ABN Amro offers record €22bn securitisation to ease balance sheet

The Shield 1 securitisation consisted of €4 billion in funded notes backed by ABN Amro-originated residential mortgages in the Netherlands, and €18 billion in CDS. The residential mortgage-backed security (RMBS) component was divided into six tranches, with ratings ranging from AAA (€3 billion) to B (€60 million). All have call dates of January 2012.

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.