The U.S. ABS primary market priced $13 billion last week as the market slowed slightly going into the closing weeks of the year. The calendar was, as usual, dominated by real estate-related deals, but last week it was unusually so, as only one auto deal and two credit card deals made it on the board to mix things up.
This week's issuance leader in the market was Hertz Corp. with $4 billion in rental car fleet lease ABS priced. In two separate $2 billion deals from the Hertz Auto Financing Trust, the company completed the much-awaited ABS portion of its leveraged buyout. The deals were led by a who's-who roster of ABS underwriters including Lehman Brothers, Deutsche Bank Securities, Merrill Lynch, Goldman Sachs and JPMorgan Securities.
The deal had fixed- and floating-rate tranches, with a three-year floater pricing at 14 basis points over one-month Libor, and the three-year fixed-rate class pricing at 14 basis points over swaps. The three-year fixed- and floating-rate portions each priced at 20 basis points over swaps and one-month Libor respectively, and the 4.72-year fixed- and floating-rate tranches also priced evenly at 25 basis points each. The 2005-1 deal was wrapped by MBIA and the 2005-2 deal was wrapped by AMBAC.
First Franklin Mortgage had a $1.87 billion home equity transaction in the market via Merrill Lynch. The one-year tranche of the deal priced at nine basis points over one-month Libor, the three year priced at 26 basis points over one-month Libor, the six-year at 33 basis points over one-month Libor. The double-A plus rated 4.6-year tranche priced at 45 basis points over one-month Libor, while the two double-A rated 4.5-year tranches priced at 47 and 50 basis points over one-month Libor, respectively.
AmeriQuest Mortgage brought a whopping $1.8 billion home equity deal to market via Credit Suisse First Boston and Deutsche Bank. The one-year tranche of the deal priced at eight basis points over one-month Libor, the two-year tranche priced at 17 basis points over one-month Libor, the 3.25-year tranche at 23 basis points over one-month Libor and the 6.6-year tranche at 33 basis points over one-month Libor.
The leading credit card transaction in the market was a $1.65 billion issued by Chase Manhattan Bank, N.A. The single-tranche deal was three-years in duration and priced at one basis point over one-month Libor. Chase also had another credit card deal in the market, a $700 million, five-year deal that priced at four basis points over one-month Libor.
New Century Financial was in the market in a big way with a $1.4 billion securitization of home equity loans led by Morgan Stanley. The one-year tranche of the deal priced at eight basis points over one-month Libor, the two-year tranche at 17 basis points over one-month Libor and the 3.25-year tranche at 23 basis points over one-month Libor. The 4.72-year double-A plus rated tranche priced at 45 basis points over one-month Libor, while the double-A rated 4.63-year tranche priced at 47 basis points over one-month Libor.
GE Capital Corp.'s mortgage lending unit priced a $1.3 billion home equity deal led by CSFB. The deal was the mortgage lending unit's second ever securitization and priced a one-year tranche at 10 basis points over one-month Libor. The two-year tranche priced at 17 basis points over one-month Libor, the three-year at 25 basis points over one-month Libor and the six-year tranche priced at 32 basis points over one-month Libor. The double-A plus, five-year tranche priced at 44 basis points over one-month Libor, while the double-A 4.76-tranche priced at 45 basis points over one-month Libor.
Barclays Capital priced $976 million worth of home equity securities from its SABR shelf. The three-year tranche of the deal priced 24 basis points over one-month Libor, the 6.62-year tranche at 32 basis points over one-month Libor, the double-A plus, 5.31-year tranche at 43 basis points over one-month Libor and the 5.29-year, double-A tranche at 45 basis points over one-month Libor.
Merrill Lynch put $844 million worth of home equity bonds into investor's hands. The two-year tranche of the deal priced at 33 basis points over one-month Libor and was un-rated by Moody's Investors Service. The three-year tranche of the deal priced at 26 basis points over one-month Libor and the 5.5-year tranche priced at 36 basis points over one-month Libor.
Not to be outdone, Bear Stearns had one of its own home equity deals in the market, an $820 million deal with a one-year tranche priced at 10 basis points over one-month Libor and the three-year tranche priced at 25 basis points over one-month Libor. The 5.82-year tranche priced at 39 basis points over one-month Libor.
Always an entrant in the home equity sector, Countrywide Home Loans was in the market last week with a $696 million home equity deal. The one-year tranche priced 10 basis points over one-month Libor, the three-year tranche at 27 basis points over one-month Libor and the 6.6-year tranche at 35 basis points over one-month Libor.
SoundView Mortgage priced a $500 million securitization of home equity loans led by RBS Greenwich Capital. The one-year tranche priced at 10 basis points over one-month Libor, the two-year at 20 basis points over one-month Libor, the three-year at 23 basis points over one-month Libor, the six-year at 35 basis points over one-month Libor and the double-A rated 4.5-year tranche priced at 47 basis points over one-month Libor.
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