ABN AMRO's Dutch retail banking arm launched its Match residential mortgage-backed securitization, the first in what will be a series of fixed-rate pass-through RMBS deals and could mark the rebirth of this type of structure in Europe, which hasn't seen this sort of structure in three years. The deal was priced last week, and the triple-A rated $324.5 million fixed-rate tranche came in at 60 basis points over mid-swaps. A fixed-rate pass-through deal had not been executed in Europe since 1999, but market sources say ABN plans to continue issuing these deals, which analysts and bankers say is a step forward for the European market.
The deal was structured by Deutsche Bank using an internally developed pre-payment model. Deutsche Bank and ABN AMRO co-lead managed the deal. ABN went with the fixed-rate pass-through structure to pass on pre-payment risk to the market as well as a funding tool. The triple-A rated E209 million floating-rate tranche, which was also priced last week, yields 23 basis points over EURIBOR.