Reserve Bank updates its RMBS repo eligibility requirements

The Reserve Bank has introduced additional requirements for repo-eligible Residential Mortgage-Backed Securities (RMBS). The Reserve Bank 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 3 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 e-mail to [email protected] and [email protected].

More information:

For more information contact:

Dean Hill
Manager, Financial Markets
[email protected]

Media contact:

Patrick O’Meara
Senior Adviser External Stakeholders
DDI: +64 4 474 8634 | MOB: +64 21 198 4227
Email: Patrick.O’[email protected]