The U.S. ABS primary market returned refreshed from the holiday break during the latter half of last week to price upwards of $13 billion as of Thursday evening. Both the home equity and auto sectors started the New Year off strong.

The auto sector outpaced home equities for the week, churning out roughly $8 billion in new paper. Diminished supply and strong technicals combined to produce record tights in the sector, said John Cho, vice president at JPMorgan Securities. Both the one and two year classes of DaimlerChrysler N.A. Holding's $2 billion offering priced within guidance at one basis point under EDSF and swaps, respectively. Citigroup Global Markets and Barclays Capital worked with JPMorgan as joint leads on the DaimlerChrysler deal. The tightest print in the auto sector prior to this transaction had been flat to the benchmark rate, Cho added.

"Last year there was a psychological floor that investors wouldn't breach," Cho said. Spreads in the sector appear sustainable in the near term, Cho added, however, they could widen somewhat with an uptick in supply.

The two other auto deals to hit the market last week cleared at similar levels. Ford Motor Credit came with a $4.59 billion offering via Credit Suisse First Boston and Merrill Lynch, upsized from an initial $3 billion. The Ford offering also sported a one basis point under EDSF print on the 1.9-year triple-A rated class A3 notes. The 0.85-year A2 notes came flat to EDSF. Down in credit, the 3.26-year subordinate class C notes were slightly inside of expectations at 32 basis points over swaps versus expectations in the mid 30 basis point area.

Nissan Motor Credit tapped the market for $1.46 billion via Citigroup Global Markets. The triple-A rated 1.05-year and 2.05-year notes priced flat to EDSF and swaps, respectively. The class A4 notes, with a 3.38-year average life, priced within guidance at one basis point over swaps.

Real estate ABS accounted for roughly $5.6 billion in total volume in the first week of the year. GMAC-RFC priced $240 million in fixed-rate home equity notes, fully wrapped by FGIC, via Bear Stearns. The two-year notes cleared 23 basis points over swaps relative to talk in the mid 20 basis point range. The longer-dated A3 notes were on target at 33 basis points over swaps. The 8.87-year notes came at 90 basis points over swaps versus guidance in the low-to-mid 90 basis point area over.

Bear Stearns was also in the market with its own $1.48 billion deal off of its BSABS dealer shelf. The transaction came in tight across the credit spectrum. The three-year triple-A rated notes cleared at 23 basis points over one-month Libor after being forecast in the 25 basis point area over Libor. Spreads held firm down in credit to price the 4.31-year single-A rated notes at 83 basis points over one-month Libor relative to guidance in the 85 to 90 basis points over Libor range.

Option One Mortgage came with a $1.19 billion offering Banc of America Securities and RBS Greenwich Capital, sans a rating from Moody's Investors Service. The 2.75-year triple-A rated notes came on the tight side of guidance at 33 basis points over one-month Libor relative to guidance in the 33 to 35 points over Libor area. Spreads came in further down in credit, with the 4.61-year single-A plus rated notes clearing at 100 basis points over Libor versus talk in the 110 basis point area over Libor. The class M7 notes tightened 25 points to price at 275 basis points over Libor relative to talk in the 300 basis point area over Libor.

Deutsche Bank Securities priced a $143.7 million real estate deal backed by program exceptions off of its ACE Securities dealer shelf, also without a Moody's rating. The 1.71-year triple-A rated notes were on target at 40 basis points over one-month Libor, while spreads gapped out on the 4.48-year M3 class which hit at 350 points over Libor relative to guidance in the 285 basis point area over one-month Libor.

Morgan Stanley tapped the market for $1.67 billion in traditional home equity off of its Morgan Stanley ABS Capital vehicle. The 2.46-year triple-A rated notes came inside of talk at 31 basis points over one-month Libor versus guidance in the 33 basis point area over Libor. The single-A plus rated mezzanine class with a 4.89-year average life was also inside at 72 basis points over Libor after being talked in the 75 to 80 basis point range. Spreads held firm at the bottom of the capital structure, with the triple-B rated, 4.85-year, notes clearing at 147 basis points over one-month Libor versus talk in the 155 area over Libor.

Copyright 2005 Thomson Media Inc. All Rights Reserved.

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