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Nelnet catches SLMA at front end

In just its second foray in the public term ABS market, student lender Nelnet Inc. accomplished its goal of pricing on top of sector benchmark issuer Sallie Mae on its short-dated tranches classes of its 2002-2 offering. Out on the curve and down in credit, however, it was another story, pricing wider versus Sallie than it had in May.

With its inaugural 2002-1 offering in May, Nelnet priced one basis point cheap to the comparable Sallie 02-2 at the front end of the yield curve and four basis points outside of SLMA for longer-dated 7.5-year triple-A rated A2 paper. Single-A rated B paper cleared 12 basis points outside of SLMA 02-2 B. Since May, Sallie has altered its structure in favor of four-senior-tranches.

Hoping to play off the strengths of Sallie, Nelnet followed suit and brought a similar four-senior-tranche 2002-2 transaction, which also had an upgraded - but split-rated - subordinated B tranche. The B class was rated Aa3 by Moody's Investors Service and AA- by Fitch Ratings but just single-A plus by Standard & Poor's, versus the Aa2/AA/AA ratings seen for Sallie.

While spreads at the front were in line with Sallie, the long-dated eight-year senior classes of Nelnet 2002-2 finished seven back of Sallie and subs cleared 27 basis points wider than comparable Sallie Mae subs. Unlike Sallie, Nelnet has only brought $2.23 billion of supply to market this year, versus the five ABS offerings SLMA has priced year-to-date totaling $7.9 billion, up 22.3% from the $6.1 billion sold in all of 2001.

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