A heavy slate of mortgage-related issuance, with $2.375 billion from GMAC-RFC, made up the lion's share of the roughly $5.3 billion in asset-backed supply last week. Auto loan and credit card deals, were conspicuously absent last week, with just one consumer asset-backed deal, $200 million of card collateral from MBNA.
Coming off a record first quarter of issuance, GMAC-RFC started the final quarter of the month on the same fast clip it has been on throughout the entire year, pricing a $2 billion subprime mortgage-backed RASC 2002 KS4 and a $375 million high LTV second-lien RFMS II 2002 HI3 RMBS-backed deals last week. The spate of new issues has prompted GMAC-RFC to revise upward its supply estimates to $34 billion from $31 billion.
Both of GMAC-RFC's deals featured AMBAC suretys as well as MGIC PMI backing the underlying collateral. It wasn't surprising then that each priced within expected spread levels.
The first Australian RMBS-backed transaction from Macquarie Bank issuance vehicle Puma Global Trust No. 2 came and went by mid week, pricing the $1 billion 3.3-year U.S. dollar-denominated tranche pricing at 16 basis points over three-month Libor. Deutsche Bank Securities ran the books for the deal, which also had A$63 million of a double-A-rated seven-year tranche that was offered only in Australia.
Puma priced right in line with other foreign RMBS transactions seen this year, as the three-year classes of deals from Granite, Crusade Global and Westpac all priced at 16 basis points over Libor. Medallion Trust priced its three-year tranche one basis point cheap to its counterparts.
While MSDW Capital had yet to price its $946 million home equity-backed offering as of press time, the triple-A and double-A rated classes were expected to due so Friday, with the subs pricing early this week. The 2002-HE1 deal was backed primarily (75%) by New Century-originated collateral, with 1st Franklin and Accredited Home Lenders Inc. loans making up the difference.
MBNA quickly completed $200 million of triple-B-rated funding through Lehman Brothers at a spread of 135 basis points over one-month Libor. The pricing, which came the same day as the announcement, shows the strong investor appetite for index-eligible credit card sub tranches, a point not lost on Banc One Capital Markets in its most recent ABSolute Value. "The bulk of the money in the credit card sector seems to value secondary liquidity more than either outright yield or credit rating alone," Banc One notes. "Given the choice between buying AAA rated ABS from (an off the run issuer) or single-A rated ABS from (a top tier issuer) at the same level, a growing number of investors would chose the lower rated bond."