As part of the transaction, HSBC is also issuing HK$120 million of Class A notes rated AA, HK$90 million of Class B notes rated A, HK$60 million of Class D notes rated BBB and HK$60 million of unrated Class D notes. The transaction was rated by Standard & Poor’s and Moody’s Investors Service.
There is also a $60 million first-loss tranche, which HSBC is retaining. The bank is also keeping and servicing the assets.
Sources familiar with the transaction said the Class A tranches were placed privately with institutional investors globally, and that one bank is the counterparty for the super-senior swap.
The week on Risk.net, July 7-13, 2018Receive this by email