With the success of the recent Credit Suisse First Boston transaction (CSFB 2004-C4) and Merrill Lynch's MLMT 04-BPC1 that priced on Oct. 27 and Nov. 3, respectively, issuers are reworking their structures for upcoming deals to reflect the 20% credit enhancement that attracted strong investor demand for those deals. And, if the CSFB pricing is any indication, it is a successful move that is likely to be maintained going forward.
Two deals currently pre-marketing are the JPMorgan/CIBC JPMCC 2004-CB10 and the Bank of America BACM 2004-C5 conduits for pricing for the 11/8 week. Both have 20% subordination for the triple-A classes,a carve-out tranche to be sold to Freddie Mac, and a junior triple-A class that supports the senior ones. CSFB priced the 10-year triple-As two basis points through the prior deal and three basis points through the five deals before that. Spreads were 29 basis points over swaps.