The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site.

All material subject to strictly enforced copyright laws. © 2020 Euromoney, a part of the Euromoney Institutional Investor PLC.
Capital Markets

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.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.

SUBSCRIBE ONLINE TODAY

Unlimited access to Euromoney.com and Asiamoney.com

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually

FREE 7 DAY TRIAL

Unlimited access to Euromoney.com and Asiamoney.com, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors

LOGIN NOW

Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree