Following a last-minute adjustment, the $296 million Glacier CDO I pushed the spread boundaries for structured finance-backed CDO product, sources said. The deal's 4.1-year $190 million super-senior tranche priced at 41 basis points over three-month Libor, one basis point behind the all-time tight levels.

A source close to the transaction attributes this development to the collateral manager's experience in real estate management, as well as the minor restructuring, which involved the transfer of longer-dated collateral down the capital structure.

Glacier CDO I also consisted of a $44 million mezzanine-senior A2, with a 7.6-year average life. Terms on the A2 were not available as of press time. Double-A rated B notes, with an eight-year average life, priced at 120 basis points over three-month Libor and triple-B subs, with a six-year average life, priced at 330 basis points over three-month Libor. The assets were roughly 60% RMBS, 30% mortgage ABS and 10% CMBS.

Last Wednesday, the day before Glacier priced, a small amount of longer-dated collateral was moved from the A1 super-senior to the A2 mezzanine-senior class, shortening the A1 while lengthening the A2 slightly.

The Merrill Lynch-led transaction, which was the first for collateral manager The Winter Group, is backed primarily by real estate ABS collateral. Glacier featured a rapid turbo-trigger on the class C, and a 12% equity cap, both buttressing the subordinate bonds in the deal.

Most of the mortgage ABS in the deal is subordinated bonds issued initially by Terwin Mortgage Corp., which is a member of The Winter Group. Merrill Lynch underwrote Terwin's most recent securitization, a $265 million 2003-8HE deal last December.

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