Media Release Finalisation of the Cash Flow Waterfall Template for Repo-Eligible Residential Mortgage Backed Securities (RMBS)

The Reserve Bank of Australia is today publishing the finalised Cash Flow Waterfall Reporting Template for Repo-Eligible RMBS. The template is one of four new reporting templates that will need to be completed for RMBS to be considered for eligibility for repurchase agreement (repo) with the Reserve Bank from 31 December 2014.

The Bank announced in October 2012 that it would introduce new criteria for the eligibility of RMBS in its operations. On 19 April 2013, after extensive consultation, the Bank published final templates covering security-, transaction- and loan-level information, and published for consultation a draft cash flow waterfall template. The consultation period on the cash flow waterfall template closed on 15 May 2013. The Bank received four submissions, which focused on compliance costs, external auditor validation, confidentiality and liability issues.

This Media Release and the accompanying documents are the Bank's response to the consultation. As explained in The RBA's Response to the Consultation on its Proposed RMBS Cash Flow Waterfall Reporting Template, a number of changes have been made in response to the submissions received during the consultation period:

  • The external audit requirement for the waterfall program will be removed
  • Certain commercially sensitive information will not be required to be made available in the publicly reported template, though this information will still need to be reported to the Reserve Bank
  • Certain small legacy RMBS and small self-securitised RMBS from those authorised deposit-taking institutions subject to APRA's Minimum Liquid Holdings framework will be exempt from the waterfall reporting requirement
  • Issuers will be able to include appropriate liability disclaimers with their publicly reported RMBS waterfalls.

The reporting format for the final cash flow waterfall template is unchanged – the cash flow waterfall of repo-eligible RMBS will be reported in the form of a Visual Basic for Applications program, included in a Microsoft Excel file with a pre-specified format.

To assist with the implementation of the template, the Reserve Bank will shortly publish a fully functioning example of the cash flow waterfall template. The Bank will release its draft templates for asset-backed securities other than RMBS by the end of September.


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Reserve Bank of Australia

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