STRUCTURED FINANCE WATCHBOX

20 May 2004

ClassAmountRatings (M/S&P/F)Ave life (yrs)Expected maturityBasisExpected spread
House of Europe Funding 2Hypo Real Estate
A portfolio of highly rated ABS Lead manager: WestLB Launch today (Friday) or early next week
AEu910mAaa/-/AAA7EO28bp
BEu20mAaa/-/AAA7EO70bp
CEu57mA3/-/A7EO150bp
DEu8mBaa2/-/BBB7EO300bp
EEu5mUnrated7EO300bp
Portfolio includes minimum 40% RMBS, maximum 50% CMBS, max 20% CDO of ABS. At east 60% triple-A rated collateral, minimum rating single-A. ...

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