ABN Amro Securitises Euros 22 Billion Of Its Own Mortgages Via Synthetic Structure

ABN AMRO claims to have launched the largest ever European securitisation a Euros 22 billion transaction as sole lead manager. The issue, known as Shield 1, is a partially funded synthetic securitisation consisting of Euros 4 billion of funded notes

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ABN AMRO claims to have launched the largest-ever European securitisation – a Euros 22 billion transaction – as sole lead manager.

The issue, known as Shield 1, is a partially funded synthetic securitisation consisting of Euros 4 billion of funded notes backed by prime Dutch mortgages originated by ABN AMRO and Euros 18 billion of credit default swaps (CDS).

“We are taking measures to strengthen our balance sheet,” says Tom de Swaan, CFO of ABN AMRO. “Shield 1 is part of ABN AMRO’s ongoing capital management process and provides us with an efficient means of managing risk-weighted assets.”

As ABN AMRO has no need of the Euros 22 billion of additional funding, a synthetic structure was used to reduce risk-weighted assets and economic capital by issuing CDS rather than trying to securitise the Euros 22 billion mortgage portfolio.

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