Structured Finance Watchbox (week ending February 16, 2007)

  • 16 Feb 2007
ClassAmountRatings (M/S&P/F)Ave life (yrs)Expected maturityBasisExpected spread
Pricing next week
Dalradian IIIElgin Capital
Leveraged Loan CLO Goldman Sachs Launch early next week
A-1Eu102mAaa/AAA/-*7.86EONot offered
A-1REu100mAaa/AAA/-*7.86EONot offered
A-2Eu60mAaa/AAA/-*9.26EON/A
BEu32mAa2/AA/-*106EO37bp-40bp
CEu24mA2/A/-*10.16EO55bp-58bp
DEu25mBaa3/BBB-/-*10.56EO140bp-150bp
EEu15mBa3/BB-/-*10.56EO345bp-360bp
SubEu42m
* other ratings may be added
Carnuntum High Grade IOmicron Investment Management
High grade ABS: RMBS, CMBS and CDOs. Lead arranger: WestLB Pricing today (Friday)
XEu5m-/AAA/-N/A3EO
A1Eu820m-/AAA/-7.53EO
A2Eu80m-/AAA/-7.83EO
A3Eu50m-/AAA/-7.83EO
BEu25m-/AA/-7.83EO
CEu10m-/A/-7.83EO
CombEu20m-/A/-7.83EO
DEu5m-/BBB/-7.83EO
EEu5m-/BB/-7.83EO
SubEu5m
Legal maturity 2090
Eurosail-UK 2007-1NCLehman Brothers
UK nonconforming mortgages ...

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GlobalCapital European securitization league table

Rank Lead Manager/Arranger Share % by Volume
1 Societe Generale 41.30
2 Rabobank 35.35
3 Morgan Stanley 11.45
4 BNP Paribas 5.95
4 Credit Agricole 5.95