NautaDutilh acted as counsel to ABN AMRO and Rabobank International for Delta Lloyd Bank's first swapless securitisation transaction named Arena NHG 2014-I. ABN AMRO, as sole arranger and as interest rate cape provider, structured the transaction and eliminated the need for a swap. In addition, ABN AMRO and Rabobank International, as joint lead managers, arranged a smooth placement of the notes issued by Arena NHG 2014-I. The transaction is considered highly innovative.
Pursuant to the transaction, Arena NHG 2014-I issued several tranches of notes, which are backed by approximately EUR 770m prime Dutch residential mortgage receivables with the benefit of an NHG (Nationale Hypotheek Garantie). The mortgage receivables are sold by Delta Lloyd Bank and origi-nated by Amstelhuys.
Due to the efficient interest rate hedging techniques, including an interest rate cap, the need for a traditional swap was eliminated. The rate cap provider agreed to compensate any interest payable above a predetermined strike rate for a period of 5 years. Although we have seen swapless transac-tions before, this is the first introducing a cap. In addition, this transaction is the first swapless one since the crises which is placed with external investors.
The transaction has been documented and will be reported according to the standards of the Dutch Securitisation Association (DSA). In addition, the notes have been awarded the Prime Collateralised Securities label (PCS). The Arena NHG 2014-I transaction closed on 28 August.
The Arena NHG 2014-I transaction demonstrates that the market is interested and willing to invest more and more in new creative structures. We expect to see this type of transactions more often in the near future.
ABN AMRO and Rabobank International were advised by, inter alia, Michaëla Ulrici, Arjan Scheltema, Marijke Kuilman.
Media reported on this deal, eg the IFLR 'Dutch RMBS cap replaces interest rate swap.'