C-Bass V, an asset-backed securities collateralized debt obligation originated by C-Bass, a mortgage investment and servicing company specializing in credit sensitive residential mortgage-backed securities, is expected to close this week. Deutsche Bank is the lead underwriter for this $350 million transaction. C-Bass has four ABS CDOs outstanding. Michael Herzig, head of global CDOs at Deutsche Bank, was traveling and did not return calls seeking comment. John Draghi, cio at C-Bass, did not return calls.
The notes are backed by a mix of approximately 75% RMBS, 22% ABS and 3% CDOs. A rating agency analyst says that although the deal is static, the manager has the right to sell defaulted securities or impaired RMBS. The collateral has an average weighted rating of triple-B minus.