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Mortgage ABS continues pre-conference domination

Mortgage ABS supply continued to dominate the U.S. ABS primary market last week, accounting for $10.6 billion of the $13.5 billion that priced throughout the holiday-shortened trading week.

Additionally, as of late Thursday, there was another $3.7 billion marketing, $2.4 billion of which was backed by mortgage product.

Spreads have remained tight, as 2.5-year triple-A floaters are close to breaking the sub-30 basis point threshold versus Libor. Subordinates have tightened as well, with all five deals that priced as of Thursday clearing through the 200 basis point threshold at the triple-B level.

Both CDC Mortgage via Morgan Stanley, and Fieldstone Mortgage via Merrill Lynch, priced triple-B rated subs at par with a 180 basis point coupon over one-month Libor, with the remainder of triple-B classes pricing between 190 and 195 basis points over Libor.

The auto loan and credit card sectors, meanwhile, saw sparse supply - just $1 billion total - for the third consecutive week. The manufactured housing sector, however, had the first offering of what is expected to be a lackluster year for MH supply shown to investors.

Surprisingly, it took 21 days for the first auto loan securitization to price, as the previous two auto deals to hit were backed by wholesale dealer floorplan collateral. Ford Motor Credit and General Motors Acceptance Corp. each completed auto loan ABS within the first full week of trading in 2002 and 2003, respectively.

Capital One Financial's prime auto trust, COPAR, hit with a series 2004-1 deal, through joint leads Deutsche Bank Securities and JPMorgan Securities, and it saw immediate demand that had the deal wrapped up within one session.

Most expect the lull in auto and credit card supply to continue through the next two weeks, as the annual winter conferences take the market's focus away from new issues.

Spreads for the $850 million, fixed- and floating-rate offering priced one to two basis points through price guidance. One-year A2 notes priced at five basis points over EDSF, versus guidance in the six to seven basis point area, and 1.9-year A3s priced at six over EDSF. The 3.3-year A4 class priced at 30 basis points over swaps, after being initially offered in the low-to-mid 30 area over.

Capital One also brought a $150 million five-year credit card floater last week via Lehman Brothers. COMET 2004-B2, rated single-A, was seen pricing Friday after being marketed Thursday in the 45 basis point area over one-month Libor.

Mortgage supply, on the other hand, has been on a rampage since activity picked back up in early January.

AmeriQuest Mortgage had two offerings in the market, as did Morgan Stanley's MSAC principal finance vehicle (although neither had priced as of press time). Deutshce Bank's ACE Securities shelf and Credit Suisse First Boston's HEAT vehicle each

priced deals.

GreenPoint Financial priced a $202 million 2.37-year HELOC, backed by a full Ambac wrap at 23 basis points over one-month Libor. Wachovia Securities acted as lead manager on the deal.

Additionally, Northern Rock's Granite Trust completed a $6.5 billion (equivalent) securitization of prime U.K. originated mortgages via the three-way lead of Barclays Capital, Citigroup Global Markets and JPMorgan.

Two of the U.K.'s largest mortgage lenders, Abbey National plc and HBOs plc, are poised to price nearly $15 billion (equivalent) of U.K. mortgage product in the global ABS markets (see related story, p. 1).

Australian mortgage lender ARMS completed a $1.2 billion global Aussie MBS via ABN Amro and Deutsche Bank. Dollar-denominated A1A senior notes, totaling $725 million and with a 2.8-year average life, priced at 21 basis points over one-month Libor. Double-A rated subordinates, with a 5.7-year average life, priced at 65 basis points, also over one-month Libor.

Stil in the market

Yet to price as of Thursday's market close, are AmeriQuest's $1.3 billion AMSI 2004-R1 via Citigroup and CSFB, the aforementioned two MSAC offerings and a $64 million Rule 144A offering from Option One Mortgage's Woodbridge trust.

Manufactured housing lender Origen Financial announced the year's first offering last week, a $200 million fixed-rate offering via Citigroup. Origen, a unit of Bingham Financial Services, hadn't tapped the primary market since March 2002, when it priced $129 million via CSFB.

Sallie Mae's first ABS of 2004, totaling $2 billion, also priced in line with price guidance. Lehman and Morgan Stanley acted as joint lead managers.

Still on track for a January closing is the $1 billion student loan offering from The Arizona Education Authority, which has been making the rounds via

UBS.

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