NETHERLANDS - Pension major PGGM has closed a securitisation deal referencing Brazilian loans worth $850m (€585m) of the loan portfolio of Dutch bank ABN Amro.

"The transaction is called Iguaçu - named after the famous waterfalls in South Brazil - and is the first ever asset securitisation transaction exclusively referencing Brazilian loans," a statement revealed this morning.

This is the second such transaction, following an earlier deal at the end of 2006, in which the €88bn fund shares part of the risk related to ABN Amro's loan portfolio.

PGGM says ABN Amro is selling part of the credit risk on its loan book, through the transaction, using a Collateralised Loan Obligation (CLO) structure.

"The CLO references a loan portfolio of $850m (€585m) notional. The loans have been originated by ABN AMRO's operation in Brazil, under the brand name of Banco Real," PGGM said.

Under the transaction, credit risk of the loan portfolio is shared by participating in the first and second loss tranches of the CLO.

Mascha Canio, head of infrastructure, private equity and structured credit at PGGM, commented on the deal, saying: "For PGGM, this is an effective way of investing in assets that are difficult to find in the public market."
 
Raymond van Wersch, senior portfolio manager structured credit at the fund, also added: "Similar to the previous transactions, including those with ABN AMRO and other partners, it was important for us that Banco Real was prepared to really share the risk - instead of an outright transfer - so the interests are well-aligned."
 
Last September, PGGM entered into a risk-sharing agreement with Citigroup (Citi) on a €2.5bn portfolio of emerging market credit exposures.

The transaction, also using the CLO structure, saw PGGM provide protection to Citi on the equity and junior mezzanine parts of the credit portfolio, which includes over 800 corporate credit facilities across 32 countries.

If you have any comments you would like to add to this or any other story, contact Carolyn Bandel on +44 (0)20 7261 4622 or email carolyn.bandel@ipe.com

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