RMBS
Performance
Watch
Australia Part 2b – Prime Arrears &
Prepayment Statistics (Excluding
Non-Capital Market Issuance)
At December 31, 2016
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
Australia Prime S&P Global Ratings Mortgage Performance Index (SPIN)
5.00%
180.0
4.50%
160.0
4.00%
140.0
3.50%
120.0
3.00%
80.0
2.00%
60.0
1.50%
40.0
1.00%
(%)*
61-90 days
Apr-16
Oct-16
Apr-15
Oct-15
Apr-14
Oct-14
Apr-13
Oct-13
Apr-12
Oct-12
Apr-11
Oct-11
Apr-10
Oct-10
Apr-09
Oct-09
Apr-08
Oct-08
Apr-07
Oct-07
Apr-06
Oct-06
Apr-05
Oct-05
Apr-04
Oct-04
Apr-03
31-60 days
Oct-03
Apr-02
Oct-02
Apr-01
Oct-01
Apr-00
Oct-00
Apr-99
Oct-99
Apr-98
Oct-98
Apr-97
0.0
Oct-97
0.00%
Apr-96
20.0
Oct-96
0.50%
TCLB (Total current loan balance)
90+ days
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
31-60 days
0.44
0.47
0.46
0.47
0.46
0.44
0.42
0.41
0.40
0.39
0.37
0.40
61-90 days
0.20
0.19
0.21
0.21
0.22
0.21
0.21
0.20
0.20
0.19
0.19
0.18
90+ days
0.44
0.45
0.47
0.48
0.50
0.48
0.49
0.50
0.50
0.51
0.50
0.51
Prime SPIN
1.08
1.11
1.13
1.17
1.18
1.14
1.12
1.11
1.10
1.09
1.06
1.09
TCLB (Bil. A$)
72.46
72.25
71.65
70.73
69.50
69.94
68.37
66.71
64.85
64.14
64.44
63.74
Cumulative Gross Losses As Percentage Of Total Initial Issuance By Year Of Issuance
0.16%
0.14%
0.12%
0.10%
0.08%
0.06%
0.04%
0.02%
2008
(%)*
2009
2010
2011
2012
2013
2014
2015
Sep-16
Mar-16
Sep-15
Mar-15
Sep-14
Mar-14
Sep-13
Mar-13
Sep-12
Mar-12
Sep-11
Mar-11
Sep-10
Mar-10
Mar-09
Sep-09
0.00%
2016
Mar-14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Dec-16
2016
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
2015
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.001
0.002
0.003
2014
0.000
0.000
0.000
0.000
0.001
0.001
0.002
0.003
0.003
0.008
0.011
0.013
2013
0.002
0.002
0.002
0.004
0.006
0.007
0.011
0.014
0.016
0.018
0.021
0.026
2012
0.007
0.009
0.011
0.011
0.011
0.012
0.013
0.014
0.017
0.020
0.023
0.026
2011
0.011
0.012
0.012
0.013
0.014
0.014
0.015
0.015
0.019
0.019
0.020
0.023
2010
0.122
0.124
0.126
0.129
0.130
0.133
0.137
0.138
0.143
0.145
0.147
0.149
2009
0.043
0.043
0.045
0.046
0.046
0.052
0.056
0.058
0.059
0.060
0.061
0.062
2008
0.072
0.075
0.076
0.076
0.076
0.076
0.077
0.079
0.079
0.079
0.079
0.080
Copyright © 2017 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings
2-1
(Bil. A$)
100.0
2.50%
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
Arrears Reported on a Full Doc Basis
5.00%
160.0
4.50%
140.0
4.00%
120.0
3.50%
100.0
2.50%
80.0
2.00%
60.0
1.50%
(Bil. A$)
3.00%
40.0
1.00%
31-60 days
61-90 days
90+ days
Oct-16
Apr-16
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Oct-07
Apr-07
Oct-06
Apr-06
0.0
Oct-05
20.0
0.00%
Apr-05
0.50%
TCLB
(%)*
