28 February 2014
Sale of Certain RMBS Investments
This week the AOFM has sold some holdings of residential mortgage-backed securities (“RMBS”) with a total amortised face value of $317.11 million. The amounts sold, in terms of original and amortised face values (FVs), are as follows. Also listed are the estimated weighted average lives (WALs) in years and traded margins (TMs) in basis points for each sale:
|Security||Original FV||Amortised FV||WAL||TM|
|FirstMac 1-2009 AB||$40.62m||$40.62m||0.3yr||BB+120|
|Resimac 2009-2 AB||$18.30m||$9.15m||0.6yr||BB+120|
|Conquest 2010-2 AB||$10.75m||$4.99m||0.7yr||BB+120|
|FirstMac 1-2010 AB||$26.77m||$21.58m||1.6yr||BB+155|
|Resimac 2011-1 AB||$22.00m||$9.08m||1.7yr||BB+155|
|Pinnacle 2010-T1 AB||$14.60m||$10.74m||2.0yr||BB+150|
|Progress 2010-1 AB||$36.00m||$27.15m||2.6yr||BB+150|
|Torrens 2010-3 AB||$20.00m||$14.15m||2.7yr||BB+160|
|HBS 2011-1 AB||$21.60m||$18.06m||3.1yr||BB+160|
|Wide Bay 2010-1 AB||$23.00m||$22.08m||3.3yr||BB+160|
|Wide Bay 2009-1 AB||$1.00m||$0.74m||3.5yr||BB+160|
|Apollo 2011-1 AB||$63.00m||$63.00m||3.5yr||BB+155|
|Torrens 2011-1 AB||$27.50m||$27.50m||3.5yr||BB+160|
|Progress 2012-1 AB||$30.78m||$30.78m||4.0yr||BB+155|
|Apollo 2012-1 AB||$17.50m||$17.50m||4.4yr||BB+155|
The AOFM is reporting the details of this transaction in the interests of secondary market transparency.
These sales have been undertaken in accordance with existing Directions.
The AOFM will continue to monitor primary and secondary market activity, manage the remaining book of RMBS, and report month-end holdings on the AOFM website.