The U.S. ABS primary market took a slight holiday break as the Thanksgiving holiday approached last week, but still managed to generate a cool $8 billion in just two days. The shortened week may have caused a number of issuers to sit out, and the market may also have been sapped of a good bit of capacity, having generated nearly $30 billion the previous week. Even so, a healthy mix of real estate and commodity ABS priced or was announced in the two days before ASR went to press.
The largest deal to price on the week was a $1.59 billion Alt-A MBS deal from Countrywide Home Loans, Inc. The one-year tranche of the deal priced at nine basis points over one-month Libor and the three-year tranche priced at 25 basis points over one-month Libor, two basis points wide to guidance.
Merrill Lynch completed a $1.2 billion worth of subprime MBS with a one-year tranche, which priced at 11 basis points over one-month Libor, two basis points wide to guidance, and a three-year tranche that priced at 23 basis points over one-month Libor, three basis points wide to guidance. The six-year tranche of the deal priced at 35 basis points over one-month Libor, also wide to guidance.
GMAC-RFC priced a $1.17 billion transaction backed by program exceptions led jointly by Bear Stearns and Credit Suisse First Boston. The one-year tranche of the deal priced flat to guidance at nine basis points over one-month Libor and the two-year tranche of the deal priced at 15 basis points over one-month Libor - also flat to guidance.
There was one real estate deal left on the table as of Tuesday's close, a $928 million transaction from Citibank, N.A. The one-year tranche of the deal was being talked at eight basis points over on-month Libor, with the two-year tranche being talked in the 14 to 15 basis point range over one-month Libor.
The biggest credit card deal to price was a $1.57 billion deal from Morgan Stanley's Discover Card Master Trust. The deal had two tranches, rated triple- and single-A, each roughly three years in duration. The $1.5 billion triple-A rated A tranche priced flat to guidance at two basis points over one-month Libor and the single-A B tranche priced at 19 basis points over one-month Libor.
MBNA America Bank had the only other credit card deal in the market, a $400 million triple-A 7.5-year single-tranche deal led by Banc of America Securities and CSFB, which priced at six basis points over one-month Libor.
The only auto deal to price was a $1.2 billion nonprime deal from Capital One Financial led by Barclay Capital and Deutsche Bank Securities and backed by a full MBIA wrap. The money market tranche of the deal priced flat to four-month Libor, on top of guidance, while the one-year tranche of the deal priced at four basis points over EDSF and the two year priced at four basis points over one-month Libor, one basis point tight to guidance.
And finally, GE Seaco priced a $600 million Ambac-wrapped securitization of shipping container leases led by Wachovia Securities. The deal's lone, five-year tranche priced at 25 basis points over one-month Libor.
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