Announcement: Moody's updates transaction assumptions upon completion of performance review of Australian RMBS portfolioGlobal Credit Research - 01 Feb 2022Sydney, February 01, 2022 -- Moody's Investors Service, ("Moody's") has completed the performance review of the Australian residential mortgage backed securitisation ("RMBS") portfolio as part of its ongoing surveillance efforts. As part of this review, Moody's took rating actions on four prime and 20 non-conforming and near prime transactions. Out of these 24 transactions, Moody's reduced its expected loss assumption for 22 transactions and MILAN CE assumption for 16 transactions, based on better-than-expected performance and current collateral attributes."IMPORTANT NOTICE: MOODY'S RATINGS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS. SUCH USE WOULD BE RECKLESS AND INAPPROPRIATE. SEE FULL DISCLAIMERS BELOW."Overall, Australian RMBS collateral performance has been better than expected across transactions despite the economic disruption caused by the coronavirus pandemic. At the height of the disruptions, payment deferrals averaged 10% in prime transactions and 20% in non-conforming and near-prime transactions. The deferrals did not ultimately translate into material deterioration in collateral performance of the RMBS portfolio.Moody's expects solid Australian economic activity will support stable RMBS performance in 2022. Moody's forecasts Australian GDP will grow 3.3% and unemployment will decline to 4.8% in 2022 (for more information please refer to "Global economy will gain steadier footing although supply troubles, inflation pose risk" at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1304403 and "Structured Finance -- Australia 2022 Outlook" at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1303508).Furthermore, rising house prices will also continue to support performance of the outstanding RMBS transactions. House prices increased 21% on average across Australian capital cities in 2021.Average cumulative losses remain unchanged from a year ago at 0.0% (ranged between 0% and 0.02%) for the prime transactions and 0.04% (ranged between 0% and 0.36%) for the non-conforming and near-prime transactions, as of December 2021.Delinquencies remained relatively stable. Average 90+ days delinquencies were at 0.6% (ranged between 0.2% and 1.2%) in December 2021, compared to 0.6% in December 2020 for the prime transactions, and 2.2% (ranged between 0% and 12.8%) in December 2021 compared to 1.8% in December 2020 for the non-conforming and near-prime transactions.In addition to these positive trends, the portfolios have deleveraged quickly and continued to build up note subordination. Prepayment rates for the transactions averaged 37% in December 2021 compared to 28% in December 2020.Moody's reduced its expected loss assumption for three prime transactions by 27% on average and 19 non-conforming and near-prime transactions by 32% on average. Average expected loss for the prime transactions decreased to 0.1% from 0.2% as a percentage of the original balance (equivalent to a decrease to 0.3% from 0.4% as a percentage of the current balance). Average expected loss for non-conforming and near-prime transactions decreased to 1.0% from 1.4% as a percentage of the original balance (equivalent to a decrease to 1.8% from 2.2% as a percentage of the current balance).Moody's decreased its MILAN CE assumption for 16 non-conforming and near-prime transactions by 10% on average, based on current portfolio characteristics.Average MILAN CE for the four prime transactions was 4.6% (ranged between 4% and 6.3%), and for the 20 non-conforming and near-prime transactions was 10.5% (ranged between 6% and 26.4%)Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history. 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