RBA Securitisations Industry Forum

This Notice provides updated information on the implementation of the Reserve Bank's new reporting requirements for repo-eligible asset-backed securities (ABS).  The Bank is providing final guidance on the reporting of the cash flow waterfalls of eligible ABS.

The cash flow waterfall (CFW) template has been updated to reflect the guidance provided to the industry since the CFW template's publication in July 2013, simplify the CFW template, maintain consistency with the data reported in the other data templates for repo-eligible ABS, and facilitate the reporting of the cash flow waterfall model through XML. In summary, the changes are:

Simplification

• Clarify that the same CFW template applies to all asset-backed securities (i.e. residential mortgage backed securities, commercial mortgage backed securities and other asset-backed securities).

• Historical data required to be reported in the CFW template should start from the latest of: (1) 12 months before the date of the initial submission, (2) the ABS deal's inception date, and (3) the latest ABS deal documentation amendment date. The reporting of longer history is at the discretion of the Information Provider.

• Metadata worksheet will no longer be required. CFW templates already prepared with the Metadata worksheet will be accepted, as long as they otherwise conform to the CFW template.

Consistency with Data Reported in the Transaction, Security and Loan Level Templates

• The ‘Unique transaction and security identifier as specified by the RBA’ field will no longer be required to be reported in the Waterfall worksheet. Instead, the ‘Unique transaction and security identifier as specified by the RBA’ is replaced with a ‘Description’ of the variable reported (which was previously located in the Metadata worksheet).

• The ‘Corresponding item code in other templates’ will no longer be required to be reported in the Waterfall worksheet. Instead, the ‘Corresponding item code in other templates’ is replaced with ‘Currency (if applicable)’ which should contain the ISO 4217 currency code for data for which this is applicable.

• The ‘Measurement unit’ field in the Waterfall worksheet has been renamed ‘Data Type’ and should contain the data type of the variable.

Updated Guidance

• In reporting the CFW, Information Providers can report payments on tranches denominated in currency other than the Australian dollar using the equivalent amount in Australian dollars made to satisfy these payments (as was specified in the CFW template published in July 2013) or the payments' actual currencies if these payments and their hedges are modelled in the reported CFW.

• Numerical values should be reported with a precision of at least two decimal places. Exchange rates, interest rates and coupon rates should be reported with a precision of four decimal places. It is preferred that interest rates and coupon rates are reported as decimal values (i.e. an interest rate of 5.00 per cent is reported as 0.0500 or a coupon rate of 100 basis points is reported as 0.0100); however, CFWs reporting these data as percentages will be accepted, as long as they otherwise conform to the CFW template.

Facilitate XML Submission

• The CFW template should be prepared in a working Microsoft Excel file, but will be submitted to the Reserve Bank in XML format. The Reserve Bank is providing a utility to convert the Excel file into XML format for the submission.
• Reported CFW templates should contain a plain English text-only description of the waterfall in the Description_1 worksheet. For consistency with the submission of data in XML format, the description should no longer contain a diagrammatic representation of the structure. Information Providers should provide the diagrammatic representation of the waterfall separately to the Reserve Bank as part of the application for repo-eligibility.