The first public synthetic securitization backed by purely European credits was launched recently in a transaction that combined credit default swaps and asset backed bonds in a deal worth in total E4 billion. The deal was lead managed by Salomon Smith Barney on behalf of Citibank.

The transaction was split into E3.68 billion worth of credit default swaps with OECD banks, a separate swap with the securitization SPV (C*Star 1999-1) worth E280 million, and a E40 million first loss piece, which was retained by Citibank.

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