RBA Securitisation Reporting Implementation Notice – 31 July 2014

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This Notice provides updated information on the implementation of the Reserve Bank’s new reporting requirements for repo-eligible asset-backed securities.

Final Data Fields

Following consultation with industry, the Bank is providing final guidance on the data to be reported to meet the enhanced reporting requirements for eligibility of residential mortgage backed securities (RMBS). The main changes are to the Transaction and Security level templates. In particular, the Bank is requesting more detailed data breakdowns of existing data fields, to allow for a more granular assessment of the margin that will be applied to the security in repos and pricing of RMBS. Most of the new data, which will also assist the Bank in its assessment of repo eligibility, is being phased in. In addition, a number of fields have been removed from the Transaction, Security and Loan level templates. These changes, including implementation dates, are summarised in the Attachment below, and are highlighted in the updated RMBS Data Templates.

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Frequency of Data Updates

From 31 December 2014, Information Providers will be required to submit a single XML file (no zip files) per transaction each month (that is, data submission is monthly regardless of coupon payment frequency). This file must be successfully submitted to the Securitisation System within 7 days of the transaction’s distribution date or the monthly anniversary of the distribution date. Accordingly, the first submission is due in the period covering 31 December 2014 to 30 January 2015 (regardless of whether a distribution or coupon payment occurs in this period). Submissions that are rejected by the Securitisation System because of insufficient data quality will not satisfy the reporting requirement.

Data reported at a Transaction or Security level, or within the Cash Flow Waterfall model must be updated:

  • when a distribution occurs; or 
  • when there is a change to related parties; or
  • when there is a change to pool composition (for example, via a top up or substitution).

Loan level data must be updated on a monthly basis, regardless of coupon payment frequency.

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Public Reporting

Information Providers are required to meet the reporting requirements to permitted public users within 7 days of the deal’s distribution date or the monthly anniversary of the distribution date.

Disaggregated data on senior fees will not be required to be reported to the permitted public users.

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Cash Flow Waterfall Model

Updated information on the implementation of the cash flow waterfall template will be provided shortly.

Attachment

Transaction Level

Additional data to be reported from 31 December 2014:

  • Collateral Pool Characteristics: Weighted Average Interest Rate, Aggregate Minimum Payments, Original Pool Balance, Principal Collections, Interest Collections, Threshold Index, Threshold Margin
  • Date fields: Next Report Date; Trust Settlement Date
  • Name and Type of: Account, Liquidity Facility, Credit Enhancement, Swap or Hedge
  • Currency denomination for: Facilities, Credit Enhancements, Accounts, Receive Leg and Pay Leg on Swaps or Hedges
  • Collection or Cash Accounts: Beginning Balance
  • Liquidity Facilities and Credit Enhancement: Beginning Amount Drawn, Ending Amount Drawn, Beginning Amount Available, Ending Amount Available
  • Value of: Loans Originated; Loans Sold
  • Jurisdiction, ID and ID Descriptor: where the reported entity is a non-Australian entity (or does not have an ABN). This information must be provided for the following entities: Originator, Seller, LMI Provider, Servicer, Account Provider, Signature Authority Holder, Authority Holder, Facility Provider, Credit Enhancement Provider, Swap or Hedge Provider, Credit Ratings Agency

Additional data to be reported from 30 June 2015:

  • Balance of: Settlement Date Loans Originated, Settlement Date Loans Sold, Settlement Date Loans Insured, Settlement Date Loans Insured TPC, Loans Insured TPC, LMI Claims Outstanding
  • Fee: Servicing Fee, Account Fee, Facility Fee, Swap or Hedge Fee, Credit Enhancement Fee
  • Fee Currency: Servicing, Swap or Hedge,
  • Facility: Reimbursements, Draws, Reductions
  • Credit Enhancement: Initial Amount, Restorations
  • Swaps and Hedge:
    • Pay Leg: Pay Leg Reference Index, Pay Leg Reference Index Value, Pay Leg Margin or Rate, Pay Leg Amount
    • Receive Leg: Receive Leg Reference Index, Receive Leg Reference Index Value, Receive Leg Margin or Rate, Receive Leg Amount
    • Exchange Rate of Swap and Hedge
  • Original Pool Diagnostics: Original Average Loan Balance, Original Weighted Average Interest Rate, Original Weighted Average Remaining Term, Original Weighted Average Seasoning, Original Weighted Average LTV / LVR
  • Value of: Beginning Pool Balance, Warranty Repurchases, Principal Amount: Pre-Funding Provision, Revolving Provision
  • Loan Counts: Original Loan Count, Beginning Loan Count, Loans Repaid, Warranty Repurchase Loan Count, Outward Substitution Loan Count, Pre-Funding Provision Loan Count, Revolving Provision Loan Count, Inward Substitution Loan Count
  • Charge-Offs Net of Recoveries
  • State of Account Triggers
  • Type of Authority
  • Eligible Loan Criteria

Security Level

Additional fields to be reported from 31 December 2014:

  • Tranche ID
  • Soft Bullet Date
  • Ending Cumulative Charge-Offs

Additional fields to be reported from 30 June 2015:

  • Governing Law of the Security
  • Coupon basis
  • Step-up rate
  • Ramp Period
  • Terminal CPR
  • Beginning Cumulative Values: Beginning Cumulative Charge-Offs, Beginning Cumulative Coupon Shortfall, Beginning Cumulative Principal Shortfall
  • Shortfall Makeup: Coupon Shortfall Makeup, Principal Shortfall Makeup
  • Charge-Offs: Allocated Charge-Offs, Charge-Off Restorations
  • Factors:
    • Beginning Cumulative Charge-Off Factor
    • Beginning Cumulative Coupon Shortfall Factor
    • Beginning Cumulative Principal Shortfall Factor
    • Coupon Shortfall Makeup Factor
    • Principal Shortfall Makeup Factor
    • Principal Shortfall Factor
    • Allocated Charge-Off Factor
    • Charge-Off Restoration Factor
    • Ending Cumulative Charge-Off Factor
    • Ending Cumulative Principal Shortfall Factor

Loan Level

Additional fields to be reported from 31 December 2014:

  • Arrears methodology
  • Main security methodology
  • Primary borrower methodology

The following fields will appear in the XML schema, but are not required to be reported at the loan level:

  • Original Property Valuation Date
  • Original Approval Amount
  • Settlement Date Remaining Term
  • Settlement Date Seasoning
  • Reset Interest Margin
  • Reset Interest Rate
  • LMI
  • LMI Timely Payment Cover
  • Originator Jurisdiction
  • Originator ID Descriptor
  • Servicer Jurisdiction
  • Servicer ID Descriptor
  • Seller Jurisdiction
  • Seller ID Descriptor
  • LMI Provider Jurisdiction
  • LMI Provider ID Descriptor
  • External Credit Score Provider ABN
  • External Credit Score Provider Jurisdiction
  • External Credit Score Provider ID
  • External Credit Score Provider ID Descriptor
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