This paper investigates the impact of securitisation and structural changes of the Australian mortgage market on bank pricing behaviour. Since the mid 1990s, securitisation has dramatically increased and thus intensified competition between banks and mortgage corporations (new entrants). To respond to the competition, banks largely reduced their mortgage interest rates. However, there is no study on what caused their price reductions. We present a simple model to explain potential factors that may affect bank behaviour. It is the first time to examine this issue from both perspectives of cost effects and market structural changes by testing four major bank data. It finds that lender yield spreads are significantly related to bank market share, existing and new loan concentration indexes, and securitisation respectively. Findings further indicate that declined concentration and increased competition have significantly caused lender spread changes. The findings are consistent with both securitisation literature (e.g., Gorton and Pennacchi, 1995; Kolari et al., 1998; Ambrose et al, 2004).) and price-concentration studies (e.g., Berger and Hannan, 1989).