AFG’s latest issue of mortgage-backed securities will have a neutral impact on its net interest margin, Macquarie Securities has estimated.

AFG completed a A$700 million RMBS transaction last week, upsizing the deal from $350 million at launch. It was the company’s biggest ever RMBS issue.

Pricing included a margin of 95 basis points over the bank bill swap rate of the $230 million of A1-S notes (weighted average life 0.9 years) and 145 bps over BBSW on the $382.5 million of A1-L notes (WAL 2.9 years).

The last time AFG was in the securitisation market was November last year, when it raised $500 million.

In that deal it paid a margin of 115 bps on the $450 million of A notes (2.7 years) and 175 bps on the $29.2 million of AB notes (WAL 4.5 years).

In a note on the latest issue, Macquarie said: “The short-term tranche (A1-S) amortises ahead of the other tranches. This ‘sequential payment’ structure continues under the A1-L tranche until credit enhancement reaches 20 per cent, from the initial 12.5 per cent.

“The short-term tranche and credit enhancement result in AFG Group funding cost increasing slightly over the term of the transaction. We estimate the transaction results in a neutral net interest margin vs current warehouse funding.”

Macquarie says AFG’s NAB warehouse pricing and terms are due for reset in December and its ANZ warehouse in May next year.