Eligible Securities and Haircuts for Domestic Markets Operations
Summary of Acceptable Securities and Haircuts
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Cover Factors Updated: 16 December 2008 |
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Effective Date: 23 December 2008 |
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Eligible Security |
Rating |
Cover Factor Maturity < 3 yrs ≥ 3 yrs |
|
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NZ Government |
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- Treasury bills |
AAA |
1% |
3% |
|
- Bonds |
|||
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- Inflation-Indexed Bonds |
|||
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Reserve Bank of New Zealand |
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- RB bills |
AAA* |
1% |
3% |
|
Acceptable Kauri issues (NZ$) |
AAA |
3% |
5% |
|
Bank Securities (NZ$) |
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- Bank bonds – NZ Registered Banks only |
AAA |
5% |
8% |
|
AA- to AA+ |
8% |
10% |
|
|
A- to A+ |
10% |
15% |
|
|
BBB- to BBB+ |
15% |
20% |
|
|
- NZ Registered Bank RCD’s (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
|
A-1 |
15% |
n/a |
|
|
A-2 |
20% |
n/a |
|
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Local Authorities (NZ$) |
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- Bonds |
AAA |
5% |
8% |
|
AA- to AA+ |
8% |
10% |
|
|
A- to A+ |
10% |
15% |
|
|
BBB- to BBB+ |
15% |
20% |
|
|
- Commercial paper (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
|
A-1 |
15% |
n/a |
|
|
A-2 |
20% |
n/a |
|
|
State Owned Enterprises (NZ$) |
|||
|
- Bonds |
AAA |
5% |
8% |
|
AA- to AA+ |
8% |
10% |
|
|
A- to A+ |
10% |
15% |
|
|
BBB- to BBB+ |
15% |
20% |
|
|
- Commercial paper (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
|
A-1 |
15% |
n/a |
|
|
A-2 |
20% |
n/a |
|
|
Corporate Securities (NZ$) |
|||
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- Bonds |
AAA |
5% |
8% |
|
AA- to AA+ |
8% |
10% |
|
|
A- to A+ |
10% |
15% |
|
|
BBB- to BBB+ |
15% |
20% |
|
|
- Commercial paper (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
|
A-1 |
15% |
n/a |
|
|
A-2 |
20% |
n/a |
|
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Securities guaranteed by NZ government |
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- NZ$ denominated |
AAA |
6% |
8% |
|
|
A-1+ |
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- Non NZ$ denominated** |
AA+ |
11% |
13% |
|
|
A-1+ |
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Securities issued/guaranteed by Foreign governments |
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- NZ$ denominated |
AA+ to AAA |
6% |
8% |
|
|
A-1+ |
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Asset Backed Securities (NZ$)*** |
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- Bonds |
AAA |
10% |
15% |
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- Commercial paper (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
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Residential Mortgage Backed Securities (RMBS) – NZ$ on a single name basis |
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- Bonds |
AAA |
19%**** |
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- Commercial paper |
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*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.
**Non-NZ$ denominated securities must be lodged in the RBNZ’s Euroclear account prior to payment of NZ$.
***The Reserve Bank will not accept securities from an institution where that institution is obliged to provide more than 50% of the liquidity provision.
****The Reserve Bank assumes these are not traded in the secondary market and no market price is available.
Notes:
The Reserve Bank will be willing to accept exposure on Residential Mortgage Backed Securities up to 2% of gross assets and on Bank Bills up to 2% of gross assets (as per the latest set of audited accounts) per institution at OCR + 50 basis points. The margin above OCR for any use beyond these thresholds will be determined by the Reserve Bank at the time.
Securities, with the exception of Residential Mortgage Backed Securities, will be eligible in the Reserve Bank’s operations provided they are not issued by either the counterparty or a related company.
The Reserve Bank reserves the right to apply a further margin of 5% if there is no market price, reasonable method of estimating the market price or poor liquidity. This margin of 5% does not apply to RMBS.
