Activity slowed in the U.S. ABS primary market last week, as many participants were an industry gathering hosted by Standard & Poor's in Orlando. Just over $5 billion of supply priced in late-to-develop trading that saw all asset classes represented, albeit sparingly. Roughly one half of the week's supply came in one issue, the sixth student loan ABS from Sallie Mae.

Sallie's $2.2 billion 2003-5 deal, via three-way joint lead managers Credit Suisse First Boston, JPMorgan Securities and Morgan Stanley, priced in line with price guidance, after being held up in order to finalize overseas accounts buying the E640 million ($554 million equivalent) 10.8-year A5 tranche. The transaction was backed by 100% FFELP-guaranteed loans.

Spreads for the U.S. tranches came in in-line with expectations, with the one-year A1 pricing at one basis point over three-month Libor, three-year A2 at three over and five-year A3 at 10 basis points over, respectively. Seven-year paper cleared at 21 basis points over three-month Libor and the 10-year European tranche came in at the wide end of talk, pricing at 27 basis points over three-month Euribor.

Thus far in 2003, Sallie Mae has sole $8.2 billion of student loan-backed paper, including one private loan-backed trade (2003-A) and accounts for the lion's share of the $12.5 billion in student loan ABS supply seen this year.

One credit card offering came to market, a $1.25 billion fixed-rate deal from Citibank N.A., which was subsequently increased in size by 25%. The single-tranche triple-A A6 class, with a five-year average life, priced to yield 10 basis points over comparable swaps, or 2.946%.

Although, as of press time, no auto-loan deals had priced, the sector was seen experiencing hefty supply in the remainder of this month, after just $2.7 billion of supply in the first month of the second quarter. Late last week, a $400 million deal was circulating from Onyx Acceptance Corp., via Merrill Lynch, featuring a full MBIA wrap. This is the second new issue of the year for Onyx, after having sold $400 million of XL Capital wrapped 2003-A paper in January via CSFB.

Sources expected auto supply to spike this month, with WFS Financial reportedly gauging investor interest as well as a pair of Japanese captive lenders heard planning deals, although neither could be confirmed.

It was unclear last week whether or not WFS would seek a surety, or test investor's wills with a senior/sub structure. The $1.35 billion 2003-1 deal via Salomon Smith Barney (now called Citibank), came sans guaranty.

Home equity supply totaled just $1.68 billion on three transactions, none of which was mammoth in size. The largest came from CSFB vehicle ABSHE, with AmeriQuest Mortgage and GreenPoint Bank offering mid-sized deals. Additionally, BayView Financial, in the market with its 2003-C transaction for weeks, completed its $257 million deal backed by B and C rated subprime mortgages.

The ABSHE 2.6-year A2 triple-As priced at 35 basis points over one-month Libor, out from initial guidance in the 30 basis point area. The five-year triple-B tranche priced in-line with guidance, clearing at 400 basis points over one-month Libor.

AmeriQuest completed its 2003-AR2 deal via Banc of America Securities, also pricing its 2.7-year senior bonds at 35 basis points over one-month Libor. The AMSI triple-Bs widened, however, pricing with a coupon of 468 basis points over one-month Libor.

GreenPoint, which had yet to price, was in the market with a $290 million HELOC deal, the issuer's first of the year. Sporting a 2.4-year average life, the single-tranche floating-rate deal was being marketed in the 28 basis point area over one-month Libor, with pricing seen late last or early this week via Lehman Brothers.

BayView 2003-BC3, introduced in mid April, priced after cheapening its subordinated tranches. With the 2.8-year triple-As pricing at 50 basis points over one-month Libor - in line with guidance - the double-A minus rated M2 class, with a 5.8-year average life, priced 25 basis points wider than initial guidance, at 200 basis points over one-month Libor. Single-A plus bonds, also with a 5.8-year average life widened 75 basis points and single-A minus M4 paper moved out 100 basis points, pricing at 375 basis points over Libor.

Looking ahead, Northern Rock plc's Granite Trust 2003-2 U.K. mortgage-backed offering in the market via joint leads Lehman and Merrill is slated to price this week. The $2.6 billion (GBP1.6 billion equivalent) deal wrapped up a roadshow last week, sources said, and price guidance was made available. The largest tranche, $1.1 billion of one-year triple-A 1-A1 notes were talked in the 10 basis point area versus three-month Libor.

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