STRUCTURED FINANCE WATCHBOX

31 Mar 2005

ClassAmountRatings (M/S&P/F)Ave life (yrs)Expected maturityBasisExpected spread
Marketing
CastoroUnipol Banca
Italian residential mortgages Lead manager: ABN Amro Marketing
AEu622.5mAaa/-/AAA6.4
BEu26mA3/-/A15.5
CEu6.5mUnrated, retained
Jump SrlLinea
Italian consumer loans Lead manager: Calyon Marketing
A$526.8mAaa/AAA/-5.2
B$40.1mA2/A/-7.7
Caribou 2005 FTDRoyal Bank of Canada
Reference portfolio: ABS and first-to-default baskets Marketing. Pricing between 18-25 April.
$45m-/AAA/-72012LO+40-50bp
$60m-/AA/-72012LO+125-150bp
$82m-/BBB/-72012LO+250-300bp
Legal Maturity 2012
Cypress FTDRoyal Bank of Canada
Reference portfolio: 20 first-to-default baskets Marketing. ...

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