The U.S ABS primary market had another solid week pricing close to $10 billion in new issue as of press time Thursday evening. Real estate ABS made up roughly half of that volume.

Meritage Mortgage accounted for $1.12 billion of the real estate sector with a traditional home equity floater via RBS Greenwich Capital. The 2.53-year triple-A rated notes priced with guidance at 33 basis points over one-month Libor. Down in credit, spreads tightened slightly with the single-A and triple-B notes both coming five points inside of guidance at 140 and 195 points, respectively.

Morgan Stanley tapped the market for $1.28 billion in subprime MBS from its ABS Capital portfolio acquisition shelf. The triple-B minus subordinates, with a 5.28-year average life widened 40 basis points, coming at 390 over one-month Libor. But in mezzanine bonds, as was the case with Meritage, spreads tightened with single-A and single-A minus subordinates clearing at 120 and 140 basis points over Libor versus expectations of 125 and 145 basis points over, respectively.

Fannie Mae tapped the market with its first home equity guaranty of 2004 - a $691.17 million New Century Financial-originated offering through Bear Stearns. With the exception of a money market tranche, the entire deal was fixed rate and priced well inside standard offerings. The triple-A AI9A, with a 7.5-year average life, priced at 70 basis points over swaps.

Countrywide Home Loans came with a single-tranche $415.7 million HELOC offering, and was on track to price another on Friday. For the second time in one month, the issuer took the unusual step of sharing the lead mandate with RBS Greenwich. The Ambac-wrapped series 2004-D, with a 3.23-year average life, priced on target at 27 basis points over one-month Libor, which is where the series 2004-E 2A deal was seen pricing Friday.

Credit cards had a healthy week with $3.5 billion pricing. Citibank N.A. hit with a $1 billion single-tranche offering. The A3 notes came in line with expectations at seven basis points over three-month Libor.

Bank One N.A. came with two single-tranche deals for a total of $750 million. Earlier in the week, the bank priced a $600 million offering, which was upsized from $500 million. The triple-A rated 6.95-year notes came right on guidance, at 13 basis points over one-month Libor. Meanwhile, a single-A 4.95-year $150 million offering also priced on target at 32 basis points over Libor.

A $1.36 billion series 2004-3 deal from WFS Financial Corp. via Credit Suisse First Boston and Deutsche Bank Securities was the only entrant in the auto sector. The 1.95-year single-A rated B notes tightened to 35 points over EDSF versus guidance of 40 basis points over. The triple-B subordinates also tightened to yield 95 points over EDSF relative to talk in the 105 basis point area.

In addition to plenty of plain-vanilla ABS to choose from, buyers with more exotic tastes also had options. Rockland Electric Co. was in the market for the first time ever with a $46.3 million stranded cost transaction via Citigroup Global Markets. The triple-A rated 8.7-year fixed notes priced in line with guidance at 30 basis points over swaps.

Lehman Brothers led its first deal backed by the legal fees associated with tobacco litigation, the first bank to take on these types of transactions other than Deutsche Bank. The $159 triple-B rated notes priced, as anticipated, to yield 9.25% (see story, p. 11).

Citibank, also issued its third ABS backed by 12b-1 fees, a $170 million Ambec-wrapped single-tranche offering, which priced at 25 basis points over one-month Libor (see story, p. 8).

Copyright 2004 Thomson Media Inc. All Rights Reserved.

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