Merrill Lynch priced a $1.8 billion deal backed largely by prime retail auto loans purchased wholesale from Capital One Financial, Ford Motor Credit Co., E-Loan Inc. and Onyx Acceptance Corp. The deal represents the first auto loan securitization issued by the Merrill Auto Trust Securitization, named MATS 2005-1 and is also Merrill's first auto whole loan deal issued on its own behalf.

The deal priced on top of guidance across the board, with the one-year floating-rate tranche coming in at one basis point over one-month Libor and the one-year fixed-rate tranche pricing at two basis points over EDSF. The two-year fixed-rate tranche priced four basis points over swaps and the three-year floating-rate tranche priced four basis points over one-month Libor. The seven-tranche deal includes five triple-A-rated tranches as well as B and C Class notes.

"There were not a lot of investor concerns on this deal...this was a high FICO, high quality pool," said Michael Blum, managing director with Merrill Lynch. "We do expect other deals to come out [of this trust] - but not necessarily from these same originators or with the same credit quality," added Blum. Blum declined to speculate on when the next deal may hit the market.

The aggregate FICO score of the 138,127 loans in the deal is 733, and the loans are split almost equally between new and used cars. The average seasoning for the pool is 17 months and the weighted average life to maturity is 43 months. 16.32% of the loans are California originations, with Texas comprising the next largest percentage at 11.76%.

Ford Credit and Capital One will retain servicing on their loans and the servicing of E-Loan originated receivables will be contracted to System & Services Technologies, Inc. Onyx currently services its own loans but since Capital One acquired Onyx in January it plans to merge Onyx's servicing system with its own platform, according to a presale report from Fitch Ratings.

When structuring the deal, one consideration for Merrill Lynch was to make sure that each of the four originators made up a relatively equal composition of the collateral, so that it could be treated as Merrill's own deal, said one source familiar with the rating agency process. If one originator had too great a collateral composition in the deal, 60% for example, then one or all of the rating agencies would have required that originator to book the transaction on their account, thereby defeating the purpose of the deal.

(c) 2005 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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