Accredited Home Lenders is in the market with its first-ever senior/subordinated offering this week, a $998 million fixed- and floating-rate transaction via Lehman Brothers. The third securitization of the year features 25 tranches and offers investors exposure to just about all areas of the investment-grade credit spectrum and ABS yield curve.
Accredited has completed two wrapped deals thus far in 2004, a $504.8 million series 2004-1 deal via Morgan Stanley on Feb. 10 and a $688 million series 2004-2 via Lehman Brothers on May 26, both of which were wrapped by Ambac. Additionally, Accredited has backed the $170 million ABFC 2004-HE1 transaction led by Banc of America Securities and 20% of the self-led $200 million Terwin Mortgage Trust 2004-2SL that priced on Feb 26.
For full details, see below:
Accredited Mortgage Loan Trust 2004-3
Seller: Accredited Home Lenders Inc. Amount: $997.53 million Sector: real estate ABS
Class Amount MDY/S&P/FTC Avg. Life Benchmark Guidance
1A1 $69.20 Aaa/AAA/AAA 1.00y EDSF +45bp A
1A2 $18.36 Aaa/AAA/AAA 2.00y Swaps +50bp A
1A3 $48.16 Aaa/AAA/AAA 3.00y Swaps low60bp A
1A4 $24.09 Aaa/AAA/AAA 5.00y Swaps +105bp A
1A5 $31.02 Aaa/AAA/AAA 7.83y Swaps +115bp A
1A6 $21.2 Aaa/AAA/AAA 6.52y Swaps +60-65bp
1M1 $9.83 Aa2/AA+/AA 6.16y Swaps +135bp A
1M2 $7.99 A2/A+/A+ 6.16y Swaps +175bp A
1M3 $6.52 Baa2/BBB+/BBB+ 6.16y Swaps +205bp A
1M4 $2.46 Baa3/BBB/BBB 6.16y Swaps +375bp A
1B $1.84 NR/BBB/BBB- 6.16y Swaps n/a
2A1 $310.3 Aaa/AAA/AAA 2.14y 1ML n/a
2A2 $42.95 Aaa/AAA/AAA 7.31y 1ML high 50bp
2A3 $120.8 Aaa/AAA/AAA 1.00y 1ML +15bp A
2A4 $109.1 Aaa/AAA/AAA 3.00y 1ML low 30bp
2A5 $49.42 Aaa/AAA/AAA 6.87y 1ML low 50bp
2A6 $23.08 Aa1/AAA/AA+ 5.16y 1ML high 50bp
2B $15.38 NR/BBB/BBB- 5.06y 1ML n/a
2M1 $21.15 Aa2/AA+/AA+ 5.15y 1ML low 60bp
2M2 $12.31 Aa3/AA/AA 5.14y 1ML high 60bp
2M3 $19.23 A2/A+/A+ 5.14y 1ML +115-120bp
2M4 $10.0 A3/A/A 5.13y 1ML +140bp A
2M5 $7.69 Baa1/A-/A- 5.12y 1ML +185bp A
2M6 $7.69 Baa2/BBB+/BBB+ 5.12y 1ML +195bp A
2M7 $7.69 Baa3/BBB/BBB 5.12y ML +350-375bp
Credit Enhancement: sr/sub Manager: Lehman Brothers
Notes: n/a; Collateral: home equity
