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Structured credit: Market round-up

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. The aim is to remove FX and funding risks that are found in comparable cash structures.

Trade bodies publish market abuse guidelines

Five trade associations, including Isda and the Loan Market Association, published their recommendations on handling non-public price-sensitive information in the EU credit markets on May 9.

They said that market participants should have an independent compliance function and physically separate departments. The recommendations coincided with speculation that some banks are exploiting their contacts with corporate clients to give their CDS traders inside information.

CLO collateral overlap falling

Overlap between CLO collateral pools has been falling for nearly three years, according to Citigroup.

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