Cordeiro declined to comment on the super-senior and equity tranches of the transaction, but said: "Only the AAA and AA tranches will be sold into Australia at this stage. The balance of the risk will remain offshore." S&P said the preliminary rating of the AAA tranche is supported by the credit quality of the underlying assets, plus credit support provided by the threshold amount under a credit default swap totalling 7.8%, and proceeds from the note issue used to buy medium-term notes issued by ABN Amro. S&P also considered the credit quality of ABN Amro as the credit default swap counterparty, and ABN Amro's payment of the trust's expenses other than interest on the notes. The underlying assets are a portfolio of 55 credit default swaps on investment grade credits. S&P said 50.9% of the portfolio is rated A+ to A- and 40% is rated BBB+ to BBB-. In terms of industry diversity, 14.6% of the credits are financial intermediaries and the rest is spread out across 13 industries.