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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16 UNDER THE SECURITIES EXCHANGE ACT OF 1934
Fee File Quantity 001-15244
(Translation of registrant’s identify into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Tackle of principal govt workplace)
Point out by verify mark whether or not the registrant recordsdata or will file annual studies beneath cowl of Kind 20-F or Kind 40-F.
Point out by verify mark if the registrant is submitting the Kind 6-Ok in paper as permitted by Regulation S-T Rule 101(b)(1):
Be aware: Regulation S-T Rule 101(b)(1) solely permits the submission in paper of a Kind 6-Ok if submitted solely to supply an hooked up annual report back to safety holders.
Point out by verify mark if the registrant is submitting the Kind 6-Ok in paper as permitted by Regulation S-T Rule 101(b)(7):
Be aware: Regulation S-T Rule 101(b)(7) solely permits the submission in paper of a Kind 6-Ok if submitted to furnish a report or different doc that the registrant international non-public issuer should furnish and make public beneath the legal guidelines of the jurisdiction during which the registrant is integrated, domiciled or legally organized (the registrant’s “house nation”), or beneath the foundations of the house nation trade on which the registrant’s securities are traded, so long as the report or different doc isn’t a press launch, isn’t required to be and has not been distributed to the registrant’s safety holders, and, if discussing a fabric occasion, has already been the topic of a Kind 6-Ok submission or different Fee submitting on EDGAR.
Point out by verify mark whether or not the registrant by furnishing the knowledge contained on this Kind can also be thereby furnishing the knowledge to the Fee pursuant to Rule 12g3-2(b) beneath the Securities Change Act of 1934.
If “Sure” is marked, point out beneath the file quantity assigned to the registrant in reference to Rule 12g3-2(b): 82-.
Pursuant to the necessities of the Securities Change Act of 1934, the registrant has duly induced this report back to be signed on its behalf by the undersigned, thereunto duly licensed.
CREDIT SUISSE GROUP AG
(Registrant)
Date: August 26, 2022
By:
/s/ David Wildermuth
David Wildermuth
Chief Danger Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Monetary Officer
For the needs of this report, until the context in any other case requires, the phrases “Credit score Suisse Group”, “Credit score Suisse”, the “Group”, “we”, “us” and “our” imply Credit score Suisse Group AG and its consolidated subsidiaries. The enterprise of Credit score Suisse AG, the direct financial institution subsidiary of the Group, is considerably much like the Group, and we use these phrases to confer with each when the topic is identical or considerably related. We use the time period the “Financial institution” once we are referring solely to Credit score Suisse AG and its consolidated subsidiaries. We use the time period the “Financial institution mother or father firm” once we are referring solely to the standalone mother or father entity Credit score Suisse AG. Abbreviations and chosen phrases are defined within the Record of abbreviations and the Glossary at the back of this report. Publications referenced on this report, whether or not through web site hyperlinks or in any other case, will not be integrated into this report. Rounding variations could happen.
Credit score Suisse Group AG
Introduction
Swiss capital necessities
Danger-weighted belongings
Credit score threat
Counterparty credit score threat
Securitization
Market threat
Extra regulatory disclosures
Record of abbreviations
Cautionary assertion relating to forward-looking info
This report as of June 30, 2022 relies on the Round 2016/1 “Disclosure – banks” (FINMA round) issued by the Swiss Monetary Market Supervisory Authority FINMA (FINMA).
This report is produced and revealed quarterly, in accordance with FINMA necessities. The reporting frequency for every disclosure requirement is both annual, semi-annual or quarterly. This doc ought to be learn along with the Pillar Three and regulatory disclosures – Credit score Suisse Group AG 4Q21 and 1Q22 in addition to the Credit score Suisse Annual Report 2021 and the Credit score Suisse Monetary Report 2Q22, which embrace necessary info on regulatory capital, threat administration (particular references have been made herein to those paperwork) and regulatory developments and proposals.
Credit score Suisse Group is the best consolidated entity to which the FINMA round applies.
