The week back from the Thanksgiving holiday proved to be a relatively slow one in the U.S. ABS primary market, leaving investors with just over $6.1 billion in new issues to digest as of last Thursday evening.
The auto sector accounted for the bulk of activity with more than $3.2 billion priced for the week. General Motors Acceptance Corp. was in the market with a $2.57 billion transaction backed by prime retail loans via Credit Suisse First Boston, Lehman Brothers and SG Corporate & Investment Banking. Notably, Dominion Bonds Ratings Service made its first appearance on a U.S. auto deal (see related story on opposite page). The fixed rate transaction came largely in line with expectations, with the 2.75-year triple-A rated A3 notes pricing on target at three basis points over Swaps. The triple-A notes with a two-year average life were slightly inside at one point over Swaps versus guidance at two points over swaps.
Capital One Financial tapped the market for $650 million in prime loans via joint leads Banc of America Securities and Citigroup Global Markets. The offering priced tight across the credit spectrum. The 2.10-year triple-A rated notes cleared at two basis points over swaps versus talk in the two to three point over swaps range. The 3.22-year senior notes hit at three points over swaps versus guidance in the three basis point area over swaps. Down in credit, the split-rated subordinates priced at 14 basis points over swaps relative to talk in the low to mid-teen area over swaps.
The real estate sector saw just over $2 billion price, with a single $1.2 billion transaction from First Franklin Mortgage via Barclays Capital accounting for most of the volume. Investors exhibited a hearty appetite for the First Franklin paper. The three-year senior notes priced at 27 basis points over one-month Libor versus talk in the 28 basis point area over one-month Libor. The longer-dated seniors with a 6.56-year average life also came inside of guidance set at 44 basis points over Libor versus talk in the 45 basis point area over Libor. The spread tightened further on the 5.24-year mezzanine class with the bonds clearing 107 basis points over one-month Libor versus talk in the 110 basis point area over Libor. The 5.23-year subordinates also came inside of guidance at 162 basis points over one-month Libor versus guidance at 165 basis points over.
IndyMac Mortgage was in the market with a $729.6 million offering jointly led by Deutsche Bank Securities and RBS Greenwich Capital. The three-year triple-A rated notes priced inside of guidance at 27 basis points over one-month Libor relative to guidance in the 20 to 30 basis point range over Libor range. The 6.99-year seniors saw similar demand and priced tight at 43 basis points over one-month Libor versus talk in the 45 basis point area over Libor. Down in credit, spreads also held firm to price the 4.92-year mezzanine notes at 95 points over Libor versus guidance in the 100 to 105 point range.
Citibank N.A. was the sole issuer in the credit card sector with a $750 million delinked offering backed by its credit card portfolio. After an increase in size from the initial $500 million, the ten-year triple-A rated series 2004-A8 tranche cleared at 12 basis points over swaps relative to guidance in the 12 to 13 point range.
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