Structured finance market round-up: ABN Amro smiles again

Following its €5 billion cash SME securitization in 2001 and the €6.75 billion synthetic SME securitization in 2005, Smile 2007 is a €4.9 billion true sale cash securitization transaction. The latest ABN balance sheet securitization, Smile 2007, is "designed to maximize economic and regulatory capital efficiency in the context of both the Basle I and Basle II frameworks." One modification over the 2001 and 2005 transactions is that the capital structure requires a credit enhancement of just 15 basis points of annual guaranteed excess spread. Smile 2007 attains nearly complete credit risk transfer on the portfolio.