A dramatic last-minute drop is occurring in a corner of the market for collateralized loan obligations ahead of a deadline for U.S. banks to get rid of some of their holdings.

Yield premiums on top-rated slices of certain types of CLOs — which bundle junk-rated corporate debt into new securities with varying risks — are widening "significantly," according to a report from Deutsche Bank AG. The reason is U.S. banks no longer will be able to hold these particular CLOs under provisions of the so-called Volcker Rule that take effect on July 21.

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