The U.S. ABS primary market had another strong week, pricing upwards of $13 billion in new issue for the second week running, with nearly $6 billion more set to price either late last or early this week. The real estate sector continued to dominate with more than $10 billion priced as of Thursday evening.

Countrywide Home Loans Inc. tapped the market twice last week, accounting for nearly half of volume in the sector. On Wednesday, the mortgage lender came with a formidable $3.2 billion series 2004-10 offering. The mixed-collateral deal was primarily senior/subordinate except for a fixed-rate AF5B tranche wrapped by MBIA. The 7.08-year AF5B class cleared at 105 basis points over Swaps, compared to its un-wrapped AF5A counterpart, which priced at 110 basis points over.

The deal priced largely in line with expectations across the credit spectrum. The 6.6-year triple-A rated floating-rate notes priced on target at 50 basis points over one-month Libor, while the 6.26-year triple-A rate fixed-rate notes also came with expectations at 55 basis points over.

There was some widening down in credit on the 4.64-year split-rated MV8 class coming in at 185 basis points over one-month Libor versus guidance in the 180 basis point area over. Also cheapening was the 5.85-year BF notes with that priced at 290 basis points over Swaps after being talked in the 280 basis point area over Swaps.

Countrywide was also in the market with a $1.73 billion HELOC transaction backed by a full Ambac wrap. The 2A class notes with a 2.54-year average life priced slightly outside at 30 basis points over one-month Libor relative to talk in the 29 basis point area over.

GMAC Mortgage was in the market with a $174.91 million fixed-rate FGIC wrapped offering via Bear Stearns backed by high LTV MBS. The 2.42-year A2 notes priced at 62 basis points over Swaps.

New Century Financial came with a $2.4 billion deal via joint leads Citigroup Global Markets and Morgan Stanley. The 5.32-year mezzanine classes all priced on the tight side of guidance. The single-A plus M4 class cleared at 105 basis points over one-month Libor versus talk in the 105 to 110 basis point range, while the single-A rated M5 notes came at 115 points over versus guidance in the 115 to 120 basis point range. Meanwhile, the single-A minus M6 notes came in five points inside of expectations at 130 points over one-month Libor after being talked at 135 to 140 basis points over.

AmeriQuest Mortgage tapped the market for $1.64 billion in senior/subordinated home equity via Deutsche Bank Securities. The double-A classes priced outside of talk, with the 4.92-year double-A plus M1 notes coming in at 70 basis points over one-month Libor relative to talk in the 60 basis point area. The 4.88-year double-A rated M2 paper also widened 10 points outside of expectations at 75 points over one-month Libor after being talked at in the 65 basis point area over. There was widening at the bottom of the capital structure as well, with the 4.81-year triple-B rated notes pricing at 200 basis points over one-month Libor versus guidance in the 190 basis point area over.

Rounding out the mortgage-related sector, U.K. mortgage lender Bradford & Bingley made its first appearance in the U.S. term ABS market with a $765 million offering via Credit Suisse First Boston and HSBC Securities. The 2.96-year 2A3 Class notes cleared at 18 basis points over three-month Libor.

Nelnet Inc. was in the market with a $2.02 billion student loan transaction backed 100% by FFELP loans via Citigroup, JPMorgan Securities and Morgan Stanley. The transaction priced in line with expectations in all classes. The five-year triple-A rated A3 notes priced on target at nine basis points over three-month Libor, and the seven-year A4 notes also priced in line with talk at 13 basis points over Libor.

VW Credit Corp. priced a $1.5 billion 2004-A backed by prime retail leases via joint leads JPMorgan and Wachovia Securities. The 1.05-year fixed-rate A2 notes priced to yield six basis points over EDSF versus guidance in the seven basis point area over. The 1.7-year A3 notes came right in line with talk at 12 over EDSF. The fixed-rate 2.32-year triple-A rated A4A notes came with guidance at 12 basis points over EDSF, while the floating-rate 2.32-year triple-A rated A4B notes were on target at 10 basis points over one-month Libor.

At week's end, UBS was still shopping its first multi-seller home equity transaction off of its MASTR dealer shelf (see ASR 9/20/2004). The 2.64-year triple-A rated A1 notes were being talked in the high 30 basis points over one-month Libor area.

IndyMac Mortgage had a pair of home equity offerings in the queue, a $407 million 2004-B home equity deal and a $500

million HELOC. AmeriQuest also had a $2.7 billion offering from its Park Place Mortgage Securities shelf.

Additionally, Citibank's Hedged Mutual Fund Fee Trust, subprime auto lender Consumer Portfolio Services and time-share financier Sunterra, each had smaller sized deals circulating late in the week.

Copyright 2004 Thomson Media Inc. All Rights Reserved.

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