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1、Structured Finance 1 June 2010 Insurance Linked Securities France Performance Report SPARC Europe (Senior) Performance Update Ratings Tranches Amount (EURm) Final Maturity Rating Attachment point a (%) A 91.5 July 2013 AAA 25.1 B 220.0 July 2013 A+ 15.0 C 100.1 July 2013 BBB 10.4 Total 411.6 Each r
2、ated class in this transaction has a Stable Outlook. a The attachment point spread is expressed as the difference between the global loss ratio calculated under the relevant rating scenario and the budgeted global loss ratio; the latter is equal to 73.4% for cover year 2010 Source: Fitch Rating Acti
3、on Fitch Ratings has confirmed the SPARC Europe (Senior) EUR91.5m class A floating rate notes at AAA/Outlook Stable, EUR220.0m class B floatingrate notes at A+/Outlook Stable and EUR100.1m class C floatingrate notes at BBB/Outlook Stable. This follows receipt of the annual confirmation notice dated
4、31 May 2010, which mentions the transaction parameters applicable with respect to cover period 2010 (see Renewal Mechanism section below), and prior to renewal of the underlying reinsurance contracts (ie the extension of quota share reinsurance treaties for 2010) to take place in July 2010. For more
5、 information on the transaction, please read the dedicated New Issue Report, “SPARC Europe (Senior)”, published on 2 August 2007 by Fitch and available on Fitchs website, . Summary This transaction is a securitisation of four motor quota share reinsurance treaties, where the underlying risk stems fr
6、om Belgian, German, Italian and Spanish portfolios of motor insurance policies made to individuals originated by AXA subsidiaries distribution networks in the normal course of its business. These subsidiaries are AXA Belgium S.A. (AXA Belgium, Insurer Financial Strength Rating (IFS) AA/Negative), AX
7、A Versicherung AG (AXA Germany, IFS AA/Negative), AXA Assicurazioni S.P.A. (AXA Italy, not rated) and AXA Seguros Generales, S.A. de Seguros y Reaseguros (which resulted from the merger of AXA Aurora Iberica, S.A. de Seguros y Reaseguros and Winterthur Seguros (Winterthur Spain) in 2007) and Hilo Di
8、rect Seguros y Reaseguros, S.A. together referred to as one single insurer (AXA Spain, not rated). Together, these groups are referred to as the insurers (or AXAs subsidiaries or the subsidiaries). The fonds commun de crances (FCC), SPARC Europe (Senior), is a French securitisation vehicle, set up b
9、y the custodian, Natixis (rated A+/Stable/F1+/), and the management company, Eurotitrisation. The rating actions mentioned above, which follow a satisfactory review and the transactions performance to date, are based on the financial structure of the transaction, the credit quality of the underlying
10、 motor insurance contract portfolios, and AXA Belgium, AXA Germany, AXA Italy and AXA Spains premium and loss appraisal procedures. The ratings address timely payment of interest and ultimate repayment of principal on the notes by their legal final maturity, in July 2013, according to the terms and
11、conditions of the notes. The underlying risk of the portfolios lies in the evolution of claims and premiums of the motor insurance portfolios of the insurers. This is determined via the claims to Analysts Credit Analysts Natalia Bourin, Paris +33 1 4429 9176 Emmanuelle Ricordeau, Paris +33 1 4429 9
12、148 Related Research SPARC Europe (Senior) (August 2007) InsuranceLinked Securities Ratings Criteria (Global) (February 2008) Structured Finance SPARC Europe (Senior) June 2010 2 premiums ratio. Existing losses above a certain level will be paid to them using four senior deposits. The class A to C
13、notes will be redeemed in an amount equal to cash left in these senior deposits after payment of such losses. However, before being compensated by the above senior deposits, each insurers losses will be compensated with, firstly, the “excess receivable”, generated by the portfolios of subsidiaries t
14、hat have overperformed their budget and, secondly, from a joint junior deposit. Portfolio losses are calculated as the global ratio of claims (covered losses) to premiums. This global loss ratio consists of: a. the sum of the quota share of covered losses exchanged; divided by b. the sum of the quot
15、a share of premiums exchanged. Losses are borne by the transaction when the global loss ratio is above the attachment points. The latter correspond to the loss ratio triggers for each rating level and are defined as the budgeted global loss ratio plus a certain spread. The budgeted global loss ratio
16、 corresponds to the sum of each insurers budgeted loss ratio, weighted by the respective premium amounts exchanged under each reinsurance agreement. For cover year 2010, the budgeted global loss ratio is at 73.4%. Renewal Mechanism At the end of each annual cover period, the quota share reinsurance treaties may be renewed subject to certain conditions, am