These disclosures have been verified and authorised internally according to our board-approved coverage on disclosure controls and procedures. The extent of inside management processes for these disclosures is much like these utilized to the Group’s quarterly and annual monetary studies. This report has not been audited by the Group’s exterior auditors.
For sure prescribed desk codecs the place line objects have zero balances, such line objects haven’t been introduced.
This report displays sure updates and corrections to prior interval metrics, which have been famous within the related tabular disclosures, the place relevant.
In reference to the implementation of Basel III, sure regulatory disclosures for the Group and sure of its subsidiaries are required. The Group’s Pillar Three disclosure, regulatory disclosures, extra info on capital devices, together with the primary options of regulatory capital devices and complete loss-absorbing capability (TLAC)-eligible devices that type a part of the eligible capital base and TLAC assets, International systemically necessary financial institution (G-SIB) monetary indicators, reconciliation necessities, leverage ratios and sure liquidity disclosures in addition to regulatory disclosures for subsidiaries might be discovered on our web site.
> Check with credit-suisse.com/regulatorydisclosures for added info.
> Check with “Regulatory developments” (web page 46) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration within the Credit score Suisse Monetary Report 2Q22 for additional info.
FINMA requires the Group to conform absolutely with the particular necessities for systemically necessary monetary establishments working internationally. The next tables current the Swiss capital and leverage necessities and metrics as required by FINMA.
> Check with “Swiss necessities” (web page 45) and “Swiss metrics” (pages 50 to 51) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration within the Credit score Suisse Monetary Report 2Q22 for additional info on common Swiss necessities and the associated metrics.
Swiss capital necessities and metrics | |||||
finish of 2Q22 |
CHF million |
in % of RWA |
|||
Swiss risk-weighted belongings | |||||
Swiss risk-weighted belongings | 274,997 | – | |||
Danger-based capital necessities (going-concern) primarily based on Swiss capital ratios | |||||
Whole 1 | 40,316 | 14.66 | |||
of which CET1: minimal | 12,375 | 4.5 | |||
of which CET1: buffer | 14,135 | 5.14 | |||
of which CET1: countercyclical buffers | 70 | 0.025 | |||
of which extra tier 1: minimal | 9,625 | 3.5 | |||
of which extra tier 1: buffer | 2,200 | 0.8 | |||
Swiss eligible capital (going-concern) | |||||
Swiss CET1 capital and extra tier 1 capital 2 | 52,736 | 19.2 | |||
of which CET1 capital 3 | 37,049 | 13.5 | |||
of which extra tier 1 high-trigger capital devices | 11,223 | 4.1 | |||
of which extra tier 1 low-trigger capital devices 4 | 4,464 | 1.6 | |||
Danger-based necessities for added complete loss-absorbing capability (gone-concern) primarily based on Swiss capital ratios | |||||
Whole in response to measurement and market share 5 | 38,335 | 13.9 | |||
Reductions attributable to rebates in accordance with article 133 of the CAO | (8,077) | (2.937) | |||
Reductions as a result of holding of extra devices within the type of convertible capital in accordance with Artwork. 132 para Four CAO | (1,204) | (0.438) | |||
Whole, web | 29,054 | 10.565 | |||
Eligible extra complete loss-absorbing capability (gone-concern) | |||||
Whole | 44,160 | 16.1 | |||
of which bail-in devices 6 | 41,753 | 15.2 | |||
of which tier 2 low-trigger capital devices | 2,407 | 0.9 | |||
1 The full requirement consists of the FINMA Pillar 2 capital add-on of CHF 1,911 million referring to the provision chain finance funds matter. This Pillar 2 capital add-on equates to an extra Swiss CET1 capital ratio requirement of 70 foundation factors. |
|||||
2 Excludes tier 1 capital that’s used to satisfy gone-concern necessities. |
|||||
3 Excludes CET1 capital that’s used to satisfy gone-concern necessities. |
|||||
