Goldman Sachs is arranging an innovative $400 million five-year bullet, securitization off a Bank of America credit card portfolio via a synthetic risk transfer, investors said. The Consumer Credit Reference Index Securities, dubbed CRISP, is expected to price toward the middle of the month.

Investors in the bonds are basically selling default protection to BofA. The returns are based on the performance of a credit card index that Goldman has created comprised of the 10 biggest master trusts in the U.S. such as Bank One, Chase, Citibank, and MBNA.

The BofA-led deal has two tranches, rated Baa2/BBB and Ba2/BB respectively by Moody's Investors Service and Standard & Poors. If losses on the portfolio go over approximately 7.75%, not including the reserve fund, bond holders start to incur losses, said one investor looking at the deal. The final legal maturity on the transaction is March 2007.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.