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Last week Danske Bank launched the first Danish securitisation of residential mortgages. Arranged by Barclays Capital, Provide Bricks 2005-1 is a synthetic securitisation under KfW's Provide programme, transferring the risk on a Eu3bn mortgage portfolio through a Eu2.88bn senior credit default swap and four credit linked notes.
The bank chose to securitise the loans to free up regulatory capital due to the strong growth in its retail business, and increase in risk-weighted assets.
"We have been looking into securitisation for the last two years, as part of a review on how to manage our capital ratios. Initially, we thought it was a little too expensive but with spreads having become tighter we took another look," said Cato Baldvinsson, senior vice-president of Danske Bank in Copenhagen.
"After acquiring two Irish banks we had even more growth on our balance sheet, which was the final push that made us...