ABN Amro performed a 15-month swap trade made up of £30 million exposure to the API and £30 million exposure to the retail sector index. The property derivatives joint venture between CB Richard Ellis and GFI, formed in June this year, acted as broker on the deal. ABN Amro said it will warehouse some of the risk involved. But the pricing for the transaction was not revealed.
ABN Amro's global head of credit trading, Charles Longden, expects a greater need for sector-specific trades with shorter maturities, saying demand should grow "significantly".