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Capital Markets

Structured finance: ABN Amro launches Brazilian CLO

The first ever asset securitization transaction exclusively referencing Brazilian loans has been closed by ABN Amro. The deal could be the start of several other synthetic deals to come out of Latin America this year.

In February, ABN Amro closed a collateralized loan obligation structure, which referenced a loan portfolio of $850 million. The risk of this single-jurisdiction portfolio, which was made up of a few hundred loans originated by ABN Amro’s Brazilian operation, Banco Real, was shared between Dutch pension administrator PGGM and ABN Amro. The bank took on the first- and second-loss pieces and PGGM, which has €88 billion under management, is buying the mezzanine tranche.

"We believe that these Brazilian assets add value to our structured credit portfolio from a structured credit point of view, but also because it is a unique asset that adds value to our overall portfolio," says Raymond van Wersch, senior portfolio manager, structured credit, at PGGM. For PGGM this deal was a good way to invest in products that are not available in the public markets.

Bankers think that the CLO is set to find favour in Brazil. "ABN’s CLO is a very important milestone for the development of the Brazilian banking system," says Antonio Neto, head of structured finance at Société Générale in Brazil.

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