As market participants recovered from the long holiday weekend, U.S. ABS primary issuance slowed to an indolent trickle. Total volume was a meager $1.8 billion, with only $1.3 billion actually pricing. Analysts expect the calendar to build quickly over coming days as issuers begin to ready their transactions for the market, according to a report from Credit Suisse First Boston.

Real estate ABS led the week with close to $1 billion in total volume, of which $389.3 million had yet to price as of Thursday afternoon. The lone issuer that managed to get something done was Countrywide Home Loans, which came with a $640.6 million series 2004-A HELOC transaction. The floating-rate FGIC-wrapped deal was a reopening of a $1.01 billion transaction that priced in February.

The single-tranche 3.22-year floater priced within guidance, with a discount margin of 26 basis points over one-month Libor versus guidance in the 25 to 26 basis point range. The 2004-A deal, which initially priced at 22 basis points over Libor, priced at a 99.8710 discount. Also of note, RBS Greenwich Capital was named joint lead manager, along with Countrywide Securities.

The student loan sector saw a $400 million offering price from the Pennsylvania Higher Education Authority via sole underwriter UBS. The 100% FFELP deal was made up of roughly 70% consolidation loans, sources said. The triple-A rated 4.78-year notes priced on the tight end of talk at 12 basis points over three-month Libor compared to guidance in the 12 to 13 basis point range.

By contrast, sector benchmark Sallie Mae's most recent FFELP loan securitization, which priced June 23, saw its comparable five-year class at 10 basis points over three-month Libor. The relative tightness versus Sallie Mae was credited to PHEA's role as a top-five student loan servicer, on par with Nelnet and Citibank N.A.

The credit card sector consisted solely of Capital One Financial, which priced a pair of three-year single-A-rated deals via Citigroup Global Markets and Morgan Stanley. The $200 million fixed-rate single-A rated series 2004-B5 transaction came in on target at 30 basis points over swaps, following an increase in size from the initial $150 million in size.

Its three-year single-A rated single-tranche floater companion deal also came in line with guidance at 30 points over one-month Libor, but was kept at the initial $100 million offering size.

Goldman Sachs was still shopping a senior/subordinated $389.38 million traditional home equity deal. The triple-A rated 3-year notes were pegged at 20 basis points over one-month Libor. Expectations have the triple-B rated 4.75-year Class B1 coming at 175 points over.

While issuance volume is expected to pick up over the next three weeks, there was little announced supply marketing in the primary ABS market as of last Thursday. The only known transaction as of late last week was the yet-to-be formally announced credit card ABS slated from inaugural issuer Clout Financial (see story, p. 3). Societe General was prepping investors for the $110 million Ambac-wrapped deal on a roadshow throughout last week, and a formal announcement was anticipated by the middle of this week.

Copyright 2004 Thomson Media Inc. All Rights Reserved.

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