One of the most difficult asset-backed transactions for U.S. investors to get their arms around this year was likely Bank of America's Consumer Credit Reference Index Securities Program, dubbed CRISP 2002. While the practice of synthetic securitization is not new, particularly in the CDO market, CRISP - the first U.S. synthetic ABS of consumer assets - offered an unprecedented mix of protections against rising charge-offs in credit card portfolios.

BofA created an index based on the cumulative charge-off rate on several large credit card trusts of the industries top issuers. Via lead banker Goldman Sachs & Co., BofA arranged it so that it receives payments, according to a formula, in the instance that the index rises above a predetermined threshold of 7.75% for a period of time where cumulative losses exceed 1.25%. Going back to 1997, monthly credit card charge-offs have never topped 6.75%.

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