The Australian Government still has around A$6 billion to invest to support the purchase of residential mortgage-backed securities, the Australian Office of Financial Management's annual report shows.The AOFM's annual report shows the Government's central borrowing authority invested $4.4 billion in RMBS last year, and has invested $14.4 billion since public sector support for this form of mortgage finance turned into public policy in late 2008. The AOFM's investments in mortgage-backed securities provided better returns in the 2011 financial year than the year before. Interest income in 2010/11 was $607 million, which represented an annualised return of 6.07 per cent on the average portfolio book value of $10 billion, the AOFM said. The AOFM's effective cost of funds over the year was 5.22 per cent. On the other hand, the AOFM recorded unrealised losses of about one per cent on its holdings of RMBS, taking into account the higher level of spreads in the secondary market on this class of securitiesThe AOFM argued in its annual report that its activities were contributing to the policy objective of diversifying sources of wholesale finance for mortgage providers, and also drawing more private investors into the market.It noted that the volume of Australian RMBS outstanding stabilised during 2010/11 at around $80 billion. The share of housing credit funded by securitisation also levelled out over the year at just below 10 per cent.On the AOFM's data, participation from other investors in RMBS averaged 23 per cent over the first half of 2009, from the inception of the policy of buying mortgage securities, though this soon increased to more than 80 per cent over the next two years, and to more than 90 per cent in the first half of 2011.While the RMBS market experienced something of a lull a couple of months ago, year-to-date issuance reached $23.2 billion, according to the DCM Review, and this is only just behind the 2010 total of $23.7 billion.Data obtained from the European Securitisation Forum shows that the Australian market is outperforming its European and American counterparts this year on a proportional basis. Taking 2007 as the last year of 'normal' securitisation issuance, Australian issuance is running at 42 per cent of its 2007 volume for the year to date.In Europe, issuance is at 40 per cent of the 2007 level, and in the US issuance stands at just 24 per cent.