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
0.42
0.44
0.44
0.45
0.44
0.43
0.40
0.38
0.38
0.36
0.35
Dec-16
0.38
61-90 days
0.19
0.18
0.19
0.20
0.21
0.20
0.20
0.20
0.18
0.18
0.18
0.16
90+ days
0.40
0.41
0.42
0.44
0.46
0.45
0.46
0.46
0.46
0.47
0.47
0.47
Full Doc SPIN
1.01
1.03
1.05
1.09
1.10
1.08
1.06
1.04
1.03
1.02
1.00
1.02
TCLB (Bil. A$)
71.05
70.91
70.33
69.45
68.25
68.72
67.20
65.57
63.74
63.05
63.40
62.72
Arrears Reported on a LoDoc Basis
8.00%
7.50%
7.00%
6.50%
6.00%
5.50%
5.00%
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
20.0
16.0
8.0
4.0
31-60 days
61-90 days
Oct-16
Apr-16
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Oct-07
Apr-07
Oct-06
Apr-06
Oct-05
Apr-05
0.0
TCLB
90+ days
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
1.41
1.78
1.60
1.65
1.84
1.31
1.33
1.95
1.28
1.77
1.63
Dec-16
1.67
61-90 days
0.79
0.61
0.93
1.17
1.06
0.94
0.89
0.54
0.92
0.69
0.84
0.96
90+ days
2.62
2.65
2.68
2.61
2.36
2.43
2.53
2.79
2.45
2.55
2.60
2.69
Lo Doc SPIN
4.82
5.04
5.22
5.42
5.26
4.67
4.75
5.27
4.66
5.01
5.07
5.32
TCLB (Bil. A$)
1.41
1.34
1.31
1.28
1.25
1.22
1.17
1.14
1.12
1.09
1.04
1.02
Document Type Comparison
Full Doc
Lo Doc
Oct-16
Apr-16
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Oct-07
Apr-07
Oct-06
Apr-06
Oct-05
Apr-05
8.00%
7.50%
7.00%
6.50%
6.00%
5.50%
5.00%
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
Prime SPIN
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Full Doc SPIN
1.01
1.03
1.05
1.09
1.10
1.08
1.06
1.04
1.03
1.02
1.00
Dec-16
1.02
Lo Doc SPIN
4.82
5.04
5.22
5.42
5.26
4.67
4.75
5.27
4.66
5.01
5.07
5.32
Prime SPIN
1.08
1.11
1.13
1.17
1.18
1.14
1.12
1.11
1.10
1.09
1.06
1.09
Full Doc % Prime TCLB
98.05
98.14
98.17
98.19
98.20
98.25
98.29
98.29
98.28
98.30
98.39
98.40
Lo Doc % Prime TCLB
1.95
1.86
1.83
1.81
1.80
1.75
1.71
1.71
1.72
1.70
1.61
1.60
Copyright © 2017 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings
2- 2
(Bil. A$)
12.0
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
Arrears Reported on a Missed Payment Basis
31-60 days
90+ days
Jul-16
Jul-15
Jan-16
Jul-14
Jan-15
Jul-13
Jan-14
Jul-12
Jan-13
Jul-11
Jan-12
Jul-10
Jan-11
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
61-90 days
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jul-04
Jan-05
Jul-03
Jan-04
Jul-02
Jan-03
Jul-01
Jan-02
Jul-00
0.0
Jan-01
5.0
0.00%
Jul-99
10.0
0.50%
Jan-00
15.0
1.00%
Jul-98
20.0
1.50%
Jan-99
25.0
2.00%
Jul-97
30.0
2.50%
Jan-98
35.0
3.00%
Jul-96
40.0
3.50%
Jan-97
45.0
4.00%
Jan-96
50.0
4.50%
(Bil. A$)
5.00%
TCLB
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
0.49
0.55
0.54
0.57
0.55
0.53
0.56
0.56
0.49
0.57
0.47
Dec-16
0.50
61-90 days
0.24
0.22
0.28
