ANZ late last month closed an AUD975 million (USD742.6 million) synthetic collateralized loan obligation linked to its balance sheet--a first for the Aussie bank. Seven classes of notes were issued and rated by Moody's Investors Service, from Aaa to Ba1, referenced to 110 investment-grade entities totaling AUD1 billion.
The Aussie bank has been eyeing a balance sheet deal this summer as spreads in the domestic market have moved tighter (DW, 7/7). Credit structurers at ANZ in Sydney declined comment.
Moody's noted only 25% of the names were rated by the agency. "Many names did not have public ratings so there was some reliance on the bank's credit mapping process," said Elaine Ng, assistant v.p. in the structured finance group at Moody's in Hong Kong. She continued that while 70% of the portfolio is concentrated in Australia, the names are in almost 20 different industries, meaning single-industry concentration is low.
Moody's rated a similar deal last year by another domestic bank and anticipates more as the Basel II accords near. Capital relief can be achieved through the transaction, explained Ng. "We expect banks to enter this market on a reoccurring basis," said Myrna Fajardo, senior credit officer in Hong Kong.
