Certificates from the transaction represent fractional pro rata interests in an underlying portfolio of approximately $4 billion of investment grade corporate bonds. The rating represents the weighted average rating of the underlying portfolio based on potential losses.
Stucture guidelines give no mandatory conditions for the liquidation of underlying bonds. Rather, liquidation of collateral may be requested by investors.
Twenty two corporations from a cross-section of industries will issue bonds into the structure. Standard & Poor's was unable to immediately provide details of issuer names.