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: Address: |
RBNZNZ2W 64 4 471 3964 2 The Terrace |
Persons authorised to receive notices:
|
John Groom Manager Domestic Markets |
Jaimee Taylor Team Leader Settlements |
