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Securitized Products Weekly Update: 12/22/08

Overview

Securitized products continued to have a positive tone last week assisted by momentum from FOMC announcements. The RMBS sector benefited the most in hopes that aggressive downward pressure on mortgage rates will increase prepay speeds (thus enhancing yields in a deeply discounted market). CMBS shorter pays and junior AAAs firmed on the week along with more seasoned super dupers.

CMBS/X

RMBS

Credit Cards/Autos

CDO/CLO

Securitized Products

Name Approx $ Approx Yield Approx Spread Approx WoW Change WAL Description
CMBS
CMBS First/Current Pay low 90s 11% 900 -50 bps 1-3 Class currently being repaid; top of credit stack
CMBS Second Pay low 80s 14% 1250 -50 bps 1-4 Class next to pay down after 1st pay
CMBS Last Cash Flow (LCF) 70 12% 950 flat 7-9 Most liquid and largest AAA class
CMBS AM 45 18% 1950 + 5-7 pts 7-9 20% Credit Enhancement, AAA Mezz class
CMBS AJ low 30s 25% 2350 + 6-8 pts 7-9 Junior AAA, CE is 10-13 area
CMBS IO $0.5-$2.5 23-25% 2300 -100 bps 2-4 Credit levered interest only strip
CMBX4 07-2 AAA 523 -77 bps Consists of 25 mid-07 CMBS deals
CMBX4 07-2 AJ 1449 -181 bps Sub-index of junior AAAs
RMBS
RMBS Subprime First Pay 80s 15% 1300-1400 2 pts 1-3 Borrower FICO <685
RMBS Option ARM Super Senior ~42 16% 1300 3 pts 2-9 Alt A mortgages w/neg am options
RMBS Jumbo Pass Throughs ~69 4 pts 5-15 Prime borrowers w/loan size above conforming
ABX 07-2 LCF AAAs 32 1117 -34 Last cash flow subprime AAA
ABS
ABS Tier 1 Credit Cards (“AAA”) mid 90s 7% 525 flat 1-2 Shelves include JPM, CITI, BofA, and AMEXShelves include JPM, CITI, BofA, and AMEX
ABS Tier 2 Credit Cards (“AAA”) high 80s 8.25% 650 flat 1-2 Capital One, Discover, GE & private label retailers
ABS Tier 1 Cards (“A” Rated) low 80s 12% 1100 +50 bps 1-9 2nd loss mezz classes
ABS Tier 1 Cards (“BBB” Rated) low 80s 12% 1425 +75 bps 1-9 1st loss classes
ABS Prime Autos First Pay (“AAA”) mid 90s 7% 525 flat 1-2 Best shelves
ABS Prime Autos Second Pay (“AAA”) low 80s 7.50% 575 flat 2-3 Best shelves
CDO/CLO
CLO Super Senior 80s 7-9% 450-550 0 5.0-8.0 1st in CLO structure to be repaid
CLO Mezz (“BB” Rated) teens 65% 5700 0 3.0-9.0 Junior most bond in CLO structure, may “turbo”
CRE CDOs 40s/50s n/a 5.0-9.0 CDOs w/Whole Loans, Bnote/Mezz, CDO/CMBS


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