Dutch Treasury Readies Final RMBS Auction

The Dutch State Treasury Agency (DSTA) plans to return for another sale of its US Non Agency RMBS held in the ING Illiquid Assets Back-up Facility (IABF).

The DSTA announced that it will auction the remaining $2.1 billion on Feb 4.  A total of 234 securities will be out for bid, comprised mainly of senior securities backed by prime collateral.  

Analysts at structured finance analytics firm, Interactive Data, said that “the quality of this final iteration is quite high. “Preliminary color supports the observation that the February 4th BWIC contains better performing securities, as evidenced by aggregate dealer guidance.  

For bonds that are backed by fixed-rate collateral, pricing talk averaged in the mid to high $90 of $100 face value across all vintages. 

The Treasury held two earlier auctions totaling $8 billion. The weighted average evaluated price of the 360 securities sold in January was estimated to be approximately $81 of $100 face value and for the Dec. 11^th sale the price, said Interactive Data was $60 of $100 face value.

DSTA said it would release detailed results of the auction when the total portfolio has been sold. At that time the total proceeds for the Dutch State will also be clear and presented. Prices and proceeds will not be published during the auction process.