MCM Structured Finance Monitor - Securitization.Net

CorporateWatch's 

Structured Finance Monitor 

Vol. 251, Issue 9 The Global Report on Securitisation from MCM May 2, 2003 

Published Fortnightly 

♦ Global 

• Egg Plc’s Pillar Funding CCABS.......................................3 

• Granite 2003-2 Begins Marketing ......................................4 

♦ Europe 

• M&G Prudential’s Pallas CDO –I ......................................3 

• ADAM/Rendite Finance -2 ..................................................5 

♦ The Americas 

• PIMCO’s Waveland INGOTS Issue ....................................2 

• Aladdin Inv-Grade Synthetic CDO.....................................2 

♦ Asia/Pacific 

• Toyota’s Tune Corp ABCP.................................................6 

• Korean Air Ticket Sales ABS .............................................6 

__________________________________ 

MCM’s Structured Finance Watch provides 

up-to-the-minute coverage of global ABS. For 

information, type MCM4 on Bloomberg; 

14700 on Telerate; SFWAA on 

Reuters; www.e-MCM.com 

OVERVIEW 

Market tone has been of late with investors showing 

increased selectivity. In Europe, key deals included the 

Vela Home RMBS for BNL, Hermes –VI RMBS for SNS 

Bank, and the MBNA Euro denominated 7-year fixed rate. 

In the US, there was a revival of CMBS floating issuance, 

which appealed to European as well as US customers. 

US Public Markets and the Americas 

The US ABS markets found the latter part of April quite 

trying as investors in the fixed income sectors remained 

infatuated with corporate and high yield debt. An anemic 

recovery and a slack employment picture continues to 

lump concerns on the state of US consumer credit. 

While recent upticks in the consumer confidence 

indexes and today's report of a smaller-than-expected 

drop in non-farm payroll employment for April (down 

48,000) provide some balm for the moment, pockets of 

the ABS marts remain somewhat fragile. The only 

exceptions are top-tier paper and mid-to-higher quality 

floating rate bonds. 

"There is a disconnect between corporate credit 

and consumer credit," said a manager for a NYCbased 

management firm that largely focuses on 

corporate debt and structured finance instruments. 

"The credit curve in ABS is very steep while it's come 

in a lot in corporates," he noted, and as a result the 

former is a buy relative to the latter in his opinion. 

SOFTNESS IN REAL ESTATE ASSET BACKEDS 

Real estate ABS seem to be taking on the chin harder 

than most areas. Widening has come in senior bonds as 

well as subordinated tranches. In the latest AmeriQuest 

deal, AMSI 2003-6, via Citicorp Global Markets and UBS 

Warburg, the $94mm class A-F3 bond (triple-A rated, 4.9- 

year average life) was priced to yield 4.23% for a spread 

of S+110bp. In AmeriQuest's deal priced on April 2 nd , the 

spread for similar bonds were priced to yield 4.246% for 

S+95bp. 

Another example came in the RAMP 2003-RS3 

$850mm transaction for GMAC-RFC priced via Deutsche 

Bank Securities. 

The shelf is backed by program 

exceptions and high LTV first mortgages, and is perceived 

as toward the lower end of RFC's various shelves. 

The $34mm class A-I3 bond of 5-years A/L was priced 

to yield 4.56% for S+125bp as initial marketing talk of 

S+115bp area didn't excite investors. This was up from a 

S+118bp spread in the "RS2" deal only a month earlier 

and S+103bp in "RS1" priced in late January. 

♦ ♦ ♦ ♦ ♦ 

At the same time, autos and credit cards still are seeing 

strong interest. Banc One Capital Markets and Citicorp 

led a $1.6bln BMW 2003-A auto ABS. With the strong 

regard investors have for BMW's receivables and the 

company's judicious use of the ABS primary market, a 

strong reception was in the cards. But coupled with an 

issuance respite from the "Big-3" auto finance companies, 

the deal turned into a blow-out with a mere day and three 

hours from announcement to final pricing. Among the 

tranches, the $297mm class A-4 bond of 3.1-years A/L 

entered the market with guidance of interpolated Swaps 

+3-4bp. It was priced at a +2bp spread to yield 2.55%. 

COMET 3YR “A” RATED SUBS = INTERSTELLAR HIT 

In the credit card market, there has been a spate of 

subordinate issues lately and the class A-B spread 

continues to tighten as institutions continue to have an 

appetite for single-A rated paper of top-tier names. 

Barclays Capital was sole underwriter on three-year fixed 

rate and floating single-A rate subordinates for Capital 

One. Capital One Multi-Asset Execution Trust 

(COMET) 2003-B1 was $200mm of FRNs priced at 

1mL+117bp. COMET 2003-B2 was $150mm of fixedrates 

priced at S+125bp. The issues were upsized from 

original sizes of $125mm and $100mm, respectively. 

The pricing was seen as quite generous, especially with 

the backdrop of Bank One a day earlier selling 5-year 

"BBB" rated FRNs at 1mL+114bp. Thus investors in 

COMET were getting an additional 3bps for bond a notch 

higher in rating and two-years shorter in tenor. 

Meantime, American Express came with a $679mm 

offering of 5-year credit card FRNs. All three of Amex's 

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ABS issues this year have been of that type. Banc of 

America Securities and Banc One were joint leads and 

book runners for American Express Credit Account 

2003-3. Its $619mm class A seniors were priced to float 

1-month Libor plus 11bp and the $60mm class B (rated 

"A1/A") came at L+35bp. The class A-to-B spread at 

24bp was down from 26bp (Amxca 03-2) in March and 

29bp (Amxca 03-1) in February. 

BOCM RUBBING ELBOWS WITH THE BIG BOYS ON 

RECENT UNDERWRITING ASSIGNMENTS 

BOCM's joint lead assignment on the new American 

Express issue did not go unnoticed in ABS capital market 

syndicate circles. Only a couple years ago, the securities 

unit of Bank One had to be content with leads on its own 

label deals and an occasion nod from a cadre of 

Midwestern companies with which it had strong banking 

relationships. 

In a short time, BOCM has picked up its ABS 

investment banking efforts and shown a steely 

determination to branch out in various asset classes and 

make inroads with major names, prove its distribution 

prowess and leverage successes to secure business with 

other top flight issuers. BOCM was lead or joint lead 

underwriter on seven deals in April (Amex, BMW, 

Aesop/Avis, MBNA in addition to three "BOIT"s marketed). 

Collateralised Debt Obligations 

* (04/28) PIMCO"S "WAVELAND" -INGOTS CLO - 

JPMorgan Securities has kicked off marketing for a 

Waveland - INGOTS Ltd CLO for PIMCO, market 

buysiders noted. The deal is backed by leveraged loans 

managed by Pacific Investment Mgmt Company, with a 

maximum WARF of 2,300 (between "B1"&"B2") and 

minimum diversity score of 40. 

Key concentration specifications call for 90% minimum 

in senior secured loans, 20% maximum in synthetic 

securities, and 15% maximum non-US issuers. The 

structure for the transaction is non-call 3-years, 5-years 

reinvestment period and 12-year legal final. 

The INGOTS platform is described as a hybrid 

between traditional CLO and JPM"s SEQUIL/MINCS 

methodology; a credit facility provides liquidity to the CLO 

in the event of loan defaults or trading losses. 

The deal is described as follows: 

Size(mm) Cl Mdys/S&P/Ftch Type Cpn/B'mrk 

- $350.00 A-1 Aaa/AAA/AAA DDN 3mL+(TBD)bp 

- $201.75 A-2 Aaa/AAA/AAA FRN 3mL+(TBD)bp 

- $ 14.50 B-1 A2/ A / A FRN 3mL+(TBD)bp 

- $ 10.00 B-2 A2/ A / A FXD Swp+(TBD)bp 

- $ 43.75 C NR/NR /BBB Sub Libor +Exc 

* (04/22) BABSON'S CVSC -II CDO OF CDO'S - The 

Connecticut Valley Structured Credit -II $350mm CDO 

of CDO"s was priced via JPMorgan, b-siders noted. The 

investment manager is D.L. Babson. Collat: inv-grade 

snr/mezz CDO bonds. The pricing was described as 

follows: 

MCM Structured Finance Monitor 

SIZE Cl S&P/MDY A/L CPN YIELD 

- $248.0 A-1 AAA/Aaa 7.3 L+63 L+ 70bp 

- 25.00 A-2 AAA/Aaa 7.3 L+87 L+ 94 

- 6.00 B-1 AA+/Aa1 10.6 L+125 L+125 

- 15.00 B-2 AA+/Aa1 10.6 5.76% 5.760% 

- 18.25 C-1 A-/A2 11.5 L+225 L+275 

13.25 C-2 A-/A2 11.5 6.87% 7.377% 

24.50 PS NR/NR N/A 

5.00 CS NR/NR N/A 

NB: class A-1 carries a surety bond from XL Capital. 

* (04/21) "TROPIC" TRUPS VIA BEAR - The TROPIC -I 

2003 $300mm trust preferred CDO was priced via Bear. 

The deal, say b-siders, priced as follows: 

SIZE:MM CL Mdy/S&P/Ftch A/L PRICING 

- $ 45MM A-1L Aaa/AAA/AAA 6.7 3ML +80 at 100 

- $ 90MM A-2L Aaa/AAA/AAA 10 3ML +90 at 100 

- $ 42MM A-3L Aa1/---/AA+ 10 3ML+130 at 100 

- $ 48MM A-4L A3 /---/A- 10 3ML+185 at 

aprx 99-39/64 for L+190 

- $ 32MM A-4 A3 /---/A- 10 S+190/3ML+190 

(5.134% cpn/yld @100) 

- $ 25MM B-1L Baa2/--/BBB 10 3ML+300 at 100 

- $ 28MM NR 

* (04/17) ALADDIN I/G SYNTHETIC VIA WS - Wachovia 

Securities is said working on an investment grade 

synthetic CDO for Aladdin Capital Mgmt LLC, the 

Stamford, Ct-based investments firm. 

The Aladdin SCDO 2003-I offering is the sixth 

structured vehicle for the firm and the fourth which is 

investment grade. It has a capitalization of $1bln 

($860mm sold as super senior bond) with $140mm in 

offered 5-year securities. The targeted CDS pool is 

targeting a "Baa1" wtd average credit with minimum rating 

of "Baa3/BBB-" for inclusion. The deal is described as 

follows: 

Size:mm Cl Mdy/S&P Exp A/L Rumblings 

- $860 S"Snr Aaa/AAA 5-year Not available 

- $ 40 A Aaa/AAA " " 3mL+low 70's BP 

- $ 42.5 B Aa2/AA " " 3mL+low 90's BP 

- $ 10 C A2/A " " N/A 

- $ 15 D Baa2/BBB " " N/A 

- $ 32.5 PS Non-rated N/A N/A 

Europe Reports 

* (05/02) ELOC 14 NEARS LAUNCH - Hermione (ELoC 

14) Stg326.9mm UK CMBS for Morgan Stanley Real 

Estate Fund (MSREF) nears launch via Morgan Stanley. 

The collateral is a single loan, made by Morgan Stanley 

Bank to Industrious Finance UK Ltd., on 103 industrial 

properties with 1410 tenants and wa-LTV of 74%. The 

expected maturity on all classes is October 2009. 

