ABN Amro is shopping two collateralized loan obligations to European investors--Amstel Synthetic CLO 2001 and Smile CLO 2001. The Smile 2001, a E5 billion deal, is a balance sheet cash flow deal comprising small and medium-sized loans of companies based in the Netherlands whereby the firm has transferred risk by selling loans to a special purpose vehicle.
The E12.5 billion Amstel transaction comprises large corporates (LMW 11/26) and uses a credit default swap to remove the risk from ABN's balance sheet, with a smaller percentage of notes sold to investors. A portfolio manager on the Amstel deal declined to discuss price talk last week, but expected a sale of the notes to take place this week. According to a syndication official on the Smile 2001 deal, the firm has been discussing pricing with investors and expects to sell notes backing the entire deal this week. Pricing guidance on the Smile 2001 deal is 35-37 basis points over EURIBOR on the AAA tranche, 45-48 basis points over EURIBOR for the AA tranche, 80-85 basis points over EURIBOR for the A tranche, and 180 basis points over EURIBOR for the BBB tranche.