Eligible Securities approved by the RBNZ
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Eligible Securities Updated: 09 November 2009 |
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NZ Government
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
NZ Government |
AAA |
Treasury bills |
n/a |
All |
1% |
3% |
|
NZ Government |
Bonds |
6.00 6.50 6.00 6.00 6.00 |
15 Nov 2011 15 Apr 2013 15 Apr 2015 15 Dec 2017 15 May 2021 |
1% |
3% |
|
|
NZ Government |
Inflation-Indexed Bonds |
4.50 |
15 Feb 2016 |
1% |
3% |
|
Reserve Bank of New Zealand
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Reserve Bank of New Zealand |
AAA |
RB bills* |
n/a |
All |
1% |
3% |
*RB bills are technically unrated but for the purposes of Domestic Market Operations are treated as having the same rating as securities issued by the New Zealand Government.
NZ$ Kauri issues
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
African Development Bank |
AAA |
NZ$ MTN |
7.75 |
28 Feb 2013 |
3% |
5% |
|
N.V Bank Nederlandse Gemeenten |
NZ$ MTN NZ$ MTN |
7.75 7.27 |
27 Sep 2010 15 Dec 2017 |
3% |
5% |
|
|
Council of Europe Development Bank |
NZ$ MTN NZ$ MTN NZ$ MTN |
7.75 7.50 5.50 |
15 Nov 2011 30 Apr 2018 12 Jun 2014 |
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 NZ$ MTN |
7.50 6.25 |
15 Apr 2015 15 Dec 2017 |
3% |
5% |
|
|
International Bank for Reconstruction and Development |
NZ$ MTN NZ$ MTN NZ$ MTN |
7.50 7.0625 5.375 |
30 Jul 2014 16 Jul 2012 15 Dec 2014 |
3% |
5% |
|
|
International Finance Corporation |
NZ$ MTN NZ$ MTN |
7.75 6.25 |
23 Aug 2012 15 Dec 2017 |
3% |
5% |
|
|
Kommunalbanken Norway |
NZ$ MTN NZ$ MTN |
8.00 5.75 |
19 Oct 2010 03 Jul 2014 |
3% |
5% |
|
|
Municipality Finance PLC |
NZ$ MTN |
7.73 |
10 Jun 2011 |
3% |
5% |
|
|
Nordic Investment Bank |
NZ$ MTN NZ$ MTN |
7.75 7.50 |
13 Sep 2010 15 Apr 2015 |
3% |
5% |
|
|
Rentenbank |
NZ$ MTN NZ$ MTN NZ$ MTN NZ$ MTN |
7.75 6.69 7.485 5.59 |
15 Apr 2013 15 Nov 2011 15 Dec 2017 23 Sep 2014 |
3% |
5% |
|
NZ$ Bank Securities
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Rabobank Nederland New Zealand Branch |
AAA |
Fixed Rate Bonds |
7.675 7.65 6.32 |
03 May 2012 15 Aug 2011 04 Sep 2014 |
5% |
8% |
|
ANZ National Bank Limited |
AA- to AA+ |
Fixed Rate Bonds |
8.50 6.80 8.50 |
09 Jun 2010 17 Feb 2011 09 Jun 2014 |
8% |
10% |
|
Westpac New Zealand Limited |
Fixed Rate Bonds |
8.87 7.235 |
18 Apr 2011 19 Dec 2011 |
8% |
10% |
|
|
ASB Bank Limited |
Fixed Rate Bonds |
8.42 8.52 8.22 |
23 May 2011 16 Jul 2013 17 Sep 2014 |
8% |
10% |
|
|
Bank of New Zealand |
Fixed Rate Bonds |
7.50 7.50 7.50 8.56 8.675 |
15 Sep 2010 15 Sep 2011 15 Sep 2012 27 May 2013 27 May 2015 |
8% |
10% |
|
|
NZ Registered Banks |
A-1+ |
RCDs |
n/a |
< 365 days |
10% |
n/a |
NZ$ Local Authorities and State Owned Enterprises
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Greater Wellington Regional Council |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bond |
n/a 6.21 |
< 365 days 17 Feb 2012 |
10% 8% |
n/a 10% |
|
WRC Holdings Ltd |
A-1+ |
CP Programme |
n/a |
<365 days |
10% |
n/a |
|
Dunedin City Treasury Ltd |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bonds |
n/a 8.70 7.074 6.79 7.81 |
< 365 days 15 Apr 2011 15 Nov 2013 15 Nov 2016 15 Oct 2017 |
10% 8% |
n/a 10% |
|
