Repo Eligible Securities and Haircuts

Summary of Acceptable Securities and Haircuts

Haircuts Updated: 03 September 2014

Effective Date: 10 November 2014

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Securities acceptable for Repurchase Transactions and as Margin or Equivalent Margin Securities

Rating

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

AA+

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 Bank RCD's (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 acceptable for Repurchase Transactions and as Margin or Equivalent Margin Securities

Rating

Haircut*

Maturity

< 3 yrs 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 (NZ$)

- Bonds

AAA

5%

8%

*Also applies as Margin Percentage for Margin Securities or Equivalent Margin Securities.

**The Reserve Bank will not accept securities from an institution where that institution is obliged to provide more than 50% of the liquidity provision.

***The Reserve Bank assumes 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, South Korea.

 

Securities approved by the RBNZ for Repurchase Transactions

Eligible Securities Updated: 23 November 2017

Eligible Securities spreadsheet (XLSX 86KB)

 

Notes:

The Reserve Bank will be willing to Purchase 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. The margin above OCR for any Purchase in excess of these thresholds will be determined by the Reserve Bank at the time.

Securities, with the exception of approved single name Residential Mortgage Backed Securities, will be eligible in the Reserve Bank's facilities provided they are not issued by either the counterparty or a related company of the counterparty.

The Reserve Bank reserves the right to apply a further haircut of 5% to a Security if there is no market price, no obvious method of estimating the market price or poor liquidity. This haircut of 5% does not apply to single name RMBS.

Buyer/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 transactions, only New Zealand dollar securities approved by the Reserve Bank and listed in the table above, may be used for Margin Securities and only New Zealand dollar 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 it's Net Exposure in respect of the other party is less than NZD 1million. Where a party delivers:

(i) Cash Margin, such amount shall be rounded up or down respectively to the nearest integral multiple of NZD10,000 (or the equivalent in that other currency at the Spot Rate).

(ii) Margin Securities or Equivalent Margin Securities in respect of a Margin Transfer, such 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 NZD10,000 (or the equivalent in that other currency at the Spot Rate).

Delivery period for margin calls shall be by 4:45pm of the Business Day on which the margin call was made, if the margin call was made before 2:00pm on that Business Day. If a margin call is made after 2:00pm on a Business Day the delivery period shall be 2:00pm on the following Business Day. Counterparties should refer to the Domestic Markets Operating Rules and Guidelines for further detail on New Zealand dollar transactions. In particular it should be noted that the Bank has specific rules around substitution of New Zealand dollar securities transacted via its open market operations.

Foreign Currency transactions

For counterparties who have signed up to an agreement with a USD base currency, a Margin Transfer to it under the Agreement if it's Net Exposure in respect of the other party is less than USD 500,000 (or the equivalent in that other currency at the Spot Rate). Where a party delivers:

(i) Cash Margin, such amount shall be rounded up or down respectively to the nearest integral multiple of USD10,000 (or the equivalent in that other currency at the Spot Rate).

(ii) Margin Securities or Equivalent Margin Securities in respect of a Margin Transfer, such 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 USD10,000 (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 margincalls@rbnz.govt.nz

Notice addresses for the Reserve Bank

The notice addresses for the Reserve Bank as per paragraph 14 of the 2011 Global Master Repurchase Agreement are as follows:

The Bank: Reserve Bank of New Zealand

SWIFT: RBNZN2WXXX

Telephone: 64 4 471 3918

Our facsimile: 64 4 471 3610 and 64 4 471 3800

Address: 2 The Terrace

Wellington

Persons authorised to receive notices

John Groom

Manager

Domestic Markets

Nathan Lewer

Manager

Payments and Settlements Services