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Eligible Securities and Haircuts for Domestic Markets Operations

Summary of Acceptable Securities and Haircuts

Cover Factors Updated: 28 August 2008

Effective Date: 28 August 2008

Rating

Eligible Security

Cover Factor

Maturity

< 3 years 3 years

AAA

NZ Government

- Treasury bills

- Bonds

- Inflation-Indexed Bonds

Reserve Bank of New Zealand

- RB bills*

1%

3%

Acceptable Kauri issues (NZ$)

3%

5%

Bank paper (NZ$) - NZ Registered Banks only

Local Authorities (NZ$)

State Owned Enterprises (NZ$)

Corporate Paper (NZ$)

8%

10%

Residential Mortgage Backed Securities (RMBS) (NZ$)

19%**

AA- to AA+

Bank paper (NZ$) - NZ Registered Banks only

Local Authorities (NZ$)

State Owned Enterprises (NZ$)

10%

15%

BBB to A+

NZ Registered Bank RCD’s

(Maturity date less than 365 days)

10%

15%

*RB bills are technically unrated but for the purposes of Domestic Market Operations are treated as having the same rating as securities issued by the New Zealand Government.

**The Reserve Bank assumes these are not traded in the secondary market and no market price is available. These securities will not be acceptable in the Reserve Bank’s Domestic Market operations until 31 July 2008.

Notes:

The Reserve Bank will be willing to accept exposure on Residential Mortgage Backed Securities up to 2% of gross assets and on Bank Bills up to 2% of gross assets (as per the latest set of audited accounts) per institution at OCR + 50 basis points. The margin above OCR for any use beyond these thresholds will be determined by the Reserve Bank at the time.

Securities, with the exception of Residential Mortgage Backed Securities, will be eligible in the Reserve Bank’s operations provided they are not issued by either the counterparty or a related company.

Eligible Securities approved by the RBNZ

Eligible Securities Updated: 18 November 2008


NZ Government

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

NZ Government

Treasury bills

n/a

All

1%

3%

NZ Government

Bonds

6.00

7.00

6.00

6.50

6.00

6.00

15 Jul 2008

15 Jul 2009

15 Nov 2011

15 Apr 2013

15 Apr 2015

15 Dec 2017

1%

3%

NZ Government

Inflation-Indexed Bonds

4.50

15 Feb 2016

1%

3%

Reserve Bank of New Zealand

RB bills*

n/a

All

1%

3%

*RB bills are technically unrated but for the purposes of Domestic Market Operations are treated as having the same rating as securities issued by the New Zealand Government.

NZ$ Kauri issues

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

African Development Bank

NZ$ MTN

7.75

28 Feb 2013

3%

5%

N.V Bank Nederlandse Gemeenten

NZ$ MTN

NZ$ MTN

NZ$ MTN

7.75

8.00

7.27

27 Sep 2010

15 Jun 2009

15 Dec 2017

3%

5%

Council of Europe Development Bank

NZ$ MTN

NZ$ MTN

7.75

7.50

15 Nov 2011

30 Apr 2018

3%

5%

Eurofima

NZ$ MTN

7.125

22 May 2013

3%

5%

European Investment Bank

NZ$ MTN

NZ$ MTN

7.75

7.50

31 Jul 2012

15 Dec 2017

3%

5%

Export Development Canada

NZ$ MTN

8.125

7.50

30 Nov 2010

23 Jun 2011

3%

5%

Inter-American Development Bank

NZ$ MTN

7.50

15 Apr 2015

3%

5%

International Bank for Reconstruction and Development

NZ$ MTN

NZ$ MTN

7.50

7.0625

30 Jul 2014

16 Jul 2012

3%

5%

International Finance Corporation

NZ$ MTN

7.75

23 Aug 2012

3%

5%

Kommunalbanken Norway

NZ$ MTN

8.00

19 Oct 2010

3%

5%

Municipality Finance PLC

NZ$ MTN

7.73

10 June 2011

3%

5%

Nordic Investment Bank

NZ$ MTN

NZ$ MTN

7.75

7.50

13 Sep 2010

15 Apr 2015

3%

5%

Queensland Treasury Corporation

NZ$ MTN

7.125

18 Sep 2017

3%

5%

Rentenbank

NZ$ MTN

NZ$ MTN

NZ$ MTN

7.75

6.69

7.485

15 Apr 2013

15 Nov 2011

15 Dec 2017

3%

5%

NZ$ Corporate

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

Toyota Finance New Zealand Ltd

CP Programme

Fixed Rate Bonds

n/a

6.83

7.19

7.71

7.34

Less than 365 days

16 Feb 2009

15 Jul 2009

15 Mar 2010

05 Aug 2011

8%

10%

GE Capital New Zealand Funding

CP Programme

n/a

Less than 365 days

8%

10%





8%

10%

NZ$ Residential Mortgage Backed Securities

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

ANZ National Bank Ltd –

Kingfisher NZ 2008-1

CP (Class A)

