Dynamic Credit Partners expects to bring its second CDO to the market before year-end, according to sources. The $992 million Barrington CDO Ltd. will contain as much as an 80% concentration of RMBS collateral, up to 50% of that being subprime mortgages.
Dresdner Bank AG's London branch will underwrite the deal, which is expected to close Dec. 15. The $889 million A1 tranche has received a preliminary triple-A rating from Standard & Poor's, with a recommended 11.1% credit enhancement, while the $55 million, triple-A rated A2 tranche is carrying a recommended 5.60% credit enhancement. JPMorgan Chase is acting as trustee on this deal, which is expected to be 95% ramped at pricing, and has a six-year reinvestment period.
The deal's proposed collateral pool carries a weighted average rating of triple-A, and a 6.57-year weighted average maturity. The collateral guidelines allow for up to a 20% bucket for synthetic securities. The synthetic buckets are a feature an increasing number of CDO managers are adding to collateral guidelines at levels at or exceeding 20% in order to benefit from flexibility when sourcing collateral. The fully ramped par amount of this portfolio is expected to reach $1 billion.
The New York-based Dynamic Credit Partners was founded in 2003 by former Deutsche Bank Securities Managing Director Jim Finkel, now Dynamic Credit's CEO and Tonko Gast, formerly a CDO manager at ABN AMRO, currently the company's chief investment officer. The pair created Dynamic Credit in order to invest primarily in CDOs and asset-backed securities. The company has two credit opportunity funds which invest in CDOs and ABS, and the Stockbridge CDO - a CDO squared - currently under management.
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