RMBS and mortgage stresses: Modelling the impacts of stress scenarios

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Australian household finances are under increasing pressure with monetary policy tightening and rising costs of living. This is testing the ability of mortgage holders to service their loans, which has implications for the housing market and the performance of residential mortgage-backed securities (RMBS). We anticipate that mortgage arrears and default rates will rise from their current levels and we have modelled various stress scenarios on rated notes in a recent prime RMBS transaction to assess the implications of this economic environment on these securities.

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Andrew Beales

Andrew is an Associate within the APAC Diversified Credit Team responsible for credit assessment, financial modelling and assisting in the management of Investment Processes. Andrew is currently focused on securitised credit products given his previous experience.

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