Size(mm) Cl S&P/Fit/Mdy WAL LTV ICR Guidance 

(yr) 

Stg194.00 A AAA/AAA/Aaa 5.6 50% 2.88X L+ 43 area 

2 

MCM May 2, 2003

US$ 50.00 B AAA/AAA/nr 7.0 58% 2.57X L+ 45 area 

US$ 48.00 C AA/AA /nr 7.0 65% 2.17X L+ 65 area 

Stg 21.10 D A/A /nr 7.0 71% 1.99X L+100 area 

Stg 27.00 E BBB/BBB/nr 7.0 78% 1.78X L+200 area 

Stg 11.89 F BBB/nr /nr 7.0 81% 1.70X N / A 

Stg 11.00 G BB/nr /nr 7.0 84% 1.64X N / A 

This 14th CMBS from Morgan Stanley’s European Loan 

Conduit programme is named after Hermione, the 

daughter of Helen of Troy and king Menelaus of Sparta 

and wife of Achilles. The pricing is expected in early May. 

* (04/30) HVB’S UK CMBS - Lombard Securities 

Stg671mm UK CMBS for HVB is out with price guidance 

via CDC/HVB. The originator and service are HVBREC. 

The capital structure and price guidance are as follows: 

Rating Size (mm) WAL Type CE Guidance 

F/M/S 

(yr) 

AAA STG 150 2.4 fast pay 24% 3mSTG+ 39-40bp 

AAA STG/E289 4.9 slow pay 24 3mSTG+ 42-45bp 

/3m E+ 41-44bp 

AA STG 31.8 7.0 18.5 3mSTG+ 70 area 

A STG 31.8 7.0 soft bullet 13 3mSTG+110area 

BBB STG 43.3 7.0 soft bullet 5.5 replaced 

BB STG 20.2 7.0 soft bullet 2.0 preplaced 

BB- STG 6.0 7.0 soft bullet 1.0 preplaced 

n.r. STG 5.5 7.0 soft bullet -- retained 

It is expected to launch and price in mid May. 

* (04/30) AUSSIE RMBS IN EUROPEAN ROADSHOWS - 

Resimac 03-1 $/Euro Aussie RMBS has commenced 

roadshows in Europe via joint leads BarCap/SG. The 

remaining stops are: Munich Frankfurt today, London on 

Thursday, Dublin on Friday, Brussels/Luxembourg on 5/5, 

Paris on 5/6, Madrid on 5/7, and Oslo on 5/8. 

Collateral: Australian 1st charge prime residential 

mortgages LMI cover 100% (GEMICO:64%, PMI-I:24%, 

PMI:12%), LTV:74.8%, Avg loan A$218,429, Seasoning 

16.8mths, 7,077 loans. Reg S. 

Cl Amount S&P/Mdy CE WAL Benchmark 

(mm) 

28%CPR 

1A EUR 360 AAA/Aaa 48.27% 2.85yr 3mE 

2A US$ 386 AAA/Aaa 48.27% 2.85yr 3mL 

1B A$ * AA-/Aa3 1.73% 4.84yr 3mBBSW 

2B EUR/US$* AA-/Aa3 1.73% 4.84yr 3mE/L 


* (04/29) LARGEST PERFORMING ITALIAN RMBS - 

Late last week, ABN Amro priced, Vela Home SRL, the 

largest performing Italian RMBS for Banca Nazionale del 

Lavoro – proving that there is still strong investor demand 

for such benchmark issues, despite the plethora of Italian 

securitisations this year. 

At Euro 2.2bln, Vela Home, exceeded Intesa 

Securitisation 2, a Euro 2bln Italian performing RMBS 

priced in February of this year. (See tables below for Vela 

Home and Intesa 2 pricing details). 

According to James St.Johnston, Global Head of ABS 

Syndicate at ABN AMRO, “the offering was well received, 

with all tranches oversubscribed.” It was placed with over 

80 accounts from 12 countries, with the strongest demand 

from the following countries: France, Germany, Italy, 

Ireland, Ben/Lux, Spain, UK, US/offshore and 

Scandinavia. 

One senior tranche buyer told us that the benchmark 

issue was a “must have” for his portfolio for “the strong 

collateral, granular static pool with high seasoning and 

low-LTV, as well as the strong structural features, like 

early recognition of defaults [set at 6 months by BNL].” 

“The six month recognition of defaults is far more 

conservative than the guideline issued by the Bank of Italy 

at 2 years, this means that [BNL] has recognized your full 

risk to principal at 180 days” explains William Ross, 

Global Head of ABS Research at ABN AMRO. 

Vela Home Intesa 2 

Size Cl Rtg AL Cpn Size Cl Rtg AL Cpn 

E406 A1 AAA 1.5 +17 

E1841 A1 AAA 3.8 + 28 E1520 A2 AAA 4.6 +28 

E 280 A2 AAA 10 + 34 

E 22 B AA 10.5 + 54 E41 B AA 8.5 +51 

E 44 C BBB 10.5 +145 E61 C BBB 8.5 +145 

* (04/28) PRUDENTIAL’S PALLAS CDO - organ Stanley 

is in the market with Pallas CDO I, Euro 400mm arbitrage 

CDO for M&G Prudential. The transaction, backed by 

European investment-grade senior and mezzanine 

structured finance credits, offers a Euro 357mm triple-A 

tranche, Euro 11.5mm of single-A notes and a Euro 

28.3mm unrated retained layer. 

* (04/30) UK CREDIT CARD - Pillar Funding 03-1 

Stg/Euro/US$ (Stg 500mm equivalent) UK credit card for 

Egg Banking PLC is premarketing via joint leads Banc of 

America and Deutsche Bank. The collateral is VISA credit 

card receivables originated in the UK. The preliminary 

capital structure is as follows: 

Cl Size Type WAL Legal S&P/Mdy/Fitch Benchm’k 

(mm) (yr) 

A1 Eur ** bullet 5.0 May 08 AAA/Aaa/AAA 3mE+ 

A2 STG ** bullet 5.0 May 08 AAA/Aaa/AAA 3mGBPL+ 

A3 $ ** bullet 5.0 May 08 AAA/Aaa/AAA 3M$L+ 

B STG 25 bullet 5.0 May 08 A/A2 /A 3mGBPL+ 

C STG 40 bullet 5.0 May 08 BBB/Baa2/BBB 3mGBPL+ 

**Sized based on demand for a total of STG435mm equiv. 

* (04/28) DELTA LLOYD DUTCH RMBS VIA ABN - 

Arena 2003-1BV E904.5mm Dutch RMBS is out with 

price guidance via ABN Amro. The collateral is annual 

prime Dutch RMBS issuance from Delta Lloyd. WAseasoning 

14.6 months / excess spread guaranteed 

50bps. current LTV (all loans): 106.6%. Current LTV 

allowing for NHG guarantees: 70.72%. 30.3% of the pool 

is NHG guaranteed. 

The capital structure and price guidance are as follows: 

Cl Size Mdy/Fitch WAL Final CE Type Guidance 

(mm) 

(yr) Mat. % 

A1 E530 Aaa/AAA 4.4 May ‘11 5.5 FRN 3m E 

+mid 20’s 

3 


A2 E325 Aaa/AAA 8 May ‘11 5.5 Fixed md sw 

+low 30’s 

B E 32.5 A1/A 8 May ‘11 1.9 Fixed md sw 

+mid 60’s 

C E 12.5 Baa2/BBB+ 8 May ‘11 0.5 Fixed md sw 

+125 area 

D E 4.5 Baa2/BBB 0.66 Aug ‘04 FRN 3m E 

+115 area 

IT is expected to launch and price before the end of the 

week. 

* (04/25) DB UNVEILS EUROPEAN CMBS 

PROGRAMME - DECO 03-CIT Stg 250mm UK shopping 

centres CMBS from Deutsche Bank’s new European 

CMBS programme readies via Deutsche Bank. The 

collateral is a single loan on 11 district shopping centres 

located in England and Wales, with 751 tenants. The 

offering is rumoured to be tranched from triple-A down to 

triple-B, with an expected average life of 5-yrs. 

It is expected to be May’s business. 

* (04/25) AUSTRIAN AUTO LEASE FOR ERSTE- 

Edelweiss Auto Funding Euro 220mm Auto ABS for 

Austrian auto leasing company EBV Leasing is out with 

price guidance via Lehman Brothers. The transaction 

offers a Euro 211.2mm triple-A tranche with 6.4yr WAL is 

seen at 3m E +29 to 33bps and the 8.2yr Euro 8.8mm 

Class B rated A2/A by Mdy’s & Fitch is seen at 3m E 

+60bp area - both due April 2014. 

The collateral consists of 19,964 Austrian lease contracts 

with an average balance of Euro 11,020 and seasoning of 

19 months from EBV leasing, s-Autoleasing and UNIQA 

Leasing - all Erste Bank subsidiaries. It is expected to 

launch and price next week. 


1A1 $ 1121 Aaa/AAA/AAA 0.99 7/2010 FRN 3M L 



1B $ 76.5 Aa3/AA /AA 6.04 7/2043 FRN 3M L 

1C $ 15 Baa2/BBB/BBB 6.04 7/2043 FRN 3M L 

2A E 280 Aaa/AAA/AAA 6-yr 7/2043 FRN 3M E 

2B E 41.5 Aa3/AA /AA 6-yr 7/2043 FRN 3M E 

2C1 E 54 Baa2/BBB/BBB 7-yr 7/2043 Fxd 

2C2 E 62 Baa2/BBB/BBB 6-yr 7/2043 FRN 3M L 

3A Stg300 Aaa/AAA/AAA 7-yr 7/2043 Fxd 

3B Stg 15 Aa3/AA /AA 6-yr 7/2043 FRN 3M L 

3C Stg 18 Baa2/BBB/BBB 6-yr 7/2043 FRN 3M L 

Roadshows begin in Europe on April 30th and in the US, 

on May 5th. Co-mgrs on Series 1: Citi, JPM, UBS. Comgrs 

on Series 2&3 class As: BarCap, Citi, DB, ING, 

UBS. 

* (04/23) NIB’S HIGH YIELD CLO - North Westerly CLO 

I E 367.5mm high yield CLO for, The Acquisition Finance 

Group of NIB Capital, is premarketing via Morgan Stanley 

and NIB Capital. The collateral pool is a portfolio if senior 

loans and mezzanine obligations with a minimum diversity 

score of 28. The capital structure is as follows: 

Amount Cl Mdy/S&P WAL Legal Maturity 

E 7mm I -A Aaa/AAA 7yr May 2016 

E 252mm I -B Aaa/AAA 7yr May 2016 

E 32mm II A2/A 8.5 May 2016 

E 3mm III-A Baa2/BBB 9.5 May 2016 

E 12mm III-B Baa2/BBB 9.5 May 2016 

E 9mm IV –A Ba3/BB- 10yr May 2016 

E 9mm IV –B Ba3/BB- 10yr May 2016 

E 43.5 Sub unrated May 2016 

E 6mm Q Baa3/nr 

E 10mm R Baa3/nr 

It is expected to be May’s business. 

