ABN Amro has set up a new securitization vehicle that largely mirrors the bank's existing Dolphin Master Trust.
The new vehicle, Oceanarium Master Issuer, has launched its first deal dubbed series 2011-1. The capital structure includes class A, B, and C notes.
The collateral comprises loans secured on first- and sequentially lower-ranking mortgages over residential properties in the Netherlands, according to Standard & Poor's
This is a multiple-issuance vehicle with an ongoing revolving period. Oceanarium uses the proceeds of the notes to grant intercompany loans to the asset purchaser, which, in turn, uses the loans to purchase mortgage assets from the sellers. Currently, there is only one asset purchaser; however, new asset purchasers may accede to the program in the future.
The structure relies on the cash flow swaps between the asset purchasers and the swap counterparties, to mitigate interest rate risk and to provide protection against negative carry on defaulted assets until losses are realized.
It is the second of two new vehicles set up by ABN Amro Bank N.V. this year, according to S&P. The first one, Fishbowl Master Issuer B.V. issued its first series of notes in July.
Oceanarium and Fishbowl will be issuing notes backed by the loans originated by previous ABN AMRO Bank stand-alone mortgage businesses.
Meanwhile, Dolphin, together with two other existing ex Fortis Bank Nederland programs (Beluga Master Issuer B.V. and Goldfish Master Issuer B.V.), will continue to securitize the loans previously originated by Fortis, S&P said.