BNZ securitises NZ$6.5 bln of mortgages; RBNZ drains NZ$700 mln

The BNZ has joined ANZ National and Westpac in building a Residential Mortgage Backed Security (RMBS) facility that can be used as collateral to borrow from the Reserve Bank.

BNZ’s RMBS facility totals NZ$6.5 billion, including NZ$6.329 billion of AAA rated Class A notes and NZ$162.3 million of unrated Class B notes. The pool covers 51,749 loans with a current loan to valuation ratio of 55.7% and a weighted average maturity of 29.4 months.

The BNZ facility brings the total RMBS facilities announced by ANZ National, Westpac and BNZ to NZ$15.21 billion, which represents 9.9% of the NZ$153.2 billion of mortgages issued by New Zealand’s banks. ANZ National has previously announced a NZ$3.71 billion series called Kingfisher NZ Trust 2008-1, while Westpac set up a NZ$5 billion facility. The odd one out of the big four now is ASB, although it is also thought to be building a facility.

Meanwhile the Reserve Bank used its new Reserve Bank Bill facility yesterday to drain NZ$700 million from the system, having injected NZ$500 million on Wednesday through its new Term Auction Facility (TAF) that accepted RMBSes as collateral. Interestingly, the Reserve Bank is receiving 6.29%, 5.93% and 5.65% respectively for the 3 month, 6 month and 12 month reverse repos, but is paying 6.40% for its Reserve Bank Bill facility. Full results are here.


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Posted: 15 Nov 2008

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