* (04/25) ATHLON DUTCH AUTO LEASE ABS - ING 

continues marketing for Athlon Securitisation BV Euro 

350mm auto lease securitisation for Interleasing 

Nederland. 

The Euro 316.5mm 4.9yr senior tranche, rated triple-A by 

Moody’s and Fitch is seen at 3mE+low 40’s. Also on offer 

is a 6.8yr single-A tranche worth Euro 14mm and an 

unrated Class C layer worth Euro 19.5mm - all with a 

March 2013 maturity. 

The transaction is backed by a 3.5yr revolving pool 

consisting of 25,526 Dutch auto lease contracts to 1,508 

corporate borrowers with wa-maturity of 28.4mths and waseasoning 

of 18.6mths. The deal is expected to launch in 

mid-May. 

* (04/24) STRUCTURE: GRANITE 2003-2 – The $2.6bln 

equivalent UK RMBS has been announced via joint leads 

Lehman and Merrill Lynch. The capital structure is as 

follows: 

CL Size 

(mm) 

Mdy/S&P/Fch A/L LEGAL Type Bench 

* (04/23) FIRST ACTIVE READIES FOR LATE Q2 BIZ - 

Irish lender First Active is returning to the structured 

market for the first time since 2001 with an eighth 

issuance from its Celtic RMBS programme. The deal, 

which should emerge at the end of Q2 is believed to be in 

the Euro 750mm area and will be joint lead managed by 

Barclays Capital, Deutsche and JPM. 

* (04/23) MOMENTUM CDO VIA CAI - Credit Agricole is 

in the market with a Euro 16m mezzanine asset-backed 

note via Momentum CDO (Europe) Ltd 2003-1. 

The single-A rated 5yr bullet tranche is referenced to a 

static pool of 70 European and US corporate obligations. 

The transfer will be achieved by a credit default swap with 

the issuer hedging its exposure to the portfolio through the 

issuance of the notes. 

* (04/22) PORTUGUESE CONSUMER ABS TAP - 

Premarketing has kicked off on BMORE 3, a Euro70mm 

Portuguese consumer ABS tap via Deutsche Bank. 

The capital structure consists of a E61.25mm triple-A 

4 


ated class A with 3.5yr average life, a E 4.9mm single-A 

rated class B with 5.7yr average life and a E3.85mm 

triple-B rated class C with 5.9yr average life. 

BMORE 3 was last tapped in September of last year as 

follows: 

Amount Cl Mdy/S&P WAL Exp’d Legal Priced 

E 43.75mm A Aaa/AAA 4.1yr Sep 08 Jun 12 3mE+ 

32bp @par 

E 3.50mm B A1/A 6.3yr Mar 09 Jun 12 3mE+ 80bp 

@par 

E 2.75mm C Baa2/BBB 6.5yr Mar 09 Jun 12 

3mE+150bp @par 

* (04/17) ADAM MANAGED CASH FLOW CDO -Rendite 

Finance 2 E600mm arbitrage managed cash flow CBO 

for Allianz Dresdner Asset Management International 

(ADAM) is expected to kick of premarketing early next 

week via Dresdner Kleinwort Wasserstein. The collateral 

is primarily fixed rate euro denominated investment grade 

and non-investment grade corporate bonds, emerging 

markets sovereign bonds and emerging markets 

corporate bonds. AMBAC Assurance has wrapped the 

structure, which will consist of three triple-A rated (Moodys 

and S&P) classes. Pacific Investment Management Co. 

(PIMCO) is the Subadviser. 

* (04/17) ITALIAN TELCO ABS READIES VIA CAI Credit 

Agricole Indosuez is prepping a Euro 250mm 

securitisation for Italian telco Wind - part of the utility 

group Enel. The transaction, backed by customers' fixed 

and mobile telephone bills, will offer a single triple-A rated 

tranche. 


priced via Bear/BAS, jnt lds & bks. Collat: 2/3rds retail 

properties. The largest states in the pool are California 

and Texas. Del 5/6 flat. 1st cpn 5/14. 

CL SIZE S&P/MDY/FIT C/S% A/L PRICED 

A1 $306.000 AAA/Aaa/AAA30.71 1.26 L+ 28 PAR 

A2 $250.045 AAA/Aaa/AAA 30.71 2.11 L+ 32 PAR 

B $ 55.594 AAA/ - /AAA 23.78 2.57 L+ 40 PAR 

X1 TBD AAA/Aaa/AAA N/A 

C $ 29.002 AA+/ - /AA+ 20.17 2.69 L+ 55 PAR 

D $ 29.002 AA / - /AA 16.55 2.69 L+ 65 PAR 

E $ 15.084 AA-/ - /AA- 14.68 2.69 L+ 90 PAR 

F $ 10.176 A+/ - /A+ 13.41 2.69 L+125@ 

99.7494 

G $ 9.584 A / - /A 12.21 2.69 L+160@ 

99.4385 

H $ 3.431 A-/ - /A- 11.79 2.69 L+200@ 

99.1012 

* (04/16) SALOMON-CDC OFFERING - The SBMS VII 

2003-CDC1]--$441mm floating rate 144a CMBS via SSB 

(ld/bks), CDC, JPM. Sellers: Salomon Bros Realty, CDC. 

del 4/29. Pxng according to b-side: 

CL AMT:MM S&P/M/FTC SUP'T A/L PXNG(100:) 

A1 76.875 AAA /Aaa /AAA37.2% 1.04 L+ 28bp 

A2 200.000 AAA /Aaa /AAA37.2 1.77 L+ 32 

B 37.700 AAA /----/AAA 28.7 2.60 

L+ 40 

C 15.300 AA+ /----/AA+ 25.2 3.76 L+ 55 

D 14.950 AA /----/AA 21.8 4.79 L+ 70 

E 9.500 AA- /----/AA- 19.7 4.79 

F 7.525 A+ /---- /A 18.0 4.79 

Emerging Markets 

US CMBS 

* (05/02) COLUMN-CDC FLOATERS - The CSFB 2003- 

TFL1 $882mm floating CMBS was priced via CSFB - 

ld/bks, co-mgrs: ML, CDC. Sellers: Column Fincl, CDC 

Mtge Cptl. Servicer: Wachovia. Trustee: Wells Fargo. 

Collat: 7 loans on 16 properties; Types: retail -regional 

malls- 48.1%, office 43%, hotels 5%, multi-family 3.9%. 

Geographical: NY 59.8%, Mass 25.4%, Tx 9.7%, Fla 

5.0%. del 5/7 flat. 

Cl Mdy/S&P Size(mm) A/L(Mat) Sub% Sprd(DM) 

A1 Aaa/AAA $328.0 1.7 46.6% L+ 27 100-00 

A2 Aaa/AAA 328.0 1.9 46.6% L+ 37 100-00 

B Aa1/AAA 21.2 1.9 44.9% L+ 45 100-00 

C Aa2/AA+ 34.8 1.9 42.1% L+ 55 100-00 

D A2/A+ 62.0 1.9 37.0% L+120 98-08+ 

E Baa1/A- 28.0 1.9 34.7% L+180 95-16+ 

F Baa2/BBB 28.0 2.7 32.5% L+210 94-05+ 

G Baa3/BBB- 22.5 2.8 30.6% L+250 91-31 

H ---/BBB- 29.2 2.9 28.2% L+350 88-04+ 

* (04/25) BEAR STEARNS FLOATING CMBS - The Bear 

Stearns CMS 2003-BBA1 $803mm cmrcl mtge FRNs 

Mexico 

* (04/29) CERTIFICADO BURSATILES ISSUE FOR 

HOTEL OPERATOR - Grupo Posadas is in talks to 

return to the market later this quarter with a MP400- 

600mm certificado bursatiles issue via IXE Casa de 

Bolsa. The single tranche offering is expected to benefit 

from a partial guarantee provided by Banco Nacional de 

Comercio Exterior (Bancomext), covering approximately 

50% of principal payments. More information on the 

tentative offering is expected to be available in a few 

weeks. 

Grupo Posadas operates more than 60 hotels through 

out Mexico, Latin America and the US, such as Cesar 

Park, FiestaAmericana and Fiesta Inn. 

* (04/15) METROFINANCIERA PRICED - The Metrofinanciera 

03-1 MP500mm certificado bursatiles issue for 

Metrofinanciera, the seventh largest mortgage Sofol in 

Mexico, has priced via lead manager IXE Casa de Bolsa. 

Metrofinanciera 03-1 has a 5-year expected maturity. It is 

"Aaa.mx" rated by Moody"s and "mxAAA" by S&P on a 

partial guarantee (approximately 19%) from "la Sociedad 

Hipotecaria Federal", a Mexican government-sponsored 

5 


agency similar to the Fannie Mae. It was the first 

structured issue priced at 160 basis points over the Tasa 

FOBAN "Tasa Ponderada de Fondeo Bancario", the daily 

average bank funding rate in Mexico. The final maturity is 

April 15th 2008. 

The proceeds of the issue will be used as bridge loans 

to finance the construction of low income housing within 

Mexico. Metrofinanciera will be the servicer and 

Hipotecaria Nacional will be the back-up servicer. 

It follows last year"s, Metrofinanciera 2002-1, a single 

tranche offering, totaling MP500mm, which priced in 

October of last year at 182 Day CETES +145 basis points. 

Asia/Pacific News Briefs 


the RMBS backed by these housing loans during this 

year. Shinsei issued the RMBS for JPY89.2bn in March 

backed by the housing loans originated by Nihon Home 

finance etc. 

Korea 

* (05/02) KOREAN AIR : TO ISSUE JPY DENOMINATED 

ABS - Korean Air plans to issue JPY denominated ABS. 

Future revenue of ticket sales will be backed. The amount 

of ABS is JPY36bn for 3 years. Korean Air nominated 

KDB & Nomura Sec as the lead manager. It is said that 

Korean Air once tried to issue an ABS in JPY with other 

arrangers. Many ABS in US$ have been already issued. 

However, JPY denominated ABS will be the 1 st issue. 

Australia 

* (04/30) RESIMAC COMMENCES ROADSHOWS - The 

$/Euro Aussie RMBS has commenced roadshows on 

Resimac 2003-1 in Europe via joint leads BarCap/SG. 

The remaining stops are: Munich Frankfurt today, London 

on Thursday, Dublin on Friday, Brussels/Luxembourg on 

5/5, Parison 5/6, Madrid on 5/7, and Oslo on 

5/8.Collateral: Australian 1st charge prime residential 

mortgages LMI cover 100% (GEMICO:64%, PMI-I:24%, 

PMI:12%), LTV:74.8%, Avg loa A$218,429, Seasoning 

16.8mths, 7,077 loans. Reg S. 

Class Amount S&P/Mdy A/L Benchmk 

1A EUR[360]mm AAA/Aaa 2.85yrs 3mE+ 

2A US$[386]mm AAA/Aaa 2.85yrs 3mL+ 

1B A$ [ *]mm AA-/Aa3 4.84yrs 3mBBSW+ 

2B EUR/US$[*] AA-/Aa3 4.84yrs 3mE/L+ 

Japan 

* (04/21) TUNE CORP : TOYOTA MOTOR-RELATED 

ABCP JPY200BN A-1+ RATED - Tune Corp Tokyo 

branch, an ABCP program, was rated a-1+ by R&I. The 

program amount is JPY200bn. Tune Corp will purchase 

the Trust Certs backed by the trade receivables. The sole 

obligor of the trade receivables is Toyota Motor Corp. 

