Last week marked another slow session in the U.S. ABS primary market, as August rolled on and the Republican National Convention neared. As of Thursday evening, roughly $4.8 billion in new-issue ABS had priced, while close to $2 billion in mortgage ABS was still making the rounds.
With the FOMC raising short-term interest rates 25 basis points to 1.5% early in the week, and a new set of disappointing employment numbers coming late the week before that, the market had a lot to digest. However, secondary liquidity improved dramatically on Wednesday, the day after the Fed's announcement, according to research from Credit Suisse First Boston. The overall tone of the secondary market remains positive, CSFB analysts said.
Real estate ABS was responsible for the bulk of volume, with about $4.7 billion having priced for the week. AmeriQuest Mortgage had a big week and priced roughly $3 billion in two separate transactions from its new subprime MBS shelf.
The first, pricing Monday, was a $2.89 billion subprime MBS offering via Citigroup Global Markets off AmeriQuest's Park Place Securities Trust vehicle. The series 2004-WCW2 deal widened across the capital structure, with the triple-A rated, 2.40-year notes coming in at 38 basis points over one-month Libor versus guidance in the 35 basis point area over. The one-year triple-A class came outside of expectations at 17 points over, while the 2.7-year triple-A class was four points outside of talk, at 34 basis points over. Meanwhile, the 5.20-year triple-B rated notes priced at 205 points over Libor relative to guidance in the 195 to 200 point range.
Later in the week, AmeriQuest tapped the market again for $982 million in traditional home equity led jointly by Banc of America Securities and Morgan Stanley. The triple-A rated one-year notes were a touch wide at 17 basis points over one-month Libor versus talk in the 16 basis point area over. Down in credit, spreads tightened on the 5.02-year triple-B plus notes, pricing at 190 points over one-month Libor versus guidance in the 200 basis point area over.
Soundview Mortgage was also in the market with $463.4 million in subprime MBS led jointly by RBS Greenwich Capital and Wachovia Securities. The offering priced largely in line with guidance, as both the 2.44- and 6.51-year triple-A rated notes came on target at 16 and 35 basis points over one-month Libor, respectively. The 4.73-year double-A rated notes priced wide at 68 basis points over Libor relative to talk in the 65 basis point area over.
Additionally, Barclays Capital issued $392.5 million of home equity loan-backed notes off of its SABR shelf. The spread on 2.63-year triple-A rated notes was 38 basis points over one-month Libor.
In the equipment sector, Trinity Leasing came in with a $157.6 million transaction backed by railcar leases via Credit Suisse First Boston, completed with a full Ambac wrap. The single-tranche fixed-rate offering came in at 60 basis points over swaps, the tight end of guidance.
At week's end, GMAC-Residential Funding Corp. was still shopping a $600 million mixed-collateral subprime deal from its RASC shelf. The three-year triple-A rated notes were being talked in the 50 basis point area over swaps. Meanwhile, price guidance for the three-year, triple-A floaters was set at 28 points over one-month Libor.
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