ABN AMRO Announces Jumbo SME Loan Securization

ABN AMRO revealed a EUR 6.75 billion fully funded synthetic securization backed by loans to Dutch small to medium enterprises (SME). SMILE 2005 is being jointed managed by ABN AMRO and Credit Suisse First Boston. SMILE is the second SME

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ABN AMRO revealed a EUR 6.75 billion fully-funded synthetic securization backed by loans to Dutch small-to-medium enterprises (SME). SMILE 2005 is being jointed managed by ABN AMRO and Credit Suisse First Boston.

SMILE is the second SME securitization offered by ABN AMRO and follows SMILE 2001, which outperformed with a low cumulative default rate of 0.82% and a high weighted average recovery rate of 81%.

SMILE uses a synthetic structure comprising the risk transfer of EUR 6.75 billion of SME loans via a credit-default swap (CDS) with special purpose vehicle (SPV, SMILE 2005 Synthetic (CLN), the proceeds will be transferred to a cash deposit held by ABN AMRO (full transaction structure is detailed in notes to editors).

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