The world's largest ever securitization, a much-trailed E4.65 billion ($4.76 billion) transaction for the Italian state pensions agency Istituto Nazionale della Previdenza Sociale (INPS), not surprisingly hogged the asset backed headlines at the end of November, with attention focusing on the tight pricing.

The deal was chopped into three tranches, each worth E1.55 billion and all rated triple-A by the four international rating agencies. The first tranche, with an expected maturity of January 2001, priced at six-month Euribor minus five basis points, while the second, with an expected maturity a year later, pays six-month Euribor minus two basis points. The third tranche with a two-and-a-half year weighted average life pays 11 basis points over the same reference.

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