The U.S. primary ABS market was relatively subdued last week, pricing roughly $7.5 billion in new issues heading into the winter conference season. The home-equity sector dominated the calendar, accounting for $5.1 billion of total volume as of Thursday's market close.
GMAC-RFC came with a $975 million offering backed by program exception MBS via RBS Greenwich Capital. The fixed-rate three-year triple-A rated notes priced on the tight side of guidance at 18 basis points over swaps versus talk in the 18 to 20 basis point range. Spreads gapped out on the AI6 senior notes, with a 6.59-year average life, which priced at 45 points over swaps relative to guidance in the 40 to 43 basis point range over swaps. The fixed-rate MI4 mezzanine class priced in line with indicative levels, with the 6.59-year notes hitting on target at 195 basis points over swaps. The 4.17-year MII2 floaters priced within guidance at 80 points over one-month Libor versus talk in the 80 to 85 basis point range. Further down in credit, the triple-B plus rated floaters also priced in line with guidance at 150 basis points over Libor.
Credit Suisse First Boston tapped the market for $1 billion off of its HEAT dealer shelf. The double-A plus M1 class, with a 4.6-year average life, cleared at 43 points over one-month Libor versus talk at the 45 basis point area over Libor. Spreads held firm throughout the capital structure, with the single-A minus M6 class coming in at 83 points over Libor as opposed to guidance at 85 basis points over Libor. The 4.10-year triple-B rated subordinates came on target 225 basis points over one-month Libor.
Northern Rock plc. priced $3.19 billion in the U.S. market backed by U.K RMBS. Barclays Capital, Citigroup Global Markets and Merrill Lynch shared the mandate. The 4.63-year senior class A4 priced inside at 10 basis points over three-month Libor relative to talk in the 11 basis point area over three-month Libor. Down in credit, the triple-B rated 5.25-year notes cleared at 23 basis points over three-month Libor versus talk in the 23 to 25 basis point range over three-month Libor.
In credit cards, The Metris Companies was in the market with a $52.8 million single-tranche offering via joint leads Banc of America Securities, Barclays Capital and Deutsche Bank Securities (see related story, p.12). The 1.73-year class cleared 325 basis points over one-month Libor.
The auto sector was slow last week compared with the rapid pace of issuance set in preceding weeks. World Omni Financial was the sole auto issuer to tap the market with a $799.9 million transaction via CSFB and Merrill Lynch. Spread levels in the sector remained at historical tights, with the 2.10-year triple-A rated notes coming in flat to swaps.
Sallie Mae was in the market with its first deal of the year with a $1.54 billion offering backed by FFELP loans via Morgan Stanley. The three-year triple-A rated class priced outside of talk at one-basis point over three-month Libor relative to guidance set flat to Libor, The longer-date seniors with a 7.9-year average life came inside at eight basis points over three-month Libor versus expectations in the nine basis point area over three-month Libor. Meanwhile, the double-A rated B class, with a 8.99-year notes priced inside at of guidance at 20 basis points over three-month Libor versus talk in the 23 to 25 basis point range.
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