The unfunded Aaa and super-senior tranches make up 93% of the transaction. JP Morgan Chase declined to give the breakdown of the unfunded tranches. The funded tranches comprise $34 million of Aa2-rated credit-linked notes, $34 million of Baa2-rated credit-linked notes and $51 million of unrated equity.
The portfolio is 10% of Asian names, with the rest split nearly equally between the US and Europe. Credits in the portfolio are all investment grade and their average rating is Baa1.
The week on Risk.net, October 6-12, 2017Receive this by email