4 If issued earlier than July 1, 2016, such capital devices qualify as extra tier 1 high-trigger capital devices till their first name date in response to the transitional Swiss “Too Massive to Fail” guidelines. |
|||||
5 Consists of a base requirement of 12.86%, or CHF 35,365 million, and a surcharge of 1.08%, or CHF 2,970 million. |
|||||
6 Contains devices issued in 2021, that are eligible as gone-concern capability, the place the Group used the proceeds of CHF 5,422 million to offset an publicity that Credit score Suisse AG has from offering web senior funding to the Group. As of the top of 2Q22, the Group had a web funding legal responsibility in opposition to Credit score Suisse AG of CHF 1,492 million, ensuing from current web senior funding offered by Credit score Suisse AG to the Group of CHF 7,057 million offset by CHF 5,565 million of funding offered by the Group to Credit score Suisse AG. |
Swiss leverage necessities and metrics | |||||
finish of 2Q22 |
CHF million |
in % of LRD |
|||
Leverage publicity | |||||
Leverage ratio denominator | 862,737 | – | |||
Unweighted capital necessities (going-concern) primarily based on Swiss leverage ratio | |||||
Whole 1 | 43,970 | 5.097 | |||
of which CET1: minimal | 12,941 | 1.5 | |||
of which CET1: buffer | 16,176 | 1.875 | |||
of which extra tier 1: minimal | 12,941 | 1.5 | |||
Swiss eligible capital (going-concern) | |||||
Swiss CET1 capital and extra tier 1 capital 2 | 52,736 | 6.1 | |||
of which CET1 capital 3 | 37,049 | 4.3 | |||
of which extra tier 1 high-trigger capital devices | 11,223 | 1.3 | |||
of which extra tier 1 low-trigger capital devices 4 | 4,464 | 0.5 | |||
Unweighted necessities for added complete loss-absorbing capability (gone-concern) primarily based on the Swiss leverage ratio | |||||
Whole in response to measurement and market share 5 | 42,058 | 4.875 | |||
Reductions attributable to rebates in accordance with article 133 of the CAO | (8,895) | (1.031) | |||
Reductions as a result of holding of extra devices within the type of convertible capital in accordance with Artwork. 132 para Four CAO | (1,204) | (0.14) | |||
Whole, web | 31,960 | 3.704 | |||
Eligible extra complete loss-absorbing capability (gone-concern) | |||||
Whole | 44,160 | 5.1 | |||
of which bail-in devices 6 | 41,753 | 4.8 | |||
of which tier 2 low-trigger capital devices | 2,407 | 0.3 | |||
1 The full requirement consists of the FINMA Pillar 2 capital add-on of CHF 1,911 million referring to the provision chain finance funds matter. This Pillar 2 capital add-on equates to an extra Swiss CET1 leverage ratio requirement of 22 foundation factors. |
|||||
2 Excludes tier 1 capital that’s used to satisfy gone-concern necessities. |
|||||
3 Excludes CET1 capital that’s used to satisfy gone-concern necessities. |
|||||
4 If issued earlier than July 1, 2016, such capital devices qualify as extra tier 1 high-trigger capital devices till their first name date in response to the transitional Swiss “Too Massive to Fail” guidelines. |
|||||
5 Consists of a base requirement of 4.5%, or CHF 38,823 million, and a surcharge of 0.375%, or CHF 3,235 million. |
|||||
6 Contains devices issued in 2021, that are eligible as gone-concern capability, the place the Group used the proceeds of CHF 5,422 million to offset an publicity that Credit score Suisse AG has from offering web senior funding to the Group. As of the top of 2Q22, the Group had a web funding legal responsibility in opposition to Credit score Suisse AG of CHF 1,492 million, ensuing from current web senior funding offered by Credit score Suisse AG to the Group of CHF 7,057 million offset by CHF 5,565 million of funding offered by the Group to Credit score Suisse AG. |
Danger-weighted belongings (RWA) introduced on this report, together with prior interval comparisons, are primarily based on the Swiss capital necessities.
> Check with “Swiss necessities” (web page 45) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration – Regulatory framework within the Credit score Suisse Monetary Report 2Q22 for additional info on Swiss capital necessities.
The next desk presents an outline of complete Swiss RWA forming the denominator of the risk-based capital necessities. Additional breakdowns of RWA are introduced in subsequent sections of this report.
