The U.S. ABS market saw just over $11 billion in new-issue ABS supply last week, ahead of this week's ABS East conference, of which just $8.5 billion had priced as of Thursday's market close. While the home equity sector continued its year-long domination of the primary market, a large student loan offering and a rare aircraft-backed deal were the highlights of the week.

Sallie Mae's $3.9 billion multi-currency series 2004-10 transaction, via Credit Suisse First Boston, consisted of U.S. Dollar, Euro and Sterling-denominated tranches as well as term and rate reset notes. The tightening in the student loan sector was evident with Sallie Mae's tenth securitization of the year. Despite the $38 billion in student loan supply this year, spreads in the sector continue tightening (see story p. 28).

GE Capital's first aircraft securitization of the year, and just its second ever, in the market via Deutsche Bank Securities. The series 2004-1 deal priced in line with price guidance, coming in at nine, 17, and 35 basis points over one-month Libor for one-, three- and five-year triple-A seniors, respectively. Single-A rated B paper, with a 2.45-year average life, priced at 85 basis points over one-month Libor.

Capital One Financial, which also tapped the European market last week, completed a $200 million five-year fixed-rate series 2004-B6 offering via Banc of America Securities. The single-A rated offering priced quickly to yield 34 basis points over swaps.

Although the mortgage-related sector had numerous transactions marketing throughout the week, most were smaller in size and home equity ABS totaled just $6 billion made the rounds and nearly $4 billion had priced as of press time. There were, however, several principal finance shelf transactions were set for a Friday pricing.

The sector's largest offering, a $1.3 billion series 2004-3 deal from Fremont Mortgage priced early in the week via Lehman Brothers. The 1.5-year A2 senior notes priced one basis point inside of guidance at 23 basis points over one-month Libor, with four-year A3 notes pricing at 40 basis points over Libor, in line with guidance.

Saxon Mortgage also brought its third offering of the year, via RBS Greenwich Capital. Saxon's 2.15-year A1 senior notes priced at the wide end of guidance, coming in at 34 basis points over one-month Libor, with three-year A3 seniors also pricing at 34 basis points over Libor.

JPMorgan Chase's CFLAT acquired collateral shelf brought its first Ameri-Quest-originated offering ever last week, a $603 million series 2004-AQ1 deal via JPMorgan Securities. CFLAT's 3.5-year A2 class, talked in the high 30 basis point area, priced at 40 basis points over one-month Libor, with the triple-B rated subordinates pricing at 210 basis points over Libor, versus guidance in the low 200 basis point area.

Maintaining its rapid clip, the year's leading issuer - Countrywide Home Loans Inc. - had a pair of deals in the market last week. In total, both offerings totaled $1.2 billion, a small amount for Countrywide. Pricing early in the week, Countrywide's $509 million series 2004-L HELOC transaction priced with a discount margin of 30 basis points over one-month Libor, in line with guidance. Late in the week, Countrywide Securities was set to price its $797 million 2004-BC4 offering.

Dallas-based homebuilder Centex Corp. was marketing a $300 million series 2004-2 offering via BofA, which was scheduled to price Friday in the low 30 basis point area over one-month Libor for three-year A2 seniors and in the 50 basis point area over for 6.5-year triple-As.

UBS was in the market for the second time in three weeks, pricing a $328 million series 2004-OPT2

deal, largely in line with expectations. The 2.6-year A2 triple-A senior tranche priced at 35 basis points over one-month Libor, right in line with price guidance.

Shopping transactions from in house shelfs as of late in the week were CSFB, which had its HEMT trust as well as a CSFB 2004-AAQ offering.

In total the deals accounted for just over $900 million in potential supply.

Additionally, Bear Stearns was marketing its ninth offering from its shelf to be backed by mixed- originator collateral.

With the double-whammy of the Columbus-day holiday and the IMN ABS East conference slated for this week in Boca Raton, little is seen pricing, particularly early in the week. But as is the case each year, business is seen picking up shortly after the conference concludes.

Copyright 2004 Thomson Media Inc. All Rights Reserved.

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