0.29
0.29
0.26
0.29
0.29
0.26
0.25
0.19
0.23
90+ days
0.56
0.58
0.60
0.64
0.65
0.65
0.63
0.64
0.68
0.68
0.64
0.66
Total
1.29
1.34
1.42
1.50
1.50
1.44
1.48
1.49
1.43
1.51
1.30
1.38
TCLB (Bil. A$)
15.39
15.02
14.67
14.32
13.94
13.52
13.14
12.73
12.39
12.08
13.12
12.70
Arrears Reported on a Scheduled Balance Basis
5.00%
140.0
4.50%
120.0
4.00%
100.0
3.00%
80.0
2.50%
2.00%
60.0
1.50%
40.0
1.00%
20.0
0.50%
31-60 days
Jul-16
Jul-15
Jan-16
Jul-14
Jan-15
Jul-13
Jan-14
Jul-12
Jan-13
Jul-11
90+ days
Jan-12
Jul-10
Jan-11
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
61-90 days
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jul-04
Jan-05
Jul-03
Jan-04
Jul-02
Jan-03
Jul-01
Jan-02
Jul-00
Jan-01
Jul-99
Jan-00
Jul-98
Jan-99
Jul-97
Jan-98
Jan-97
Jul-96
0.0
Jan-96
0.00%
TCLB
(%)*
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
31-60 days
0.42
0.45
0.44
0.45
0.44
0.42
0.38
0.37
0.38
0.34
0.35
0.38
0.16
61-90 days
0.20
0.18
0.19
0.19
0.20
0.20
0.19
0.18
0.18
0.18
0.19
90+ days
0.41
0.41
0.43
0.44
0.46
0.44
0.46
0.46
0.46
0.47
0.46
0.47
Total
1.03
1.04
1.06
1.08
1.10
1.07
1.04
1.02
1.02
0.99
1.00
1.01
TCLB (Bil. A$)
57.06
57.23
56.98
56.41
55.56
56.43
55.23
53.98
52.47
52.06
51.32
51.04
Arrears Calculation Method Comparison
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
Missed Payments
Jul-16
Jul-15
Jan-16
Jul-14
Jan-15
Jul-13
Jan-14
Jul-12
Jan-13
Jul-11
Jan-12
Jul-10
Jan-11
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jul-04
Jan-05
Jul-03
Jan-04
Jul-02
Jan-03
Jul-01
Jan-02
Jul-00
Jan-01
Jul-99
Jan-00
Jul-98
Jan-99
Jul-97
Jan-98
Jan-97
Jul-96
Jan-96
0.00%
Scheduled Balance
Prime SPIN
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
Missed payments
1.29
1.34
1.42
1.50
1.50
1.44
1.48
1.49
1.43
1.51
1.30
1.38
Scheduled balance
1.03
1.04
1.06
1.08
1.10
1.07
1.04
1.02
1.02
0.99
1.00
1.01
Prime SPIN
1.08
1.11
1.13
1.17
1.18
1.14
1.12
1.11
1.10
1.09
1.06
1.09
Copyright © 2017 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings
2- 3
(Bil. A$)
3.50%
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
Arrears Domestic Issues
5.00%
70.0
4.50%
60.0
4.00%
50.0
3.00%
40.0
2.50%
2.00%
30.0
1.50%
20.0
1.00%
(Bil. A$)
3.50%
10.0
0.50%
31-60 days
61-90 days
Jun-16
Dec-16
Jun-15
Dec-15
Jun-14
Dec-14
Jun-13
Dec-13
Jun-12
Dec-12
Jun-11
90+ days
Dec-11
Jun-10
Dec-10
Jun-09
Dec-09
Jun-08
Dec-08
Jun-07
Dec-07
Jun-06
Dec-06
Jun-05
Dec-05
Jun-04
Dec-04
Jun-03
Dec-03
Jun-02
Dec-02
Jun-01
Dec-01
Jun-00
Dec-00
Jun-99
Dec-99
Jun-98
Dec-98
Jun-97
Dec-97
Jun-96
Dec-96
0.0
Dec-95
0.00%
TCLB
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
0.42
0.43
0.43
0.46
0.44
0.43
0.41
0.40
0.39
0.38
0.36
Dec-16
0.39
61-90 days
0.19
