Only $4.3 billion of new-issue asset-backed supply priced in last week's primary market - just half of the $8.6 billion to be announced throughout the week. Many of the deals needed multiple days of marketing prior to pricing. Two notable exceptions to this came from top-quality issuers Fannie Mae and USAA, which each came and went quickly and tightened prior to pricing.

Mortgage and home equity-related supply continued as the leading asset class last week, making up $7.25 billion of the supply making the rounds and $2.9 billion of the issues that actually priced. While Fannie Mae and AmeriQuest Mortgage each had billion-dollar offerings and GMAC-RFC had three offerings in the market - only one of which priced as of Thursday - totaling over $1.3 billion.

The only other asset class represented was the auto loan sector, with three trades pricing for a total of $1.4 billion. Oddly, each of the three deals were the first ABS of the year for the respective issuers, including one first-time ABS issuer. Triple-A rated military financial services provider USAA entered for its yearly foray into the market and Hyundai Motor Credit added its first ABS of the year. Indianapolis-based United Fidelity Bank completed its first securitization after cheapening significantly offered spreads.

In credit cards, Capital One Financial's new issuance trust made the rounds with subordinated classes, but pricing is scheduled for this week at the earliest (see story p. 11).

Late in the week, Fannie Mae came to market with $1.17 billion of series 2002-W11 Countrywide Home Loans Inc.-originated subprime mortgage-backed notes via Countrywide Securities. Thanks to the Fannie Mae wrap, spreads came in line with premarketing levels, with the slight exception of the 6.46-year AF6 class that priced to yield 64 basis points over swaps, versus talk in the 60 area. The 2.49-year triple-A rated floating-rate class came in at just 17 basis points over one-month Libor, something only Fannie could achieve.

GMAC-RFC, with offerings last week, each with different mortgage-related collateral, priced $300 million of RFMS II HI-4 high loan-to-value paper via Bear Stearns and was set to price on a $433 million RFMS HS3 home equity and $570 million of notes from its RAMP shelf, via Salomon Smith Barney and JPMorgan Securities, respectively.

Left over from last week, Deutsche Bank's ACE Securities shelf completed the $729 million home equity offering, following the restructuring of the A2 tranche and the addition of a partial surety wrap.

The A2 class, initially $101 million of 2.35-year triple-A rated notes, were split equally into separate 2.35-year A2-A and A2-B classes, the latter with a MBIA wrap added. The guaranty was evident in the execution, as the wrapped class priced at 38 basis points over one-month Libor versus the 43 basis point print over Libor for the unwrapped triple-A class.

AmeriQuest Mortgage had completed roughly $1.2 billion of the $1.3 billion 2002-C home equity ABS, that featured a partial Freddie Mac FSPC T-49 wrap. Banc of America and Salomon are joint lead managers for AMSI 2002-C.

The $612 million prime auto loan ABS from USAA, as expected, was a total blowout. Led by Bank One Capital Markets and Deutsche Bank, strong demand drove spreads for one-, two- and three-year supply in two basis points from initial price talk, but still outside of the levels achieved by top-tier issuers during the middle of the year.

One-year A2 notes priced at 10 basis points over EDSF, while two-year A3 and 3.26-year A4 also each all priced to yield 12 basis points over comparable swaps. All three tranches tightened two basis points from initial price guidance, disseminated upon the deal's announcement.

By contrast, Hyundai saw its strongest demand down in credit, as the double-A and single-A classes tightened versus guidance. Offering investors a 10 and 17 basis point discount for one- and two-year triple-A paper still came in with absolute yields under 3.00% for the issuer. Barclays Capital and Banc of America split the book on Hyundai.

First-timer United Fidelity tapped City Securities - also a newbie to ABS - for a prime auto loan ABS that cheapened significantly prior to pricing. Despite a full FSA wrap, spreads for the money-market 2a7 eligible A1 class cleared at 68 basis points over three-month Libor, from guidance in the 19-29 basis point area. The 1.34-year A2, initially offered at 50-60 basis points over an interpolated Libor curve, priced at 120 basis points over and 3.21-year A3 notes priced at 115 basis points over swaps, versus talk initially set at 58-60 basis points over.

Still marketing late in the week, aside from the aforementioned GMAC-RFC deals, include a $950 million HELOC from Wachovia Asset Securities Inc., $650 million of Countrywide Home Loan Inc. closed-end second lien-backed 2002-S3 notes and Goldman Sach's GSAMP Trust, with a $452 million home equity deal, backed by WMC Mortgage-originated collateral.

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