The U.S. primary ABS market came to life last week to price roughly $13 billion in a pre-holiday rush. Several deals were still making the rounds as of press time Thursday. Home equity volume surged to over $10 billion, more than double last week's volume in the sector.
AmeriQuest Mortgage was in the market with a mammoth $4.17 billion offering off of its Park Place Securities Trust vehicle via Citigroup Global Markets. The 2.54-year Class A3A notes priced at 35 basis points over one-month Libor. Mezzanine classes priced tight, with the double-A rated bonds with a 4.97-year average life clearing 59 points over Libor versus guidance in the low 60 basis points over Libor area. The single-A minus rated class with a 4.82-year maturity came in at 130 points over Libor relative to guidance at 135 points over Libor. Spreads widened down in credit to price the 4.79-year triple-B rated bonds at 210 basis points over one-month Libor versus talk at 195 points over Libor.
GMAC Mortgage tapped the market with a $700 million HELOC transaction via RBS Greenwich Capital. The fixed rate offering came fully wrapped by FGIC, and priced largely in line with expectations. Investors were particularly keen on the 5.10-year Class A6, which priced at 40 basis points over swaps relative to talk in the 45 to 50 basis point range over swaps.
Fremont Mortgage came with a $784.25 million offering via Lehman Brothers. The 2.65-year triple-A rated notes were off the mark at 38 basis points over one-month Libor versus guidance at 30 points over one-month Libor. The Class 3A1 one-year notes priced on target at 15 basis points over Libor. Spreads tightened on the mezzanine notes, with the single-A plus rated 4.64-year notes clearing 95 basis points over one-month Libor, on the tight side of guidance in the 95 to 100 points over Libor area. The 4.62 -year triple-B minus rated subordinates came with guidance at 300 points over one-month Libor.
Bear Stearns hit with a $198.99 million transaction off of its BSABS dealer shelf. The bonds priced with guidance throughout the capital structure.
GMAC-Residential Funding Corp. priced roughly $925 million backed by program exceptions via JPMorgan Securities. The three-year triple-A rated Class A2 notes priced slightly inside of guidance at 27 basis points over one-month Libor versus talk at 28 points over Libor. Once again, investors were hungry for the mezzanine notes and bought the 4.58-year single-A rated notes to clear 110 points over one-month Libor versus talk in the 110 to 115 point over Libor area.
Countrywide Home Loans tapped the market with a $2.3 billion deal, which priced largely on target across the capital structure. The 2.81-year triple-A rated Class 2AV2 hit at 28 basis points over one-month Libor. Meanwhile, the 4.65-year triple-B rated notes were on target at 180 points over Libor.
Credit Suisse First Boston was in the market with its $1 billion Home Equity Asset Trust 2004-8. With the exception of the triple-A rated notes with a 2.4-year average life - which priced just outside of guidance at 39.5 basis points over one-month Libor relative to 39 points over Libor - the offering priced with or inside of expectations. The five-year double-A plus rated notes came in at 58 points over one-month Libor versus guidance at 60 points over Libor. Down in credit, the 4.90-year triple-B plus rated B3 notes priced on target at 180 basis points over Libor.
The credit card sector accounted for the rest of supply, churning out close to $2.8 billion in new issuance. Barclays Capital and Merrill Lynch teamed up as joint leads on two offerings from Providian Financial backed by general purpose loans. The $499.9 million floater was upsized from an initial size of $400 million, and priced tight throughout the capital structure. The 2.98-year triple-A rated notes cleared at 13 basis points over one-month Libor versus guidance in the 13 to 15 points over Libor range. The triple-B rated notes with a 2.98-year average life were inside price talk at 93 points over Libor versus talk in the 95 to 100 basis point area.
The fixed rate offering from Providian was also upsized from an original size of $300 million to $349.9 million. The 2.98-year double-A rated notes priced tight at 29 basis points over Swaps versus guidance in the low-30s basis point range. The triple-B rated notes of the same maturity were also priced inside of talk at 98 points over Swaps versus guidance at 100 points over swaps.
Citibank N.A. was in the market with a $1.18 billion de-linked triple-A rated tranche, upsized from an initial $1 billion, which priced on target with initial expectations at nine basis points over one-month Libor.
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