RBA Securitisations Industry Forum

In terms of the consolidated reporting guidance, pre-funding occurs where a pool has not completed purchasing its full asset base prior to the trust's settlement date and prior to when securities have been issued from the trust. This allows the trust to fund its asset purchases before the pool has been closed off. If a trust has a pre-funding trigger it will typically hold cash to cover the difference between the current asset pool and the target level of the asset pool. Over time this cash will be used to purchase new assets until the targeted asset pool has been fully realised at which stage the pool will be closed off.

The latest information for that entity should be provided in this field. For example, if Originator A changed its name to Originator AB following a merger with another originator to the deal, Originator B, then Originator AB should be recorded for the loans from both originators.

All relevant nodes will need to be reported on a monthly basis. Loan and pool information is expected to be updated every month. Tranche data should reflect the distribution cycle of the trust. For a quarterly or semi-annual paying security, a 0 should be reported for any values in non-distribution months which would otherwise be applicable in a distribution month. For example, the Coupon Distribution field should be recorded as 0 when no coupon payment has occurred in that month. On the other hand, fields that are not applicable to the deal or tranche should be reported as ND5 (e.g. Scheduled Principal where the tranche is not a controlled amortisation bond). Deal level fields should be updated monthly for those fields that are required to be updated on a monthly basis (e.g. Report Date) or which are based on loan level data (e.g. Loans Originated). Deal level fields not related to loan data can be updated in line with distributions (e.g. Trigger State and Key Role Fee).

Timely Payment Cover (TPC) is any sort of insurance coverage provided by an insurance provider to the lender covering the timely payment of interest on loans. While standard LMI policies usually only cover the principal component of the loan, the inclusion of TPC in the policy also provides the lender with some comfort that interest payments will continue to be received, for the period as defined in the policy, even if the borrower were to default on the loan.

For the Custodian role, select ‘Other’ for the Role Name field. When entering the name of this role entity, include the role type in brackets next to the name provided. Please remember that this field has a 100 character limit.

E.g. Role Name: Other
Name: ABC Company Ltd. (Custodian)
ABN: 3X XXX XXX XXX

The standby swap provider can be included in the Swap or Hedge Provider block under the ‘Other Swap or Hedge’ category. Include a bracketed comment in the Name field indicating that the swap is provided on a standby basis only.

E.g. Type of Swap or Hedge: Other Swap or Hedge
Name: ABC Company Ltd. (Standby Fixed-for-Floating Swap)
ABN: 3X XXX XXX XXX

The relevant list items included in the ‘Type of Authority’ list (Interest Rate Setting, Allocation of Disbursements and Asset Substitution) should be included in every submission.

Other types of authorities should be captured where a third party (other than the Manager or one of the Trustees) has a standing authority over the transfer of assets or the use of funds owned by the trust (which have not already been captured in other fields like Signature Authority). All authorities that could potentially have a material impact on the trust should also be included.

The standby swap provider can be included in the Swap or Hedge Provider block under the ‘Other Swap or Hedge’ category. Include a bracketed comment in the Name field indicating that the swap is provided on a standby basis only.

When entering the name of this authority holder, include the authority type in brackets next to the name. Please remember that this field has a 100 character limit.

E.g. Type of Authority: Other Authority
Name: ABC Company Ltd. (Authority to trigger Call Option)
ABN: 3X XXX XXX XXX

All material assets or risk exposures of the trust should be reported. These investments should be included in separate Account Provider blocks using the ‘Cash Collateral Account’ Type of Account.

For the Account Provider field, the issuer of those securities should be recorded and not the provider of the account through which these investments are purchased (or settled). For example if ANZ-issued securities are purchased through a Heritage Bank account then ANZ should be listed as the Account Provider and not Heritage. Where the trust purchases investments from more than one issuer, each should be reported in separate name blocks (see an example below):

E.g. <Account Provider>
Name of Account: Short Term Investments Account (ANZ securities)
Type of Account: Cash Collateral Account
Name: Australia and New Zealand Banking Group
Ending Balance: 242233.11
ABN: 3X XXX XXX XXX
</Account Provider>

<Account Provider>
Name of Account: Short Term Investments Account (NAB securities)
Type of Account: Cash Collateral Account
Name: National Australia Bank
Ending Balance: 168293.57
ABN: 3X XXX XXX XXX
</Account Provider>

All seven role entities (and potentially any ‘Other’ role entities included) have a key role field associated with them and any fees paid to these entities should be reported in these fields. So if a fee is paid to the Responsible Party for providing a service to the trust then this should also be reported in the Key Role Fee Currency and Key Role Fee fields in that block.

Fields related to the trust's settlement date should be provided as at the original settlement date of the transaction regardless of any collateral changes that have occurred post this date. So even if the pool has topped-up and the face value of notes outstanding or the mortgage pool balance have increased materially over time, values should be reported as at the original settlement date in these fields.

Where additional or new notes are to be issued from an existing repo-eligible trust to fund the purchase of new loans, the RBA has to be notified of the upcoming transaction prior to its execution. The full suite of templates reflecting the new note balances and the entire collateral pool should be submitted as soon as possible after the transaction has been executed.

In the instance where a fee is paid to the liquidity provider for the provision of liquidity, the information provider should disclose the notional amount of the liquidity facility if it were to be fully drawn down.

Yes. Senior fees and expenses data should be made available to the RBA. However, information provider can decide whether to release the data publicly or not.

Yes, we do require the Notional Principal Amount to be reported as at the Report Date, as we need the latest value. We appreciate that the Notional Principal Amount will not reconcile with the other swap fields, such as margins and the pay and receive leg values, within a submission, but the values of these other swap parameters should reconcile with the previous submission's Notional Principal Amount.