JP Morgan Chase and UOB Asset Management close $1.7 billion synthetic CDO

The latest offer is referenced on a portfolio of 145 credit default swaps worth a notional amount of $1.7 billion. As part of the transaction, special purpose vehicle United Global Investment Grade CDO II is issuing two tranches of credit-linked notes rated by Moody’s Investors Service. There is also a funded unrated equity tranche and two unfunded Aaa and super-senior tranches.

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.

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