The Bank of Korea is warming up to synthetic credit transactions, with the approval of the country’s first hybrid credit-linked note in February. JP Morgan Chase structured the hybrid 10-year credit-linked note (CLN), worth $30 million, with exposure to Korea Development Bank (KDB) credit risk and the super senior swap tranche of a synthetic collateralised debt obligation (CDO).
The CLN was issued by a special-purpose vehicle and sold to one South Korean institutional investor. It was
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