Cohen and Co. is in the market with a $408 million cash-flow trust preferred CDO, ALESCO Preferred Funding XVII. The deal will be the 22nd trust preferred transaction completed by Cohen & Company Financial Management and its affiliates, but it might not be the most profitable. Market players speculate that the company might only break even, if not take a loss on the transaction, in a move they see as an effort to promote market liquidity.

"They are doing this transaction to create the impression of liquidity in a very dry market," said a CDO manager, who noted that though the transaction is expected to close at the current pricing, Cohen might take a loss on the deal because the collateral was bought at much tighter spreads before the summer mortgage mess.

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