FCC SPARC 2007

The transaction involves the securitization of the payments related to four quota share reinsurance agreements between reinsurer Nexgen Re Ltd. and five subsidiaries of the AXA group, which cover the risk on a defined individual motor insurance policy book in four countries (Belgium, Germany, Italy and Spain).

Artemis converted the volume of the deal from €411.6 million to $461.85 million. The conversion rate is as of July 2007.

This Euro 450 million securitization transferred to the financial markets the deviation above a certain level of the cost of claims, so a loss ratio trigger, on the underlying motor insurance liabilities: over 6 million of individual motor contracts underwritten through multi distribution channels and representing Euro 2.6 billion of premiums in 2006, spread across the 4 covered countries (Belgium 18%, Germany 30%, Italy 21% and Spain 31%).

At issue, AXA said th FCC Sparc 2007 Notes were close to 3 times oversubscribed, with a strong demand received for each of the four classes and a significantly broadened investor base as compared to AXA’s first securitization of its French motor portfolio. The average margin of 59 basis points over Euribor is in line with similarly rated synthetic banking securitizations.

The Class A notes received a ‘AAA’ rating for a EUR 91.5 million tranche, the Class B received an A rating across an EUR 220m tranche, the Class C tranche received a BBB- rating for EUR 100.1m of notes, and finally a Class D tranche got a BB rating for a EUR 39.2m set of notes.