Lehman Brothers was on top of the action last week in the collateralized debt obligation market, showing investors Saybrook, a $300 million deal backed 100% by high-yield bonds. The $250 million triple-A tranche was marketed at Libor plus 48 basis points.
General Re and New England Asset Management were collateral managers on the deal.
Additionally, Lehman was assembling two other vehicles. The first, Wellington Management's Liberty Square, is a $260 million CDO, also backed by high-yield bonds, sources said. Lastly, Lehman is prepping an as-of-yet nameless CDO of ABS, scheduled for the middle of the quarter.
Bear Stearns was in the market with two CDOs, one for Abbey National, a $515 million investment-grade synthetic CLO called Marylebone. The portfolio will consist of at least 80% US investment-grade credits, 85% loans, and about 15% ABSs, sources indicated. The diversity score is understood to be 38.
Bear Stearns also closed a $300 million area asset-backed CBO for MKP, a company affiliated with XL Capital. The portfolio is backed in part by high-LTV mortgages (12.5%), unusual for CDOs, noted one investor. The portfolio also includes 12.5% subprime RMBS, 12.5% home equity, CMBS, among other assets.