As expected, issuers poured into the primary ABS market aiming to complete year-end funding. Heading into Friday, $8 billion of supply had priced, with an additional $5.5 billion pending, as the first snowfall of the winter on Thursday led to late entry and early departure for many east-coast ABS players. All tolled last week, over $13 billion was shown to investors and issues were already starting to surface for this week.
Auto loan and home equity supply came in at $4 billion each, with credit cards accounting for $3.5 billion of supply. Off-the-run assets made up almost $2 billion, as auto fleet lease, equipment lease insurance premium and timeshare ABS made the rounds.
Arguably the most interesting transaction last week was a $2.9 billion repackaged auto loan ABS from Bear Stearns & Co. issuance vehicle Whole Auto Loan Trust 2002-1, consisting of loans acquired by captive lenders DaimlerChrysler Services N.A. (35.9%), Ford Motor Credit Co. (35.9%) and Volvo Finance N.A. Inc. (28.3%).
While the deal was pitched as a way to diversify and reduce exposure to Ford, which despite its triple-B rated unsecured debt trades more like a distressed name, a closer look reveals that WALT is closely linked to the future performance of Ford. While the master servicer for WALT is Bear Stearns Asset Receivables Corp., each of the captive finance companies remains as loan servicer. When factoring Ford's ownership of Volvo, a deceivingly high 64% of the portfolio has Ford exposure.
"The main concern with this deal centers on moral-recourse on behalf of Ford in the servicing - or will Ford interfere with Bear and (data administrator) System & Services Technologies," an investor asked. As a result, spreads came in more in line with Ford ABS than DaimlerChrysler. One-year fixed-rate notes priced at 20 basis points over EDSF and two-year A3 paper priced at 23 basis points over swaps.
Mitsubishi Motor Credit of America was marketing its fifth retail auto loan ABS late last week through Morgan Stanley, with pricing scheduled for Friday. Last year MMCA was a quarterly ABS issuer, up from a semi-annual issuer the previous two years. In addition to the auto loan ABS, Mitsubishi has also sold a lease ABS in September.
Capital One Financial was out with an $800 million MBIA-wrapped auto loan ABS via Banc of America Securities and JPMorgan Securities, which offered investors both fixed- and floating-rate supply.
Credit card ABS had a strong showing last week, as each of the remaining top-tier issuers brought deals. Bank One kicked off, pricing $300 million of single-A rated subs, followed by $1.26 billion of two-year notes from Discover Card and $500 million of five-year MBNA paper. Late in the week Citibank was out with $750 million of three-year triple-A and $200 million of five-year triple-B notes, which were set to price Friday. Also, Providian Financial brought its first "Gateway" credit card ABS of 2002, featuring a full Ambac wrap.
Home equity ABS saw continued steady issuance, with GMAC-RFC RASC Centex Corp. and Wachovia Asset Securities Inc. all pricing deals. Aames Mortgage and Freemont General Corp. were marketing and hoping to price Friday. Credit Suisse First Boston was out with a Home equity Asset Trust ABS, backed by acquired collateral. And, in a first, Samsung Life issuance vehicle, Bichumi Global priced a Korean mortgage-backed deal, featuring a full Ambac wrap.
As previously reported, Avis Group Holdings' Chesapeake Funding completed a $500 million fleet lease ABS through Barclays Capital and JPMorgan. The two-year triple-As priced at 30 basis points over one-month Libor, with the 3.2-year triple-As coming in at 41 basis points over.
