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.