Summary of acceptable securities and haircuts
Haircuts updated: 23 February 2021
Effective date: 23 February 2021
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| Securities acceptable for repurchase transactions and as margin or equivalent margin securities | Rating | Haircut* maturity | Haircut* maturity | Haircut* maturity |
|---|---|---|---|---|
| 0 ≤ 1yr | 1– 5 yrs | ≥ 5 yrs |
||
| NZ government | ||||
| Treasury bills | AA+ |
1% |
2% |
3% |
| Bonds | ||||
| Inflation-indexed bonds | ||||
| Green bonds | ||||
| Reserve Bank of New Zealand | ||||
| RB bills | 1% |
2% |
n/a |
|
| New Zealand Local Government Funding Agency Limited | ||||
| Bonds | AAA |
3% |
4% |
5% |
| Bills | A-1+ |
3% |
- | - |
| Acceptable Kauri issues (NZ$)**** | ||||
| Liquidity Category 1 Country | AAA |
3% |
4% |
5% |
| AA- to AA+ |
6% |
7% |
8% |
|
| Liquidity Category 2 Country | AAA |
4% |
5% |
6% |
| AA- to AA+ |
7% |
8% |
9% |
|
| Bank securities (NZ$) | ||||
| Bank bonds – NZ registered banks only | AAA |
5% | 6% |
8% |
| AA- to AA+ |
8% |
9% |
10% |
|
| A- to A+ |
10% |
12% |
15% |
|
| BBB- to BBB+ |
15% |
17% |
20% |
|
| NZ registered banks RCDs/CPs (maturity date less than 365 days) | A-1 and above |
10% |
n/a |
n/a |
| A-2 |
20% |
n/a |
n/a | |
| Local authorities (NZ$) | ||||
| Bonds | AAA |
3% |
4% |
5% |
| AA- to AA+ |
6% |
7% |
8% |
|
| A- to A+ |
10% |
12% |
15% |
|
| BBB- to BBB+ |
15% |
17% |
20% |
|
| Commercial paper (maturity date less than 365 days) | A-1 and above |
6% |
n/a |
n/a |
| A-2 |
15% |
n/a |
n/a |
|
| State-owned enterprises (NZ$) | ||||
| Bonds | AAA |
5% |
6% |
8% |
| AA- to AA+ |
8% |
9% |
10% |
|
| A- to A+ |
10% |
12% |
15% |
|
| BBB- to BBB+ |
15% |
17% |
20% |
|
| Commercial paper (maturity date less than 365 days) | A-1 and above |
10% |
n/a |
n/a |
| A-2 |
20% |
n/a |
n/a |
|
| Corporate securities (NZ$) | ||||
| Bonds | AAA |
5% |
6% | 8% |
| AA- to AA+ |
8% |
9% |
10% |
|
| A- to A+ |
10% |
12% |
15% |
|
| BBB- to BBB+ |
15% |
17% |
20% |
|
| Commercial paper (maturity date less than 365 days) | A-1 and above |
10% |
n/a |
n/a |
| A-2 |
20% |
n/a |
n/a |
|
| Securities issued/guaranteed by foreign governments | ||||
| NZ$ denominated | AA+ to AAA |
6% |
7% |
8% |
| A-1+ |
| Securities accepted for repurchase transactions and as margin or equivalent margin securities | Rating | Haircut* maturity |
Haircut* maturity |
|---|---|---|---|
| < 3 years | ≥ 3 yrs | ||
| Asset backed securities (NZ$)** | |||
| Bonds |
AAA |
10% |
15% |
| Commercial paper (maturity date less than 365 days) |
A-1+ |
10% |
n/a |
| Residential mortgage backed securities (RMBS) – NZ$ on a single name basis |
|||
| Bonds |
AAA/A-1+ |
19%*** |
|
| Commercial paper |
|||
| Residential mortgage backed securities (RMBS) – NZ$ on a two name basis |
|||
| Bonds |
AAA/A-1+ |
5% |
8% |
| Commercial paper |
|||
| Covered bonds |
|||
| Bonds |
AAA |
5% |
8% |
Table legend
*Also applies as margin percentage for margin securities or equivalent margin securities. For eligible securities where two credit ratings are required, the haircut will be determined by reference to the second highest available credit rating from an acceptable ratings agency. For eligible securities where one credit rating is required, the haircut will be determined by reference to the highest available credit rating from an acceptable ratings agency.
