Fitch瑞信按揭抵押债券CoveredBondsSwitzerlandCreditSuisseAG101110.pdf

Covered Bonds  Switzerland  Credit Suisse AG  Presale Report  Mortgage Covered Bonds  Expected Ratings  Rating Rationale  Covered Amount Scheduled Bonds (EURbn) Maturity Rating The expected rating of Credit Suisse AG’s (CS or the issuer, rated ‘AA‐’/ Series 1 1.5 Nov 2015 or AAA (EXP)  Stable/’F1+’) mortgage covered bonds is based on its Long‐Term Issuer Default Nov 2017 Rating (IDR) and on a Discontinuity Factor (D‐Factor) of 21.0%. In combination with Fitch Ratings’ assessment of the asset and liability‐based risks of the cover pool and Expected Ratings  the covered bonds, the agency has assigned an expected rating of ‘AAA’ on a Expected ratings do not reflect final ratings probability‐of‐default (PD) basis to the programme’s first series of covered bonds. and are based on information provided by the issuer as of November 2010. These expected The D‐Factor — a measure that expresses Fitch’s view of the likelihood of a ratings are contingent on final documents conforming to information already received. concurrent default of the covered bonds and CS — assigned to CS’s programme is Ratings are not a recommendation to buy, sell driven by the agency’s view on the following factors. or hold any security. The offering circular and other material should be reviewed prior to Asset Segregation: The cover assets will be transferred to a bankruptcy‐remote any purchase.