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Reserve Bank updates its RMBS repo-eligibility requirements

We have introduced additional requirements for repo-eligible Residential Mortgage-Backed Securities (RMBS). We will work with issuers to ensure a smooth transition to the new requirements, which are set out below.

Reporting requirements (effective 1 February 2021):

  • Cash flow reporting as prepared for the RMBS Trustee
  • Swap reporting as prepared for the RMBS Trustee
  • Financial reports of the issuing entity
  • Rating Agency Loan Level Data, which may be redacted to the extent which allows the submission to comply with New Zealand law.

Contingency plan (to be submitted by 1 December 2021 for existing transactions):

The contingency plan will note backup arrangements to parties to the RMBS issuer, should the current arrangement fail, or, contribute to the inability of the senior notes to retain a AAA rating. This contingency plan can be submitted in the format of your choosing, but must describe at the minimum: the backup to the counterparty involved in the transaction, a brief description of how the transition to the backup counterparty would occur, and an estimated timeframe for the transition. The following counterparties must be considered in the contingency plan at a minimum:

  • Servicer of the mortgages
  • Manager of the transaction
  • Account bank
  • Swap counterparty
  • Paying/calculation agent

In addition to the above, RMBS issuers are required to provide the bond factor of the pool three business days prior to a Rate Set Date, and are required to provide the all-in coupon rate for the payment period on the Rate Set Date. This information can be submitted via email to [email protected] and [email protected].

RMBS repo-eligibility requirements

For more information contact:

Dean Hill
Manager, Financial Markets
[email protected]

Media contact:

Patrick O’Meara
Senior Adviser External Stakeholders
Patrick.O’[email protected]