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Category: Capital Relief Trades Regulation


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JPMorgan set to price its new CRT at wafer thin margins

The tightness of the pricing and the thinness of the tranches of JPMorgan’s latest capital relief trade, designated JP Morgan Wealth Management Reference Notes Series 2021-CL1 (SCI 17 February), has raised eyebrows in the marketplace.

According to well-placed sources, the deal’s first loss tranche covers losses between 0% and 0.40%,

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