13 March 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 $49.2 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|
|Challenger 2009-1 AB||$20.3m||$13.7m||0.1yr||BB+120|
|Liberty 2010-1 AB||$10.4m||$10.4m||0.5yr||BB+120|
|FirstMac 2-2011 AB||$11.7m||$11.7m||5.7yr||BB+180|
|FirstMac 1-2012 AB||$13.4m||$13.4m||5.7yr||BB+180|
The AOFM has recently received from the relevant trustee a notification of an intention to call the Firstmac 2008-2 transaction, effective next month. As a result of the exercise of this call and the sale of these AB notes, the AOFM advises that its holdings of AB notes will be zero by 14 April 2014.
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.