Those companies who have a trade receivables from 

Toyota will entrust the receivables with UFJ T&B or 

SMBC. UFJ T&B or SMBC will create the Trust Certs. To 

purchase the Trust Certs, Tune Corp will be able to utilize 

the overdraft facility of UFJ Bank. However, the overdraft 

facility can not be used for the redemption of ABCP. 

* (04/21) SHINSEI BK : PLANS TO ISSUE MULTI- 

ORIGINATORS RMBS AGAIN - Shinsei Bank purchased 

the Trust Certs for JPY20bn backed by housing loan 

originated by Fukushima Bank. The Trust Certs was 

created with Shinsei T&B. the intention of the purchase is 

to issue RMBS. Shinsei will purchase other housing loans 

originated by other Japanese local banks and will issue 

6 



For more information on MCM products, call 

your nearest MCM office: 

New York 212-509-5800 

London 44-207-378-7273 

Paris 33 (1) 49 70 02 00 

Tokyo 813-5210-2468 

Singapore 65-226-3068 

Hong Kong (852) 2521 3803 

Copyright McCarthy, Crisanti & Maffei, Inc. ("MCM") 2001. 

All rights reserved. MCM obtains information for its analyses from 

sources it considers reliable, but does not guarantee the accuracy or 

completeness of its analysis or any information contained therein. 

MCM and its affiliates make no representation or warranty, either 

express or implied, with respect to the information or analyses 

supplied herein. 

MCM CorporateWatch 

Managing Director: Graham Meikle 

New York analysts, structured finance group: 

John Nash (editor- Structured Finance Monitor), 

Anjela Traboulsi, Andrea Johnson, 

Chris Reich, Jonathan Worraker, Suzanne Juan; 

database services Paul Gulberg mgr; 

London: Andy Hicks, James Grant-Morris; 

Tokyo: Tomoyuki Oikawa, Kuniyoshi Nishimura.. 

Marketing Contacts-- London/Europe: Imogen Hatcher; 

Tokyo: Takashi Takahashi; Singapore: Alfred Lee; Hong 

Kong: Roddy Yan; 

New York: Jay Miller. 

Deals and Data 

(from MCM CorporateWatch electronic wireservice) 

***A note to subscribers: MCM CorporateWatch 

Database Services provides a higher degree of 

completeness & data refinement on an ongoing basis 

of the Deals & Data Section of SFM 

Call Paul Gulberg at (212) 908-4479 for details *** 

spanish rmbs 

04/14 BANCAJA 5 FTA THE EURO 1BLN SPANISH 

RMBS FOR CAJA DE AHORROS DE VALANCIA, 

CASTELLON Y ALICANTE, (‘BANCAJA’) HAS 

LAUNCHED AND PRICED VIA JP MORGAN 

(BOOKRUNNER). BANCAJA IS JT-LEAD. THE 

COLLATERAL CONSISTS OF 15,998 FLOATING 

RATE MORTGAGE LOANS WITH WA-LTV OF 

69.9% AND WA-SEASONING OF 17.6 MONTHS. 

THE GEOGRAPHIC REGIONS WITH THE 

HIGHEST CONCENTRATION IN THE POOL ARE 

AS FOLLOWS: VALENCIA (54.6%), MADRID 

(17.2%), CATALONIA (9.1%), BALEARIC ISLANDS 

(4.4%) AND CANARY ISLANDS (3.9%). 

DETAILS AS FOLLOWS, ALL TRANCHES AT 

PAR: 

AMOUNT CL WAL MDY/S&P/FITCH 

PRICE GUIDANCE PRICED 

E 960.5MM A 5.8YR AAA/AAA/AAA 3M E 

+ 27AREA 3ME + 27BPS 

E 24.5MM B 9.6YR A2/ A /A 3M E + 

65AREA 3ME + 65BPS 

E 15.0MM C 9.6YR BAA2/BBB/BBB 3M E 

+125AREA 3ME +125BPS 

COMMON TERMS: LEGAL FINAL 18 APRIL 2035. 

VALUE DATE 17 APRIL 2003, FIRST CPN 18 JULY 

2003. 10% CLEAN-UP CALL. 

uk cmbs 

04/15 MEADOWHALL CMR FINANCE STG 50MM 

UK CMBS TAP COMPLETED VIA CITI. THE 

TERMS ARE AS FOLLOWS: 

A-1 STG 30MM AAA/AAA 22YR WAL FIXED JULY 

2035 GILTS +47BP 

B STG 10MM A/A 21.2 WAL FIXED JULY 2035 

GILTS +93BP 

C STG 10MM BBB/BBB 4.6 WAL FRN JULY 

2035 LIBOR+193BP 

euro cdo 

04/16 REVISED DETAILS: COPERNICUS II BV 

EURO 258.25MM CDO VIA SOLE ARRANGER 

AND LEAD JP MORGAN AND JOINT-LEAD ING. 

STRUCTURE AND COUPONS AS FOLLOWS: 

7 


CLASS SIZE MDY/S&P/FITCH WAL 

COUPON ISSUE PRICE 

A-1 E 200MM AAA/AAA/AAA 8.0YRS 

3ME+48BPS 100.00 

C-1 E 2MM A-/A- 9.5YRS 

3ME+175BPS 100.00 

C-2 E 10MM A-/A- 9.5YRS Z-COUPON 

UNDISCLOSED 

C-3* E 3MM A-/A- 9.5YRS 6.07% 

100.00 

D-1* E 5MM NR/BBB 10.0YRS 

3ME+275BPS 100.00 

E-1 E 6.75MM NR/BB- 10.0YRS 

3ME+700BPS 100.00 

FINAL MATURITY: APRIL 2018. BACKED BY 

PORTFOLIO OF MAINLY EUROPEAN SECURED 

LOANS AND MEZZANINE OBLIGATIONS 

MANAGED BY ING CAPITAL MANAGEMENT 

LTD.SUB NOTES: EURO 31.5MM, NOT RATED, IP 

PAR; CLASS P RATED A- (S&P/FITCH), IP PAR; 

CLASS S, NOT RATED. SETTLES 24 APRIL, 2003. 

144A ELIGIBLE. 

** REVISED TRANCHES. 

italian mbs 

04/17 GRECALE ABS SRL EURO 202MM ITALIAN 

MBS FOR UNIPOL BANCA HAS LAUNCHED AND 

PRICED VIA LEAD-MANAGER JP MORGAN. THE 

CAPITAL STRUCTURE AND COUPONS ARE AS 

FOLLOWS - ALL TRANCHES AT PAR: 

AMOUNT CLASS FITCH/MDY WAL PX 

GUIDANCE COUPON 

E166.5M A AAA/AAA 3.70YRS E+LOW 

40S 3ME+50BP 

E15M B A1/A+ 5.25YRS E+80-90BP 

3ME+105BP 

EURO20.5M C UNRATED RETAINED NA 

NA 

LEGAL FINAL: APRIL 2032, STEP-UP AND CALL: 

JULY 2008. THE COLLATERAL POOL CONSISTS 

OF 2554 PERFORMING RESIDENTIAL (81.2%) 

AND COMMERCIAL (18.8%) MORTGAGES FROM 

NORTHERN (53.3%), CENTRAL (29.4%), AND 

SOUTHERN (17.3%) REGIONS OF ITALY. THE 

WA- LTV IS 57.7% & SEASONING 15MTHS. 

UNIPOL BANCA LAST CAME TO THE MARKET 

WITH GRECALE FINANCE, A EURO 180MM 

PERFORMING RMBS IN MARCH OF LAST YEAR, 

VIA ABN AMRO. SETTLES: APRIL 25. 

italian mbs 

04/23 CREDIT AGRICOLE INDOSUEZ HAS NOW 

LAUNCHED AND PRICED ROMAGNA FINANCE 

SRL EURO 229.5MM MIXED-POOL RMBS FOR 


THE UNIBANCA GROUP. 

THE TRANSACTION OFFERS A 4.99YR AAA/AAA 

(MDY/S&P) RATED TRANCHE WORTH EURO 

215.5MM WITH A COUPON OF 6ME+43BP AND A 

EURO 14MM A2/A RATED 12YR SOFT-BULLET AT 

6ME+95BP - BOTH TRANCHES AT PAR. THE 

STRUCTURE ALSO INCLUDES A EURO 5.04M 

UNRATED PRIVATELY-PLACED TRANCHE. 

EXPECTED MATURITY AND LEGAL FINAL IS 

APRIL 28, 2015. 

THE COLLATERAL SPLIT IS 75% RESIDENTIAL 

AND 25% COMMERCIAL WITH A TOTAL OF 3,525 

CONTRACTS MAINLY IN THE NORTHERN 

ITALIAN REGION OF EMIGLIA ROMAGNA. THE 

GRUPPO UNIBANCA INCLUDES BANCA DI 

ROMAGNA AND CASSA DI RISPARMIO DI 

CESENA - THE TWO BANKS THAT HAVE 

ORIGINATED THE PORTFOLIO. SETTLES: APRIL 

28. 

italian npl 

04/23 TIEPOLO FINANCE 2 EURO 185MM NPL 

SECURITISATION FOR BP LODI HAS PRICED VIA 

LEAD MANAGER DRESDNER KLEINWORT 

WASSERSTEIN. CAPITAL STRUCTURE AND 

PRICING DETAILS ARE AS FOLLOWS: 

AMOUNT CL MDY/FITCH WAL LEGAL 

GUIDANCE PRICED 

E170MM A AA2/AA 3.3YR 2015 

E+110BP AREA 3ME+115BP @ PAR 

E 15MM B A2/A 4.6YR 2015 E+170BP 

AREA 3ME+185BP @ PAR 

IN ADDITION TO THE PUBLIC TRANCHES, THE 

TRANSACTION IS ALSO OFFERING TWO SERIES 

OF PRIVATELY-PLACED NOTES WORTH EURO 

300MM. BPL’S LAST NON-PERFORMING 

MORTGAGE DEAL, THE EURO 105MM TIEPOLO 

FINANCE SRL OFFERED A EURO 75MM TRIPLE- 

A RATED FRN AND A EURO 30MM DOUBLE-A 

RATED FIXED RATE TRANCHE VIA BNP PARIBAS 

IN JUNE 2001. SETTLES 4/30. 

euro cdo 

04/24 DAPHNE FINANCE 1 EURO 352MLN HAS 

PRICED VIA JNT-LEADS AND BOOKS CAI/CSFB. 

A1: EURO 168MLN, RATED AAA/AAA, 4.75YR 

EXPECTED LIFE. 3M EUR +65BPS CPN AT PAR. 

A2: EURO 20MLN, RATED AAA/AAA, 4.75YR 


B: EURO 75MLN, RATED AA1/AAA, 4.75YR 


C1: EURO 30MLN, RATED A1/AA, 4.75YR 


C2: EURO 15MLN, RATED A3/A+, 4.75YR 

8 



D: EURO 12MLN, RATED BAA1/BBB+, 4.75YR 


E: EURO 33MLN, 4.75YR EXPECTED LIFE. 

