RMBS ARREARS STATISTICS

Transcription

1 RMBS ARREARS STATISTICS Australia (Excluding Non-Capital Market Issuance) At February 9,

2 RMBS Performance Watch Australia at February 9, Australia Prime Standard & Poor's Rating Services Mortgage Performance Index (SPIN) 8..%..% %.. Apr-96 Oct-96 Apr-97 Oct-97 Apr-98 Oct-98 Apr-99 Oct-99 Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- (%)* -6 days 6-9 days 9+ days (Total current loan balance) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Prime SPIN Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover.

3 RMBS Performance Watch Australia at February 9, Arrears Reported on a Full Doc Basis..%.%.% Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- -6 days 6-9 days 9+ days (%)* Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Full Doc SPIN Arrears Reported on a LoDoc Basis 8.% 7.% 7.% 6.% 6.%.%.%.%.% Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- -6 days 6-9 days 9+ days (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Lo Doc SPIN Document Type Comparison 8.% 7.% 7.% 6.% 6.%.%.%.%.% Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- Full Doc Lo Doc Prime SPIN (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- Full Doc SPIN Lo Doc SPIN Prime SPIN Full Doc % Prime Lo Doc % Prime Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover.

4 RMBS Performance Watch Australia at February 9, Arrears Reported on a Missed Payment Basis..%...% %.. Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan-6 Jul-6 Jan-7 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jul- Jul- Jan- Jul- Jan- -6 days 6-9 days 9+ days (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Total Arrears Reported on a Scheduled Balance Basis.%.%.% Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan-6 Jul-6 Jan-7 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jul- Jul- Jan- Jul- Jan- -6 days 6-9 days 9+ days (%)* Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Total % Arrears Calculation Method Comparison.% Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan- Jul- Jan-6 Jul-6 Jan-7 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan- Jul- Jan- Jul- Jul- Jul- Jan- Jul- Jan- Missed Payments Prime SPIN Scheduled Balance (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- Missed payments Scheduled balance Prime SPIN Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover.

5 RMBS Performance Watch Australia at February 9,.%.%.% Dec-9 Jun-96 Dec-96 Jun-97 Dec-97 Jun-98 Dec-98 Jun-99 Dec-99 Jun- Dec- Jun- Dec- Jun- Dec- Jun- Arrears Domestic Issues Dec- Jun- Dec- Jun- Dec- Jun-6 Dec-6 Jun-7 Dec-7 Jun-8 Dec-8 Jun-9 Dec-9 Jun- Dec- Jun- Dec- Jun- Dec- Jun- Dec- Jun- Dec- Jun- Dec days 6-9 days 9+ days (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Total Arrears Cross Border Issues.%.%.% Apr-97 Oct-97 Apr-98 Oct-98 Apr-99 Oct-99 Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- -6 days 6-9 days 9+ days (%)* Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Total Market Comparison.% Apr-97 Oct-97 Apr-98 Oct-98 Apr-99 Oct-99 Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- Cross Border Domestic Prime SPIN (%) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- Domestic Cross Border Prime SPIN Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover.

