Terwin Money Management LLC expects to close its first ABS CDO of the year - Northwall Funding CDO 1 Ltd. this month. The $300 million deal will be the fourth ABS CDO for San Francisco-based Terwin, all of which have been underwritten by Merrill Lynch.

At an expected, 86.5%, the deal has the highest concentration of subprime mortgage collateral compared with its three deals issued last year, according to Sam Rainieri, chief investment officer at The Winter Group, Terwin's parent. "There's been a lot of good demand for the paper," Rainieri said.

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