Issuance in the U.S. ABS primary market slowed considerably during the week following the Presidents' day holiday. As of last Thursday evening, just shy of $3.5 billion had priced, compared with the robust $18 billion that made the rounds the week prior.
However, secondary flows were active for the week, as investors took profits on the heels of a robust and well-bid primary calendar, according to analysts at Credit Suisse First Boston. "Secondary technicals remain very positive, especially for fixed-rate assets," analysts wrote in a report.
The real estate sector accounted for close to $1.8 billion of total primary volume. Deutsche Bank Securities priced $597.2 million off of its ACE Securities Trust vehicle. Pricing levels mirrored guidance throughout the capital structure. The three-year senior A2B notes were on target at 27 basis points over one-month Libor. Down in credit, the mezzanine class, with a 4.81-year average life, cleared at 80 basis points over Libor, while the 5.15-year triple-B rated M8 class cleared at 130 basis points over Libor. The 4.78-year split-rated M9 class was on target at 200 basis points over one-month Libor.
AmeriQuest Mortgage tapped the market for $1.19 billion via joint leads RBS Greenwich Capital and UBS (see related story p.4). The A3A class, with a one-year average life, came inside of expectations at 10 basis points over one-month Libor versus guidance in the 11 to 12 points over Libor range. The three-year triple-A rated notes also tightened several basis points to price at 20 over one-month Libor, versus guidance in the 22 to 23 range over Libor area. The longer-dated senior class with a 7.04-year average life also came inside at 34 basis points over one-month Libor relative to guidance set at 35 basis points over Libor. The 4.82-year M3 class priced within expectations at 52 points over one-month Libor. Toward the bottom of the capital structure, the 4.75-year subordinates gapped out slightly to clear at 127 points over Libor versus guidance in the 125 basis point area. The 4.73-year M9 class came in-line with guidance at 200 basis points over one-month Libor.
A $175 million de-linked Capital One Financial offering via Merrill Lynch was the sole credit card deal for the week. The 10-year single-A rated tranche priced inside of expectations at 35 basis points over swaps relative to talk in the 36 to 38 points over swaps area.
VW Credit Corp. was in the market with a $1.5 billion offering backed by retail leases via Barclays Capital and Citigroup Global Markets. The deal came in line with guidance across the credit spectrum. The 1.05-year triple-A rated notes cleared at two basis points over EDSF relative to talk in the two-to-three basis points over EDSF range. The senior class with a 1.8-year average life was on target at five basis points over EDSF versus guidance in the five to six points over EDSF range. The 2.38 year A4 class cleared at nine points over Swaps relative to talk in the eight to nine points area.
Still circulating at week's end was an $800 million offering from GMAC-Residential Funding Corp. The RASC 2005-EMX1 is the first deal from the issuer to aggregate MLN-serviced loans originated by Emax for a standalone deal, said a source at GMAC.
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