The U.S. ABS primary market sprung back to life last week, with more than $18.5 billion shopped to investors, covering the four main asset classes. As of press time Thursday, with a few lingering home equity transactions slated for a Friday pricing, the market had already absorbed over $16 billion. As the market has seen in each of the two previous Friday sessions, the possibility always exists for a week- ending de-linked credit card ABS pricing.

In addition to the more than $10 billion of mortgage ABS that hit last week, the market welcomed names back to the market it had not seen in a while, plus a brand new issuer. A pair of student loan titans went head-to-head, while the market stretched its arms around the first unwrapped subprime auto transaction of 2004.

The largest offering came from familiar name Ford Motor Credit, although it had not sold assets from its dealer floorplan issuance vehicle in nearly three years. The $3 billion series 2004-1 offering off the once often-used Ford Credit Floorplan Master Owner Trust received strong investor interest, pricing its three-year senior notes at four basis points over one-month Libor and its three year single-A B notes at 22 basis points over Libor, three basis points inside of guidance.

Earlier in the week, the focus was on auto loan collateral, with DaimlerChrysler N.A. pricing its second offering of the year and Household Finance completing the rare unwrapped nonprime auto loan ABS.

DaimlerChrysler experienced the recent widening spreads in the auto sector, despite the negative supply growth this year. Its series 2004-B offering was led by Citigroup Global Markets, JPMorgan Securities and Morgan Stanley. The one-year A2 notes tightened one basis point to four over EDSF, while two- and three-year A3 and A4 paper priced at five and eight basis points over swaps, respectively.

The previous DCAT offering, which priced back in February, saw the two- and three-year tranches each price to yield two basis points over swaps.

Household's series 2004-1 deal via Barclays Capital, HSBC Securities and JPMorgan Securities priced in line with guidance at the front end, but widened in the two- and three-year classes, clearing at 18 and 29 basis points over swaps, respectively.

This was Household's first unwrapped auto loan ABS since 2001. Household has priced five wrapped deals in the past, alternating between Ambac and MBIA. Initial overcollateralization plus reserve fund was set at 38%, with the final targeted level at 50%, according to Fitch Ratings.

All told, it was a big week of auto ABS supply, which totaled $5.25 billion. Of that, $2.25 billion was consumer loan collateral.

Retailer Charming Shoppes Inc. also returned to the market last week, with its first credit card ABS since November 2002, a $145 million senior/sub deal via Barclays Capital. Five-year triple-As priced at 33 basis points over one-month Libor, in line with guidance, while the single-A subs priced at 95 over. There was a rare double-A M class structured into the transaction, but it was not offered to investors.

As anticipated, Clout Financial completed its inaugural credit card ABS via Societe General (see ASR 6/12/04). The Ambac-wrapped 3.5-year fixed-rate deal, totaling $110 million, priced at 40 basis points over swaps to yield 4.018%.

In student loan ABS, Sallie Mae brought its seventh FFELP guaranteed deal of the year - and ninth overall - topping Nelnet Inc.'s third transaction of the year in all classes but the double-B rated subordinate.

Sallie Mae, which, including 2004-7, has brought more than $20 billion to market thus far in 2004, remains the only issuer to realize sub-Libor execution, pricing its one-year A1 class at one basis point under three-month Libor. Nelnet, by contrast, priced its comparable A1 class flat to three-month Libor.

Nelnet did hold its own, pricing on top of Sallie Mae with its three-year and seven-year classes, and one basis point through Sallie Mae with its double-A B class - 35 basis points over for Nelnet versus the 36 basis points for Sallie Mae.

The mortgage sector continued at a fast pace, as many of the familiar names priced transactions last week. Originator shelves were primarily seen throughout the week, as just $2 billion of the $10 billion marketed was backed by acquired collateral.

Countrywide Home Loans sold $550 million of Encore Mortgage-originated collateral as well as a $415 million reopening of its 2004-D HELOC offering that initially priced in late June. The top class cleared with a discount margin of 27 basis points over one-month Libor.

Morgan Stanley's principal finance trust completed a $1.2 billion series 2004-NC6 deal, its sixth New Century Financial origination-backed deal of the year.

RBS Greenwich Capital brought $300 million of Centex Corp.-originated collateral from one of its shelves, representing the first time the market has seen the Dallas-based homebuilder's loans hit via an investment bank's principal finance shelf.

Programmatic home equity issuers GMAC-RFC and AmeriQuest Mortgage each completed internally originated loan-backed transactions totaling $1.1 billion apiece. Late in the week, Meritage Mortgage was out with its second offering of the year, a $990 million deal through lead manager RBS Greenwich, for which Saxon Mortgage is actingas servicer.

Copyright 2004 Thomson Media Inc. All Rights Reserved.

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