© 2024 Arizent. All rights reserved.

Quarter-end, Fed and July 4th slow U.S. ABS primary

After setting a vigorous pace to close out the second quarter, the U.S. ABS primary market slowed considerably last week, pricing just under $5.3 billion. Slowed by issuers' desire to complete quarter-end funding before the Fed's 25 basis point rate hike last week, issuance slowed to $5 billion total volume, of which real estate ABS accounted for about $4.2 billion. The Independence Day holiday likely did not help the cause.

Capital One Financial was the sole non-mortgage issuer to come last week, with a $750 million credit card ABS via Banc of America Securities and Lehman Brothers. The three-year, triple-A, series 2004-A6 deal priced at four basis points over three-month Libor, in line with guidance.

A single $1.07 billion transaction from First Franklin Mortgage made up almost one-quarter of the real estate ABS sector for the week. The senior/subordinated floater via RBS Greenwich Capital pushed the limits of indicative levels with the triple-A rated 2.79-year notes pricing at 36 basis points over one-month Libor, within talk in the 35 to 36 point range. The 2.77-year class priced at 38 basis points over one-month Libor just outside of guidance in the 36 to 37 point range over Libor.

Credit Suisse First Boston came with an $824.96 million offering off its HEAT shelf that saw mixed performance down in credit. The single-A rated 4.9-year notes came in at 120 basis points over one-month Libor compared with talk at 115 points over. Further down the ratings spectrum, the spilt-rated (Baa1/BBB+/A) B1 notes came in at 185 points over one-month Libor, in from guidance in the 195 basis point area over Libor. Also, the triple-B minus B3 notes tightened to 445 basis points over Libor, in from talk in the 450 basis point area.

CSFB made another appearance as lead on an $812.01 million offering from Aegis Mortgage Corp. The triple-A rated senior notes came in wide with the 2.53-years pricing at 36 basis points over one-month Libor, versus talk in the low to mid-30s and the 6.28-year A2B senior class at 55 over, after going out with talk in the 50 basis points area over. Once again, pricing tightened on the subordinate classes with the triple-B rated 5.01-year notes coming in at 210 points over one-month Libor compared with guidance of 215. The triple-B minus B3 class priced 435 points over versus guidance in the low to mid-400 area.

Countrywide Home Loans, the unlikely star of second-quarter league tables, hit with a $449.96 million subprime MBS offering (see related story, p 1). The triple-A rated 2.22-year notes priced outside of talk in the low to mid-30s, clearing at 38 basis points over one-month Libor. The triple-B rated 4.28-year notes were on target at 190 basis points over one-month Libor, while the triple-B minus notes priced at a discount with a 300 basis point margin to Libor.

Barclays Capital came with its third-ever offering from its SABR shelf, a $376.33 million deal backed by loans originated by Decision One Mortgage, the first-ever stand-alone pool from the lender. The 5.3-year single-A notes priced just outside of talk at 130 basis points over one-month Libor versus guidance in the 125 basis point range. The triple-B 5.29-year B2 notes, however, were on target at 220 basis points over one-month Libor.

Morgan Stanley also tapped the market for $731.9 million of principal finance acquired collateral-backed notes. The double-A rated 5.33-year M1s came in at 62 basis points over Libor versus talk in the 60 basis point area. The triple-B minus B3 subordinates priced at the tight end of talk in the 450 to 475 point range at 450 points over Libor.

Copyright 2004 Thomson Media Inc. All Rights Reserved.

http://www.thomsonmedia.com http://www.asreport.com

For reprint and licensing requests for this article, click here.
ABS CDOs
MORE FROM ASSET SECURITIZATION REPORT