While $6 billion marketed in last week's U.S. ABS primary market, it was a typically slow summer week of issuance. With $3 billion coming in the form of a large auto loan deal and a couple of offerings that made the rounds but had not been completed as of press time, just $5.25 billion of asset-backed supply priced in an anemic market that saw spreads continue to widen in all sectors.
The most interesting offering was not the largest however, as Freddie Mac brought a $1.15 billion resecuritization of a single tranche of a recently priced deal. The FSPC T-45 offering in the market via Greenwich Capital Markets was actually a re-tranching of the $1.2 billion A2 class of the Ambac-wrapped offering from Bank of America's EquiCredit shelf that priced in mid-June.
Likely driven by arbitrage value discovered by Greenwich, Freddie took the class it had purchased discreetly the previous month, and broke it into five Freddie-wrapped triple-A rated fixed-rate classes with average lives ranging from 0.49 years out to 5.5 years.
Spread performance was mixed, despite the agency wrap as the three-year A3 and non-accelerating senior 5.5-year A5 classes moved out five basis points each, pricing at 55 basis points over comparable swaps for both. Fairbanks Capital, which purchased the servicing rights for the EquiCredit portfolio last year, will act as servicer for this deal.
General Motors Acceptance Corp. gave market participants the sense of normalcy, announcing its $3 billion 2002-C retail auto loan securitization last Monday and pricing it Tuesday. Banc One Capital Markets, Credit Suisse First Boston and Deutsche Bank Securities split the book three ways.
The general widening seen of late was evident in this trade, as comparably tenured classes yielded seven to 10 basis points outside of the July 16 American Honda Finance trade that was the last offering to enjoy the continual tightening seen throughout the first half of the year. Two-year fixed-rate spreads came in at 12 basis points over swaps, in from the guidance in the 14 basis point area and three-year paper also priced at 12 basis points over swaps.
A slew of self-led home equity deals were marketed last week, as the whole loan market has offered issuers favorable pricing versus term ABS markets, sources noted. Lehman Brothers' ARC Trust sold $830 million while CSFB's Home Equity Mortgage Trust and Morgan Stanley were each working to wrap up deals as the week closed.
The Option One Mortgage "Woodbridge" offering announced the week before last had yet to price and sources said a slight restructuring was likely and a surety would likely be added.
For the second year in a row FleetBoston Financial has brought its mid-market senior loan collateral to market using a bullet-paying master trust shelf. The ABS/CLO hybrid, led by Morgan Stanley, features a pair of $445 million triple-A seniors, with three- and five-year average lives and is expected to price this week.