RWA have been CHF 275.Zero billion as of the top of 2Q22, secure in comparison with the top of 1Q22, because the international trade impression was offset by actions in threat ranges and inside mannequin and parameter updates within the Funding Financial institution.
RWA circulate statements for credit score threat, counterparty credit score threat (CCR) and market threat are introduced in subsequent elements of this report.
> Check with “Danger-weighted belongings” (pages 48 to 49) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration within the Credit score Suisse Monetary Report 2Q22 for additional info on risk-weighted belongings actions in 2Q22.
OV1 – Overview of Swiss risk-weighted belongings and capital necessities | |||||||||
Danger-weighted belongings |
Capital requirement |
1 | |||||||
finish of | 2Q22 | 1Q22 | 4Q21 | 2Q22 | |||||
CHF million | |||||||||
Credit score threat (excluding counterparty credit score threat) | 132,190 | 130,639 | 126,878 | 10,575 | |||||
of which standardized strategy (SA) | 30,836 | 28,228 | 25,591 | 2,467 | |||||
of which supervisory slotting strategy | 4,322 | 4,346 | 4,040 | 346 | |||||
of which superior inside ratings-based (A-IRB) strategy | 97,032 | 98,065 | 97,247 | 7,762 | |||||
Counterparty credit score threat | 14,468 | 15,338 | 15,640 | 1,157 | |||||
of which standardized strategy for counterparty credit score threat (SA-CCR) | 3,681 | 4,276 | 3,064 | 294 | |||||
of which inside mannequin methodology (IMM) | 9,875 | 10,001 | 11,536 | 790 | |||||
of which different counterparty credit score threat 2 | 912 | 1,061 | 1,040 | 73 | |||||
Credit score valuation changes (CVA) | 4,191 | 4,832 | 5,046 | 335 | |||||
Fairness positions within the banking e book beneath the easy threat weight strategy | 5,469 | 5,645 | 7,071 | 438 | |||||
Fairness investments in funds – look-through strategy | 2,422 | 2,220 | 2,431 | 194 | |||||
Fairness investments in funds – mandate-based strategy | 11 | 21 | 21 | 1 | |||||
Fairness investments in funds – fall-back strategy | 688 | 571 | 505 | 55 | |||||
Settlement threat | 437 | 669 | 465 | 35 | |||||
Securitization exposures within the banking e book | 13,228 | 13,048 | 13,396 | 1,058 | |||||
of which securitization inside ratings-based strategy (SEC-IRBA) | 7,807 | 7,381 | 7,736 | 625 | |||||
of which securitization exterior ratings-based strategy (SEC-ERBA), together with inside evaluation strategy (IAA) | 1,016 | 1,135 | 1,429 | 81 | |||||
of which securitization standardized strategy (SEC-SA) | 4,405 | 4,532 | 4,231 | 352 | |||||
Market threat | 16,001 | 17,407 | 16,355 | 1,280 | |||||
of which standardized strategy (SA) | 1,612 | 1,725 | 1,648 | 129 | |||||
of which inside fashions strategy (IMA) | 14,389 | 15,682 | 14,707 | 1,151 | |||||
Operational threat (AMA) | 72,946 | 70,427 | 67,627 | 5,836 | |||||
Quantities beneath the thresholds for deduction (topic to 250% threat weight) | 12,946 | 12,792 | 12,983 | 1,036 | |||||
Whole | 274,997 | 273,609 | 268,418 | 22,000 | |||||
1 Calculated as 8% of Swiss risk-weighted belongings, primarily based on complete capital minimal necessities, excluding capital conservation buffer and G-SIB buffer necessities. |
|||||||||
2 Contains RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS. |
This part covers credit score threat as outlined by the Basel framework. CCR, together with these which might be within the banking e book for regulatory functions, and all positions topic to the securitization framework are introduced in separate sections.
> Check with “Counterparty credit score threat” (pages 22 to 29) for additional info on the capital necessities referring to counterparty credit score threat.
> Check with “Securitization” (pages 30 to 35) for additional info on the securitization framework.
