Details continued to emerge last week of a ravenous bid for car loan collateral from BMW, the U.S. unit of luxury automaker Bayerische Motoren Werke. The $1.6 billion BMW 2003-A was greatly oversubscribed, pricing at the tightest levels seen this year.

According to sources, the separate tranches were oversubscribed as much as 1.5 to nearly 3.5 times. Seeing the rush, investors employed the appropriate strategies to try and gain their share of the assets. The tight spreads seemingly deterred nobody.

As BMW usually comes to just market once a year - and is backed by loans to higher income borrowers - the assets are seen as crme-de-la-crme and a way to diversify outside the standard prime auto demographic. Investor response last week seemed to verify this view, while further demonstrating preference for high credit assets in today's ABS market. BMW is said to have drawn about 70 investors, a very nice buy book and international distribution.

"We did participate in the transaction even though the levels were so tight because their performance is outstanding," said a buyside source.

The $380 million, .31-year A1 class came in at five under four-month Libor, at par, with a yield of 1.27%. The $455 million one-year A2 class came at EDSF plus four basis points, just under par with a yield of 1.456%, while the $470 million two-year A3 class came in at swaps plus three. Benched on the international swaps, the $286.9 million 3.11-year A4 class came in at two over, while the $32.7 million 3.32-year A5 class came at 33 over.

As the numbers disseminated from bookrunners Banc One Capital Markets and Citigroup, at least a few analysts argued this deal could be the tightest print ever for auto ABS. It was reported that BMW would use proceeds from the deal to help pay $2.4 billion in debt coming due this year. Banc of America Securities, JPMorgan Securities and ABN Amro are listed as co-mangers on the transaction, which will settle on April 29.

Copyright 2003 Thomson Media Inc. All Rights Reserved.

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