Deutsche Bank Securities has issued a USD9 billion static collateralized debt obligation in the U.S. The deal, dubbed Rhombus, references a pool of asset-backed securities, according to Brian Wiele, managing director and head of the ABS syndicate in New York. The firm then executed credit-default swaps on the majority of the portfolio to transfer the risk to investors.
The motivation for the deal is to allow the purchaser of the assets, which Wiele declined to name, to free credit lines and invest more in the asset class. Credit-linked notes and default swaps were issued according to investor preference, with the default swaps comprising the majority of the deal, he noted.
The portfolio represents substantial diversification of credits, said Wiele, who declined to specify an exact number. The deal consisted of USD45 million of AA notes, which priced at LIBOR plus 100 basis points, USD135 million of AA plus notes at LIBOR plus 85bps and USD180 million of AAA notes at LIBOR plus 53bps. There was also a USD900 million junior super senior tranche and a USD7.65 billion super senior tranche, but these were not offered.
