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.