Dutch State Treasury Launches Second Auction of RMBS

The Dutch State Treasury Agency (DSTA) will limit bidding on its next sale of RMBS bonds from its ING Illiquid Assets Back-up Facility, to six broker dealers.

On its first auction last month, the DTSA widely distributed the bid list to a number of broker deals. Bank of America Merrill Lynch, Barclays, Citigroup, Credit Suisse, Goldman Sachs and Morgan Stanley are the banks that have been selected to bid exclusively on the bonds. Bids are due on Jan.16.

On its Dec. 11 auction, BofAML purchased the largest share of $1.9 billion.  The remaining bonds were sold to Credit Suisse, Deutsche Bank, Goldman Sachs and Morgan Stanley.

The sale will be comprised of 360 individual securities totaling approximately $4.27 billion current face, which will leave the portfolio with just $2.2 billion remaining exposure.  

The composition of bonds is heavily weighted toward Alt-A collateral, with the bulk backed by 2005 vintage loans, according to structured finance analytics firm Interactive Data.   The weighted average evaluated price of these 360 securities is approximately $81 of $100 face value compared with $60 of $100 face value for the prior December 11 sale.