Welcome to the RBA Securitisations Industry Forum

The RBA Securitisations Industry Forum has been set up to facilitate communication between the RBA and information providers to help ensure a smooth transition to the RBA's new repo eligibility criteria for asset-backed securities.

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RBA Market Advice – Changes to Margin Arrangements for ABS Interest Rate Swap Providers

The RBA has amended the margin arrangements for asset-backed securities (ABS) where RBA counterparties are ‘related’ to securities provided as collateral. The amendment is to the additional discount (i.e. haircut) applied to ABS when the counterparty provides an interest rate swap to the ABS trust.

Previously, a flat 3 per cent additional discount applied where the notional principal of the interest rate swap was less than or equal to 25 per cent of the value of the collateral pool. Where the share was greater than 25 per cent, no value was attributed to the proportion of the interest rate swap greater than 25 per cent.

Effective from 27 April, the additional discount will increase linearly, from 0 to 6 per cent, up to a share of 50 per cent of the value of the collateral pool. Where the share is greater than 50 per cent, no value will be attributed to the proportion of the interest rate swap greater than 50 per cent.

Table 1: Additional Discounts to the Market Value of ABS
for Interest Rate Swap Counterparties
Notional swap principal as a share of the value of the collateral pool Percentage points
Previous policy
≤25 per cent 3
>25 per cent
3 + ( N o t i o n a l s w a p p r i n c i p a l C o l l a t e r a l p o o l ) × 100 25 MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshaaeqaaOGaeyypa0JaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0oaabmaabaGaaGymaiabgUcaRmaalaaabaGaam4qaiaadggacaWGZbGaamiAaiaaykW7caWGsbGaamyyaiaadshacaWGLbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0kaadsgaaeaacaaIZaGaaGOnaiaaiwdacqGHxdaTcaaIXaGaaGimaiaaicdaaaaacaGLOaGaayzkaaaaaa@5ABC@
New policy
≤50 per cent
6 50 × ( N o t i o n a l s w a p p r i n c i p a l C o l l a t e r a l p o o l ) × 100 MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshaaeqaaOGaeyypa0JaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0oaabmaabaGaaGymaiabgUcaRmaalaaabaGaam4qaiaadggacaWGZbGaamiAaiaaykW7caWGsbGaamyyaiaadshacaWGLbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0kaadsgaaeaacaaIZaGaaGOnaiaaiwdacqGHxdaTcaaIXaGaaGimaiaaicdaaaaacaGLOaGaayzkaaaaaa@5ABC@
>50 per cent
6 + ( N o t i o n a l s w a p p r i n c i p a l C o l l a t e r a l p o o l ) × 100 50 MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshaaeqaaOGaeyypa0JaamivaiaadkfacaWGjbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0oaabmaabaGaaGymaiabgUcaRmaalaaabaGaam4qaiaadggacaWGZbGaamiAaiaaykW7caWGsbGaamyyaiaadshacaWGLbWaaSbaaSqaaiaadshacqGHsislcaWGKbaabeaakiabgEna0kaadsgaaeaacaaIZaGaaGOnaiaaiwdacqGHxdaTcaaIXaGaaGimaiaaicdaaaaacaGLOaGaayzkaaaaaa@5ABC@
Table 2: Effect of Policy Change
Interest Rate Swap Notional Value Share of Pool
per cent
Additional Discount Previous Policy
per cent
Additional Discount New Policy
per cent
Change on Implementation
percentage points
10 3 1.2 −1.8
15 3 1.8 −1.2
20 3 2.4 −0.6
25 3 3.0 0.0
30 8 3.6 −4.4
40 18 4.8 −13.2
50 28 6.0 −22.0
75 53 31.0 −22.0
100 78 56.0 −22.0

For more details, please see http://www.cybersilva.com/mkt-operations/resources/tech-notes/margin-ratios.html, or contact the Eligible Securities Team: eligible_securities@rba.gov.au.

Risk & Compliance Department
Reserve Bank of Australia
24 April 2020

RBA Market Advice – Reporting loans with COVID-19 repayment deferrals

Some securitised loans may have been granted repayment deferrals relating to the COVID-19 pandemic. For reporting loan-level data to the Securitisation System, issuers should follow the Australian Prudential Regulation Authority's (APRA's) approach to COVID-19 support. That is, issuers need not treat repayment holidays or deferrals as arrears or restructuring in this case.

This is consistent with the Bank's existing guidance on loan-level reporting, which provides that a loan should be flagged as performing where it is on or ahead of schedule according to the lender’s internal methodology. Beyond this, there is no requirement for loans with COVID-19 payment deferrals to be flagged in any special way in the Securitisation System.

For further information please contact the Eligible Securities Team at eligible_securities@rba.gov.au.

Risk & Compliance Department
Reserve Bank of Australia
9 April 2020

RBA Market Advice - Amendment to the margin band for ‘other’ asset-backed securities

The RBA has amended the margin band that applies to new repo-eligible other asset-backed securities (ABS). The margin band is now 15 – 40 per cent (previously 15 – 20 per cent) for all residual maturities. The margin on existing eligible securities are not affected by this change. There is no change to the repo eligibility criteria for ABS.

The margin applied within this band depends on the seniority and structure of the security. Unsubordinated tranches from less structured securities will generally receive the lowest margin within the margin band. Subordinated tranches will receive higher margins. Securities that are more structured will also receive higher margins. The actual margin applied is available on request.

Other ABS includes securities backed by assets other than residential mortgages as well as securities backed by residential mortgages where less than 90 per cent of the value of the collateral pool held by the issuing trust comprises domestic, full-doc, insurable residential mortgages.

The amended margin band is available on the RBA's Margin Ratios page. For further information please contact the Eligible Securities Team at eligible_securities@rba.gov.au.

Risk & Compliance Department
Reserve Bank of Australia
23 March 2020

RBA Market Advice – Amendment to Ending Balance reporting requirement

The RBA has amended the Ending Balance reporting guidance for RMBS, CMBS and OABS effective immediately, in light of feedback from information providers. The resubmission deadline for updating the Ending Balance where the forecast falls outside of the acceptable range has been extended from the Report Date to within five business days of the Report Date.

Hence, a trust may submit ahead of the Report Date with a forecast for the collection account Ending Balance. However, if on the Report Date this forecast falls outside the acceptable range, the trust must resubmit within five business days.

There is no change to the requirement that a valid securitisation submission be made by the Report Date. Eligibility will be revoked where no submission has been received for an eligible trust by the Report Date.

The amended reporting guidance is available on Data to be Reported.

For further information please contact the Securitisation Support Centre at Securitisation Support Centre or call 1800 919 211.