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.

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