The ABS primary market generated $11 billion in new issuance to open the final quarter of 2005, the same volume as the week before. The Jewish holidays may have served to dampen volume slightly, as many in the market observed the holiday, and next week may see a similar effect with the week shortened by Columbus Day and Yom Kippur.

The largest deal to price on the week was a $2 billion nonprime auto loan deal from Capital One Financial led by Banc of America Securities and Wachovia Securities. The $364 million money-market tranche of the deal priced flat to five-month Libor, the $469 million, one-year tranche of the deal priced at four basis points over EDSF, one basis point tight to guidance, the $660 million two-year tranche of the deal priced at six basis points over swaps, and the $253.5 million 3.42-year tranche priced flat to guidance at 12 basis points over swaps. Finally, the floating-rate $253.5 million tranche priced five basis points over one-month Libor. The deal was backed by a full FGIC wrap.

Morgan Stanley priced a $842 million Discover Card Master Trust credit card deal, its second of the year. The $800 million four-year triple-A rated A tranche of the deal priced at three basis points over one-month Libor, flat to guidance, and the $42 million, single-A rated B-class tranche priced at 16 basis points over one-month Libor, also flat to guidance.

Also in the credit card sector was Chase Manhattan Bank with a $600 million, five-year deal that priced at one basis point over swaps, in line with guidance. Additionally, Capital One also priced a $325 million, 10-year triple-A rated credit card deal that priced at nine basis points over one-month Libor, also flat to guidance. Deutsche Bank Securities was the sole lead on the deal.

In the home equity sector, Centex Corp. priced a $980 million fixed- and floating-rate deal via RBS Greenwich Capital. The $101 million, one-year tranche of the deal priced at 21 basis points over EDSF, one basis point wide of guidance, the two-year tranche of the deal priced at 21 basis points over swaps, two basis points tight to guidance, and the three-year tranche priced at 33 basis points over swaps, flat to guidance. The five-year tranche of the deal priced at 55 basis points over swaps, flat to guidance, and the 6.5-year tranche of the deal priced 85 basis points over swaps, also flat to guidance.

There was a healthy amount of supply left on the table as of press time. Of those deals, First Marblehead Corp. had the largest of the week, with a $1.67 billion, student loan deal backed by FFELP collateral, which had launched, but was slated to price Friday. Joint leads on the deal were Deutsche Bank, Goldman Sachs and JPMorgan Securities. The $213 million, two-year tranche of the deal was being talked in the eight basis point area over one-month Libor, the $415 million, four-year tranche in the mid-to-high teens over one-month Libor, the $302 million, seven-year tranche of the deal in the low 20 basis point area over one-month Libor.

College Loan Corp. was marketing a $1.4 billion student loan deal, also backed by FFELP collateral, led by Citigroup Global Markets, Goldman Sachs and UBS. The $300 million, three-year tranche of the deal was being talked at one basis point over three-month Libor, the $481 million, six-year tranche was being talked in the 10 to 11 basis point range over three-month Libor, the $200 million, 10-year tranche was being talked in the 12 to 13 basis point range over Libor, while the $363 million, 15-year tranche was being talked in the 18 basis point area over three-month Libor.

UBS was marketing an $891 million deal from its MASTR issuance vehicle, led by UBS and backed by Alt-B mortgage collateral. Carrington Mortgage also had a deal in the market, an $850 million home equity deal led by Bear Stearns. The deal was being talked in the low 20 basis points over one-month Libor range for the $313 million, two-year tranche. The three-year tranche was talked in the 28 basis point area over one-month Libor, while the 5.4-year tranche of the deal was being talked in the 38 to 40 basis point range over one-month Libor. The double-A plus rated 5.3-year subordinated tranche was being talked in the 47 basis point area over one-month Libor, while the 4.7-year, double-A rated tranche was being talked in the 49 basis point area over one-month Libor.

SoundView Mortgage was marketing a $476 million home equity deal led by RBS Greenwich. Lehman Brothers was shopping a $400 million home equity deal from its SASCO dealer shelf, with its $186 million triple-A rated 1A1 tranche talked at 27 basis points over one-month Libor. The double-A rated 4.72-year tranche was being talked in the 175 basis point area over swaps, while the single-A rated 4.72-year tranche was being talked at 250 basis points over swaps. The deal was rated only by Standard & Poors.

Finally, Merrill Lynch was shopping a $113 million deal backed by scratch-and-dent collateral. The one-year tranche of the deal was being talked in the 15 basis point area over one-month Libor, the 4.8-year tranche was being talked in the 70 to 75 basis point range over one-month Libor range. The double-A rated five-year tranche was being talked at 63 to 65 basis points over one-month Libor, while the single-A rated five-year tranche was being talked in the 125 basis point area over one-month Libor, and the triple-B rated tranche was being talked in the 600 basis point area over Libor.

(c) 2005 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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