The U.S. asset-backed market witnessed modest issuance volumes last week, as the cost of borrowing went up again, and a Federal Reserve survey revealed that Americans were borrowing more heavily than before. Against the backdrop of a one-quarter of a percentage point hike that put the Federal Funds rate at 4.75%, the U.S. asset securitization market issued about $10.5 billion by press time last week.

The Federal Reserve's Triennial Survey of Consumer Income, which assesses consumer income, asset, liability and net worth data, suggested that Americans increased all kinds of borrowings significantly from 2001 through 2004, but that for the most part, they could afford to keep paying off their new debts. Overall, the new level of debt payments to income is compatible with underwriting standards from prime lenders, according to Citigroup Global Markets' Bond Market Roundup: Strategy.

Ratings agency hoist auto ABS

Although no auto loan securitizations priced last week, they were in favor with the rating agencies. Moody's Investor's Service put 65 tranches from 42 auto-loan backed securitizations on review for possible upgrades and Standard & Poor's said it put six Ford deals from 2003 and 2004 on Ratings Watch with positive implications.

Home equity deals stream into market

The home equity segment ramped up billions more in financing to satisfy debt-hungry Americans. Two home equity loan deals kicked off the market on Monday. Societe General placed $628 million in real estate ABS on the market through its SG Mortgage Securities Trust vehicle. Pricing on that deal ranged from eight basis points over one-month Libor on the one-year tranche, to 225 basis points over on the most subordinate piece.

Meanwhile, Credit-Based Asset Servicing and Securitization floated $841 million on the securitization market via Citigroup. That deal's one-year tranche priced at six basis points over the one-month Libor, while the lowest mezzanine tranche came in at 55 basis points over. Fremont Home Loan Trust came to market with a $651 million deal via RBS Greenwich Capital, and also saw its one-year tranche price tightly, at six points over the one-month Libor.

The junior tranche on that deal priced at 825 basis points over the benchmark.

Asset-Backed Securities Corp. Home Equity Loan Trust, a vehicle from Credit Suisse, priced a $950 million deal, as once again, its one-year tranche kept pace with several other peer deals, coming in at six points over one-month Libor.

Home Equity Loan Asset-Backed Trust came out with a $500 million home equity line of credit deal via Lehman Brothers. The two-tranche deal had a two-year piece that priced at 17 basis points over the one-month Libor. GMAC Mortgage Corp. Loan Trust dropped a whopping $1.2 billion single-tranche home equity line of credit deal on the market, with JP Morgan as lead manager. It priced at 21 basis points over the one-month Libor.

Morgan Stanley brought $1.3 billion in home equity loans to market through its trust, Morgan Stanley Capital. The two-year tranche priced at six basis points over the one-month Libor, while the junior piece came in at 205 basis points over. Goldman Sachs came to market with a $595 million deal through its Goldman Sachs Asset Mortgage Product Trust. In that deal, like so many others last week, the one-year tranche priced at six points over the one-month Libor. Merrill Lynch floated $553 million in home equity loan ABS through its namesake Merrill Lynch Mortgage Investors.

Smattering of other asset classes

Countrywide Securities came to market with a $1 billion second-lien deal, with the two-year tranche pricing at 26 basis points over swaps.

Capital One Multi-Asset Execution Trust came to market with the sole credit-card ABS deal of the week, a $500 million transaction that priced at six basis points over the one-month Libor. Deutsche Bank led that deal.

At press time, SLN Student Loan Trust was readying a $2.2 billion transaction; COMET was readying a follow-up card deal amounting to $150 million; BayView Financial Acquisition Trust was preparing a $405 million deal; Long Beach Mortgage Loan Trust was ramping up a $1.1 billion home equity loan deal; and GSAA Home Equity Trust was planning to issue $473 million in home equity ABS.

(c) 2006 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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