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Paribas launches its first master trust-like structure backed by home loans, on behalf of UCB

Paribas is launching a new housing loan securitisation transaction on behalf of UCB, the specialised real estate finance subsidiary of Group BNP Paribas. MasterDomos, the Fonds Commun de Créances (the FCC is the common French securitisation SPV) which has been established for this purpose, will acquire approximately 35,000 housing loans (out of which approximately 51% are mortgage loans and 49% are guaranteed by several civil service mutual insurance companies and several large corporates) and representing a total outstanding amount of EUR 1.525 billion.

Unlike previous DOMOS transactions, MasterDomos, is a Master Trust-like structure: the FCC will be able to acquire new loans as and when loans already held get repaid, but also to issue further series subsequent to Series 99-1.

The FCC is issuing two types of bonds, senior bonds and subordinated bonds:

- senior bonds are split into five tranches, A1, A2, A3, A4 and A5, totalling EUR 1441 million. Each of these tranches have been rated AAA by Fitch-IBCA and AAA by Standard & Poor's. The nominal amounts of the A1, A2, A3, A4 and A5 tranches respectively are EUR 315 mio, EUR 404 mio, EUR 226 mio, EUR 226 mio and EUR 270 mio. The tranches are scheduled to be redeemed as a bullet, respectively on November 2001, November 2004, November 2006, November 2009 and November 2011. The senior bonds will be offered to the public. The A1 and A2 tranches bear a floating rate of interest, which has been set respectively at 0.22% and 0.30% above 3 month Euribor. Their coupons will be payable quarterly. The A3, A4 and A5 tranches bear a fixed rate of interest, which has been set respectively at 0.80%, 0.68% and 0.82% above the French government securities with comparable maturities. Their coupons, which will be payable semi-annually, respectively are 5.40 %, 5.60 % and 5.80 %.

- subordinated bonds are split into two tranches: B subordinated bonds and a small residual amount.
The B subordinated bonds, totalling EUR 84 million, bear a floating rate of interest (6 month Euribor + 0.85%) and will be redeemed in four repayments on each redemption date of the A2 to A5 senior bonds. Their average life is estimated at 8 years. Their coupons will be payable semi-annually. The B subordinated bonds were assigned a rating of A by Fitch-IBCA and a rating of A by Standard & Poor's.
The EUR 10,000 residual amount, which will enable the fund's excess margin to be extracted, is subscribed by UCB.

This transaction was developed and arranged by Paribas. Paribas lead manages the syndicate of banks responsible for placing the A bonds and is also sole lead manager for the B bonds.

Management of the FCC's flow of funds will be provided by France Titrisation, a management company jointly owned by Paribas, Crédit Commercial de France, Caisse Centrale de Crédit Mutuel and Barclays Bank. Acting as depositary, Paribas is responsible for custody of the FCC's assets and supervision of France Titrisation management.