6 RMBS Performance Watch Australia at February 9, Major Banks Regional Banks 6 6 No deals were issued by Major Banks for Australia Prime No deals were issued by Regional Banks for Australia Prime Nov-96 Jul-97 Mar-98 Nov-98 Jul-99 Mar- Nov- Jul- Mar- Nov- Jul- Mar- Nov- Jul- Mar-6 Nov-6 Jul-7 Mar-8 Nov-8 Jul-9 Mar- Nov- Jul- Mar- Nov- Mar- Nov- Jul- Sep-97 May-98 Jan-99 Sep-99 May- Jan- Sep- May- Jan- Sep- May- Jan- Sep- May-6 Jan-7 Sep-7 May-8 Jan-9 Sep-9 May- Jan- Sep- May- Sep- May- Jan- Sep- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days (%) Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Major Banks SPIN (%) Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Regional Banks SPIN Other Banks Non-Bank Financial Institutions 6 6 No deals were issued by Other Banks for Australia Prime No deals were issued by Non-Bank Financial Institutions for Australia Prime Jan-96 Sep-96 May-97 Jan-98 Sep-98 May-99 Jan- Sep- May- Jan- Sep- May- Jan- Sep- May- Jan-6 Sep-6 May-7 Jan-8 Sep-8 May-9 Jan- Sep- May- Sep- May- Sep- May- Jan- Jul-97 Mar-98 Nov-98 Jul-99 Mar- Nov- Jul- Mar- Nov- Jul- Mar- Nov- Jul- Mar-6 Nov-6 Jul-7 Mar-8 Nov-8 Jul-9 Mar- Nov- Jul- Mar- Nov- Mar- Nov- Jul- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days (%) Sep- Oct- Nov- Dec- Jan- Feb- (%) Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Other Banks SPIN Non-Bank Originators -6 days days days Non-Bank Financial Institutions SPIN Financial Institutions Comparison No deals were issued by Non-Bank Originators for Australia Prime Jan-96 Sep-96 May-97 Jan-98 Sep-98 May-99 Jan- Sep- May- Jan- Sep- May- Jan- Sep- May- Jan-6 Sep-6 May-7 Jan-8 Sep-8 May-9 Jan- Sep- May- Sep- May- Sep- May- Jan- -6 days 6-9 days 9+ days (%) Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Non-Bank Originators SPIN %.%.% Sep-97 May-98 Jan-99 Sep-99 May- Jan- Sep- May- Jan- Sep- May- Jan- Sep- Major Banks Regional Banks Other Banks Non-Bank Financial Inst. Non-Bank Originators Prime SPIN (%) May-6 Jan-7 Sep-7 May-8 Jan-9 Sep-9 May- Sep- Oct- Nov- Dec- Jan- Feb- Major Banks Regional Banks Other Banks Non-Bank Financial Institutions Non-Bank Originators Prime SPIN Jan- Sep- May- Sep- May- Jan- Sep- Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover.

7 RMBS Performance Watch Australia at February 9, By Year Of Issuance.%.% 9 No deals were issued in 9 for Australia Prime 6.%.% No deals were issued in for Australia Prime 6.%.% Mar-9 Sep-9 Mar- Sep- Mar- Sep- Mar- Sep- Mar- Sep- Mar- Sep- Mar- Sep- Jan- Jul- Jan- Jul- Jul- Jul- Jan- Jul- Jan- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days 6 6.%.%.% No deals were issued in for Australia Prime.% No deals were issued in for Australia Prime.%.% Feb- Aug- Feb- Aug- Feb- Aug- Feb- Aug- Feb- Aug- Feb- Feb- Aug- Feb- Aug- Feb- Aug- Feb- Aug- Feb- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days 6 6.%.%.%.% No deals were issued in for Australia Prime.%.% No deals were issued in for Australia Prime Feb- Aug- Feb- Aug- Feb- Aug- Feb- Feb- Aug- Feb- Aug- Feb- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days 6 6.%.%.% No deals were issued in for Australia Prime.%.%.% No deals were issued in for Australia Prime Feb- Aug- Feb- Feb- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover. 6

8 RMBS Performance Watch Australia at February 9, Arrears Statistics - Non-Conforming Australia Non-Conforming Standard & Poor's Rating Services Mortgage Performance Index (SPIN) 8. 8.% %.. 8.%... Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr- Oct- Apr-6 Oct-6 Apr-7 Oct-7 Apr-8 Oct-8 Apr-9 Oct-9 Apr- Oct- Apr- Oct- Apr- Oct- (%)* -6 days 6-9 days 9+ days (Total current loan balance) Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- Feb- -6 days days days Non-Conforming SPIN Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover. 7

9 RMBS Performance Watch Australia Arrears Statistics - Non-Conforming By Year Of Issuance at February 9, 8.% 8.%.% No deals were issued in for Australia Non-Conforming.% No deals were issued in for Australia Non-Conforming 8.% 8.% Jul- Jul- May- Nov- May- Nov- May- Nov- May- Nov- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days 8.% 8.%.% No deals were issued in for Australia Non-Conforming.% No deals were issued in for Australia Non-Conforming 8.% 8.% Mar- Sep- Mar- Sep- Mar- Sep- Mar- Sep- Mar- Sep- -6 days 6-9 days 9+ days -6 days 6-9 days 9+ days 8.%.% No deals were issued in for Australia Non-Conforming No deals were issued in for Australia Non-Conforming 8.% Apr- Oct- -6 days 6-9 days 9+ days Copyright Standard & Poor s Financial Services LLC, a part of McGraw Hill Financial. 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 inside back cover. 8

10 RMBS Arrears Statistics Australia at February 9, Under Standard & Poor s 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 of a 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 any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. 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