Case studies

摘要

ABN AMRO's asset liability management team clinched two important deals last year: the SMILE transaction, which was executed at tight pricing levels, and the SHIELD securitisation, which was designed to release risk-weighted capital under Basel Ⅰ but is also Basel Ⅱ efficient. In 2005, as part of its capital management activities, the asset liability management (ALM) team at ABN AMRO decided to go ahead with a large securitisation transaction backed by a portfolio of loans to small and medium-sized enterprises (SMEs). The transaction was carried out in a short time frame to execute what became the SMILE 2005 Synthetic B.V transaction, which was structured as a fully funded synthetic.