The Basel framework permits banks to decide on between two broad methodologies in calculating their capital necessities for credit score threat: the standardized strategy (SA) or the inner ratings-based (IRB) strategy. Off-balance-sheet objects are transformed into credit score publicity equivalents by way of the usage of credit score conversion components (CCF).
The reported credit score threat arises from the execution of the Group’s enterprise technique by way of the divisions and is predominantly pushed by money and balances with central banks, loans and commitments offered to company and institutional purchasers, loans to personal purchasers together with residential mortgages and lending in opposition to monetary collateral.
The quantities proven within the following tables are the US GAAP carrying values in response to the regulatory scope of consolidation which might be topic to the credit score threat framework.
The next desk presents a complete image of the credit score high quality of the Group’s on and off-balance sheet belongings.
CR1 – Credit score high quality of belongings | |||||||||||||||||
of which CECL-related provisions on SA exposures |
|||||||||||||||||
finish of |
Defaulted exposures |
Non- defaulted exposures |
Gross exposures |
Allowances/ impairments |
Regulatory class – particular |
Regulatory class – common |
of which CECL- associated provisions on IRB exposures |
Internet exposures |
|||||||||
2Q22 (CHF million) | |||||||||||||||||
Loans 1 | 8,097 | 428,505 | 436,602 | (5,441) | (38) | 0 | (483) | 431,161 | |||||||||
Debt securities | 20 | 11,027 | 11,047 | 0 | 0 | 0 | 0 | 11,047 | |||||||||
Off-balance sheet exposures 2 | 628 | 86,913 | 87,541 | (178) | (8) | 0 | (118) | 87,363 | |||||||||
Whole | 8,745 | 526,445 | 535,190 | (5,619) | (46) | 0 | (601) | 529,571 | |||||||||
4Q21 (CHF million) | |||||||||||||||||
Loans 1 | 7,965 | 437,722 | 445,687 | (5,334) | (45) | 0 | (468) | 440,353 | |||||||||
Debt securities | 17 | 9,916 | 9,933 | 0 | 0 | 0 | 0 | 9,933 | |||||||||
Off-balance sheet exposures 2 | 391 | 93,257 | 93,648 | (211) | (13) | 0 | (189) | 93,437 | |||||||||
Whole | 8,373 | 540,895 | 549,268 | (5,545) | (58) | 0 | (657) | 543,723 | |||||||||
1 Loans embrace all on-balance sheet exposures that give rise to a credit score threat cost and will not be restricted to exposures which might be acknowledged as web loans beneath US GAAP. Loans exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures. |
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2 Revocable mortgage commitments, that are excluded from the disclosed exposures, can entice risk-weighted belongings. |
The definitions of “overdue” and “impaired” are aligned between accounting and regulatory functions. Nevertheless, there are some exemptions for impaired positions associated to distressed debt restructurings the place the default definition is totally different for accounting and regulatory functions.
> Check with “Be aware 1 – Abstract of serious accounting insurance policies – Loans” (pages 296 to 297) and “Be aware 20 – Monetary devices measured at amortized price and credit score losses” (pages 315 to 327) in VI – Consolidated monetary statements – Credit score Suisse Group within the Credit score Suisse Annual Report 2021 and “Be aware 19 – Monetary devices measured at amortized price and credit score losses” (pages 89 to 98) in III – Condensed consolidated monetary statements – unaudited within the Credit score Suisse Monetary Report 2Q22 for additional info on the present anticipated credit score losses (CECL) mannequin beneath US GAAP, the classification of CECL-related provisions and the credit score high quality of loans, together with overdue and impaired loans.
The next desk presents the modifications within the Group’s defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted publicity classes and reductions within the defaulted exposures attributable to write-offs.
CR2 – Modifications in defaulted exposures | |||
1H22 | |||
CHF million | |||
Defaulted exposures at starting of interval | 8,373 | ||
Exposures which have defaulted for the reason that final reporting interval | 223 | ||
Returned to non-defaulted standing | (118) | ||
Quantities written-off | (71) | ||
Different modifications | 338 | ||
Defaulted exposures at finish of interval | 8,745 |
Credit score Suisse actively mitigates credit score publicity by way of the usage of authorized netting agreements, safety over supporting monetary and non-financial collateral or monetary ensures and thru the usage of credit score hedging strategies, primarily credit score default swaps (CDS). The popularity of credit score threat mitigation (CRM) in opposition to exposures is ruled by a sturdy set of insurance policies and processes that guarantee enforceability and effectiveness.
