GMAC Institutional Advisors' Crest 2002-IG Structured Finance/Multi-Sector CDO, backed by 95% CMBS and REIT investment-grade debt, delivered the tightest visible CDO print of 2002 on both the single-A (+135bp/3ML) and triple-B (+225bp/3ML) classes last Wednesday via Wachovia Securities.

The triple-A class also marked the tightest structured finance CDO print in 2002, at 45 basis points over three-month Libor (A/L 7.4 years).

It is noteworthy that the triple-B class was able to price five basis points inside the year's tightest CLO with triple-B ratings only from Standard & Poor's and Fitch Ratings. One analyst commented that it is plausible that traditional CMBS buyers participated on the triple-Bs, since CMBS spreads at that rating level are extremely tight; e.g. the $800 million JPMC 02-CIBC4 CMBS priced its triple-B (Moody's/Fitch) class at 115 basis points over Swaps (A/L 10.4 years).

Although the Crest-IG has a Moody's diversity score of nine, investors were able to look past this and focus on the fact that 95% of Crest's collateral derives from diversified IG conduit transactions. Also helping Crest is that each of the half-dozen or so deals under this brand name have had the same waterfall and structure, making surveillance a much easier task for the investors.

Another CDO print from a Charlotte, N.C. bank was the Banc of America Securities-underwritten Independence III $300 million Structured Finance/Multi-Sector CDO for Independence Fixed Income Associates. Independence III cleared its A-1 triple-A class at 51 basis points over three-month Libor (A/L 7.2-years), which was right in the middle of its 51-52 basis point price talk. The triple-B notes cleared at 250 basis points, the tight end of talk of 250 basis points to 260 basis points over three-month Libor.

Deutsche Banc had two fresh additions to the static pool CMBS/REIT-backed CDO pipeline last week. Anthracite is a $439 million CMBS CDO managed by BlackRock and is due to launch in about two weeks. Investors also report that DB has a CMBS CDO mandate for Lennar Partners.

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