Russian local debt CDO debuts

Moscow-based Bank Zenit has partnered with JP Morgan to structure a collateralised debt obligation (CDO) backed solely by credit default swaps (CDSs) referencing rouble-denom-inated debt. The banks claim Red Square - a 6.7 billion rouble ($250 million) unrated deal - is the first example of a local debt CDO. JP Morgan structured the transaction, while Bank Zenit is the portfolio adviser.

Although unrated, the deal comprises three tranches - senior, mezzanine and equity - and references the

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