ABN Amro is marketing a rare securitization of counterparty exposures linked to termination payments on derivatives the firm entered. The EUR7 billion (USD8.96 billion) deal, Amstel Securitization of Contingent Obligations, is a revolving transaction and is only the second to be completed publicly--the firm also completed the first.
Previous deals under the Amstel program have securitized other contracts, including exposures linked to loans or other borrowings. "The exposure here is the counterparty risk relating to the termination payment of the derivative agreements, namely the amount that counterparties may owe to ABN when the derivatives contracts end," said Matthieu Dillard, an analyst at Standard & Poor's in Paris.
The transaction is expected to issue notes denominated in euros and U.S. dollars. Previous Amstel deals did not feature dollar denominated notes. Calls to ABN Amro were not returned by press time.
