The deal involved a single €100 million tranche wrapped to triple A by FSA and placed by BNP Paribas with a single reverse enquiry investor. Backed by home equity lines of credit (Heloc), the deal is understood to carry pricing of 11 basis points over one-month euribor for an average life of 2.27 years.
If other US mortgage originators decide to follow suit it could herald a massive new source of euro-denominated paper for the market, if investors can strip out the associated interest rate risk (rates on home equity loans are often capped in the US).
According to Standard & Poor’s, Heloc securitization volumes fell in 2005 to around $32 billion from $37 billion in 2004, but are expected to rise again this year because of the volumes of loans that originators have amassed on their balance sheets.
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