Sale of Certain RMBS Investments

28 February 2014

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.

Last updated: 21 March 2014