Strictly speaking, the U.S. ABS market did not have a lot to celebrate last week. According to JPMorgan Securities's tally, year-to-date issuance amounted to $290 billion, roughly flat compared to last year. The bank also pointed to weakening fundamentals ahead for the subprime housing market, on top of an expected slowdown because of the threat of inflation.
Still, issuers priced at least $9 billion in issuance at press time, and were expected to price slightly more than $18 billion in new transactions by Friday. Meanwhile, other market players viewed the year-to-date issuance number as a solid sign of progress.
"Despite all the protestations of declining volume, it is not below 2005 levels," said one market professional. "It is marginally up, and June last year was a big month."
Several credit card deals made their way into the market this week, including a pair of five-year deals from AMEX totaling $1.5 billion. The series 2006-1 transaction, benchmarked against one-month Libor, came in at three basis points under the benchmark on the senior tranche, and 27 basis points over on the junior piece.
Chase Manhattan Auto Owner Trust rolled out an $800 million auto loan deal, via JPMorgan. The two-year tranche on that piece came in at four basis points below EDSF, while the most junior piece priced at 10 basis points over swaps.
As usual, the home equity sector churned out the bulk of new ABS issuance for the week. Carrington Mortgage Loan Trust priced a $912 million deal via Citigroup Global Markets. The two-year senior tranche priced at nine basis points over one-month Libor, while the four-year subordinate piece offered huge yield pickup at 500 basis points over the benchmark., Merrill Lynch's Specialty Underwriting and Residential Finance priced a $238 million home equity loan deal, but did not offer the three senior pieces broadly to investors. The three-and-a-half year tranche came in at 15 basis points over Libor, while the most subordinate piece was at 190 basis points over the benchmark. Novastar Home Equity Loan priced a $1 billion deal via RBS Greenwich Capital.
Even late in the game, the ABS market promised huge issuance volume before the week's close. By press time, ever-busy Sallie Mae had submitted a $3 billion FFELP transaction. Earlier in the week, the student loan lender restructured the deal to include 12-year triple-A rated maturities. There was also talk of a $750 million home equity deal from Indymac; the ACE dealer shelf was prepping a $1 billion home equity deal; and Ameriquest was planning a massive $3 billion transaction through the ARSI trust. Wachovia 2006-AMN1 was preparing a $705 million home equity offering; and the $912 million Carrington 2006-NC2 deal continued to be marketed. RBS Greenwich Capital had also announced another home equity deal, the tiny $34.1 million Fremont NIM 2006-A notes. Among more esoteric assets, Michigan Tobacco was in the market with a $496 million tobacco settlement. HEAT was preparing to come to market with an $836 million deal, via Credit Suisse.
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