Credit Suisse CB

1 Who is the issuer?
  • Universal credit institution
2 Does the bondholder have recourse to the credit institution?
  • Yes, direct
3 Who owns the cover assets?
  • SPE which guarantees the covered bonds
  Comments: The SPE is consolidated with the issuer for accounting purposes, the transfer exists only to ensure legal asset segregation.
4 Is the issuer the originator of the assets?
  • Yes
1 Are the bonds governed by a special covered bond Legislation?
  • No
2 What is the legal framework for bankruptcy of the issuer of covered bonds?
  • General insolvency law
1 What types of assets may be included in cover pools?
  • Mortgage loans (Mortgage loans for the purpose of this question are taken to include guaranteed real-estate loans.)
  Comments: Up to 15% of cover pool can be substitute assets.
2 What is the geographical scope for public sector assets?
  Comments: n.a.
3 What is the geographical scope for mortgage assets?
  • CH
4 Are regular covered bond specific disclosure requirements to the public mandatory?
  • No
  Comments: Although, in the absence of a law there is no mandatory reporting requirement both of the issuers to date have committed to provide detailed and regular disclosure.
1 LTV is calculated using which valuation?[4]
  • Market value
2 Are there any special LTV limits used solely for calculating collateralisation rates for the cover pool (if yes, specify)?
  • Residential      
  Comments: Credit Suisse allows mortgages with a higher LTV in the pool but only gives credit for the first 70%.
3 Do bondholders get the benefit of that portion of the loan which exceeds the LTV cap?
  • Yes
4a Is there an LTV cap which makes the entire loan ineligible to be put in the cover pool (if yes, specify)?
  • Residential      
  Comments: 100%
4b Is there an LTV cap which would require a loan to be removed from the cover pool?
  • Residential      
  Comments: As above.
5 Is there any additional LTV limit on a portfolio basis?
  • No
Exposure to market risk
1 Is exposure to market risk (e.g. interest rate, currency risks) required to be mitigated by law or contract?
  • Yes
2 What is the primary method for the mitigation of market risk?
  • Use of derivative hedge instruments
3 If the answer to the above question on market risk mitigation is “Use of derivative hedge instruments”, please specify whether those instruments are entered into:
  • By the time of issue of covered bonds or entry of asset in the cover pool
  Comments: Hedges are entered into at incepation although cashflows, other than under a CSA are contingent on a trigger event.
4 What type of coverage test is applied?
  • Nominal cover
  • Present value cover
5 What is the frequency of coverage calculations?
  • Monthly
6 What types of stress scenarios are applied?
  • Not relevant
7 What is the frequency of stress test calculations?
  • Not relevant
Exposure to liquidity risk
8 Is exposure to liquidity risk required to be mitigated by law or contract?
  • No
9 What is the primary method for the mitigation of liquidity risk on interest payments?
  • Contractual arrangements, e.g. a requirement to establish a reserve fund
10 What is the primary method for the mitigation of liquidity risk on principal payments?
  • Contractual arrangements, e.g. maturity extension or prematurity test
11 Is there any grace period in case of a breach of liquidity risk mitigants?
  • At the discretion of the relevant party
  Comments: A breach of the pre-maturity test gives the Guarantor the right to take action immediately.
12 What is the consequence of not fixing a breach of liquidity risk mitigants?
  • Event of default of the issuer
Monitoring of exposures to market and liquidity risk
13 Who monitors the maintenance of coverage tests?
  • Trustee/cover pool monitor
14 Are there any regular public reporting requirements for market and liquidity risk?
  • Yes
  Comments: By issuer commitment rather than by statute.
Overcollateralisation
15 Is mandatory minimum overcollateralisation required?
  • By contractual obligation
16 What is the level of minimum mandatory overcollateralisation?
  • 11%
  Comments: Via the asset percentage term in the ACT.
17 If mandatory overcollateralisation is required, are the amounts above the minimum OC level protected?
  • Yes
18 Is there any grace period in case of a breach of the coverage test?
  • Length of period:
  Comments: De facto 1 month. A breach will occur if the ACT is not met on two consecuritve test dates.
19 What is the consequence of not fixing a breach of the coverage test?
  • Event of default of the issuer
  • Redirection of cashflows
  Comments: Inter alia cashflows are redirected after a breach occurs. If this breach is not rsolved by the next Test Date (one month later) an Issuer EOD occurs.
1 Is a special license required for the issuing of covered bonds?
  • No
2 Are there special reporting duties of the covered bond issuer to the supervision authority concerning covered bonds and the cover pool, which go beyond the regular banking supervision?
  • No
3 What is the role of the banking supervision regarding covered bonds?
  • No special role
4 Is there a special role of banking supervision in crisis regarding covered bonds?
  • No specific role
5 Is there a cover pool monitor independent from the issuer?
  • Yes
6 If there is an independent cover pool monitor, what are its duties?
  • Verification of coverage tests
1 Do covered bonds automatically accelerate when the credit institution goes insolvent?
  • No
2 What is the cover pool?
  • All assets pledged
3 How are the covered bondholders protected against claims from other creditors in case of insolvency of the issuer?
  • Transfer of assets to an SPE
4 Is there recourse to the credit institution’s insolvency estate upon a cover pool default?
  • Yes, pari passu with unsecured creditors
5 Are there provisions that require derivatives to continue in case of insolvency of the credit institution?
  • Yes
6 If derivatives are permitted in the cover pool, what is their ranking?
  • Pari passu to covered bond holders
1 Does the covered bond fulfil the criteria of UCITS 52(4)?
  • No
2 For further information regarding the compliance to the criteria of Article 129 of the Capital Requirements Regulation (CRR), please see the following links: http://ecbc.hypo.org/Content/default.asp?PageID=504#position https://www.coveredbondlabel.com
3 Are listed covered bonds eligible in repo transactions with the national central bank?
  • Yes
4 Are there any special investment regulations regarding covered bonds?
  • No
1 Link to National Association representing covered bond interests
  • Association
2 Link to national regulators and supervisors
3 Fact Book Country Chapter
  • Chapter
 
4 Hypostat Country Chapter
  • Chapter