The next desk presents the usage of CRM strategies. Credit score Suisse acknowledges the CRM impact of eligible collateral both as a discount from the publicity at default (EAD) worth of the secured instrument or as an adjustment to the chance of default (PD) or loss given default (LGD) related to the publicity. All exposures which might be secured by way of eligible collateral are disclosed as “Internet exposures partially or absolutely secured”. Eligible collateral quantities, no matter which CRM method has been utilized, are disclosed as “Exposures secured by collateral”. Exposures secured by credit score derivatives don’t embrace sure immaterial positions, the place the credit score spinoff is acknowledged with an adjustment to the LGD.
CR3 – CRM strategies | |||||||||||||
Internet exposures | Exposures secured by | ||||||||||||
finish of |
Unsecured |
Partially or absolutely secured |
Whole |
Collateral |
Monetary ensures |
Credit score derivatives |
|||||||
2Q22 (CHF million) | |||||||||||||
Loans 1 | 203,558 | 227,603 | 431,161 | 184,912 | 5,446 | 15 | |||||||
Debt securities | 9,545 | 1,502 | 11,047 | 1,460 | 0 | 0 | |||||||
Whole | 213,103 | 229,105 | 442,208 | 186,372 | 5,446 | 15 | |||||||
of which defaulted | 1,402 | 1,794 | 3,196 | 1,068 | 74 | 0 | |||||||
4Q21 (CHF million) | |||||||||||||
Loans 1 | 208,561 | 231,792 | 440,353 | 193,549 | 6,970 | 0 | |||||||
Debt securities | 9,622 | 311 | 9,933 | 274 | 0 | 0 | |||||||
Whole | 218,183 | 232,103 | 450,286 | 193,823 | 6,970 | 0 | |||||||
of which defaulted | 1,612 | 1,550 | 3,162 | 1,355 | 143 | 0 | |||||||
1 Loans embrace all on-balance sheet exposures that give rise to a credit score threat cost and will not be restricted to exposures which might be acknowledged as web loans beneath US GAAP. Loans exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures. |
Credit score threat publicity and CRM results
The next desk presents the impact of CRM (complete and easy strategy) on the standardized strategy capital necessities’ calculations. RWA density offers an artificial metric on the riskiness of every portfolio.
CR4 – Credit score threat publicity and CRM results | |||||||||||||||||
Exposures pre-CCF and CRM | Exposures post-CCF and CRM | ||||||||||||||||
finish of |
On-balance sheet |
Off-balance sheet |
Whole |
On-balance sheet |
Off-balance sheet |
Whole |
RWA |
RWA density |
|||||||||
2Q22 (CHF million) | |||||||||||||||||
Sovereigns | 119,874 | 20 | 119,894 | 119,874 | 0 | 119,874 | 101 | 0% | |||||||||
Establishments – Banks and securities seller | 2,780 | 768 | 3,548 | 2,578 | 388 | 2,966 | 986 | 33% | |||||||||
Establishments – Different establishments | 814 | 2,122 | 2,936 | 814 | 298 | 1,112 | 369 | 33% | |||||||||
Corporates | 12,260 | 8,783 | 21,043 | 11,444 | 2,822 | 14,266 | 12,179 | 85% | |||||||||
Retail | 2,944 | 1,933 | 4,877 | 2,654 | 410 | 3,064 | 2,736 | 89% | |||||||||
Different exposures | 15,442 | 1,443 | 16,885 | 15,172 | 1,257 | 16,429 | 14,465 | 88% | |||||||||
of which non-counterparty associated belongings | 7,403 | 0 | 7,403 | 7,403 | 0 | 7,403 | 7,403 | 100% | |||||||||
Whole | 154,114 | 15,069 | 169,183 | 152,536 | 5,175 | 157,711 | 30,836 | 20% | |||||||||
