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 – BBSW Fallbacks in Eligible Securities

The Reserve Bank has amended the eligibility criteria for securities accepted in domestic market operations. See Robust Fallbacks Required for BBSW Securities for a summary.

All floating rate notes (FRNs) and marketed asset-backed securities issued on or after 1 December 2022, where BBSW is the relevant interest rate for the purposes of calculating coupons, must meet the following criteria in order to be eligible for purchase by the Reserve Bank under repo:

  • Include at least one ‘robust’ and ‘reasonable and fair’ fallback for BBSW in the event that it permanently ceases to exist.
  • A ‘robust’ fallback is one that clearly specifies the method for the calculation of interest that would apply for the purposes of calculating coupon payments. The fallback must also specify a clear and unambiguous trigger event after which the fallback would apply. Acceptable fallbacks would include those that reference AONIA (including AONIA plus or minus a fixed spread). Fallbacks that reference another benchmark interest rate may also be accepted at the Reserve Bank's discretion. A fallback waterfall may additionally include a fallback to a reference rate that might exist in the future, for example forward-looking term AONIA, subject to it being declared a significant financial benchmark by ASIC at the time the fallback is triggered.
  • A ‘reasonable and fair’ fallback is one that reasonably mitigates the impact on the economic value of the security in the event the fallback is invoked. A fixed-rate fallback would not be considered reasonable and fair for the purposes of these criteria.
  • The robust and reasonable and fair fallback(s) must sit above any other fallbacks that rely on collecting dealer quotes, or on discretion – whether by the issuer, the calculation agent, or any other related or third party – in the fallback waterfall.
  • Include a fallback to apply in the case that BBSW is not available, in the case where it has not permanently ceased. This fallback must: clearly specify the method for determining the interest that would apply for the purposes of calculating coupon payments; and specify a clear and unambiguous trigger event after which the fallback would apply. An example of an acceptable fallback structure is that provided for the ‘No Index Cessation Effective Date with respect to BBSW’ circumstance in the 2020 ISDA IBOR Fallbacks Supplement. A fallback relying on collecting dealer quotes, or on discretion by the issuer, the calculation agent, or any other party related to the security must not sit at the top of the fallback waterfall.

All self-securitisations, regardless of the date of issue, will also be required to include at least one robust and reasonable and fair fallback in order to be eligible. The Reserve Bank will engage with self-securitisation issuers and give at least 12 months' notice before enforcing this requirement.

FRNs and marketed asset-backed securities issued before 1 December 2022 will not be subject to this requirement for eligibility. Nevertheless, the inclusion of robust and reasonable and fair fallbacks for such securities, depending on their length of time to maturity, is recommended as a matter of prudent risk management.

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

Risk & Compliance Department
Reserve Bank of Australia
13 September 2021

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 https://www.rba.gov.au/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.