Macquarie Bank plans to structure synthetic securitizations referenced to portfolios of asset-backed securities for its clients' portfolios. The move comes as the firm is set to price its first deal on behalf of its subsidiary Macquarie Leasing. Robert Harris, division director of treasury and commodities in Sydney, said the firm is speaking to clients in Australia, primarily financial institutions about structuring synthetic securitizations where the risks of the underlying assets, such as receivables, are transferred from the balance sheet using credit derivatives to free capital.
In a cash securitization of asset-backed securities, the underlying assets are sold-off to a special-purpose vehicle, which Harris said is labor-intensive and is taxed in Australia. "Such issues as taxation are side-stepped [in a synthetic transaction]," added Harris. He continued the firm hopes to structure a couple of the transactions, likely of similar size to its recent AUD1 billion (USD519 million) deal and with maturities ranging from three to seven years by year-end. "Now that we've done this one, we hope to spur the market on in ways to use credit derivatives in the Aussie market."
In Maquarie's recent structure, which will be closed in the coming weeks, the credit risk on an AUD1 billion portfolio of Macquarie Leasing's vehicle and equipment receivables is transferred, to a structure dubbed Synthetic Master Asset Receivables Trust (SMART). "Investors are enthusiastic," noted Harris, "they have a new asset class to invest in."