0.18
0.19
0.20
0.22
0.20
0.21
0.20
0.19
0.19
0.18
0.17
90+ days
0.40
0.41
0.43
0.45
0.46
0.45
0.47
0.48
0.49
0.50
0.49
0.49
Total
1.01
1.02
1.05
1.11
1.12
1.09
1.08
1.07
1.07
1.06
1.03
1.06
TCLB (Bil. A$)
64.97
65.10
64.67
63.19
62.07
62.66
61.53
60.71
58.98
58.39
58.89
58.44
Arrears Cross Border Issues
5.00%
120.0
4.50%
100.0
4.00%
3.50%
80.0
2.50%
60.0
2.00%
40.0
1.50%
1.00%
20.0
0.50%
31-60 days
(%)*
61-90 days
90+ days
Apr-16
Oct-16
Apr-15
Oct-15
Apr-14
Oct-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Apr-07
Oct-07
Apr-06
Oct-06
Apr-05
Oct-05
Apr-04
Oct-04
Apr-03
Oct-03
Apr-02
Oct-02
Apr-01
Oct-01
Apr-00
Oct-00
Apr-99
Oct-99
Oct-98
Apr-98
Apr-97
0.0
Oct-97
0.00%
TCLB
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
0.61
0.78
0.72
0.54
0.63
0.54
0.49
0.52
0.50
0.48
0.52
Dec-16
0.50
61-90 days
0.35
0.28
0.38
0.30
0.26
0.29
0.26
0.28
0.26
0.26
0.22
0.19
90+ days
0.79
0.81
0.80
0.77
0.76
0.75
0.69
0.68
0.63
0.61
0.65
0.68
Total
1.75
1.87
1.90
1.61
1.65
1.59
1.45
1.49
1.40
1.36
1.39
1.37
TCLB (Bil. A$)
7.48
7.15
6.98
7.54
7.43
7.29
6.84
6.00
5.87
5.75
5.55
5.30
Market Comparison
2.50%
2.00%
1.50%
1.00%
0.50%
Cross Border
Domestic
Oct-16
Apr-16
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Apr-07
Oct-07
Apr-06
Oct-06
Apr-05
Oct-05
Apr-04
Oct-04
Apr-03
Oct-03
Apr-02
Oct-02
Apr-01
Oct-01
Apr-00
Oct-00
Apr-99
Oct-99
Oct-98
Apr-98
Apr-97
Oct-97
0.00%
Prime SPIN
(%)
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Domestic
1.01
1.02
1.05
1.11
1.12
1.09
1.08
1.07
1.07
1.06
1.03
Dec-16
1.06
Cross Border
1.75
1.87
1.90
1.61
1.65
1.59
1.45
1.49
1.40
1.36
1.39
1.37
Prime SPIN
1.08
1.11
1.13
1.17
1.18
1.14
1.12
1.11
1.10
1.09
1.06
1.09
Copyright © 2017 Standard & Poor’s Financial Services LLC. All rights reserved. Reproduction in whole or in part prohibited except by permission. RMBS Performance Watch is subject to the full disclaimer on Page iii, Part 1.
S&P Global Ratings
2-4
(Bil. A$)
3.00%
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
Major Banks
Regional Banks
5.00%
60
5.00%
60
55
55
49
4.00%
49
4.00%
44
33
27
No deals were issued by Major Banks for
Australia Prime
33
27
2.00%
22
No deals were issued by Regional Banks for
Australia Prime
16
1.00%
22
16
1.00%
11
11
90+ days
TCLB
31-60 days
61-90 days
90+ days
Apr-16
Dec-16
Aug-15
Apr-14
Dec-14
Aug-13
Apr-12
Dec-12
Aug-11
Apr-10
Dec-10
Aug-09
Apr-08
Dec-08
Aug-07
Apr-06
Dec-06
Aug-05
Apr-04
Dec-04
Aug-03
Apr-02
Dec-02
Aug-01
Apr-00
0.00%
Dec-00
Apr-16
Dec-16
Aug-15
Apr-14
Dec-14
Aug-13
Apr-12
Dec-12
Aug-11
Apr-10
Dec-10
Aug-09
Apr-08
Dec-08
61-90 days
5
0
0
TCLB
(%)
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
(%)
