ABN Amro's chief financial officer, Tom de Swaan, said the issue was a balance-sheet measure rather than a fund-raising move. "We are taking measures to strengthen our balance sheet," he said. "Shield 1 is part of ABN Amro’s ongoing capital management process and provides us with an efficient means of managing risk-weighted assets," he added.
The bank said it had no need for the funds and so decided to use a synthetic structure involving CDS rather than trying to securitise the entire €22 billion mortgage portfolio.
"Shield 1 has already received significant interest from super senior protection providers, given the high quality of ABN Amro’s mortgage portfolio. We expect similar interest for the fully funded notes,” said Steve Curry, head of consumer asset-backed securities at ABN Amro.