For a brief moment, January threatened to turn into a lollygagging month for ABS issuance, shortened by two holiday workweeks and the pending American Securitization Forum conference in Las Vegas. Then the AmeriCredit Corp.'s $1.2 billion transaction, secured by auto loans, came roaring across trading desks.
"The thing that was most surprising was the pricing on the AmeriCredit auto deal," said one professional, because its subprime collateral achieved spread levels close to that of prime auto loans. The transaction helped get the week going, and banished any lingering fears of the liquidity issues that closed out 2006.At least $8.5 billion in deals were expected to price or were announced last week.
Wachovia Securities and Barclays Capital acted as lead managers on the AmeriCredit deal, and with credit enhancement in the form of a wrap from XL Capital Assurance, the tranches walked away with triple-A ratings from all three rating agencies on the one, two and three-year notes. The short-term notes were rated P-1/ A1+/F1+ from Moody's Investors Service, Standard & Poor's and Fitch Ratings. The issuer got slim pricing for the notes, as well, with the short-term notes coming in at Libor minus four basis points, and only going as wide as nine basis points over swaps on the two-year tranche.
JPMorgan Securities, Lehman Brothers and UBS acted as co-managers on the transaction.
Banc of America delivered a $400 million credit card transaction. The Bank of America Credit Card Trust priced at swaps plus six basis points on its single tranche, a triple-A rated piece.
The three other deals that priced last week, as of press time, came from the HEL sector, and enjoyed a lot of demand from investors. The $789 million via Merrill Lynch's Specialty Underwriting & Residential Finance came to market, with its 0.99-year tranche coming in at six basis points over the one-month Libor. The 4.58-year piece came in at 175 basis points over the same benchmark.
Citigroup Global Market's home equity loan deal, the Citigroup Mortgage Loan Trust, came to market with its one-year piece pricing at six basis points over the one-month Libor. Moving down the structure, spreads went out a little wider, with the two-year tranche pricing at 10 basis points over, until the biggest jumps in yield emerged at the triple-B level, where the deal's paper went for 190 basis points on the 4.21-year piece.
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