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]