European insurer AXA announced the securitization of its motor insurance portfolios. Managed by the French bank Natixis, the deal securitizes the loss risk on the portfolios of motor insurance policies drawn from Italy, Spain, Germany and Belgium.

The transaction, FCC Sparc Europe, will transfer 450.8 million to the capital markets over a period of four years. It's the second issue structured under the FCC Sparc name - the debut issue priced in 2005. The deal was structured with four tranches that included a triple-A 91.5 million Class A piece; a 220 million single-A/single-A-plus Class B tranche; a 100.1 million triple-B Class C tranche and a 39.2 million double-B Class D tranche.

In a statement, Natixis said the deal was of particular importance because it laid a foundation for further issues of Pan-European auto insurance ABS. The template will aid future risk transfers on all types of insurance products throughout the Eurozone and provides a way for insurers to diversify geographically when writing similar deals.

"Because of the four different countries and four different subsidiaries involved in this transaction, the modeling and due diligence were multiplied fourfold in their complexity," said Nicolas Merigot, head of alternative risk structuring, insurance structuring, at IXIS Corporate & Investment Bank, a subsidiary of Natixis. "However, following the precedent of our first auto insurance ABS transaction, Sparc France, the necessary structuring and legal time frame was reduced."

Merigot said the deal was bigger than the debut Sparc France transaction - and more stable, because the structure provided more insurance guarantees, more vehicles and more geographical diversity. "Also, there was no double-B tranche on Sparc France, with AXA this time willing to sell down more of its risk," he said. "This likens the transaction to RMBS or credit-card risk - that is to say, granular, statistical, homogenous risk. All peak risk is excluded as this transaction essentially offers only traditional motor insurance risk."

The AXA deal was rated triple-A on a stand-alone basis.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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