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. * This article was first published yesterday in our daily subscription newsletter for the banking and finance industries. The email costs NZ$365 per annum and carries exclusive news and analysis for New Zealand banking and finance industry executives, regulators and investors. Sign up for a free trial here.
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