All material subject to strictly enforced copyright laws. © 2022 Euromoney Institutional Investor PLC group
Derivatives

Asset-Backed Manager Offers First Hybrid CDO

C-BASS Investment Management, a subsidiary of New York-based asset-backed collateralized debt obligation manager Credit-Based Asset Servicing and Securitization, is marketing its first hybrid synthetic and cash CDO.

C-BASS Investment Management, a subsidiary of New York-based asset-backed collateralized debt obligation managerCredit-Based Asset Servicing and Securitization, is marketing its first hybrid synthetic and cash CDO. The USD800 million deal is called Barramundi CDO I after an Australian hermaphrodite fish. An official close to the firm said the name represents the USD21.5 billion manager's transformation from managing cash-only portfolios to managing synthetic credit.

Barramundi is C-BASS' 19th CDO under management. It consists of 80% credit-default swaps on primarily investment-grade residential mortgage-backed securities and the rest in cash RMBS, commercial MBS and CDOs. C-BASS will hold about 45% of the equity tranche at closing.

Landon Parsons, portfolio manager, did not return a phone call and officials atDeutsche Bank, the arranger, declined all comment.

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree