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European Banks Manage Capital Through Recent Mortgage Risk Transfers Dec 05
Standard & Poors, Dec 2005
Abstract
The end of 2005 is seeing large synthetic risk transfers from European banks, largely prompted by the wish to achieve regulatory, and possibly also economic, capital relief. In the past week or so, two such landmark transactions have launched: a Dutch RMBS transaction from ABN AMRO Bank N.V. and a Danish RMBS transaction originated by Danske Bank A/S. Both banks agreed sizable acquisitions in 2005 (ABN AMRO's proposed acquisition of Italy's Banca Antonveneta has not yet been completed), and their use of synthetic risk transfer is clearly aimed at improving capital efficiency, and possibly also at providing a useful bridge ahead of the new risk weightings in the forthcoming Basel II regulations. Both originators are transferring credit risk associated with...
Companies mentioned in this report are: The Royal Bank of Scotland N.V.,Danske Bank A/S,Whinstone Capital Management Ltd.,Shield 1 B.V.
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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