Auckland City Council |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bonds |
n/a 7.42 8.50 8.37 6.42 8.42 6.65 |
< 365 days 15 Sep 2010 15 Nov 2011 15 Nov 2012 24 Mar 2014 15 May 2015 18 Feb 2019 |
10% 8% |
n/a 10% |
|
Transpower Finance Limited |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bonds |
n/a 7.00 6.95 |
< 365 days 15 Dec 2010 10 Jun 2020 |
10% 8% |
n/a 10% |
|
New Zealand Post Limited |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bonds |
n/a 7.10 |
< 365 days 15 Nov 2011 |
10% 8% |
n/a 10% |
|
Christchurch City Holdings Limited |
A-1+ |
CP Programme |
n/a |
< 365 days |
10% |
n/a |
|
Watercare Services Limited |
A-2 |
CP Programme |
n/a |
< 365 days |
20% |
n/a |
|
New Plymouth District Council |
A-1+ |
CP issue |
n/a |
23 Oct 2009 |
10% |
n/a |
NZ$ Corporate
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Toyota Finance New Zealand Ltd |
A-1+ AA- to AA+ |
CP Programme Fixed Rate Bonds |
n/a 7.71 7.34 |
< 365 days 15 Mar 2010 05 Aug 2011 |
10% 8% |
n/a 10% |
|
GE Capital New Zealand Funding |
A-1+ |
CP Programme |
n/a |
< 365 days |
10% |
n/a |
|
Fonterra Co-operative Group Ltd |
A-1 A- to A+ |
CP Programme Fixed Rate Bonds |
n/a 6.64 6.86 |
< 365 days 21 Apr 2011 21 Apr 2014 |
15% 10% |
n/a 15% |
|
TCNZ Finance Ltd |
A-2 |
CP Programme |
n/a |
< 365 days |
20% |
n/a |
NZ$ Securities guaranteed by NZ Government
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Bank of New Zealand |
AAA |
Fixed Rate Bond |
4.775 |
20 Feb 2014 |
6% |
8% |
|
Westpac New Zealand Ltd |
AAA |
Fixed Rate Bond |
5.735 |
22 Jul 2014 |
6% |
8% |
NZ$ Securities issued/guaranteed by Foreign Governments
Approved countries: Australia.
Note: Individual issues need to be approved by the RBNZ – refer application criteria on the RBNZ website http://www.rbnz.govt.nz/finmarkets/domesticmarkets/3658233.html.
|
Issuer |
Country |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
|
|
|
|
|
|
6% |
8% |
NZ$ Asset Backed Securities
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
|
Marac Finance Ltd – Marac ABCP Trust 1 |
A-1+ |
CP Programme |
n/a |
< 365 days |
15% |
n/a |
|
Fisher & Paykel Financial Services Ltd – RFS Trust 2006-1 |
A-1+ |
CP Programme |
n/a |
< 365 days |
15% |
n/a |
|
Speirs Securities Ltd |
A-1+ |
CP Programme |
n/a |
< 365 days |
15% |
n/a |
NZ$ Residential Mortgage Backed Securities
|
Issuer |
Rating |
Instrument |
Coupon |
Maturity Date |
Cover Factor < 3 yrs ≥ 3 yrs |
|
ANZ National Bank Ltd – Kingfisher NZ 2008-1 |
AAA |
CP (Class A1 & A2) Floating Rate Notes (Class B1 and B2) |
n/a n/a |
< 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% |
|
|
Southland Building Society – SBS Oreti Trust |
Floating Rate Notes (Tranche 1) |
n/a |
15 Jun 2038 |
19% |
|
|
Southland Building Society – SBS Oreti Trust Series 09-1 |
Floating Rate Notes (Tranche 1) |
n/a |
31 Mar 2050 |
19% |
|
|
ASB Bank Ltd – Medallion NZ Trust Series 2009-1R |
Floating Rate Notes (Class A) |
n/a |
15 Apr 2050 |
19% |
|
|
Kiwibank – Kiwibank RMBS Trust Series 2009-1 |
Floating Rate Notes (Class A) |
n/a |
15 Jul 2050 |
19% |
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: Address: |
RBNZNZ2W 64 4 471 3964 2 The Terrace |
Persons authorised to receive notices:
|
John Groom Manager Domestic Markets |
Jaimee Taylor Team Leader Settlements |
