The U.S. ABS market was reasonably active during the short week preceding the Thanksgiving holiday. Close to $3.5 billion was priced during the two days leading up to the mass exodus to the suburbs on Wednesday. Sources expect another two weeks of solid issuance before the December lull sets in.
The real estate sector accounted for the bulk of the activity with roughly $2.8 billion priced. First Franklin Mortgage tapped the market for $810.9 million in traditional home equity ABS via RBS Greenwich Capital. The offering priced in line with guidance throughout the capital structure. The 2.55-year triple-A rated notes were on target at 35 basis points over one-month Libor. Spreads stayed the course down in credit, with the double-A minus mezzanine notes with a 4.53-year average life clearing 80 basis points over one-month Libor. The 4.5-year triple-B plus subordinates came in line with expectations at 250 points over Libor.
AmeriQuest Mortgage priced $1.44 billion in home equity ABS via joint leads Banc of America Securities and Deutsche Bank Securities. The deal priced tight across the credit spectrum. The Class A1 notes with a 2.76-year average life priced at 14 basis points over one-month Libor relative to guidance in the 14 to 15 point range. The three-year triple-A rated notes came in further to clear 28 basis points over one-month Libor relative to talk at 29 points over one-month Libor. Meanwhile, 4.83-year double-A minus rated mezzanine bonds were inside at 68 basis points over one-month Libor versus expectations at 70 points over Libor. The split-rated 4.58-year subordinates were snapped up by investors at 320 basis points over one-month Libor after being initially pegged at 330 basis points over Libor.
BayView Financial came with $548.8 million offering via Lehman Brothers. The 3.64-year double-A rated bonds came inside at 63 basis points over one-month Libor relative to talk at 65 basis points over one-month Libor. The single-A mezzanine notes with a 3.64-year average life also priced tight at 105 points over one-month Libor versus guidance at 110 points over Libor. Down in credit, the triple-B minus subordinates with a 3.64-year average life - absent a rating from Fitch Ratings, the only piece of the capital structure that doesn't carry three ratings - came with guidance at 350 basis points over one-month Libor.
American Capital Strategies was in the market with a $504 million transaction backed by small business loans via Wachovia Securities. The deal priced tight throughout the capital structure, with the 4.24-year triple-A rated notes clearing 32 basis points over three-month Libor relative to talk in the 33 to 35 point area. Spreads tightened further down in credit to price the Class B double-A bonds at 50 basis points over three-month Libor versus guidance at 55 points over three-month Libor.
The market also saw a slew of deals price late in the previous week in a pre-holiday hustle. GMAC Mortgage, Delta Funding Corp., Long Beach Acceptance Corp. and Bear Stearns were all in the market with home equity offerings. In addition, Morgan Stanley priced a $1.6 billion credit card transaction off of the Discover Card Master Trust.
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