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
31-60 days
0.36
0.37
0.35
0.35
0.35
0.36
31-60 days
61-90 days
0.21
0.19
0.20
0.19
0.21
0.18
61-90 days
0.73
0.31
0.96
1.99
8.81
0.65
0.28
0.87
1.80
9.23
0.75
0.29
0.76
1.80
9.03
0.60
0.29
0.77
1.66
8.86
0.66
0.26
0.79
1.71
8.65
0.79
0.25
0.79
1.83
8.36
90+ days
0.41
0.43
0.45
0.47
0.49
0.52
90+ days
Major Banks SPIN
0.99
1.00
1.01
1.01
1.05
1.06
Regional Banks SPIN
TCLB (Bil. A$)
25.45
24.19
23.66
23.19
22.70
22.17
TCLB (Bil. A$)
Other Banks
Non-Bank Financial Institutions
5.00%
60
5.00%
60
55
55
49
4.00%
49
4.00%
44
44
38
3.00%
2.00%
No deals were issued by Other Banks for
Australia Prime
22
33
27
2.00%
No deals were issued by Non-Bank Financial
Institutions for Australia Prime
16
1.00%
22
16
1.00%
11
11
31-60 days
61-90 days
90+ days
TCLB
Dec-16
Apr-16
Aug-15
Dec-14
Apr-14
Aug-13
Dec-12
Apr-12
Aug-11
Dec-10
Apr-10
Aug-09
Dec-08
Apr-08
Aug-07
Dec-06
Apr-06
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
(%)
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
0.38
0.20
0.44
1.01
19.43
0.34
0.15
0.45
0.94
18.92
0.35
0.17
0.45
0.97
19.06
0.33
0.14
0.41
0.88
19.87
0.33
0.17
0.45
0.94
19.23
31-60 days
61-90 days
90+ days
Non-Bank Financial Institutions SPIN
TCLB (Bil. A$)
0.35
0.16
0.23
0.74
2.10
0.29
0.14
0.24
0.67
2.03
0.36
0.10
0.26
0.71
1.98
0.32
0.14
0.25
0.70
1.94
0.28
0.19
0.22
0.69
1.89
0.40
0.14
0.30
0.83
1.81
Financial Institutions Comparison
Non-Bank Originators
60
5.00%
55
4.50%
49
4.00%
44
3.50%
38
31-60 days
61-90 days
90+ days
TCLB
Major Banks
Non-Bank Financial Inst.
Regional Banks
Non-Bank Originators
Aug-15
Apr-14
Dec-14
Aug-13
Apr-12
Dec-12
Aug-11
Dec-10
Apr-10
Aug-09
Dec-08
Apr-08
Aug-07
Dec-06
0.00%
Apr-06
0.50%
0
Aug-05
1.00%
5
Dec-04
1.50%
11
Apr-04
16
Aug-03
Dec-16
Apr-16
Aug-15
Dec-14
Apr-14
Aug-13
Dec-12
Apr-12
Aug-11
Dec-10
Apr-10
Aug-09
Dec-08
Apr-08
Aug-07
Dec-06
Apr-06
Aug-05
Dec-04
Apr-04
Aug-03
Dec-02
Apr-02
1.00%
2.00%
Dec-02
22
No deals were issued by Non-Bank
Originators for Australia Prime
2.50%
Apr-02
27
3.00%
(Bil. A$)
33
Aug-01
3.00%
Apr-00
4.00%
Dec-00
5.00%
2.00%
0
TCLB
0.38
0.19
0.45
1.02
20.11
TCLB (Bil. A$)
Aug-01
90+ days
Jul-16
90+ days
Apr-00
61-90 days
(%)
Other Banks SPIN
Dec-00
Aug-05
31-60 days
31-60 days
61-90 days
0.00%
Dec-04
Apr-04
Aug-03
Dec-02
Apr-02
Apr-00
0.00%
Aug-01
5
0
Dec-00
Dec-16
Apr-16
Aug-15
Dec-14
Apr-14
Aug-13
Dec-12
Apr-12
Aug-11
Dec-10
Apr-10
Aug-09
Dec-08
Apr-08
Aug-07
Dec-06
Apr-06
Aug-05
Dec-04
Apr-04
Aug-03
Dec-02
Aug-01
Dec-00
Apr-00
Apr-02
5
0.00%
(Bil. A$)
27
38
3.00%
(Bil. A$)
33
Apr-16
31-60 days
Aug-07
Apr-06
Dec-06
Aug-05
Apr-04
Dec-04
Aug-03
Dec-02
Aug-01
Apr-00
Dec-00
0.00%
Apr-02
5
Dec-16
2.00%
38
3.00%
