Figures I have been quoted are 15% in the US, < 1% in Australia.The Australian equivalent of the US sub-prime makes up less than 5% of the Australian market whilst in the US I believe it's over 20% of the market place.
There are two major differences from a lenders point of view between business in US & Australia:
a. The majority of Australian home loans make a loss for the lender. 80% of mortgage debt sold by major banks is a loss leading exercise, to leverage cross selling opportunities with insurance, credit cards, etc. It establishes highly profitable clients with a relationship with the bank. Fixed rate loans are almost all loss leaders, as they are harder to break and average loan terms are greater.
Even profitable loans take almost 2 years before breakeven & profitability.
b. Australia does not have ARMs or 50 year loan terms (I belive some small lenders have introduced a 40 year loan term, however this is a tiny portion of the market).
The major impact of the sub-prime crisis in the US will be indirect - via funding difficulties forcing some lenders to raise rates (and in at least one lender's case already, capping max LVR limits at 95% inclusive of MI charges).
Even prime loans are becoming more costly, as the securitisation methods employed by lenders in the US are non-discriminatory: the bond ratings are linked to order of default, not credit quality.