ABS market professionals spent much of last week tallying up production from the first quarter. Notwithstanding the typical sluggishness brought about by the opening days of a new fiscal period, volumes were modest.

By press time, market professionals expected to see about $4.5 billion in new securitizations come to market. The pace of issuance was "better than normal," said one market professional.

As for whether the improved deal flow indicated strengthening investor interest in securitization deals the same market professional said: "I wouldn't go that far."

For the time being, the consumer ABS sectors continued to dominate issuance activity. The Chase Issuance Trust Class A, 2008-5, priced its single-tranche, $1.2 billion deal, at one-month Libor plus 90 basis points. JPMorgan Securities handled that transaction.

Nelnet Student Loan Trust, 2008-2, opened up last week by pricing its $467 million deal via Banc of America Securities and Citigroup Global Markets. That transaction is secured by FFELP collateral, but that did not stop investors from demanding robust spreads.

The one-year notes priced at three-month Libor plus 70 basis points, and the five-year notes, also pegged against the three-month Libor, priced at the benchmark plus 120 basis points.

Fitch Ratings, which rated the notes AAA', pointed out that the trust is subject to basis risk. Most of the underlying assets have special allowance payment (SAP) rates indexed to the 90-day commercial paper rate, while the securitized notes are indexed to the three-month Libor.

Further, a portion of the loans in the trust that were originated before April 1, 2006 will benefit from floor income in a declining rate environment.

The credit card sector was also represented last week, with a $909 million transaction from the American Express Issuance Trust 2008-1, for which Banc of America Securities and Lehman Brothers acted as lead managers. The triple-A-rated, senior tranche on that deal priced at one-month Libor plus 95 basis points, while the triple-B-rated notes came in at one-month Libor plus 450 basis points.

Market sources also expected Bank of America to float more than $1 billion in credit card ABS debt last week, but by press time, those transactions had not priced.

In the auto sector, Consumer Portfolio Services (CPS), continued to market its $314 million transaction, but at press time it was unclear whether the deal would price by April 4.

Outside the consumer ABS market, the Willis Lease Finance Corp. completed a $233 million securitization of commercial jet engine leases via the Willis Engine Securitization Trust. Calyon Securities was the sole structuring and placement agent on the deal, which was a private placement. Willis will use the proceeds to repay existing warehouse borrowings.

The CMBS market also came forward with a deal, the $1.8 billion transaction from Citigroup Commercial Mortgage Trust. Aside from Citigroup, Goldman Sachs acted as lead manager for that transaction.

(c) 2008 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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