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.