ABN's Brushfield completes first CDO

The principal finance arm of ABN Amro, Brushfield Capital, has completed its first collateralised debt obligation (CDO).

Brushfield CDO 2007-1 is a CDO of US asset-backed securities (ABS), with a weighted average rating factor for the portfolio of AA.

“The portfolio has a higher credit quality than [that of] many of the comparable deals done in the first half of 2007,” said Jeremy Vice, executive director in Brushfield Capital and ABN Amro’s principal trading group in London. “In addition, we used a writedown structure that we view as investor friendly in the current market, as back-ended losses do not reduce the total credit enhancement provided to the transaction.”

The portfolio comprises 30% CDOs of ABS, and 70% alt-A and subprime residential mortgage-backed securities.

Brushfield is headed by Scott Eaton, who joined from RBS last year to set up the group. The bank pointed out the deal was upsized despite recent turbulence in the sector, with the portfolio growing from $1 billion to $1.25 billion due to investor demand.

“Brushfield is currently finalising a CDO equity fund offering, as we think this is a great time to be purchasing assets given the liquidity premium we see in the market,” said Vice. “We will also look at further CDO opportunities in the ABS and loan [sectors] in the second half of this year.”