C-BASS a New York-based mortgage investment and servicer, is readying a multi-sector collateralized debt obligation. The $350 million C-BASS CBO IV is set to price early this week, says a CDO market participant. C-BASS, the collateral manager, specializes in credit sensitive residential mortgage-backed securities. Landon Parsons, senior v.p. at C-BASS, did not return calls.
Credit Suisse First Boston is the lead underwriter with Greenwich Capital Markets and WestLB acting as joint book runners. Calls to Tom Pascale, head of structured credit products at CSFB, Fred Matera, head of the CDO group at GCM, and Tom McCaffery, head of financial markets for the Americas at WestLB, were not returned. Ryan Babcock, a CSFB banker declined to comment.
The notes are backed by a collateral pool of 75% residential mortgage-backed securities and 25% asset-backed securities. The average weighed rating of the underlying assets is triple-B. On the liabilities side, the deal includes a $248 million tranche of triple-A rated notes, a $50 million tranche of double-A rated notes and a $31 million tranche of triple-B notes. Indicative price talk was not available at press time.