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.
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