by Adam Tempkin
NEW YORK, Nov 1 (IFR) - Repo counterparties of MF Global
attempted a small liquidation of some of the embattled
company's non-agency residential mortgage-backed securities
(RMBS) yesterday that was subsequently canceled, according to
The counterparties seized the mortgage bonds and tried to
liquidate them, but the company's bankruptcy proceedings put a
stop to the action.
Two market participants said that the bid list may just be
The list of prime and Alt-A non-agency mortgage bonds
backed by fixed-rate 30-year collateral had an original face
value of approximately US$877m, though the current face value
was much less, closer to US$400m.
The list included several large so-called interest only
(IO) mortgage bonds, which accounts for the larger dollar value
of the original issuance. The notional value of IO strips is
typically much larger than their actual value.
The bid-wanted-in-competition (BWIC) list, which comprised
41 bonds, was all set to bid at 11:30am yesterday, but was
The majority of the list comprised subprime and home equity
RMBS from 2005 - 2007. The largest bond on the list, an IO
strip from American Home Mortgage's AHMA 2006-1 transaction,
had an original face value of US$173.675m.
Other names on the list included severely downgraded home
equity bonds from Bear Stearns, Countrywide, and Citigroup
Mortgage Loan Trust, among many others.
Secondary securitized-product flows have been much lighter
this week. There has only been US$96.8m in prime and Alt-A RMBS
traded in the secondary market today, according to Empirasign
Strategies, a capital markets data provider.
There has been US$109.7m ABS offered on bid lists today,
which includes legacy subprime, home equity, and HELOC mortgage
bonds, Empirasign said.
(Reporting by IFR structured finance analyst Adam Tempkin)