Frankfurt (ots) - The French Credit Foncier de France and KfW
have just concluded on the first French synthetic securitisation
backed by residential mortgages using the PROVIDE platform sponsored
by KfW. It is also the first synthetic RMBS of Credit Foncier, which
is trough its affiliate, the "Compagnie de Financement Foncier", the
largest issuer of "obligations foncières" (the French covered bond)
rated AAA/Aaa/AAA by the three major rating agencies.
A portfolio consisting of French residential mortgage loans will
be brought to the capital market through KfW's platform PROVIDE. Via
its cooperation with European banks KfW increases the diversity and
liquidity of its RMBS platform. Its goal is to push the development
of the secondary market for this asset class as it efficiently
supports the mortgage lending.
The underlying portfolio comprises 52.953 residential mortgage
loans amounting to 3.3 bn EUR. They were exclusively generated in
metropolitan France. The transaction is arranged by Societe Generale.
For the securitisation KfW will initially assume the default risk
of the underlying credit portfolio of Credit Foncier. Under the
leadership of Societe Generale the risk will then be placed in the
international capital and swap markets. 241 m EUR of the total volume
is secured through credit linked notes (CLNs) via a special purpose
vehicle (SPV - PROVIDE Mortgage Loans France 2004 PLC). The remaining
risk of about 3 bn EUR is covered by a credit default swap (CDS)
with a Senior Investor. The first loss piece of about 23,7 m EUR
remains with Credit Foncier.
The CLNs placed into the market were rated by the rating agencies
Moody's and Standard & Poor's. The prices of the individual tranches
were fixed on December 9th, 2004. They will allow the investors to
get interest on a floating rate basis and a rating-dependent premium
above the 3-month-EURIBOR.
PROVIDE Mortgage Loans
France 2004
Tranche Volume Ratings Coupon
(in Euro) (Moody's/S&P)
A+ 250.000 Aaa/AAA 3-M-EURIBOR + 12 bp
A 133.200.000 Aaa/AAA 3-M-EURIBOR + 12 bp
B 51.600.000 Aa2/AA 3-M-EURIBOR + 24 bp
C 28.300.000 A2/A 3-M-EURIBOR + 34 bp
D 27.950.000 Baa3/BBB 3-M-EURIBOR + 65 bp
For banks, the securitisation of loans is a promising, modern
capital market instrument that enables them to closely control and
reduce their credit risk and therefore to optimize the use of their
equity. By using the platform PROVIDE Mortgage Loans France 2004
broadens the range of investment with regard to French residential
mortgage loans risks. We expect that the liquidity of the notes
issued under PROVIDE will further increase. Credit Foncier and
partners on the market are offered new perspectives and possibilities
to actively manage portfolios or look for innovative investments.
Contacts:
KfW Bankengruppe:
Nathalie Drücke Tel.: +49 (0)69 7431-2098
E-Mail: nathalie.druecke@kfw.de
Crédit Foncier de France :
Anne Baslez - Tel : + 33 1 57 44 88 44
E-Mail : anne.baslez@creditfoncier.fr
have just concluded on the first French synthetic securitisation
backed by residential mortgages using the PROVIDE platform sponsored
by KfW. It is also the first synthetic RMBS of Credit Foncier, which
is trough its affiliate, the "Compagnie de Financement Foncier", the
largest issuer of "obligations foncières" (the French covered bond)
rated AAA/Aaa/AAA by the three major rating agencies.
A portfolio consisting of French residential mortgage loans will
be brought to the capital market through KfW's platform PROVIDE. Via
its cooperation with European banks KfW increases the diversity and
liquidity of its RMBS platform. Its goal is to push the development
of the secondary market for this asset class as it efficiently
supports the mortgage lending.
The underlying portfolio comprises 52.953 residential mortgage
loans amounting to 3.3 bn EUR. They were exclusively generated in
metropolitan France. The transaction is arranged by Societe Generale.
For the securitisation KfW will initially assume the default risk
of the underlying credit portfolio of Credit Foncier. Under the
leadership of Societe Generale the risk will then be placed in the
international capital and swap markets. 241 m EUR of the total volume
is secured through credit linked notes (CLNs) via a special purpose
vehicle (SPV - PROVIDE Mortgage Loans France 2004 PLC). The remaining
risk of about 3 bn EUR is covered by a credit default swap (CDS)
with a Senior Investor. The first loss piece of about 23,7 m EUR
remains with Credit Foncier.
The CLNs placed into the market were rated by the rating agencies
Moody's and Standard & Poor's. The prices of the individual tranches
were fixed on December 9th, 2004. They will allow the investors to
get interest on a floating rate basis and a rating-dependent premium
above the 3-month-EURIBOR.
PROVIDE Mortgage Loans
France 2004
Tranche Volume Ratings Coupon
(in Euro) (Moody's/S&P)
A+ 250.000 Aaa/AAA 3-M-EURIBOR + 12 bp
A 133.200.000 Aaa/AAA 3-M-EURIBOR + 12 bp
B 51.600.000 Aa2/AA 3-M-EURIBOR + 24 bp
C 28.300.000 A2/A 3-M-EURIBOR + 34 bp
D 27.950.000 Baa3/BBB 3-M-EURIBOR + 65 bp
For banks, the securitisation of loans is a promising, modern
capital market instrument that enables them to closely control and
reduce their credit risk and therefore to optimize the use of their
equity. By using the platform PROVIDE Mortgage Loans France 2004
broadens the range of investment with regard to French residential
mortgage loans risks. We expect that the liquidity of the notes
issued under PROVIDE will further increase. Credit Foncier and
partners on the market are offered new perspectives and possibilities
to actively manage portfolios or look for innovative investments.
Contacts:
KfW Bankengruppe:
Nathalie Drücke Tel.: +49 (0)69 7431-2098
E-Mail: nathalie.druecke@kfw.de
Crédit Foncier de France :
Anne Baslez - Tel : + 33 1 57 44 88 44
E-Mail : anne.baslez@creditfoncier.fr
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