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