Deutsche and Wharton announce Delta
Deutsche Bank and Wharton Asset Management priced their Delta CDO at the end of April. The $2.2 billion deal uses correlation trading technology to build a pure synthetic CDO of high-grade ABS.
Deutsche is buying the underlying portfolio from Wharton and buys protection on the mezzanine risk in the embedded portfolio from the issuing SPV, which issues three classes of credit linked notes to investors. Wharton can trade in the cash ABS markets and in the CDS of ABS market.
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