4Q21 (CHF million) | |||||||||||||||||
Sovereigns | 90,453 | 238 | 90,691 | 89,959 | 82 | 90,041 | 190 | 0% | |||||||||
Establishments – Banks and securities seller | 3,002 | 761 | 3,763 | 2,741 | 382 | 3,123 | 1,108 | 35% | |||||||||
Establishments – Different establishments | 497 | 2,020 | 2,517 | 497 | 221 | 718 | 498 | 69% | |||||||||
Corporates | 7,742 | 9,579 | 17,321 | 7,053 | 2,519 | 9,572 | 8,465 | 88% | |||||||||
Retail | 2,758 | 1,381 | 4,139 | 2,494 | 363 | 2,857 | 2,413 | 84% | |||||||||
Different exposures | 13,996 | 1,109 | 15,105 | 13,740 | 1,086 | 14,826 | 12,917 | 87% | |||||||||
of which non-counterparty associated belongings | 7,317 | 0 | 7,317 | 7,317 | 0 | 7,317 | 7,317 | 100% | |||||||||
Whole | 118,448 | 15,088 | 133,536 | 116,484 | 4,653 | 121,137 | 25,591 | 21% |
Exposures by asset class and threat weight
The next desk presents the breakdown of credit score exposures by asset class and threat weight, which corresponds to the riskiness attributed to the publicity in response to the standardized strategy.
CR5 – Exposures by asset class and threat weight | |||||||||||||||||||
Danger weight | |||||||||||||||||||
finish of |
0% |
20% |
35% |
50% |
75% |
100% |
150% |
Others |
Exposures post-CCF and CRM |
||||||||||
2Q22 (CHF million) | |||||||||||||||||||
Sovereigns | 119,737 | 53 | 0 | 32 | 0 | 10 | 42 | 0 | 119,874 | ||||||||||
Establishments – Banks and securities seller | 0 | 1,912 | 0 | 913 | 0 | 131 | 10 | 0 | 2,966 | ||||||||||
Establishments – Different establishments | 374 | 4 | 0 | 732 | 0 | 0 | 2 | 0 | 1,112 | ||||||||||
Corporates | 0 | 1,734 | 27 | 2,189 | 0 | 9,489 | 827 | 0 | 14,266 | ||||||||||
Retail | 0 | 0 | 91 | 0 | 1,716 | 936 | 321 | 0 | 3,064 | ||||||||||
Different exposures | 2,062 | 0 | 0 | 0 | 0 | 14,358 | 0 | 9 | 16,429 | ||||||||||
of which non-counterparty associated belongings | 0 | 0 | 0 | 0 | 0 | 7,403 | 0 | 0 | 7,403 | ||||||||||
Whole | 122,173 | 3,703 | 118 | 3,866 | 1,716 | 24,924 | 1,202 | 9 | 157,711 | ||||||||||
of which secured by actual property | 0 | 0 | 118 | 0 | 44 | 591 | 0 | 0 | 753 | ||||||||||
of which overdue | 0 | 0 | 0 | 0 | 0 | 254 | 465 | 0 | 719 | ||||||||||
4Q21 (CHF million) | |||||||||||||||||||
Sovereigns | 89,801 | 51 | 0 | 19 | 0 | 170 | 0 | 0 | 90,041 | ||||||||||
Establishments – Banks and securities seller | 0 | 2,071 | 0 | 719 | 0 | 328 | 5 | 0 | 3,123 | ||||||||||
Establishments – Different establishments | 0 | 0 | 0 | 440 | 0 | 278 | 0 | 0 | 718 | ||||||||||
Corporates | 0 | 966 | 27 | 1,050 | 1 | 7,110 | 418 | 0 | 9,572 | ||||||||||
Retail | 0 | 0 | 115 | 0 | 1,694 | 940 | 108 | 0 | 2,857 | ||||||||||
Different exposures | 2,013 | 0 | 0 | 0 | 0 | 12,804 | 0 | 9 | 14,826 | ||||||||||
of which non-counterparty associated belongings | 0 | 0 | 0 | 0 | 0 | 7,317 | 0 | 0 | 7,317 | ||||||||||
Whole | 91,814 | 3,088 | 142 | 2,228 | 1,695 | 21,630 | 531 | 9 | 121,137 | ||||||||||
of which secured by actual property | 0 | 0 | 142 | 0 | 3 | 270 | 0 | 0 | 415 | ||||||||||
of which overdue | 0 | 0 | 0 | 0 | 0 | 384 | 99 | 0 | 483 |
The next desk presents the primary parameters used for the calculation of capital necessities for IRB fashions.
