The U.S. ABS primary market priced roughly $6.2 billion in new issue as of last Thursday's market close, about half of the volume churned out the preceding week. The auto sector had another active week pricing over $2.8 billion. Despite being fed $8 billion in auto supply the week prior, investors showed no signs of being sated (see story, p. 9).
Benchmark issuer American Honda Finance came with its first deal of 2005 via Barclays Capital and Deutsche Bank Securities. The $1.3 billion offering priced at similar levels to last week's record tights in the sector. The one-year triple-A rated notes hit in line with guidance to yield one basis point under EDSF, while the two-year class A3 notes, priced on the tight side of talk at two points under swaps relative to guidance in the one to two basis point area under swaps. The longer-dated seniors, with a 3.26-year average life, cleared flat to swaps, one point inside guidance of one basis point over the benchmark.
WFS Financial tapped the market for $1.55 billion backed by nonprime loans via Credit Suisse First Boston and Deutsche Bank Securities. The senior/subordinated transaction, which went down to the triple-B level, priced in line with expectations across the credit spectrum, with spreads coming in towards the bottom of the capital structure.
The two-year triple-A rated class came within guidance at five basis points over EDSF. The class A4 notes, with a 3.26-year average life, cleared at 10 basis points over swaps, also in line with guidance. Down in credit, the single-A rated mezzanine class, with a 1.94-year average life, priced as expected at 20 basis points over EDSF. The 1.88-year triple-B rated notes, talked in the 60 basis point area, tightened to yield 58 basis points over EDSF.
The home equity sector accounted for close to $2 billion of volume priced, with close to $5 billion still circulating. GMAC-RFC priced a $708 million offering backed by subprime MBS via CSFB and captive underwriter RFC Securities. The three-year senior class priced on target at 11 basis points over one-month Libor. The A3 notes, with an 5.99-year average life, were also in line at 34 basis points over Libor relative to talk in the low to mid-30s.
The 4.46-year M1 class was also with guidance at 45 basis points over Libor relative to talk in the mid-to-high 40 basis point area. The split-rated M3 class with a 4.25-year average life was on target at 83 basis points over one-month Libor compared with guidance in the low 80 basis point area. The 4.22-year triple-B rated subordinate bonds cleared at 140 over Libor versus guidance in the 140 to 145 range. Standard & Poor's rated the bonds triple-B plus in a departure from both Fitch Ratings and Moody's Investor Service, which each rated the class one notch lower. The 4.20-year M6 class came in wide at 225 basis points over Libor versus talk in the low 200 basis point area over Libor range. The 4.07-year subordinated were on target at 700 basis points over one-month Libor.
Aames Mortgage came with a $1.17 billion 2005-1 offering via joint leads Bear Stearns and RBS Greenwich Capital. The three-year triple-A rated notes priced slightly outside of guidance at 26 basis points over one-month
Libor relative to expectations in the 23 basis point area over Libor. The 2.07-year senior class came
on target at 31 points over Libor compared to talk in the low-30s. The split-rated M2 class, with a 4.33-year average life, priced within guidance at 50 basis points over one-month Libor. Down in credit, the 4.25-year double-A minus rated M5 class cleared at 80 basis points over Libor. The 4.21-year M9 class came in wide at 250 basis points over one-month Libor versus talk in the 235 to 240 basis point range over Libor. The triple-B rated notes - rated only by S&P - priced at 750 basis points over one-month Libor.
The credit card sector saw its first offering of 2005, a $892 million deal from the Discover Card Master Trust vehicle via Morgan Stanley. The 3.16-year triple-A rated notes priced on target at one basis point over one-month Libor, with the 3.24-year single-A rated B class clearing at 15 basis points over Libor relative to talk in the 13 to 15 basis point area over Libor area.
Saxon Mortgage Inc., Equity One Inc. and Northern Rock Plc had deals awaiting pricing.
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