After a relative drought of activity in the French ABS market in the last few months, issuers seem to have the taste for it again, joining the huge amount of deals launching in Europe before the year-end.
First up comes consumer credit company Cofidis with a deal structured by Credit Lyonnais, followed closely by Natexis Banques Populaires who brought in Merrill Lynch to act as lead manager on its deal.
A portfolio of consumer credit lines worth EURO183.3 million ($157.5 million) backs the EURO170.5 million Cofidis transaction, called FCC Libravou. The weighted average seasoning of the pool is 27.5 months, and the loans themselves carry an average annual interest rate of 16.3%
The transaction has been split into two floating-rate tranches, including EURO150 million of senior notes that priced at 30 basis points over three month Euribor, and were rated triple-A by both Moody's Investors Service and Fitch. An EURO20.5 million subordinated piece was rated A-minus by Fitch, A3 by Moody's and priced at 120 over.
Credit enhancement of 15% for the senior paper comes from subordination (12%) and a reserve account (3%).
The Natexis deal is an EURO166 million collateralized debt obligation. The underlying portfolio is made up of 141 reference entities - mainly large French corporates, and all of which have investment grade ratings. The average rating of the entities included is between BBB and BBB-plus.
The transaction will be split into three floating-rate tranches. The EURO62 million class A notes have been provisionally rated AA-minus by Fitch, and the EURO76 million class B piece and EURO28 million C tranche received A-minus and BB ratings respectively.
Credit support of 6.9% for the A-tranche will come from subordination on the B and C pieces (5.2%), and from the first loss threshold (1.7%).