| Topic | RMBS | CMBS | Other ABS |
|---|---|---|---|
| Reporting Template Required | Transaction, Security and Loan level, and Cash Flow Waterfall | Transaction, Security and Loan level, and Cash Flow Waterfall | Transaction, Security and Pool level, and Cash Flow Waterfall |
| Cash Flow Waterfall Reporting Requirement | Yes | Yes | Yes |
| Implementation Date | 30 June 2015 | 30 June 2015 | 30 June 2015 |
| Testing period | Information providers will have access to the Securitisation System testing environment by arrangement from December 2014 onwards. | Same as for RMBS | Same as for RMBS |
| Reporting Frequency | Submissions must be lodged on a monthly basis, with the data to be provided no later than seven calendar days after the Trust issuer's specified coupon payment dates and the equivalent monthly anniversary in non-coupon-payment months. | Same as for RMBS | Same as for RMBS |
| Event Reporting | For Trusts with replenishable pools, the RBA reserves the right to request out-of-cycle reporting templates. | Same as for RMBS | Same as for RMBS |
| Grandfathering Arrangements |
The RBA will exempt from the loan-level and cash flow waterfall reporting requirements those legacy
RMBS transactions where, at 30 June 2015 and subsequently, the aggregate size of
outstanding AAA-rated AUD-denominated tranches in the transaction is less than $100 million. All RMBS issued after 30 June 2015 must comply with the reporting requirements except for self-securitisations where the authorised deposit-taking institution (ADI) is subject to APRA's minimum liquid holdings (MLH) framework. For these transactions, the loan-level and cash flow waterfall reporting requirements will be waived when the aggregate size of the AAA-rated AUD-denominated tranches in the transaction is less than $100 million. In the case where a reporting exemption applies, and a cash flow model as well as loan level data have not been reported, an additional margin will be applied. Further details about margining. |
The RBA will exempt from the loan-level and cash flow waterfall reporting requirements those legacy
CMBS transactions where, at 30 June 2015 and subsequently, the aggregate size of
outstanding AAA-rated AUD-denominated tranches in the transaction is less than $100 million. All CMBS issued after the implementation date must comply with the reporting requirements. In the case where a reporting exemption applies, and a cash flow model as well as loan level data have not been reported, an additional margin will be applied. Further details about margining. |
The RBA will exempt the cash flow waterfall reporting requirement for those legacy ABS transactions
where, at 30 June 2015 and subsequently, the aggregate size of outstanding AAA-rated
AUD-denominated tranches in the transaction is less than $100 million. Pool-level stratifications will also be exempt from reporting (corresponding with the following nodes in the XSD: Zero Prepayment Scheduled Pool Balances; Issue Date Stratifications of Data Measured at Contract Origination; Issue Date Stratification; Issue Date Other Jurisdictions Geographical Location; Report Date Stratification; and, Report Date Other Jurisdiction Write Offs). All other ABS issued after the implementation date must comply with the reporting requirements. In the case where a reporting exemption applies, and a cash flow model as well as pool level stratifications have not been reported, an additional margin will be applied. Further details about margining. |
| Exemptions to Required Data | Borrower income data fields (RL090 and RL092) only need to be reported for loans originated after 1 January 2010. | Headline profit or income data field (CL088) only needs to be reported for loans originated after 1 January 2015. | Manual approval (AP386-387) data fields only need to be reported for loans originated after 1 January 2015. |
| Data Validation Policy | All data submitted to the RBA will be subject to validation processes to ensure that suitable standards of data consistency and accuracy are met before the Bank confirms the repo eligibility status of securities. Validation will include tests for data sufficiency, consistency, presentation and compliance with formats, where relevant, to RBA specifications and definitions. | All data submitted to the RBA will be subject to validation processes to ensure that suitable standards of data consistency and accuracy are met before the Bank confirms the repo eligibility status of securities. Validation will include tests for data sufficiency, consistency, presentation and compliance with formats, where relevant, to RBA specifications and definitions. | All data submitted to the RBA will be subject to validation processes to satisfy suitable standards of data consistency and accuracy are met before the Bank confirms the repo eligibility status of securities. Validation will include tests for data sufficiency, consistency, presentation and compliance with formats, where relevant, to RBA specifications and definitions. |
| Material Data | All data fields for the RMBS templates are to be populated. | All data fields for the CMBS templates are to be populated. | All data fields for the other ABS templates are to be populated. |
| No Data Policy | From 31 December 2015, ND1, ND5 and ND6 will be the only permitted ‘No Data’ replies for any missing data. If, from 30 June 2015, a large number of data fields feature ND1 replies, the Bank reserves the right to remove the security from the repo-eligibility list. | Same as for RMBS | Same as for RMBS |
| Data Availability | Most recent report is to be made available to permitted users either on a secure website managed by, or on behalf of, the information provider. Access will be restricted to users who have a suitable purpose for the data. | Same as for RMBS | Same as for RMBS |
| Protecting Privacy |
In the templates that are made available to permitted users: - Postcodes may be replaced by the ABS SA4 regions - Certain date fields may be reported in calendar quarters rather than as exact dates (These are settlement date (RL022), maturity date (RL028), interest only expiry date (RL047), fixed rate expiry date (RL048), date of foreclosure (RL052), property valuation date (RL068), loan term (RL025), remaining term (RL026) and seasoning (RL027) |
Same as for RMBS | No requirement |
| Public Reporting to Permitted Users | A pool-level postcode summary of 16 key fields: refer to Postcode Pool-level Data Template [XLS] An additional detailed pool report: refer to Pool Detail Report [XLSX] | No requirement | No requirement |
| Liability | Information providers may include appropriate disclaimers regarding data accuracy on users to acknowledge any terms and conditions attached to the use of the data. Disclaimers should not be couched in a way that limits substantially the value of the information or reduce, or purport to reduce, the representations and warranties that investors are entitled to rely on under the relevant transaction document. | Same as for RMBS | Same as for RMBS |