The Dutch securitisation market moved into a clearer growth phase in 2005. Liquidity conditions were favourable, investor appetite for spread product remained strong, and Dutch collateral benefited from a perception of relative stability and clarity. RMBS was increasingly becoming a mainstream funding tool rather than a specialist alternative.
A number of programme families later visible in the market appear consistent with this stage of expansion. Shelf identity and repeatability were becoming more important, as investors increasingly compared issuers not only by structure but by track record and servicing performance. This was a year in which the market likely became more scalable in practice.
The Dutch market also appeared to be broadening beyond only the largest banks, suggesting that securitisation was becoming a more embedded part of capital-markets funding.
ABN AMRO’s Shield 1, launched in late 2005, was a landmark €22 billion synthetic securitisation in the Netherlands. It comprised €4 billion in funded notes and €18 billion in credit default swaps, and was used primarily to manage risk-weighted assets. The transaction featured high-concentration, first-ranking prime Dutch mortgages and illustrates the growing sophistication of the market in this period.
Key transaction highlights
Structure: Partially funded synthetic securitisation.
Total size: €22 billion, including €4 billion funded notes and €18 billion in CDS.
Collateral: Prime Dutch residential mortgages originated by ABN AMRO.
Tranches: Six tranches ranging from AAA (€3 billion) to B (€60 million).
Call date: January 2012.
Purpose: Capital management, with a focus on reducing risk-weighted assets rather than immediate funding.