ABN AMRO is structuring a EUR5.6 billion synthetic securitization of its counterparty risk from derivatives trades. The firm is pitching the product to its banking clients, says Jacques Straetmans, director. Other banks, including Deutsche Bank and Dresdner Kleinwort Wasserstein, are considering similar trades, according to firm officials (DW, 5/25). So far, UBS is the only investment bank that has executed such a trade in Europe, via its Alpine structure.
ABN's Straetmans said derivatives is the fastest-growing segment of the firm and securitizing counterparty risk will allow the bank to free up capital to continue that growth. The counterparty risk is referenced to several corporate clients of ABN AMRO Bank and mainly orginates from interest-rate swaps and foreign exchange forwards, said Straetmans. ABN will do more of these trades in the future, he added.
Both Deutsche Bank and DrKW are pursuing similar deals. David Murphy, head of counterparty portfolio management at DrKW in London, said his firm is interested in structuring a similar deal. Murphy is studying whether the deal makes good economic sense and is also working with the German regulators and the rating agencies. He said he will be keeping an eye on how ABN's debut deal progresses.