(Bil. A$)
3.00%
44
(Bil. A$)
38
Other Banks
Prime SPIN
(%)
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
(%)
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
31-60 days
0.38
0.38
0.34
0.38
0.29
0.32
Major Banks
0.99
1.00
1.01
1.01
1.05
Dec-16
1.06
61-90 days
0.20
0.20
0.20
0.18
0.16
0.13
Regional Banks
1.99
1.80
1.80
1.66
1.71
1.83
90+ days
0.47
0.50
0.50
0.51
0.50
0.44
Other Banks
1.02
1.01
0.94
0.97
0.88
0.94
Non-Bank Originators SPIN
1.04
1.08
1.04
1.07
0.95
0.89
Non-Bank Financial Institutions
0.74
0.67
0.71
0.70
0.69
0.83
TCLB (Bil. A$)
11.39
11.10
11.02
10.86
11.26
11.86
Non-Bank Originators
1.04
1.08
1.04
1.07
0.95
0.89
Prime SPIN
1.12
1.11
1.10
1.09
1.06
1.09
Copyright © 2017 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- 5
at December 31, 2016
RMBS Performance Watch | Australia
Arrears Statistics - Prime
By Year Of Issuance
2009
2010
5.00%
60
5.00%
60
4.50%
55
4.50%
55
4.00%
49
4.00%
49
44
3.50%
3.50%
38
2.50%
No deals were issued in 2009 for Australia Prime
27
2.00%
22
1.50%
38
3.00%
33
2.50%
No deals were issued in 2010 for Australia Prime
27
2.00%
22
1.50%
16
16
90+ days
TCLB
31-60 days
61-90 days
2011
Jul-16
Jan-16
Jul-15
Jan-15
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
Jul-10
Jan-10
Mar-16
Sep-16
Sep-15
Mar-15
Mar-14
Mar-13
61-90 days
Sep-14
0
Sep-13
0.00%
Sep-12
0
Mar-12
5
0.00%
Sep-11
0.50%
Mar-11
5
Mar-10
11
0.50%
Sep-10
1.00%
Mar-09
11
Sep-09
1.00%
31-60 days
90+ days
TCLB
2012
5.00%
60
5.00%
60
4.50%
55
4.50%
55
4.00%
49
4.00%
49
44
3.50%
No deals were issued in 2011 for Australia Prime
27
2.00%
22
1.50%
38
3.00%
33
2.50%
No deals were issued in 2012 for Australia Prime
27
2.00%
22
1.50%
16
16
90+ days
TCLB
31-60 days
61-90 days
2013
Aug-16
Feb-16
Aug-15
Feb-15
Aug-14
Feb-14
Feb-13
Feb-16
Feb-15
Feb-14
Feb-12
Feb-13
61-90 days
Aug-13
0
Aug-12
0.00%
Feb-12
0
Aug-16
5
0.00%
Aug-15
0.50%
Aug-14
5
Aug-13
11
0.50%
Aug-12
1.00%
Aug-11
11
Feb-11
1.00%
31-60 days
90+ days
TCLB
2014
5.00%
60
5.00%
60
4.50%
55
4.50%
55
4.00%
49
4.00%
49
44
3.50%
No deals were issued in 2013 for Australia Prime
27
2.00%
22
1.50%
38
3.00%
33
2.50%
No deals were issued in 2014 for Australia Prime
27
2.00%
22
1.50%
16
16
61-90 days
TCLB
31-60 days
Feb-16
Feb-15
Feb-14
Feb-16
90+ days
61-90 days
2015
Aug-16
0
Aug-15
0.00%
Aug-14
0
Aug-16
5
0.00%
Aug-15
0.50%
Feb-15
5
Aug-14
11
0.50%
Feb-14
1.00%
Aug-13
11
Feb-13
1.00%
31-60 days
90+ days
TCLB
2016
5.00%
60
5.00%
60
4.50%
55
4.50%
55
4.00%
49
4.00%
49
44
3.50%
3.50%
38
No deals were issued in 2015 for Australia Prime
27
22
1.50%
16
44
38
3.00%
33
2.50%
No deals were issued in 2016 for Australia Prime
2.00%
27
22
1.50%
16
90+ days
TCLB
31-60 days