**We won't accept securities from an institution that is obliged to provide more than 50% of the liquidity provision.
***We assume these are not traded in the secondary market and no market price is available.
****Kauri authorised jurisdictions: Liquidity Category 1 – Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Japan, Luxembourg, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and United States; Liquidity Category 2 – Czech Republic, Hong Kong, Ireland, Malta, Spain and South Korea.
Securities we have approved for repurchase transactions
We reserve the right to update our haircuts at any time. This includes a possible additional haircut of 5% to securities with:
- no market price
- no obvious method of estimating the market price
- poor liquidity.
This haircut of 5% does not apply to single-name residential mortgage-backed securities (RMBS).
Notes to the table
We will buy residential mortgage-backed securities up to the value of 2% of the value of the gross assets of the holder and, on bank bills, up to 2% of gross assets (gross assets are per the latest set of audited accounts of the holder) per institution at a pricing rate of OCR + 50 basis points.
We will determine the margin above OCR for any purchase in excess of these thresholds at the time.
Securities, with the exception of approved, single-name residential mortgage-backed securities, will be eligible in our facilities provided they are not issued by either the counterparty or a related company of the counterparty.
Buyer and seller margins for repurchase transactions
As provided under paragraph 2(e) of Annex I to the 2011 Global Master Repurchase Agreement (GMRA), the cash margin shall be paid in, or the margin securities to be transferred shall be denominated in, the contractual currency of the transactions in which the party liable to make the margin transfer has the greatest transaction exposures to the party entitled to receive the margin transfer.
For New Zealand dollar (NZD) transactions, only NZD securities we have approved and listed in the table above may be used for margin securities, and only NZD cash is acceptable as cash margin. For foreign currency transactions only, government securities and cash are eligible.
New Zealand dollar transactions
For counterparties who have signed up to an agreement with NZD-base currency, neither party may require a margin transfer to it under the agreement if its net exposure in respect of the other party is less than NZ$1 million. Where a party delivers:
- cash margin, such amount shall be rounded up or down respectively to the nearest integral multiple of NZ$10,000 (or the equivalent in that other currency at the Spot Rate)
- margin securities or equivalent margin securities for a margin transfer, the delivery shall be in an amount equal to an integral multiple of the minimum lot size and rounded up or down respectively to the nearest integral multiple of NZ$10,000 (or the equivalent in that other currency at the spot rate).
Delivery period for margin calls
- 4:45pm of the business day on which the margin call was made, if the call was made before 2pm
- 2pm on the following business day for margin calls made after 2pm.
Counterparties should refer to the operating rules and guidelines for domestic markets for more detail on NZD transactions, particularly the specific rules for substituting NZD securities transacted via our open market operations.
Operating rules and guidelines for domestic markets
Foreign currency transactions
For counterparties who have signed up to an agreement with a USD-base currency, neither party may require a margin transfer to it under the agreement if its net exposure in respect of the other party is less than US$500,000 (or the equivalent in that other currency at the spot rate). Where a party delivers:
- cash margin, such amount shall be rounded up or down respectively to the nearest integral multiple of US$10,000 (or the equivalent in that other currency at the spot rate)
- margin securities or equivalent margin securities in respect of a margin transfer, delivery shall be in an amount that is equal to an integral multiple of the minimum lot size and rounded up or down respectively to the nearest integral multiple of US$10,000 (or the equivalent in that other currency at the spot rate).
Delivery period for margin calls to be: two business days unless otherwise agreed.
Counterparties should email margin requests to [email protected]
Address for notices
Our address for notices (as per paragraph 14 of the 2011 Global Master Repurchase Agreement) is:
Reserve Bank of New Zealand
SWIFT: RBNZN2WXXX
Telephone: + 64 4 471 3918
Facsimile: + 64 4 471 3610 and + 64 4 471 3800
Address: 2 The Terrace, Wellington
Persons authorised to receive notices
Dean Hill, Manager, Market Operations