Dutch Treasury Sells $5.1B of RMBS

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The Dutch State Treasury, on Wednesday, sold $5.1 billion of non-agency RMBS held in the ING illiquid assets back-up facility to 5 dealers.

Bank of America purchased the largest share of $1.9 billion, according to a State Treasury press release.  The remaining bonds were sold to Credit Suisse, Deutsche Bank, Goldman Sachs and Morgan Stanley. The remaining bonds have a face value of $6.5billion.   

Last week the State Treasury announced that it would begin selling from its $11.6 billion portfolio of U.S. non-agency RMBS held in the assets back-up facility. The State hired Blackrock to manage the sale process.  

According to an Interactive Data report, the first auction sold approximately $4.8 billion of pay option ARMs and a small component of the sale focused on various derivative securities such as inverse floaters and principal only (PO) tranches.  

The Dutch State Treasury 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 Prices and proceeds will not be published during the auction process.

However analysts at Interactive Data said guidance from five major broker dealers indicated that loan seasoning as well as structural seniority played a significant role in dictating expected clearing levels.

“Older collateral vintages and Senior/Super Senior tranches commanded higher average pricing talk,” according to the Interactive Data report.  “Interestingly, the range (High-Low) of average pricing talk across five dealers for the more senior securities is generally narrower at ~$6 pts versus more than $11 pts for the senior support/mezzanine portion.”  

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