** EQUITY RETAINED 84.72MLN ** 

SETTLEMENT DATE 07 MAY 2003. FIRST 

COUPON PAYS 07 JULY 2003. MIN DENOMS 50K. 

aussie rmbs 

04/24 SMHLG 4 US$1BLN AUSSIE RMBS HAS 

PRICED VIA JOINT LEADS CSFB AND DB. THE 

$1BLN, TRIPLE-A RATED BY ALL 3 AGENCIES, 

CLASS A WITH 2.67YR AVERAGE LIFE PRICED 

AT 3M LIBOR + 22BP @ PAR. THE 

SUBORDINATED CLASS WILL BE PLACED 

LOCALLY IN AUSTRALIA. THE EXPECTED FINAL 

IS JULY 2009 AND THE LEGAL FINAL IS 

OCTOBER 2029. CREDIT ENHANCEMENT 

INCLUDES: 100% MORTGAGE INSURANCE, 

SUBORDINATION, LIQUIDITY RESERVE OF 

(0.25%) AND EXCESS SPREAD. SETTLES 5/1/03. 

1ST CPN 7/9/03. 

italian rmbs 

04/24 VELA HOME SRL EURO 2.2BLN ITALIAN 

PRIME RMBS FOR 

BANCA NAZIONALE DEL LAVORO HAS 

LAUNCHED AND PRICED VIA LEAD MANAGER 

ABN AMRO. SETTLES 4/30. 

AMOUNT CLASS MDY/S&P WAL TYPE 

CE PRICED 

E1.841BLN A1 AAA/AAA 3.8YRS AMORT 

3.5% 3ME + 28BP @ PAR 

E 280MM A2 AAA/AAA 10.0YRS S BLT 

3.5% 3ME + 34BP @ PAR 

E 22.25 B AA2/AA 10.5YRS S BLT 2.5% 

3ME + 54BP @ PAR 

E 44.0 C BAA2/BBB 10.5YRS S BLT 0.5% 

3ME +145BP @ PAR 

E 10.7 D NOT RATED NA NA NA 

THE TRANSACTION, BNL’S FIRST RMBS, IS 

BACKED BY A GRANULAR POOL OF 54,311 

FIRST LIEN MORTGAGE LOANS TO FIRST-TIME 

BUYERS. THE AVERAGE LOAN SIZE (90%-FXD 

RATE : 10%-FLOATING) IS EURO 39,402 WITH 

WA-LTV OF 47.73% AND CURRENT WA- 

SEASONING OF 43.2MTHS. GEOGRAPHICALLY, 

THE MAJORITY OF THE POOL IS LOCATED IN 

THE NORTHERN AND CENTRAL PARTS OF 

ITALY WITH THE REGION OF LAZIO HAVING THE 

LARGEST SHARE AT 26%. 


uk rmbs 

04/25 LEEK FINANCE NO.10 STG/US$ NON- 

CONFORMING RMBS FOR BRITANNIA BUILDING 

SOCIETY HAS NOW LAUNCHED AND PRICED 

VIA JOINT-LEADS BARCLAYS CAPITAL AND 

ROYAL BANK OF SCOTLAND. THE 

TRANSACTION HAS BEEN UPSIZED BY 

STG80MM. STRUCTURE AND COUPONS ARE AS 

FOLLOWS - ALL AT PAR: 

AMOUNT ORIG CLASS MDY/S&P/FITCH 

WAL COUPON 

STG245.1M STG267.5M A AAA/AAA/AAA 

2.4YRS 3ML+50BP 

US$150M (STG&US$) A AAA/AAA/AAA 


STG20.9M STG16.5M M AA3/AA/AA 


STG15.2M STG12M B A2/A/A 


THE TRANSACTION IS BACKED ENTIRELY BY A 

POOL OF 5,014 NON-CONFORMING UK 

MORTGAGES ORIGINATED BY BBS SUBSIDIARY 

PLATFORM HOME LOANS. THE PORTFOLIO HAS 

A WA-LTV OF 81.24% AND SEASONING OF 

5.6MTHS. BRITANNIA’S LAST RMBS WAS THE 

STG399MM LEEK 7 FROM APRIL 2002 VIA RBS 

AND TMI, ALTHOUGH THERE HAVE SINCE BEEN 

TWO FINANCINGS VIA CONDUIT. SETTLES: MAY 

1, 2003. 

uk cmbs 

04/25 REAL ESTATE CAPITAL NO.1 PLC STG 

193.37MM CMBS CONDUIT ISSUE FOR REC LTD, 

THE COMMERCIAL PROPERTY MANAGEMENT 

WING OF ROTHSCHILD HAS LAUNCHED AND 

PRICED VIA MERRILL LYNCH. CAPITAL 

STRUCTURE AS FOLLOWS: 

AMOUNT CLASS MDDY/S&P/FITCH WAL 

EX MAT CE(%) COUPON 

STG74M A1 AAA/ AAA/AAA 3.9YRS OCT 

07 23.75 3ME+43BP 

STG73.77M A2 AAA/AAA/AAA 5.7YRS APR 

09 23.75 3ME+44BP 

STG13.08M B AA2/A A/AA 6YRS APR 09 

17.00 3ME+70BP 

STG13.08M C NR/A/A 6YRS APR 09 

1 0.25 3ME+110BP 

STG14.10M D NR/BBB/BBB 6YRS APR 

09 3.00 3ME+225BP 

STG5.83M E NR/BB/BB 4.1YRS APR 09 

0.00 PRIVATE 

LEGAL FINAL:JAN 2012. ALL COUPONS AT 

PAR. THE TRANSACTION IS BACKED BY 11 

COMMERCIAL UK LOANS ON 60 PROPERTIES 

WITH OVER 500 TENANTS, PRIMARILY IN THE 

9 


RETAIL SECTOR WITH CONCENTRATIONS IN 

THE NORTH-WEST, SOUTH-WEST AND 

MIDLANDS. SETTLES: MAY 08, 2003. 

italian npl 

04/25 VINDEX SRL EURO 49MM ITALIAN NPL 

(98.2%) FOR PIRELLI & CO HAS LAUNCHED AND 

PRICED VIA DRESDNER KLEINWORT 

WASSERSTEIN. THE DEAL OFFERS A EURO 

49MM TRIPLE-A RATED 1.7YR SENIOR TRANCHE 

WITH A COUPON OF 3ME+100BP AT PAR. 

BELOW THE FUNDED NOTE IS A DOUBLE-B 

RATED CLASS A LAYER - PRE-PLACED 

PRIVATELY AND EURO 20.360M OF UNRATED 

CLASS CS TO BE RETAINED BY PIRELLI. LEGAL 

FINAL IS NOVEMBER 2013. 

THE TRANSACTION IS BACKED BY A 

PORTFOLIO OF 1,674 REAL ESTATE NPLS 

WORTH EURO 200MM APPROX. SOLD TO 

VINDEX FROM TWO SUB-POOLS ORIGINATED 

BY CFT FINANZARIA, OWNED BY CR DI FIRENZE 

& PIRELLI REAL ESTATE (PRECS) AND LOCALTO 

SPA, A FULLY OWNED PIRELLI SUBSIDIARY. 

THE MAJORITY OF THE POOL (56.9%) IS IN 

TUSCANY, WHILE THE REGIONS OF LAZIO AND 

LOMBARDY HAVE THE NEXT HIGHEST 

CONCENTRATIONS WITH 9.2% AND 8.6% 

RESPECTIVELY. 

italian public utility credits 

04/28 CPG SOCIETA DI CARTILARIZZAZIONE 

SRL, THE 6TH PORTFOLIO OF CASA DEPOSITI I 

PRESTITI, TOTALING E 683MM HAS PRICED VIA 

JOINT LEADS BANCA IMI, CABOTO INTESABCI, 

LEHMAN BROTHERS AND UBS WARBURG. 

SETTLES 4/30. THE PRICING DETAILS ARE AS 

FOLLOWS: 

AMOUNT CLASS FITCH/MDY/S&P WAL 

GUIDANCE COUPON 

EURO 100MM A1 AAA/AAA/AAA 1.75YR E + 

20BP AREA 6ME+ 18BP @ PAR 

EURO 466MM A2 AAA/AAA/AAA 4.2YR E + 

40BP AREA 6ME+ 37.5 @ PAR 

EURO 76MM B AA /AA2/AA 8.2YR E + 

90BP AREA 6ME+100BP @ PAR 

EURO 41MM C AA-/A2 /AA 9.3YR E 

+140BP AREA 6ME+150BP @ PAR 

THE PORTFOLIO CONSISTS OF 

APPROXIMATELY E800MM OF ITALIAN PUBLIC 

UTILITY CREDITS ORIGINATED BY CASA 

DEPOSITI I PRESTITI. IT IS EXPECTED TO BE 

100 RISK WEIGHTED. CPG JUST COMPLETED A 

EURO 1LN SECURITISATION OF FIXED-RATE 


STATE AND MUNICIPAL LOANS VIA THE SAME 

LEADS. 

dutch rmbs 

04/29 HERMES VI E1.25BLN DUTCH RMBS FOR 

SNS BANK HAS LAUNCHED AND PRICED VIA 

JOINT LEADS BARCLAYS CAPITAL AND 

DEUTSCHE BANK. THE COLLATERAL IS PRIME 

DUTCH MORTGAGES ORIGINATED BY SNS 

BANK (A/A2/A+, S/M/F). 

CLASS SIZE(MM) AVE LIFE STRUCTURE PRIN 

WIN S&P/MDY/FITCH PRICED 

A1 EUR 667.0 3.3 YR PASSTHRU AUG03- 

AUG09 AAA/AAA/AAA 3ME + 24 @ PAR 

A2 $ 525.0 6.5 YR BULLET NOV09-NOV09 

AAA/AAA/AAA 3M$L+ 27 @ PAR 

B EUR 75.0 6.5 YR BULLET NOV09-NOV09 

A/A1 /A 3ME + 70 @ PAR 

C EUR 30.0 6.5 YR BULLET NOV09-NOV09 

BBB/BAA1/BBB 3ME +130 @ PAR 

D EUR 22.5 3.2 YR AMORT MAY04-AUG08 

NR/BAA2/NR 3ME +225 @ PAR 

SETTLES 5/9. COUPON QUARTERLY ON 18TH 

OF FEB, MAY, AUG, AND NOV. LISTING: 

EURONEXT AMSTERDAM. 

uk cards abs 

04/29- MBNA S 2003-S EURO 500MM FIXED- 

RATE CREDIT CARD ABS FROM THE MBNA 

CREDIT CARD MASTER NOTE TRUST HAS 

LAUNCHED AND PRICED VIA JOINT-LEADS 

CREDIT SUISSE FIRST BOSTON AND JP 

MORGAN. 

THE TRANSACTION, BACKED BY US 

RECEIVABLES, OFFERS A SINGLE 7YR BULLET 

TRANCHE RATED TRIPLE-A BY ALL THREE 

AGENCIES WITH A COUPON OF 4.15% AT 

99.9925% TO YIELD MID-SWAPS+25BP. CO- 

MANAGERS; ABN AMRO, BARCLAYS CAPITAL, 

DEUTSCHE BANK, DRESDNER KLEINWORT 

WASSERSTEIN, SOCGEN AND WESTLB. 

