HSBC closes $380 million synthetic balance sheet securitisation

An official at the bank said the transaction will mature in 2009 and comprises five tranches, from super senior to the first-loss. The super-senior tranche is worth HK$2.61 billion.

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.

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