Los Angeles-based TCW Asset Management, a USD130 billion manager of 82 collateralized debt obligations, is ramping its first synthetic CDO squared to close later this month. The USD400 million deal, called Visage CDO I, will use total-return swaps to reference at least 40 tranches of cash asset-backed securities CDOs.
Dealers and ratings analysts have seen renewed interest in synthetic CDOs squared off the back of the International Swaps and Derivatives Association finalizing a template for swaps on CDO tranches (DW, 6/6). So far, only one deal, Tricadia 2006-5, has used credit-default swaps rather than total-return swaps (DW, 6/9), but most participants expect CDS to be the preferred method for structuring synthetic CDOs squared going forward.
TCW also manages three cash-flow CDOs squared--Porter Square I, II and III, which closed in 2003, 2004 and 2005, respectively. Officials at TCW and Andrew Bussmann, v.p. at Credit Suisse, which underwrote all four deals and serves as swap counterparty on Visage, declined comment ahead of the close of the deal.
