The principal finance arm of ABN Amro, Brushfield Capital, has completed its first collateralised debt obligation (CDO).Brushfield CDO 2007-1 is a CDO of US asset-backed securities (ABS), with a weighted average rating factor for the portfolio of AA.
“The portfolio has a higher credit quality than [that of] many of the comparable deals done in the first half of 2007,” said Jeremy Vice, executive director in Brushfield Capital and ABN Amro’s principal trading group in London. “In addition, we used a writedown structure that we view as investor friendly in the current market, as back-ended losses do not reduce the total credit enhancement provided to the transaction.”
The portfolio comprises 30% CDOs of ABS, and 70% alt-A and subprime residential mortgage-backed securities.
Brushfield is headed by Scott Eaton, who joined from RBS last year to set up the group. The bank pointed out the deal was upsized despite recent turbulence in the sector, with the portfolio growing from $1 billion to $1.25 billion due to investor demand.
“Brushfield is currently finalising a CDO equity fund offering, as we think this is a great time to be purchasing assets given the liquidity premium we see in the market,” said Vice. “We will also look at further CDO opportunities in the ABS and loan [sectors] in the second half of this year.”
Topics: ABN Amro
More on Structured Products
Dealers, regulators and distributors split on way forward for key information document risk indicators
Provisions on documentation eased but industry says more work needed on advertising rules
UBS bolsters New York equities desk, among other moves in June
Product will pay 5.95% annually if FTSE 100 or Euro Stoxx 50 are above 65% barrier on coupon date
Sign up for Risk.net email alerts
Sponsored video: MarketAxess
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.