New issue volume totaled just $7.9 billion in last week's holiday- shortened trading week, but demand - particularly for auto loan ABS - remains strong. Spreads for the two retail auto loan deals to hit last week cleared in the low single-digit levels versus underlying benchmarks and could be playing limbo versus swaps and Libor before the first quarter is through.

Nissan Motor Co., first to tap the market last week, sold $1.3 billion of 2004-A notes via Citigroup Global Markets. One-year senior A2 notes priced at two basis points over EDSF, while two-year A3s priced at two over swaps, each one basis point through guidance. Three-year A4 paper, meanwhile, priced in line with guidance at four over swaps.

Later in the week, General Motors Acceptance Corp. priced $2.03 billion of CARAT 2004-1 notes via Barclays Capital, Credit Suisse First Boston and JPMorgan Securities. GMAC CARAT priced one-year A2 and two-year A3 paper at two basis points each over EDSF and swaps, respectively. Three-year A4s also priced at three basis points over swaps. Down in credit, single-A rated subordinate notes, with a 3.3-year average life, priced to yield 16 basis points over swaps. A $553 million 2a7 eligible money market A1 class was placed privately, and no terms were made available.

Prime motorcycle lender Harley-Davidson Credit priced $625 million of motorcycle loan-backed notes via JPMorgan. While HD 2004-1 did not best the two auto loan deals, it did price through guidance across the board. One-year A1 notes cleared at three basis points over EDSF while 2.9-year A2s priced at four basis points over swaps. Single-A B notes, with a 1.68-year average life, priced at 20 basis points over EDSF, versus guidance in the low 20 basis point area.

Credit card ABS is also approaching their underlying benchmarks at the front end of the curve. The best example of this trend could be seen in the Bank One N.A. three-year triple-A deal in the market late last week via Banc One Capital Markets and JPMorgan jointly. Although it had yet to price as of Thursday's market close, the $1 billion three-year floater was oversold and subject at an offered spread of three basis points over one-month Libor.

American Express priced $800 million of five-year CCABS through Lehman Brothers, seeing tightening in subordinate notes. Senior floaters priced at the tight end, but not through, guidance, coming in at eight basis points over one-month Libor. Single-A and triple-B subs, priced at 25 and 55 basis points over Libor, three and 10 basis points inside of price talk, respectively.

Capital One Financial brought its first senior credit card ABS last week, pricing $500 million of 10-year floating-rate notes via Banc of America and Citigroup. The first 10-year credit card deal priced in line with guidance at 21 basis points over one-month Libor.

AmeriQuest Mortgage unit Argent Securities tapped the market for the third time this year, selling $482 million of partially wrapped 2004-W3 notes via BofA and Deutsche Bank Securities. The wrap had spreads at decidedly un-HEL levels and removed most of the mezzanine bonds from the structure. Aside from the triple-As, investors saw single-A minus, triple-B plus, flat and minus bonds.

The three-year triple-A A2s priced at 22 basis points over one-month Libor and 6.68-year A3s priced at 41 basis points over Libor, prompting market players to not compare ARSI 2004-W3 seniors to other home equity bonds. Triple-B plus notes priced at 145 basis points over one-month Libor, while triple-Bs priced at 180 basis points over and triple-B minus bonds priced at 305 basis points over Libor - all at the wide end of price guidance.

Lehman's SAIL shelf wrapped up its second offering of the year, a $1.7 billion mortgage ABS, of which $591 million was offered to investors. While senior bonds priced in line with guidance, subordinates classes widened five basis points each prior to pricing.

St. Georges Bank issuance vehicle Crusade Global Trust completed $1.5 billion (equivalent) Australian Global MBS via Credit Suisse First Boston. Offering both U.S. and Australian dollar-denominated classes, Crusade priced its $1 billion 2.6-year triple-A floaters at 15 basis points over three-month Libor, in line with guidance in the 15 basis point area.

Still marketing late in the week, although not seen pricing Friday, are a trio of dealer shelf deals from CSFB (HEMT), Deutsche Bank (ACE) and UBS (MASTR). Additionally, Equifirst, a unit of Morgan Keegan, announced a $350 million 2004-1 offering via RBS Greenwich Capital.

Also, Morgan Stanley has a pair of principal finance offerings from its Morgan Stanley ABS Capital trust. MSAC 2004-NC2, the second MSAC of 2004 deal backed by New Century Financial-originated collateral, totaling $728 million and a $1.6 billion MSAC 2004-HE1 deal, backed by a mix of Chase Manhattan Bank and Countrywide Home Loans Inc., are each slated to price this week.

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