61-90 days
90+ days
Dec-16
Nov-16
Oct-16
Feb-15
Feb-16
61-90 days
Sep-16
0
Aug-16
0.00%
Jul-16
0
Jun-16
5
0.00%
May-16
0.50%
Apr-16
5
Mar-16
11
0.50%
Feb-16
1.00%
Aug-16
11
Aug-15
1.00%
31-60 days
(Bil. A$)
2.00%
33
(Bil. A$)
3.00%
2.50%
(Bil. A$)
33
(Bil. A$)
3.00%
44
3.50%
38
2.50%
(Bil. A$)
33
(Bil. A$)
3.00%
44
3.50%
38
2.50%
(Bil. A$)
33
(Bil. A$)
3.00%
44
TCLB
Copyright © 2017 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
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at
RMBS Performance Watch | Australia
December 31, 2016
Prepayment Statistics - Prime
Australian Prime S&P Global Ratings Prepayment Index (SPPI) By Market
40.00%
36.00%
32.00%
28.00%
24.00%
20.00%
16.00%
12.00%
8.00%
4.00%
Domestic
Cross Border
Prime SPPI
Dec-16
Mar-16
Aug-16
Apr-15
Sep-15
Jun-14
Dec-14
Jun-13
Dec-13
Jun-12
Dec-12
Jun-11
Dec-11
Jun-10
Dec-10
Mar-10
Jun-09
Dec-09
Jun-08
Dec-08
Jun-07
Dec-07
Jun-06
Dec-06
Jun-05
Dec-05
Jun-04
Dec-04
Jun-03
Dec-03
Jun-02
Dec-02
Jun-01
Dec-01
Jun-00
Dec-00
Jun-99
Dec-99
Jun-98
Dec-98
Jun-97
Dec-97
Dec-96
0.00%
I
(%)
Mar-14
Jun-14
Sep-14
Dec-14
Mar-15
Jun-15
Sep-15
Dec-15
Mar-16
Jun-16
Sep-16
Domestic
20.79
15.62
22.37
22.13
20.74
21.84
25.56
22.07
20.14
20.91
22.46
Dec-16
22.41
Cross Border
18.22
20.31
20.14
19.78
17.64
20.51
19.91
19.32
17.40
18.10
17.26
17.51
Prime SPPI
20.17
16.65
21.89
21.71
20.24
21.67
24.88
21.77
19.86
20.64
21.98
21.97
Annualised Quarterly Prepayment Rates - Months From Issue Date
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0
3
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
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
0.00%
Months
Domestic
Cross Border
Total Prepayment Rate
F
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S&P Global Ratings
2-7
at December 31, 2016
RMBS Performance Watch | Australia
Prepayment Statistics - Prime
Annualised Quarterly Prepayment Rate Index (By Year Of Issuance)
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
Jun-16
Aug-16
Mar-16
Dec-15
Sep-15
Apr-15
Jun-15
2016
Dec-16
2015
Mar-15
Dec-14
Jun-14
Sep-14
Mar-14
2014
Sep-16
2013
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Jun-12
Sep-12
2012
96
2011
Mar-12
Dec-11
Jun-11
Sep-11
Mar-11
2010
93
2009
Dec-10
Sep-10
Apr-10
Jun-10
Mar-10
Feb-10
Dec-09
Jun-09
Sep-09
0.00%
3000
Annualised Quarterly Prepayment Rate Index - Months From Issue Date (By Year Of Issuance)
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
90
87
84
81
78
75
72
69
66
63
60
57
54
51
48
45
42
39
36
33
30
27
24
21
18
15
12
9
6
3
0
0.00%
Months
2009
2010
2011
2012
2013
2014
2015
2016
3000
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S&P Global Ratings
2-8
www.SPRatings.com.au