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Instrumente des Kreditrisikotransfers im schweizerischen Bankenaufsichtsrecht

December 2009 - Finance. Legal Developments by Walder Wyss Ltd.

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The modern instruments of Credit Risk Transfer (CRT) have been in the spotlight since the beginning of the credit crisis. This article describes the banking regulatory framework for CRT in Switzerland. It presents the basic characteristics of CRT instruments (credit derivatives and securitisation instruments) and their regulation in Swiss supervisory banking law. The Swiss regulation is, with a few exceptions, based on the provisions of Basel II. Relevant for CRT instruments are the respective provisions on regulatory capital, risk distribution and risk management. The regulation of credit derivatives differs depending whether the instruments are held in the banking or the trading book and whether the bank is buyer or seller of (credit risk) protection. The regulation of securitisation instruments refers to the Basel IIframework for securitisations in its entirety.

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