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Domestic markets

Repo eligible securities and haircuts

This page provides a summary of securities approved for repurchase transactions, their rating and haircut for their respective maturities.

Published date:
Last modified date:

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        
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

Updated 4 August 2022

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.

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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