
16
2227
33
38
44
49
55
60
Feb-
15
Aug
-15
Feb-
16
Aug
-16
Feb-
17
Aug
-17
Feb-
18
Aug
-18
Feb-
19
Aug
-19
Feb-
20
Aug
-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
5
11
16
2227
33
38
44
49
55
60
Jan-
18
Jul-1
8
Jan-
19
Jul-1
9
Jan-
20
Jul-2
00.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
5
11
16
2227
33
38
44
49
55
60
Jan-
17
Jul-1
7
Jan-
18
Jul-1
8
Jan-
19
Jul-1
9
Jan-
20
Jul-2
0
(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
5
11
16
2227
33
38
44
49
55
60
Jan-
20
Feb-
20
Mar
-20
Apr
-20
May
-20
Jun-
20
Jul-2
0
Aug
-20
Sep
-20
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
0
5
11
16
2227
33
38
44
49
55
60
Jan-
19
Jul-1
9
Jan-
20
Jul-2
0
(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 September 30, 2020at
-32.31%
-25.08%
-17.85%
-10.62%
-3.39%
3.84%
11.07%
18.31%
25.54%
32.77%
40.00%
Dec-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
Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
Domestic 19.86 17.73 18.18 19.82 20.30 17.42 12.10 18.40 17.39 17.94 21.03 22.20
Cross Border 17.13 17.04 15.63 18.27 16.65 13.05 11.82 15.18 14.92 13.51 18.27 20.68
Prime SPPI 19.64 17.67 17.95 19.67 19.97 17.00 12.08 18.12 17.17 17.48 20.76 22.05
(%)
-60.00%
-55.00%
-50.00%
-45.00%
-40.00%
-35.00%
-30.00%
-25.00%
-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%
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
219
Domestic Cross Border Total Prepayment Rate F
Months
Annualised Quarterly Prepayment Rates - Months From Issue Date
2-7
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S&P Global Ratings
PrimePrepayment Statistics -RMBS Performance Watch - Australia at September 30, 2020
-700.00%
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
Sep
-20
2013 2014 2015 2016 2017 2018 2019 2020 3000
Annualised Quarterly Prepayment Rate Index (By Year Of Issuance)
-400.00%
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 93
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
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