Floating Rate Notes (Class B)

n/a

n/a

Less than 365 days

19-Apr-2045

19%

Westpac New Zealand Ltd –

Westpac NZ Securitisation Ltd

Floating Rate Notes

(Class A1)

n/a

28-Feb-2049

19%

Bank of New Zealand –

BNZ RMBS Trust Series 2008-1

Floating Rate Notes

(Class A)

n/a

31-Dec-2049

19%





19%





19%

NZ$ Local Authorities and State Owned Enterprises

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

New Plymouth District Council

CP

n/a

23 Oct 2008

8%

10%





8%

10%





8%

10%

NZ$ Bank paper

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AAA

NZ Registered Banks

RCD’s

n/a

Less than 365 days

8%

10%

Rabobank Nederland New Zealand Branch

Fixed Rate Bonds

7.675

7.65

03 May 2012

15 Aug 2011

8%

10%





8%

10%

NZ$ Local Authorities and State Owned Enterprises

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AA- to AA+

Greater Wellington Regional Council

CP Programme

n/a

Less than 365 days

10%

15%

Dunedin City Treasury Ltd

CP Programme

Fixed Rate Bonds

n/a

8.70

7.074

6.79

7.81

Less than 365 days

15 Apr 2011

15 Nov 2013

15 Nov 2016

15 Oct 2017

10%

15%

Auckland City Council

CP Programme

Fixed Rate Bonds

n/a

7.42

8.50

8.37

8.42

Less than 365 days

15 Sep 2010

15 Nov 2011

15 Nov 2012

15 May 2015

10%

15%

Transpower Finance Limited

CP Programme

Fixed Rate Bonds

n/a

7.00

6.95

Less than 365 days

15 Dec 2010

10 Jun 2020

10%

15%

New Zealand Post Limited

CP Programme

Fixed Rate Bonds

n/a

6.48

7.10

Less than 365 days

15 Apr 2009

15 Nov 2011

10%

15%

NZ$ Bank paper

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

AA- to AA+

NZ Registered Banks

RCD’s

n/a

Less than 365 days

10%

15%


ANZ National Bank Limited

Fixed Rate Bonds

6.82

8.50

6.80

8.50

17 Feb 2009

09 Jun 2010

17 Feb 2011

09 Jun 2014

10%

15%


Westpac New Zealand Limited

Fixed Rate Bonds

8.87

7.235

18 Apr 2011

19 Dec 2011

10%

15%


ASB Bank Limited

Fixed Rate Bonds

8.42

8.52

8.22

23 May 2011

16 Jul 2013

17 Sep 2014

10%

15%


Bank of New Zealand

Fixed Rate Bonds

7.50

7.50

7.50

7.50

8.56

8.675

15 Sep 2009

15 Sep 2010

15 Sep 2011

15 Sep 2012

27 May 2013

27 May 2015

10%

15%

NZ$ Bank paper

Rating

Issuer

Instrument

Coupon

Maturity Date

Cover Factor

< 3 years 3 years

BBB to A+

NZ Registered Banks

RCDs

n/a

Less than 365 days

10%

15%

Buyer/Seller margins for repurchase transactions

Reverse Repo transactions

Under clause 7 of the Master Repurchase Agreement (MRA), the Buyer has the right to make a margin call when the value of securities falls by 1% or more than from the starting valuation (plus haircut) of the repurchase price (on an aggregate basis). The value of the margin call is such that the cover (ie starting value calculated using haircuts outlined above) is restored.

Under clause 7 of the MRA, the Seller has the right to make a margin call when the value of securities rises by 2% or more of the starting valuation (plus haircut) of the repurchase price (on an aggregate basis). The value of the margin call is such that the cover (ie starting value calculated using haircuts outlined above) is restored.

Repo transactions

Under clause 7 of the MRA, the Buyer has the right to make a margin call when the value of securities falls by 2% or more than from the starting valuation (plus haircut) of the repurchase price (on an aggregate basis). The value of the margin call is such that the cover (ie starting value calculated using haircuts outlined above) is restored.

Under clause 7 of the MRA, the Seller has the right to make a margin call when the value of securities rises by 1% or more of the starting valuation (plus haircut) of the repurchase price (on an aggregate basis). The value of the margin call is such that the cover (ie starting value calculated using haircuts outlined above) is restored.

Notice addresses for the Reserve Bank

The notice addresses for the Reserve Bank as per clause 17.1 of the Master Repurchase Agreement are as follows:

The Bank: Reserve Bank of New Zealand

SWIFT:

Telephone:
Our facsimile:

Address:

RBNZNZ2W
64 4 472 0074

64 4 471 3964

2 The Terrace
Wellington

Persons authorised to receive notices:

John Groom

Manager

Domestic Markets

Jaimee Taylor

Team Leader

Settlements