SETTLES: MAY 21, 2003. 

uk rmbs 

04/30 HSBC HAS LAUNCHED AND PRICED THE 

MARBLE ARCH RESIDENTIAL SECURITIES NON- 

CONFORMING RMBS FOR THE LONDON 

MORTGAGE COMPANY. THE TRANSACTION 

HAD BEEN DOWNSIZED FROM STG225MM TO 

STG175MM. TERMS AS FOLLOWS: 

AMOUNT ORIG CLASS MDY/S&P/FITCH 

WAL GUIDANCE PRICED 

STG152.1M 193.4M A AAA/AAA/AAA 

10 


2.05YRS 3ML +60BP AREA 3ML + 62BP 

STG17.6M 22.5M B A2/A/A 3.92YRS 

3ML+160BP AREA 3ML + 160BP 

STG7.1M 10M C NOT RATED NA 

RETAINED 

LEGAL FINAL: 20 MARCH 2035. STEP-UP & 

CALL: 20 SEPT 2007 WITH X2 MARGIN. CLASS A 

PRICED AT PAR IP/FPR AND HAS FEES OF 

0.225%. PAY DATE 09 MAY 2003, SHORT FIRST 

COUPON. CPNS PAY 20 

MARCH/JUNE/SEPT/DEC. DUBLIN LISTED, 

DENOMS 10K. POT TRANSACTION, NIL 

ALLOTMENTS. 

THE POOL IS MADE UP OF 4,409 MORTGAGE 

LOANS - 80% OF WHICH ARE FIRST LIEN WITH 

THE REMAINDER BEING SECOND MORTGAGES. 

WA-LTV IS 77% WITH WA-SEASONING SET AT 

5.7 MONTHS. IN ADDITION, 65% OF THE LOANS 

ARE MADE TO SELF-CERTIFIED BORROWERS 

AND ONLY 26% SECURED ON MORTGAGES TO 

INDIVIDUALS WITH CCJS. 

THE LONDON MORTGAGE COMPANY WAS 

FOUNDED IN 2001 BY THREE EX-KENSINGTON 

MORTGAGE COMPANY OFFICIALS AND IS A 

SUBSIDIARY OF MATLOCK BANK WHICH IS 

PRIVATELY-OWNED BY THE BRENNINKMEIJER 

FAMILY, BEST KNOWN FOR ITS C&A 

FRANCHISE. 

uk wbs 

05/02 ROYAL BANK OF SCOTLAND HAS 

LAUNCHED AND PRICED THE 2-PART STERLING 

ARTESIAN FINANCE ISSUE. DETAILS AS 

FOLLOWS: 

ARTESIAN FINANCE II - STG 30MLN 6.00% DUE 

30 SEPT 2033. IP/FPR 109.14, GIVES GILT 

+75BPS. PAY DATE 07 MAY 2003. AAA/AAA. FEES 

TOTAL 0.625%. 

ARTESIAN FINANCE PLC - STG 14.799MLN TAP 

OF THE 3.625% DUE 30 SEPT 2032. IP/FPR 

117.834, GIVES GILTS + 72BPS. FEES 0.625%. 

PAY DATE 07 MAY 2003. FUNGIBLE 09 JUNE 

2003, TAKING TOTAL ISSUE SIZE TO STG 

252.301MLN. AAA/AAA. 

euro cdo 

05/02 FAXTOR 2003-1 EURO 318MM ARBITRAGE 

CDO BACKED BY EUROPEAN CONSUMER ABS 

FOR DUTCH INVESTMENT MANAGER FAXTOR 

SECURITIES HAS LAUNCHED AND PRICED VIA 

LEAD-MANAGER BEAR STEARNS & FORTIS (CO- 

MANAGER). ACCORDING TO A SYNDICATE 

OFFICIAL, THE TRANSACTION WAS 

OVERSUBSCRIBED AT THE SENIOR AAA LEVEL, 


AA LEVEL AND EQUITY WITH APPROX. 30 

INVESTORS FROM ACROSS EUROPE 

PARTICIPATING. STRUCTURE & COUPONS AS 

FOLLOWS - ALL AT PAR: 

AMOUNT CLASS MDY/S&P WAL PX 

GUIDANCE COUPON SPREAD (FXD) 

E223M A1E AAA/AAA 7.2YRS E+55BP 

AREA 3ME+55BP 

E23M A2E AAA/AAA 9YRS E+70BP 

AREA 3ME+70BP 

E9M A2F AAA/AAA 9YRS SW+70BP 

AREA 4.745% SWAPS+70BP 

E17.5M A3E AA2/AA 9YRS E+90BP 

AREA 3ME+9-BP 

E15M A3F AA2/AA 9YRS SW+90BP 


E5.5M BE BAA2/BBB 9YRS E+250BP 

AREA 3ME+250BP 

E9.5M BF BAA2/BBB 9YRS SW+250BP 


E9.8M C1 NOT RATED N/A RETAINED 

E5.7M C2 NOT RATED N/A RETAINED 

THERE IS NO EXPOSURE IN THE POOL TO 

CDOS, WHOLE BUSINESS SECURITISATIONS 

OR SINGLE-NAME MBS - MAXIMUM WARF IS 

550, WHILE MOODY"S MINIMUM DIVERSITY 

SCORE IS 25. SETTLES: MAY 15, 2003 

us cdo 

04/14 CAPITALSOURCE COMMERCIAL LOAN 

TRUST 2003-1 -- $450MM CLO. VIA WS. BACKED 

BY MIDDLE MKT LOANS FROM 50 OBLIGORS. 

LOAN TYPES: SENIOR LOANS 72.5%, SENIOR B- 

NOTES 12.5%, AND SUBORDINATED NOTES 

(15.0%). NOMURA IS CO-AGENT. DEL 4/17 FLAT. 

SIZE(MM) CL MDYS/S&P/FTCH P/B% A/L 

GUIDANCE PRICING 

- $258 A AAA/AAA/AAA 57.5 1.4YR 

1ML+ 50-52BP L+ 48 AT 100 

- $ 67.5 B AA2/ AA/ AA 15.0 2.7 

1ML+120 AREA L+115 AT 100 

- $ 45 C A2/ A / A 10.0 3.5 1ML+225 

AREA L+220 AT 100 

- $ 33.8 D BAA/ NR/ NR 7.5 4.4 N/A 

- $ 45 E NR / NR/ NR 10.0 N/A N/A 

us real estate 

04/15 RASC 2003-KS3 - BANC OF AMERICA 

SECURITIES, AS LEAD MANAGER, ANNOUNCED 

A $500MM RASC (GMAC-RFC) FLOATING RATE 

ABS OFFERING, MARKET SOURCES NOTED. 

RFSC IS CO-MANAGER. DEL 4/29 FLAT. 

CL SIZE:MM A/L PRWNDW MDY/FTCH 

GUIDANCE PRICING(:100) 

11 


A-I $228.750M N/A 

N/A 

A-II $228.750M 2.30 1-67 AAA/AAA 1M L+ 

30 AREA L+ 30BP 

M-1 $ 22.500M 4.07 38-67 AA2/AA+ 1M L+ 

MID - HI 60S L+ 67 

M-2 $ 16.250M 3.94 37-67 A2/A 1M L+175- 

180BP L+177 

M-3 $ 3.750M 3.22 37-48 BAA1/BBB+ 1M 

L+300AREA L+300 

us credit cards 

04/16 MBNASERIES 2003-A4 --$750MM SENIOR 

CREDIT CARD FRN"S. VIA BAS/ML, JNT LDS- 

BKS; CO-MGRS: DBSI, JPM, MS; WLMS CAP -SG 

MEMBER. RATED TRIPLE-A BY ALL 3 SVCS. 

STRUCTURE: 7YR FRN; 6.98-YEAR EXPECTED 

MATURITY (APRIL 15, 2010), LEGAL OF SEPT 

2012. (GUIDANCE:1ML+22-23BP, $500MM ORIG 

SIZE; LAUNCH: L+22BP). PRICING: 

1ML+22BP AT 100. DEL 4/24 FLAT. 

us cmbs 

04/16 SBMS VII 2003-CDC1 -- $441MM FLOATING 

RATE 144A CMBS VIA SSB (LD/BKS), CDC, JPM. 

SELLERS: SALOMON BROS REALTY, CDC. DEL 

4/29. PXNG ACCORDING TO B-SIDE: 

CLASS SIZE S&P /MDYS/FTC SUPPORT 

WAL PRICING(AT 100:) 

A1 76.875 AAA /AAA /AAA 37.2% 1.04 

L+ 28BP 

A2 200.000 AAA /AAA /AAA 37.2 1.77 L+ 

32 

B 37.700 AAA /----/AAA 28.7 2.60 L+ 40 

C 15.300 AA+ /----/AA+ 25.2 3.76 L+ 55 

D 14.950 AA /----/AA 21.8 4.79 L+ 70 

E 9.500 AA- /----/AA- 19.7% 4.79 

F 7.525 A+ /----/A 18.0 4.79 


04/16 RAMP 2003-RS3 - $850MM ABS. VIA DBSI – 

LD/BKS, CO-MGRS: JPM, RFSC. COLLAT: 

RESIDENTIAL B&C MTGES FROM RFC. DEL 4/29. 

CLS SIZE A.L. RATINGS GUIDANCE 

PRICING 

A-I1 $135 1.00 AAA/AAA 1MTH LIBOR + 9 

AREA L+ 10BP 

A-I2 $65 3.00 AAA/AAA SWAPS +80 

AREA 3.327% S+ 85 


AREA 4.560% S+125 


AREA 5.685% S+165 



AREA 4.706% S+100 

A-II $550 2.83 AAA/AAA 1MTH LIBOR +34-35 

L+ 36 

N/B: THE GROUP -I BONDS WERE SWITCHED 

FROM SNR-SUB STRUCTURE TO WRAPPED BY 

AMBAC, AS ARE GROUP-II FRN"S. 


04/16 CIRCUIT CITY (CIRMT) 2003-2 -- $450MM 

FLOATING CREDIT CARD VIA BAS/WS, JT-LDS; 

MS AS SOLE CO-MGR. MTHY PAY. DEL 4/25 

FLAT. 

CL SIZE WAL S&P/MDY/FTCH GUIDANCE 

PRICING 

A $323MM 2.97YR AAA/AAA/AAA 1M L+ MID 

40S L+ 43BP AT 100 

B $65MM 2.97YR A/A1/A 1M L+200AREA 

L+250 AT 100 

C $56MM 2.97YR BBB/BAA1/BBB 1M L+MID 

300S L+400 AT 100 


04/16 SEQUOIA MTGE TRUST 2003-2 -- $820MM 

RMBS FRN. VIA MS/RBSGCM JNT-LDS; BAS, ML 

CO-MGRS. . COLLAT: LIBOR ARMS. AVGE LIVES 

ASSUME 20% CPR; 11.5% LIFE CAP. 

