The U.S. primary ABS market was relatively slow last week as the bond market took the day off on Thursday in observance of Veteran's Day. As of the market's close on Wednesday, total new issue volume was at roughly $5.2 billion but several deals were expected to price on Friday.
During the early part of the week, real estate ABS held its place at the top to price over $3.2 billion, relative to $4.5 billion the week prior. Countrywide Home Loans was in the market with a roughly $1 billion HELOC offering. The transaction came fully wrapped by XLCA, marking the monoline's first HELOC venture (see related story, page 1). Both classes, each with a 2.55-year average life, priced in line with expectations at 30 basis points over one-month Libor.
Finance America tapped the market for roughly $530 million in subprime MBS via lead manager RBS Greenwich Capital. The triple-A rated 2.39-year notes priced just outside of guidance at 40 basis points over one-month Libor versus talk at 39 points over one-month Libor. Down in credit, mezzanine bonds priced with or inside of guidance. The double-A plus M1 notes with a 4.62-year average life cleared 58 basis points over one-month Libor relative to expectations at 60 points over Libor. The class M3 notes with a 4.53-year average life also came inside at 68 basis points over one-month Libor relative to talk at 70 points over Libor. The 4.51-year M4 notes priced tight at 92 basis points over Libor versus guidance at 95 points over Libor. Notably, all three rating agencies took a different credit stance on the M3 and M4 classes, with Standard & Poor's taking the most conservative position in both instances. Fitch Ratings took the opposite view and assigned the highest rating, while Moody's Ratings Service stood firm on the middle ground.
Down in credit, the notes came in line with guidance, with the triple-B plus rated 4.49-year notes coming in on target at 170 basis points over one-month Libor. Fitch Ratings again took the high road and parted ways with the other rating agencies to assign these notes a single-A minus rating.
RBS Greenwich made another lead showing on the $510 million Popular ABS Mortgage Trust 2004-5 offering from Equity One ABS. The transaction came in line with guidance across the credit spectrum. The 2.20-year triple-A rated notes cleared on the tight side of guidance at 38 basis points over one-month Libor relative to talk in the 38 to 40 point over Libor range. The double-A rated mezzanine class with a 5.87-year average life was on target at 110 basis points over one-month Libor. Further down in credit, the triple-B rated 2.08-year notes came with guidance at 165 basis points over one-month Libor. The 1.67-year B3 subordinates were on target at 240 points over one-month Libor.
Fieldstone Mortgage tapped the market for $863.4 million in senior/subordinated subprime MBS via lead manager Credit Suisse First Boston with its Fieldstone Mortgage Investment Trust 2004-5 offering. The triple-A rated 1.88-year seniors priced at 33 basis points over one-month Libor. Down in credit, the split-rated class M2 with a 3.74-year average life priced with guidance at 115 points over one-month Libor. Spreads gapped out on the 3.62-year M4 notes, which priced at 180 basis points over one-month Libor versus talk at 175 points over Libor.
Chase Manhattan Bank N.A. tapped the market for $331.87 million off of its Chase Funding Loan Acquisition Trust vehicle, backed by loans originated by Option One Mortgage. The 3.77-year double-A rated notes priced at 36 basis points over one-month Libor. The single-A minus class M3 bonds cleared 125 basis points over one-month Libor relative to talk in the 120 to 125 point over Libor area. The 4.47-year triple-B- minus subordinates priced at 290 basis points over Libor versus guidance in the 285 to 290 point range.
The auto sector was good for roughly $1.14 billion in new issue in a single fixed-rate transaction backed by prime retail loans from USAA Federal Savings Bank. The offering was joint led by Deutsche Bank Securities and Wachovia Securities. The transaction came in tight throughout the capital structure. The one-year triple-A rated notes priced one point inside at one basis point over EDSF relative to talk at two points over EDSF. Meanwhile, longer dated triple-A notes with a 2.01-year average life priced flat to Swaps versus guidance at one point over Swaps.
In the equipment sector, GE Capital Corp. came to market with $839 million backed by agricultural and construction collateral off of its GE Commercial Equipment Financing Trust shelf via Deutsche Bank Securities and Morgan Stanley. The one-year triple-A rated class priced tight at one basis point over one-month Libor versus talk at two points over Libor.
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