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Questions Credit Suisse CB
I. STRUCTURE OF THE ISSUER
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
(1) 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
II. FRAMEWORK
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
III. COVER ASSETS
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.)
(2) Comments: Up to 15% of cover pool can be substitute assets.
2. What is the geographical scope for public sector assets?
(3) 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
(4) 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.
IV. VALUATION OF THE MORTGAGE COVER POOL & LTV CRITERIA
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      
(5) 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      
(6) Comments: 100%
4b. Is there an LTV cap which would require a loan to be removed from the cover pool?
  • Residential      
(7) Comments: As above.
5. Is there any additional LTV limit on a portfolio basis?
  • No
V. ASSET-LIABILITY GUIDELINES
. 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
(8) 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
(9) 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
(10) 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%
(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:
(12) 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
(13) 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.
VI. COVER POOL MONITOR & BANKING SUPERVISION
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
VII. SEGREGATION OF ASSETS & BANKRUPTCY REMOTENESS OF COVERED BONDS
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
VIII. RISK WEIGHTING & COMPLIANCE WITH EUROPEAN LEGISLATION
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
IX. ADDITIONAL INFORMATION
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

Comments for your selection

  • 1: The SPE is consolidated with the issuer for accounting purposes, the transfer exists only to ensure legal asset segregation.
  • 2: Up to 15% of cover pool can be substitute assets.
  • 3: n.a.
  • 4: 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.
  • 5: Credit Suisse allows mortgages with a higher LTV in the pool but only gives credit for the first 70%.
  • 6: 100%
  • 7: As above.
  • 8: Hedges are entered into at incepation although cashflows, other than under a CSA are contingent on a trigger event.
  • 9: A breach of the pre-maturity test gives the Guarantor the right to take action immediately.
  • 10: By issuer commitment rather than by statute.
  • 11: Via the asset percentage term in the ACT.
  • 12: De facto 1 month. A breach will occur if the ACT is not met on two consecuritve test dates.
  • 13: 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.