Media Release Finalisation of New Eligibility Criteria for Residential Mortgage Backed Securities

In October 2012, the Reserve Bank announced that it would be introducing new criteria for eligibility of residential mortgage backed securities (RMBS) in its operations. This reflects the Bank's desire to receive more comprehensive and standardised information on the RMBS that are eligible under repurchase agreements (repo), and to promote broader transparency in the securitisation market. At that time, the Bank released, for comment, the reporting templates that issuers of RMBS will need to complete and make publicly available for their securities to be eligible for repo with the Bank (for details see Media Release 2012-31). The consultation period closed on 28 December 2012.

This Media Release, the two documents referred to below and annotated versions of the reporting templates outline the Bank's response to the submissions that were received. The main changes to the templates are outlined below.

Data Availability

The data must be made available either on a secure website managed by or on behalf of the information provider, or through a data warehouse with secure access and expertise in handling the new reporting requirements. The data should be available in a usable format and be free of charge. Only the most recent reports need to be made available.

Some changes have been made to the required loan-level data to address privacy concerns. In addition, information providers should restrict access to the loan-level data to those users who require it to evaluate the RMBS for investment purposes or for professional or academic research purposes; it is also recommended that information providers enter into agreements with permitted users that limit the purpose for which the data may be used.

Data providers may include reasonable disclaimers regarding data accuracy, however they should not be couched in a way that limits substantially the value of the information being provided and should not reduce, or purport to reduce, the representations and warranties that investors are entitled to rely on under the relevant transaction documents.

Pool Level Data

The Bank will no longer require completion of the pool-level template. This reflects the fact that stratified pool-level data are available in the information memorandums for each securitisation. A small number of pool-level data fields which are of interest to the Bank have been relocated to the transaction-level template.

Cash Flow Waterfall

Based on information acquired through the consultation process, the Bank is adding a requirement for information providers to supply a cash flow ‘waterfall’ in Visual Basic for Applications (VBA) language. This requirement maps information from the Information Memorandum to a more user-friendly format and will assist in valuing securities. The draft requirements are outlined in Consultation on New Reporting Templates for Repo-Eligible Residential Mortgage Backed Securities. Comments on the requirement should be made by 15 May 2013 and directed to the Head of Domestic Markets Department at dmsubmissions@rba.gov.au.

Implementation Date

The new eligibility criteria will become effective on 31 December 2014 when reporting templates and the cash flow waterfall template must be lodged with the Bank, validated and made publicly available. The Bank will publish detailed guidance on its validation standards over the next 12 months.

For further details on the items noted above, as well as responses to comments on specific data fields, refer to The RBA's Response to Consultation on its Proposed RMBS Reporting Templates and the annotated templates.