ABN Amro is working on a Euro12.5 billion ($10.98 billion) balance sheet collateralized loan obligation to remove its exposure to large corporate leveraged loans from a variety of sectors, including those it has made to U.S.-based companies and other companies worldwide. "We're in the embryonic stages of the deal," said a portfolio manager with the firm. He declined to comment more specifically on the deal's collateral, investor profiles, or the price talk expected to surface on the notes backing the structure.
The collateral will be transferred to a special purpose vehicle named Amstel 2001. The portfolio manager said the debt backing the deal will be Euro-denominated and sold primarily to European investors. "Some tranches of the collateral will be funded while others will not," said the manager, explaining, that right now due to investor appetite the firm has plans to issue triple-B notes without a triple-A or double-A tranche despite collateral on the deal that he describes as "performing and highly rated." The firm will also retain a percentage of the equity on the deal while shopping the remainder to an equity investor.
The manager said this deal is a follow up to a similar balance sheet deal the firm did last year, Amstel 2000. That deal was a Euro7.8 billion deal and represented ABN Amro's first European collateralized loan obligation. The structure included swap counterparty payments and credit default swaps. The manager declined to comment on potential similarities between the two deals or whether the firm will utilize synthetics for this deal.