Sale of Certain RMBS Investments

13 March 2014

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.