Terwin Money Management, a Woodland Hills, Calif.-based asset-backed securities collateralized debt obligation manager, is managing its first ABS CDO referencing synthetic collateral. The USD389 million deal--USD401.25 million including subordinated notes--called Glacier Funding CDO IV, consists of six classes of notes referencing 50% credit-default swaps on residential mortgage-backed securities and commercial MBS, and the rest in cash securities. RBS Greenwich Capital issued the deal.
The previous three Glacier Funding deals were all cash and were underwritten by Merrill Lynch. Cassy Walton, relationship manager and collateral administrator at JPMorgan, the trustee on all four Glacier deals, said Terwin is looking to diversify across asset classes as well as underwriters and trustees. Evan Gerhard, v.p. in CDO structuring at RBS, referred questions to Tam Beattie, counsel, who declined comment. Karen Schnurr, portfolio manager at Terwin, was traveling and could not be reached.
Terwin is a subsidiary of Terwin Asset Management, the asset management arm of mortgage firm The Winter Group, with approximately USD3 billion in CDOs under management.