Halcyon Asset Management is marketing its first collateralized debt obligation backed by mezzanine asset-backed securities. The USD400 million Halcyon Securitized Products Investors ABS CDO I will be the New York manager's first ABS CDO after launching its CDO platform with the hire of Rajesh Kumar from Zais Group earlier this year.
The CDO will have the flexibility to be entirely cash or synthetic, using a large unfunded super senior piece to fund cash positions, said an investor. The deal will start out at 65% synthetic and 35% cash. Only a third of the underlying collateral will be from 2006. The rest will be bonds from 2003, 2004 and 2005 vintages.
The deal will be backed mostly by home equity asset-backed securities, although the transaction does have a 25% bucket for other CDOs. This large bucket reflects the manager's experience with investing in CDOs, the investor said.
The deal is being rated by Moody's Investors Service and Standard & Poor's and should be priced in early September. Deutsche Bank is the underwriter. Halcyon and Deutsche Bank officials declined comment.
