Basel-II News

ABN AMRO announces EUR 4.9 billion Dutch SME loan securitisation

(Feb 15, 2007)--ABN AMRO has launched SMILE 2007 – a EUR 4.9 bln true sale cash securitisation transaction of Dutch loans to small and medium-sized enterprises.

The transaction, named SMILE 2007, is the third SME loan securitisation under the SMILE programme and follows a highly successful EUR 5 billion cash SME securitisation in 2001 (SMILE 2001) and a EUR 6.75 billion synthetic SME transaction in 2005 (SMILE 2005). The transaction combines the replication of certain synthetic aspects of the 2005 deal with the strengths of a true sale cash securitisation.

The resulting SMILE 2007 structure is designed to maximise economic and regulatory capital efficiency in the context of both the Basel I and Basel II frameworks, and thus contributes towards ABN AMRO's on-going capital management objectives.

"We have structured a hybrid transaction to optimise the efficiency of Basel II and economic capital relief. At the same time, the transaction provides investors with notes backed by an asset class with a strong credit history and therefore pricing is very attractive," said Marcel Klopper of ABN AMRO Group Asset-Liability Management.

In particular, the capital structure, which represents a refinement over the previous SMILE deals, only requires a credit enhancement of 15 bps of annual guaranteed excess spread, with all notes placed in the market i.e achieving almost full credit risk transfer on the portfolio:

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