Sale of Certain RMBS Investments

16 March 2012

During March 2012 the AOFM has sold $50 million of residential mortgage-backed securities (“RMBS”). The securities sold were fixed rate bullet securities with a maturity of November 2016. The sale was made at an effective margin of 132 basis points over the interpolated (semi/monthly) swap rate. This compares with a margin of 150 basis points over the five year (coupon matched, semi/monthly) swap rate when the securities were acquired by the AOFM in November last year.

This adjustment to the AOFM’s holdings was undertaken as part of its portfolio management activity and to provide transparent pricing guidance to the market.

The sale was made in accordance with the Treasurer’s Directions, which allow the AOFM to adjust its holdings of RMBS.

The AOFM is reporting the details of this transaction in the interests of secondary market transparency. It does not intend to make additional sales in current circumstances. The AOFM will continue to monitor primary and secondary market activity in formulating its advice to Treasury and the Government.

The AOFM reports on its participation in primary RMBS transactions as they occur. The AOFM’s month-end investment holdings, including RMBS investments, are also reported on the AOFM website.

Last updated: 21 March 2014