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Derivatives

Vanberbilt To Manage Synthetic ABS CDO

Vanderbilt Capital Advisors is gearing up to manage a synthetic asset-backed securities collateralized debt obligation.

Vanderbilt Capital Advisors is gearing up to manage a synthetic asset-backed securities collateralized debt obligation. The USD750 million, full capital structure comprises tranches of AAA through to BB credit-default swaps on ABS. They are all U.S. exposures and include commercial mortgage-backed securities and residential mortgage-backed securities. Vandberbilt will manage the credits throughout the life of the trade.

Called Burnham Harbor, the CDO was arranged with Credit Suisse First Boston and is being marketed to institutional investors globally. Two tranches were priced last week, with the remaining four expected to price on Friday as DW went to press, said an official familiar with the transaction. Structurers at CSFB declined comment and officials at Vanderbilt in New York did not return messages by press time.

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