CLASS AMOUNT A/L PR WNDW RATING 

TYPE PRICING 

A-1 $653.5MM 3.51YR 1-85 AAA/AAA 1ML 

FRN 1ML+33BP 

A-2 $150.1MM 3.51 1-85 AAA/AAA 6ML 

FRN 1ML+34 

M-1 $ 11.5MM 5.73 38-85 AA/AA2 SUB 

FRN 1ML+65 

M-2 $ 4.9MM NOT OFFERED 

us equipment 

04/16 IKON EQUIPMENT LEASE 2003-1 --$853MM 

ABS. VIA LEH/JPM (JNT LEADS/BKS); CO-MGRS: 

BAS, DBSI, PNC. CREDIT ENHANCEMENT: 

AMBAC SURETY BOND. DEL 4/23 FLAT. 

CL SIZE:MM MDY/S&P A/L E-MTY SPRD 

YIELD PRICE 

A1 $ 253.1 P-1/A1+ 0.47 3/04 5ML -2 

1.30813% TBD 

A2 26.8 AAA/AAA 1.00 5/04 EDSF +25 

1.686% TBD 

A3A 206.3 AAA/AAA 2.00 6/06 1ML +24 

L+24 100 

A3B 206.3 AAA/AAA 2.00 6/06 SWAPS+40 

2.347% TBD 

12 


A4 159.43 AAA/AAA 3.56 1/10 SWAPS+54 

3.295% TBD 


04/17 AEGIS MORTGAGE 2003-1 -- $286MM HEL 

ABS. VIA LEH -LEAD, CSC AS CO-MGR. 

STRUCTURE: SNR/SUB HEL, 100% PPC (4-20%). 

DEL 4/24. 

CL SIZE(MM) MDY/S&P WAL WINDW EFIN 

PRICING 

A1 $249.115 AAA/AAA 2.56 01-89 9/10 1ML+ 

40BP 

M1 16.464 AA2/AA 4.96 39-89 9/10 1ML+105 

M2 12.169 A2/A 4.92 37-89 9/10 1ML+225 

B1 8.591 BAA2/BBB 4.74 37-89 9/10 1ML+450 

AIO 19.227 AAA/AAA 2.15 YLD 3.50% 

us autos 

04/17 GS AUTO LOAN TRUST 2003-1 -$522.37MM 

AUTO LOAN ABS. VIA GS -SOLE. COLLAT: 

RECEIVABLES ORIG"NTD BY HUNTINGTON 

NATIONAL BANK. DEL 4/24. 

CL MDY/S&P SIZE(MM) A/L WNDW 


A1 AAA/AAA 118.614 0.29 1- 7 4 ML - 2 

AREA 1.3036% - 2BP/4ML 

A2 AAA/AAA 138.336 1.00 7-18 EDSF + 10 

AREA 1.5432% E+ 12 

A3 AAA/AAA 124.95 2.00 17-32 SWAPS + 

14 AREA 2.0857% S+ 14 

A4 AAA/AAA 114.082 3.14 32-41 SWAPS + 

14 AREA 2.7315% S+ 17 

B A2/A 17.148 2.07 9-41 SWAPS + 65 

AREA 2.6356% S+ 65 

C BAA2/BBB 9.233 1.88 10-39 SWAPS 

+175 AREA 3.7780% S+190 

us student loans 

04/22 COLORADO STUDENT OBLIGATION BOND 

AUTH SERIES VIII-A2 -- $120MM SLABS. 

VIA WRHOUGH -SOLE. STRUCTURE: 5.11YR 

WITH 12/01/32 LEGAL FINAL, RATED 

"AAA/AAA/AAA". SERVICERS: NELNET, 

COLORADO STUDENT LOAN PROGRAM. 

GUIDANCE: 3MTH LIBOR +22BP AREA. PRICING: 

3ML+22.5BP AT 100. DEL 4/24. CUSIP: 

196777KH8. 

us autos 

04/22 BMW VEHICLE OWNER TRUST 2003-A -- 

APRX $1.6BLN AUTO ABS. VIA JNT LDS-BKS 


BOCM/CITI, CO-MGRS: ABN, BAS, JPM. 

AVERAGE LIVES ASSUME 1.50% ABS. DEL 4/29. 

CL SIZE:MM MDY/S&P A/L LEGAL SPREAD 

PRICE CPN YIELD 

A1 $380.0 P1/A1+ 0.31 4/04 4ML -5 100.00 

1.27% 1.270 

A2 455.0 AAA/AAA 1.00 11/05 EDSF +4 

99.998413 1.45 1.456 

A3 470.0 AAA/AAA 2.00 2/07 S+3 

99.986126 1.94 1.955 

A4 296.913 AAA/AAA 3.11 2/08 INT/S+2 

99.980435 2.53 2.550 

B 32.692 A3/A 3.32 3/09 INT/S+33 

99.971750 2.93 2.957 


04/23 IMM 2003-5 -- $298.5MM FLOATING RATE 

MBS. VIA CSC/BEAR, JNT LEADS. COLLAT 

ORIGINATOR: IMPAC MTGE HOLDINGS. COLLAT: 

ALT-A MTGES. AVG LIVES ASSUME 30% CPR 

(25% CLEAN-UP CALL). DEL 4/30. 

CL SIZE:MM A/L PR WNDW MDY/S&P/FTCH 

PRICED 

A1 228.900 2.07YR 1-46M AAA/AAA/AAA 

1ML+ 33BP @ PAR 

A2 14.850 2.07 1-46 AAA/ - /AAA L+ 

50BP @ PAR 

M1 22.500 2.07 1-46 AA2/AA+/AAA L+ 

75BP @ PAR 

M2 17.250 2.07 1-46 A2/AA-/ AA 

L+175BP @ PAR 

B 15.000 2.07 1-46 BAA2/ A /BBB TBD 


04/25 CBASS 2003-CB2 $235.9MM ABS VIA BAS, 

RFC. SERVICER: LITTON LOAN SERVICING. DEL 

4/30. 

CL AMT WAL WINDOW MDY/S&P/FITCH 

CPN PRICE YLD SPREAD 

AF1 60.3 0.9 1-24 AAA /AAA /AAA 1M LIBOR 

+ 11BP @ PAR 

AF2 31.6 3.0 24-60 AAA /AAA /AAA 3.134% 

99.9984 3.081% 3YSWAP + 73BP 

AF3 23.1 6.7 60-88 AAA /AAA /AAA 5.201 

99.9952 5.196 I-SWAP +152BP 

A1A 66.7 1.2 1-36 AAA /AAA /AAA 1M LIBOR 

+ N/A 

A2A 14.0 5.4 36-88 AAA /AAA /AAA 1M LIBOR 

+ N/A 

AIO NTL AAA /AAA /AAA 3.50 

3.15435 3.625 AUCTION 

M1 15.2 4.9 41-88 AA2 /AA /AA 5.052 

99.9969 5.027 I-SWAP +183BP 

M2 12.2 4.9 39-88 A2 /A /A 5.545 100 

13 


5.545 I-SWAP +235BP 

M3 8.3 4.8 38-88 BAA2/BBB /BBB 1ML 

+365BP @ PAR 

us cmbs 

04/25 BEAR STEARNS CMS 2003-BBA1 -- 

$803MM CMRCL MTGE FRN"S. VIA BEAR/BAS, 

JNT LDS & BKS. COLLAT: 2/3RDS RETAIL 

PROPERTIES. THE LARGEST STATES IN THE 

POOL ARE CALIFORNIA AND TEXAS. DEL 5/6 

FLAT. 1ST CPN 5/14. 

CL SIZE S&P/MDY/FIT C/S% A/L 

WINDOW PRICED 

A1 $306.000 AAA/AAA/AAA 30.71% 1.26 5- 

19 L+ 28 @ PAR 

A2 $250.045 AAA/AAA/AAA 30.71% 2.11 19- 

31 L+ 32 @ PAR 

B $ 55.594 AAA/ - /AAA 23.78% 2.57 31-33 

L+ 40 @ PAR 

X1 TBD AAA/AAA/AAA 

N/A 

C $ 29.002 AA+/ - /AA+ 20.17% 2.69 33-33 

L+ 55 @ PAR 

D $ 29.002 AA / - /AA 16.55% 2.69 33-33 

L+ 65 @ PAR 

E $ 15.084 AA-/ - /AA- 14.68% 2.69 33-33 

L+ 90 @ PAR 

F $ 10.176 A+/ - /A+ 13.41% 2.69 33-33 

L+125 @ 99.7494 

G $ 9.584 A / - /A 12.21% 2.69 33-33 

L+160 @ 99.4385 

H $ 3.431 A-/ - /A- 11.79% 2.69 33-33 

L+200 @ 99.1012 


B-3 12.563 BAA3/BBB-/BBB- 5.21 1.75% 

1ML+375 N/A N/A 


04/28 ABFC 2003-AHL1 -- $369.7MM HEL ABS. 

VIA BAS, GCM. SERVICER: LITTON LOAN 

ORIGINATOR: ACCREDITED HOME LENDERS. 

SERVICING. DEL 5/8/03 FLAT. 

CL AMT WAL WINDOW MDY/S&P /FITCH 

PRICING 

AI 109.3 2.8 1-83 NR/AAA /NR INTRP 

SWAP(N/A) 

AII 191.9 2.3 1-83 NR/AAA /NR 1ML(N/A) 

M1 24.0 4.7 39-83 AA2 /AA /AA 1ML + 85BP 

AT 100 

M2 19.4 4.7 38-83 A2 /A /A+ 1ML +185 AT 

100 

M3 10.1 4.6 37-83 BAA1/BBB+/A- 1ML +300 

AT 100 

M4 3.6 4.6 37-83 BAA2/BBB /BBB+ 1ML +350 

AT 100 


04/29 BANK ONE ISSUANCE TRUST (BOIT) 2003- 

C2 -- $175MM CREDIT CARD ABS. VIA BOCM/ML - 

JNT LEAD/BKS; CO-MGRS: BARCAP, DBSI. 

STRUCTURE: SUBORDINATED FIVE-YEAR FRN. 

EXP MTY: APRIL 2008; LEGAL: DEC 2010. 

RATINGS: "BAA2/BBB/BBB". (INITIAL TALK: 1MTH 

LIBOR +114BP AREA, $100MM ORIG AMT). 

PRICING: 1MTH LIBOR +114BP AT 100. M-PAY 

BEGIN JUNE 16TH. DEL 5/6/03 FLAT. 


04/28 MSAC 03-NC5 -- $987MM HEL. MS, BLYLK, 

UTEN. ORIG: NCEN; SVCR: HOMEQ. 

CLS SIZE(MM) MDY/S&P/FIT A/L C/E 

COUPON SPREAD PRICE (DEL 5/29 FLAT) 

A-1 502.341 NOT AVAILABLE 

A-2 100.000 AAA/AAA/AAA 2.86 19.00% 1ML+28 

+28 100.00 

A-3 211.716 AAA/AAA/AAA 2.86 19.00% 1ML+35 

+35 100.00 

M-1 63.818 AA2/AA/AA 5.33 12.65% 1ML+85 

+85 100.00 

M-2 55.276 A2/A/A 5.30 7.15% 1ML+200 

N/A N/A 

M-3 17.588 A3/A-/A- 5.29 5.40% 1ML+230 

+235 99.75919 

B-1 13.065 BAA1/BBB+/BBB+ 5.29 4.10% 

1ML+330 +340 99.53313 

B-2 11.055 BAA2/BBB/BBB 5.29 3.00% 

1ML+375 +425 97.72125 

us car rental 

04/29 AESOP 2003-3 - $750MM 144A FXD/FRN 

CAR RENTAL FLEET FOR AVIS VIA BAS/BOCM. 

AMBAC WRAP FOR CREDIT SUPPORT. CO- 

MGRS: CL, DAIWA, SCOTIA. 5/6 FLAT. 

CL UPSIZED (WAS) S&P/MDY A/L TYPE 

LAUNCH PRICING 

A-1 $400MM $125 AAA/AAA 2.99YR FIX 

3Y SWPS +36 2.770% +36 

A-2 $100MM 125 AAA/AAA 2.99YR FLT 

1MO LIB +23-25 L+23 

A-3 $250MM 125 AAA/AAA 4.99YR FIX 

5Y SWPS +49-50 3.754% +49 


04/30 CAPITAL ONE MULTI-ASSET EXECUTION 

TRUST(COMET) -- $225MM CREDIT CARD ABS. 

VIA BARCLAYS CAPITAL -SOLE. STRUCTURE: 3- 

YEAR CLASS B SUBORDINATED BONDS. 2.95YR 

(4/17/06) EXP"TD MTY, 2/17/09 LEGAL. M-PAY 

14 


BEGIN 6/16. DEL 5/7 FLAT. 

SIZE:MM (ORIG) SERIES TYPE 

MDYS/S&P/FITCH CPN PRICE YIELD 

- $200 (125) 2003 B-1 3YR FRN A2/ A /A 

1ML +117 100.00 L+117BP 

- $150 (100) 2003 B-2 3YR FXD A2/ A /A 

3.50% 99.930 S+125 


04/30 AMERICAN EXPRESS CREDIT ACCOUNT 

MT 2003-3 -- $679MM CREDIT CARD ABS. VIA 

BAS/BOCM, JNT-LDS/BKS, CO-MGRS: BARCAP, 

CITI, GUZM, WLMS CAP, UTEN. COLLAT: OPTIMA 

RECEIVABLES. STRUCTURE: 5-YEAR FLOATING. 

4/15/08 EXP FINAL, 11/15/10 LEGAL. MTHLY PAY. 

DEL 5/7 FLAT. 

SIZE(MM) CL MDY/S&P EXP MTY TYPE 

INITIAL TALK PRICING 

- $619 A AAA/AAA 4.94YR FLTG 1ML 

+11BP AREA L+11BP AT 100 

- $ 60 B A1/A 4.94YR FLTG 1ML +35- 

36BP L+35 AT 100 


04/30 AMERIQUEST (AMSI) 2003-6 -- $1.57BLN 

HEL ABS. VIA CITI/UBSW, JNT LDS-BKS; CO- 

MGRS: JPMS, MS, RBSGC. DEL 5/9. 

CL SIZE:MM MDY/S&P/FTCH TYPE PRN 

WNDW A/L YLD/SPRD CPN PRICE 

AV1 650.00 AAA/AAA/AAA FLT NOT 

OFFERED N/A N/A N/A 

AV2 261.606 " " " FLT NOT OFFERED 

N/A N/A N/A 

AV3 86.997 " " " FLT 6/03-2/11 2.5YR 

1ML+32 100 

AF1 108.867 " " " FXD 6/03-12/04 1.0 

1.7430 E+45 1.862% 99.9999 

AF2 77.142 " " " FXD 12/04-2/06 2.2 

2.4054 S+55 2.470 99.9993 

AF3 93.960 " " " FXD 2/06-2/11 4.9 

4.2302 S+110 4.258 99.9992 

AF4 49.406 " " " FXD/NAS 6/06-2/11 6.4 

4.3160 S+75 4.329 99.9967 

S 217.200 " " " IO N/A 3.500 

5.000 7.1815 

M1 88.000 AA2/ AA/AA FLT 8/06-2/11 5.2 

1ML+76 100 

M2 72.000 A2/ A /A FLT 7/06-2/11 5.2 

1ML+185 100 

M3 24.000 A3/ A-/A- FLT 7/06-2/11 5.2 

1ML+210 100 

M4 24.000 BAA1/BBB+/BBB+ FLT 6/06-2/11 

5.2 1ML+300 100 

M5 20.000 BAA2/BBB/BBB FLT 6/06-2/11 5.2 

1ML+400 100 



05/01 ACCESS GROUP 2003-A -$453MM 

STUDENT LOAN ABS. VIA UBSW -LD/BKS, CO- 

MGRS: CITI, CSFB. COLLAT: PRIVATE LOANS. 

PRICING SPEED: 7% CPR. DEL 5/6 FLAT. 

CLASS $AMT M/S/F A/L EXP"TD 


A1 261.16 AAA/AAA/AAA 5.7YR 4/13 3ML+ 

LOW 40"S BP 3ML+43 AT 100 

A2 73.45 AAA/AAA/AAA AUCTION RATE 

A3 73.4 AAA/AAA/AAA AUCTION RATE 

B 45.3 A2/ A /A AUCTION RATE 


05/01 ACCESS GROUP STUDENT LOAN 2003-1 -- 

$669.144MM ABS. VIA CSFB -LD/BKS, CITI, 

UBSW. QTRLY PAY 25TH, BEGIN SETP. DEL 

5/6/03 FLAT. 

CL AMT:MM RATINGS A/L BENCH TALK 

PRICING 

A1 $181.6MM AAA/AAA/AAA 3.00 3 MO L 6BP 

L+ 6BP AT 100 

A2 $304.5MM AAA/AAA/AAA 6.93 3 MO L MID 

20"S L+26 AT 100 

A4-A7 $163.35MM --AUCTION RATE TRANCHES-- 

B $ 19.70MM --AUCTION RATE TRANCHE -- 

us insurance premiums 

05/01 AICCO PREM FIN MT 2003-1 -- $622.34MM 

ABS. VIA BOCM -LD/BKS; CO-MGRS: ABN, BAS, 

CITI. NOTE: SIZING OF CLASS A-1 & A-2 

DEPENDS ON DEMAND. DEL 5/15. 

SIZE:MM CL RTG(M/S) A/L EXP FIN LEGAL 

GUIDANCE *PRICED* 

- $600 A-1 AAA/AAA 3YRS 5/15/06 11/15/07 

1ML+25 AREA 1ML+ 30BP @ PAR 

- 22.34 B A1/A 3YRS 5/15/06 11/15/07 

1ML+85 AREA 1ML+ 83BP @ PAR 


05/01 BAYVIEW FINANCE TRUST 2003-C - 

$259MM FLOATING RATE ISSUE VIA LEHMAN. 

CO-MANAGERS ARE BEAR, CITI AND ML. THE 

DEAL IS DESCRIBED AS FOLLOWS: 

CL SIZE:MM S&P/F A/L WINDOW C/S% 

GUIDANCE PXD/TALK 

A1 $228.030 AAA/AAA 2.85 5/03-7/11 14.75 1ML 

+ 50 AREA L+50BP (PXD) 

M1 9.744 AA+/AA+ 5.81 5/06-7/11 11.00 1ML 

+125 AREA L+125 (PXD) 

M2 7.795 AA-/AA- 5.81 5/06-7/11 8.00 1ML 

+175 AREA L+200 (PXD) 

15 


M3 1.299 A+/A+ 5.81 5/06-7/11 7.50 1ML 

+225 AREA L+275 AREA 

M4 7.146 A-/A- 5.81 5/06-7/11 4.75 1ML +275 

AREA L+350 AREA 

B1 3.897 BBB+/BBB+ 5.81 5/06-7/11 3.25 1ML 

+425 AREA L+500 AREA 

B2 1.299 BBB/BBB 5.81 5/06-7/11 2.75 1ML 

+500+ TBD 


+100A L+120 98-08+ 

E BAA1/A- 28.0 1.9 4.9 34.7% L 

+170A L+180 95-16+ 

F BAA2/BBB 28.0 2.7 4.9 32.5% L 

+200A L+210 94-05+ 

G BAA3/BBB- 22.5 2.8 4.9 30.6% L 

+250A L+250A 91-31 

H ---/BBB- 29.2 2.9 4.9 28.2% L 

+350A L+350A 88-04+ 


05/02 MBNASERIES 2003-C3 --$175MM SUB- 

ORDINATED CREDIT CARD ABS. VIA DBSI/ML, 

JNT LEADS/SOLE MGRS. STRUCTURE: 5-YEAR 

FRN. RATINGS: BAA2/BBB/BBB. ($100MM 

ORIGINAL SIZE: GUIDANCE: 1MTH L+135-140BP). 

M-PAY BEGIN 6/16. FLOATS 1MTH LIBOR 

+135BP. PRICED AT 100.00. DEL 5/8 FLAT. 

us small business loans 

05/02 BLX 2003-A -- $150MM SMALL BUSINESS 

LOANS ABS VIA WS. COLLAT: CONVENTIONAL 

SMALL BUSINESS LOANS. REG TYPE: 144A. DEL 

5/7 FLAT. 

CL SIZE:MM P/B% S&P/MDY A/L GUIDANCE 

PRICING 

A $131.25 87.5% AAA/AAA 5.7 1ML + 95-100 

L+ 95BP AT 100 

B 15.00 10.0% A /A2 5.7 1ML +225 AREA 

L+250 AT 100 

C 3.75 2.5% RETAINED 1ML(N/A) 

us cmbs 

05/02 CSFB 2003-TFL1 - $882MM CMBS. VIA 

CSFB -LD/BKS, CO-MGRS: ML, CDC. 

SELLERS:COLUMN FINCL, CDC MTGE CPTL. 

SERVICER: WACHOVIA. TRUSTEE: WELLS 

FARGO. COLLAT: 7 LOANS ON 16 PROPERTIES; 

TYPES: RETAIL -REGIONAL MALLS- 48.1%, 

OFFICE 43%, HOTELS 5%, MULTI-FAMILY 3.9%. 

GEOGRAPHICAL: NY 59.8%, MASS 25.4%, TX 

9.7%, FLA 5.0%. DEL 5/7 FLAT. 

CL MDY/S&P SIZE(MM) A/L(MAT) A/L(EXT) 

SUBORD G"DNCE SPRD(DM) PRICE 

A1 AAA/AAA 328.0 1.7 4.7 46.6% L + 

28A L+ 27 100-00 

A2 AAA/AAA 328.0 1.9 4.9 46.6% L + 

32A L+ 37 100-00 

B AA1/AAA 21.2 1.9 4.9 44.9% L + 

40A L+ 45 100-00 

C AA2/AA+ 34.8 1.9 4.9 42.1% L + 

50A L+ 55 100-00 

D A2/A+ 62.0 1.9 4.9 37.0% L 

16 


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➲ Delivered on a weekly basis 

➲ Historical data available from 1999 

➲ Delivered at 5PM GMT 

➲ Other market segments data available: 

US Investment Grade & High Yield Corporate, Preferred, Convertible Securities 

Euro & Global Investment Grade & High Yield Corporate, Preferred, Emerging Markets 

For a FREE TRIAL, please contact Paul Gulberg at (212) 908-4479 

or email your request to pgulberg@mcmwatch.com

MCM Structured Finance Monitor - Securitization.Net

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