Structured Finance Watchbox (week ending October 1 2004)

30 Sep 2004

ClassAmountRatings(M/S&P/F)Ave life (yrs)Expected maturityBasisExpected spread
Pricing next Week
Auburn Securities 4 plcCapital Home Loans
UK buy to let and owner occupied (25%) mortgages Lead managers: Barclays Capital, Citigroup, Merrill Launch next week
A1£270mAaa/AAA/AAA0.97Oct 2009LO10bp-12bp
A2£597.5Aaa/AAA/AAA4.19Oct 2009LO20bp area
M£15mAa2/AAA/AAA4.98Oct 2009LOhigh 20s
B£40mAa3/AA/AA4.98Oct 2009LO37.5bp area
C£40mA3/A/A4.98Oct 2009LO60bp area
D£25mBaa3/BBB/BBB4.98Oct 2009LO100bp area
E£12.5mBa2/BB/BB4.98Oct 2009LOlow 300s
Legal maturity October 2041
VCL No 7 LtdVolkswagen ...

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