Walled in between the widespread perception of contagion in the financial markets and a long list of announcements of writedowns and layoffs, securitization industry professionals found themselves confronting another quiet week of productivity.

Citigroup Global Markets lined up a couple of auto ABS transactions, which were both expected to price on Friday.

As news circulated about Barclays Bank's write downs and executive shake-ups, market sources were saying that the bank would also cease trading MBS paper. Barclays is not the only bank to decide to pull back from MBS trading, say sources, who added that Washington Mutual might also pulled the plug on such trading, as it comes under the heat of a fraud probe (see story, page 18).

Despite all of this, Banc of America Securities was busy marketing its own MBS, a transaction from the WMC trust. The deal counts as the second MBS to come from the bank in as many weeks, and according to sources familiar with the bank, was expected to be its only transaction last week.

Auto Pricings Idle

On the auto ABS side, Citigroup was leading a $1.5 billion transaction with JPMorgan Securities and Goldman Sachs. At press time, DaimlerChrysler Auto Trust (DCAT), 2007-A, was expected to sell a $277 million short-term piece. Guidance on that tranche hovered around three-month Libor plus four basis points.

On longer-term paper, triple-A rated paper, pricing guidance was at EDSF plus 65 basis points for securities with durations of 1.1 year, according to market sources. Guidance levels on securities with longer durations of 2.2 years, but identical ratings, came in at swaps plus 80 basis points. Certainly, those expectations were much different from where similar securities priced last year. Back then, short-term paper priced at Libor minus four basis points, and on 2.2-year paper, securities priced at just one basis point over swaps.

A source familiar with the DCAT transaction blamed a general repricing of bonds following the recent GMAC transaction.

"That was the cheapest we've seen [comparable paper] trade," said one source familiar with both situations. There was an upside, though, he said. Such low pricing levels meant that a lot of investors would take great interest in the newer deals.

Last week, that interest was expected to extend to a $598 million auto transaction from the Triad Automobile Receivables Trust. Citigroup is acting as sole bookrunner on that transaction, which was expected to price on Nov. 16.

Market sources say that Citigroup was able to garner about $5 billion worth of book interest in the deal, a reference to the investor pool that was looking at the transaction, and the amount of assets under their control.

Among other asset classes, Banc of America priced a $150 million credit card deal. Comprising B' notes, the single-tranche, two-year deal came in at one-month Libor plus 51 basis points. That came to market on Nov. 14, according to ASR Scorecard data. Shortly before that, the bank did a $225 million card transaction comprising C' notes. Those triple-B-rated notes came in at one-month Libor plus 125 basis points.

Commercial MBS deals continued to make regular appearances, and last week Credit Suisse offered a $2.7 billion transaction. Credit Suisse, the lead manager, did not include a lot of short-duration paper in the deal, but it was short on pricing details. Its 2.80-year bonds were expected to price at swaps plus 55 basis points, according to guidance.

Paper with 9.9-year durations was being talked at swaps plus 535 basis points.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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