Morgan Stanley and RFC Securities underwrote a unique revolving CDO structure, Capital Trust RE CDO 2004-1, managed by GMAC Commercial Holding Capital Markets Corp. Priced in May, the $370 million deal was backed by previously issued B-piece and mezzanine tranches of CMBS retained or purchased by GMAC Commercial Mortgage.

The $100 million A1 tranche, rated triple-A by all three rating agencies, with a 4.27-year average life, priced at 33 basis points over three-month Libor, and its $79.92 million A2 tranche, also rated triple-A with a 4.8-year average life, priced at 45 basis points over Libor. The double-A rated B-tranche, with a 5.07-year average life, priced at 75 basis points over Libor, wider than initial price guidance in the 60 basis point area over.

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