Market Snapshot

The Australian Securitisation Forum, courtesy of Macquarie Debt Markets Research, is pleased to provide a snapshot of the Australian structured credit market. Key data is refreshed on a monthly basis.

30 November 2016



Securitised Issuance




Recent Securitised Issuance: Issued volumes for publicly placed RMBS, ABS, CMBS and small ticket CMBS by month.





Yearly Securitised Issuance: Issued volumes for publicly placed RMBS, ABS, CMBS and small ticket CMBS by year.




Yearly Securitised Issuance Non RMBS: Issued volumes for publicly placed RMBS, ABS, CMBS and small ticket CMBS by year.

 

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Residential Mortgage Backed Securities




Australian RMBS Issuance: Non-AUD volumes have been converted to AUD equivalent volumes using the exchange rate at the time of issue.




 RMBS Outstanding by Currency: Non-AUD outstanding volumes have been converted to AUD equivalent outstanding volumes using the exchange rate at the time of issue.




Average Revaluation Margins - RMBS: The lines comprise the simple average of all senior and subordinate Australian RMBS falling within a WAL window around two years (for senior, AAA or equivalent RMBS) and five years (for subordinate, AA band or equivalent RMBS). All ratings used are on the day ratings. It is important to note that nearly all rating actions with respect to prime Australian RMBS issues were due to changing criteria and were not due to underperforming collateral.




AOFM Investment in Australian RMBS: Australian Office of Financial Management (“AOFM”) investment in Australian RMBS compared with the balance of publicly issued RMBS by month.




RMBS Arrears Indices: Arrears for 31-60 days, 61-90 days and 91 plus days are calculated by Macquarie using publicly available data. The Standard and Poor’s Arrears Index (“SPIN”) is calculated by Standard and Poor’s and covers the universe of Australian RMBS rated by S&P. The outstanding balance of loans in arrears is calculated by Macquarie and is based on the universe of publicly issued Australian RMBS.




RMBS Average LVR and Average Seasoning: Data points are the simple averages of the weighted average LVRs (“loan to valuation ratios”) and weighted average seasoning for new issues in a given year.




Credit Support to Senior Notes: Data points are the simple average of the actual credit support to senior notes and the support required for a AAA rating as determined by S&P for those issues rated by S&P in a given year.




Australian RMBS New Issue and Revaluation Margins: Blue data points are issue margins for new primary issues of senior Australian RMBS. The red line is the average revaluation margin for two year Weighted Average Life (“WAL”) senior Australian RMBS. 



  
Average (Dynamic) Prime CPRs: Macquarie estimate of Conditional Prepayment Rates (“CPRs”) for publicly issued Australian RMBS.



  
The Australian 2yr AAA WAL Senior RMBS Total Index is a synthetic total return index based on Macquarie Bank's revaluations levels for 2yr WAL Senior AAA Australian RMBS. The index is not an investible index and is only intended to provide an indication of total returns and return volatility over time for Australian RMBS.

 

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Asset Backed Securities

  


Australian ABS Issuance: Non-AUD volumes have been converted to AUD equivalent volumes using the exchange rate at the time of issue.




Covered Bonds

 


 


 

 

 

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Disclaimer
This information has been prepared in good faith by Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie”) and is based on information obtained from sources believed to be reliable. However, Macquarie does not make any representation or warranty that it is accurate, complete or up to date. This information cannot be reproduced without permission.


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