Last week's issuance haul did not amount to much. Most market participants chalked the persistent slowdown to untenable market conditions that kept issuers and investors out of the fray.
On Monday and Tuesday of last week, though, Claris priced another credit-linked note deal via Societe Generale, which was expected to amount to $30 million and the Small Business Administration Participation Certificates offered a $311 million deal, although the lead manager for that deal was not known by press time.
Aside from that, very little was accomplished last week, as dealers, investors and traders made their way back to their offices after the American Securitization Forum conference in Las Vegas. Despite - and perhaps underscoring - the general sluggishness in issuance, a couple of market participants said that they expected the consumer ABS classes to continue to drive volume going forward.
Between Jan. 31 and Feb. 1, about three deals came to market. Sallie Mae priced a $2.2 billion deal through its SLM Student Loan Trust, 2008-2 platform, shortly before its turbulent week (see story pg. 9). Banc of America Securities, JPMorgan Securities and RBS Greenwich Capital acted as lead managers on the deal, whose 1.25-year notes priced at the three-month Libor plus 30 basis points.
The 9.47-year notes, which garnered double-A ratings from all three agencies, came in at the three-month Libor plus 120 basis points. Those levels were slightly wider than a similar transaction that was completed on Jan. 10.
Citibank came to market with two deals on the last two days of January, which totaled $2 billion in ABS. The 10-year tranche, which secured triple-A ratings from all three agencies, priced at swaps plus 118 basis points. The tranche that priced the next day, also rated triple-A by the three rating agencies, managed to come in slightly tighter than its companion, at one-month Libor plus 115 basis points. Citigroup Global Markets led both transactions.
Aside from the small trickle of deals, UBS highlighted a new structuring technique for Alt-A hybrid deals, which involves carving out ultra high-quality bonds out of the super senior triple-A classes and calling them super duper senior bonds.
"Many investors are reluctant to buy MBS backed by Alt-A collateral including super senior paper, as they fear credit losses," UBS analysts wrote.
In a hypothetical super duper triple-A deal, the bonds have twice the credit enhancement of the super senior triple-A bond and four times the credit support of the straight triple-A bond. After running the structure through hypothetical scenarios, UBS determined that the super duper senior Alt-A hybrids offer great value relative to prime jumbo super senior hybrids and agency hybrids, and virtually eliminate the credit component.
Some market participants, however, were not as delighted with the prospect of the new structure. "I don't think it will be anything big," one trader said. "I don't think anyone is overwhelmed by it."
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