ABN Amro has started marketing the equity tranche for its latest Amstel CLO, which will allow the bank to transfer the risk on a portfolio of investment grade corporate loans worth 10 billion ($12.5 billion). ABN will be sole bookrunner on the senior and mezzanine notes, with Merrill Lynch as a joint bookrunner on the equity.
This is the first Amstel deal in which ABN will sell the equity tranche, which is designed to achieve regulatory capital relief under both the Basel I and Basel II capital accords. It is unclear at this stage whether the deal, Amstel 2006, will be a partially funded synthetic or fully funded.
HSBC Bank joins ABN with a 2 billion large corporate CLO through Metrix Securities, this time the deal is a fully funded synthetic. HSBC was last week roadshowing its second CLO under the Metrix program - a fully-funded synthetic designed to free up the regulatory capital on a portfolio of 344 obligations to 133 investment grade borrowers. The bank will be offering five classes of notes, rated from triple-A to double-B, in Reg S and 144A format, denominated across three currencies, sterling, dollars and euros. HSBC is the sole bookrunner on the deal.
Societe Generale recently closed its third offering under the Atlas program, a classic leveraged synthetic CLO structured to free regulatory capital on a portfolio of 197 mainly European and U.S. credits. SG has kept the first loss tranche, selling 249 million of credit linked notes.
According to Commerzbank analysts, large corporate and leveraged loan CLOs this year have pushed up CLO total risk transfer to 84 billion in year-to-date 2006 from 18 over the same period last year. In terms of funded issuance, leveraged loan CLOs outstrips large corporate CLOs. Issuance year-to-date include 44 deals totaling 20 billion, which is already double that of the whole of last year's leveraged loan volumes. "Regulatory capital pressures are behind corporate CLO issuance, with SME transactions also re-emerging that are ranging from senior loans to profit participations," Commerzbank analysts reported.
SME CLO issuance rebounded somewhat in recent weeks with a number of Spanish and Dutch collateral securitizations. A global SME portfolio has also started marketing in synthetic format (Gate 2006-1), offering welcome geographical diversity to the Spanish and German sectors. Only 185 million of funded notes, however, are up for sale. And the Greek SME CLO Anaptyxi 2006-1 from EFG Eurobank also began marketing last week.
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