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.