Sale of Certain RMBS Investments

6 June 2014

This week the AOFM has sold some holdings of residential mortgage-backed securities (“RMBS”) with a total amortised face value of $341 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
Pinnacle 2010-1 A2 $96.5m $75.5m 2.0yr BB+75
GBS Trust No. 4 A1 $95.0m $37.4m 2.4yr BB+83
Light Trust No. 3 A3 $243.5m $178.0m 2.7yr BB+85
Barton 2011-1 A2 $50.9m $50.1m 4.2yr BB+95

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.

Last updated: 16 June 2014