CR6 – Credit score threat exposures by portfolio and PD vary | |||||||||||||||||||||||||||
finish of 2Q22 |
Authentic on-balance sheet gross publicity |
Off-balance sheet exposures pre CCF |
Whole exposures |
Common CCF |
EAD post- CRM and post-CCF |
1 |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
2 |
RWA density |
Anticipated loss |
Provisions |
||||||||||||
Sovereigns (CHF million, besides the place indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 37,926 | 315 | 38,241 | 53% | 32,579 | 0.03% | < 0.1 | 6% | 1.1 | 518 | 2% | 1 | – | ||||||||||||||
0.15% to <0.25% | 27 | 0 | 27 | 0% | 0 | 0.22% | < 0.1 | 58% | 2.5 | 0 | 64% | 0 | – | ||||||||||||||
0.25% to <0.50% | 116 | 0 | 116 | 0% | 83 | 0.37% | < 0.1 | 56% | 2.2 | 64 | 77% | 0 | – | ||||||||||||||
0.50% to <0.75% | 49 | 0 | 49 | 0% | 13 | 0.64% | < 0.1 | 58% | 1.4 | 12 | 88% | 0 | – | ||||||||||||||
0.75% to <2.50% | 47 | 3 | 50 | 45% | 48 | 1.85% | < 0.1 | 24% | 3.5 | 34 | 71% | 0 | – | ||||||||||||||
2.50% to <10.00% | 245 | 59 | 304 | 20% | 204 | 5.73% | < 0.1 | 49% | 2.0 | 349 | 171% | 6 | – | ||||||||||||||
10.00% to <100.00% | 499 | 0 | 499 | 0% | 344 | 28.23% | < 0.1 | 54% | 1.1 | 1,037 | 301% | 53 | – | ||||||||||||||
100.00% (Default) | 357 | 0 | 357 | 0% | 129 | 100.00% | < 0.1 | 56% | 1.9 | 136 | 106% | 178 | – | ||||||||||||||
Sub-total | 39,266 | 377 | 39,643 | 48% | 33,400 | 0.74% | 0.1 | 7% | 1.1 | 2,150 | 6% | 238 | 178 | ||||||||||||||
Establishments – Banks and securities seller | |||||||||||||||||||||||||||
0.00% to <0.15% | 8,399 | 1,695 | 10,094 | 61% | 11,196 | 0.06% | 1.6 | 51% | 0.7 | 1,682 | 15% | 3 | – | ||||||||||||||
0.15% to <0.25% | 237 | 278 | 515 | 47% | 225 | 0.22% | 0.1 | 49% | 0.6 | 86 | 38% | 0 | – | ||||||||||||||
0.25% to <0.50% | 521 | 207 | 728 | 49% | 472 | 0.37% | 0.1 | 51% | 0.7 | 282 | 60% | 1 | – | ||||||||||||||
0.50% to <0.75% | 56 | 132 | 188 | 52% | 104 | 0.64% | < 0.1 | 45% | 2.6 | 91 | 87% | 0 | – | ||||||||||||||
0.75% to <2.50% | 235 | 129 | 364 | 42% | 224 | 1.62% | 0.1 | 51% | 0.5 | 233 | 104% | 2 | – | ||||||||||||||
2.50% to <10.00% | 653 | 173 | 826 | 43% | 353 | 5.31% | 0.2 | 50% | 0.8 | 576 | 163% | 10 | – | ||||||||||||||
10.00% to <100.00% | 52 | 24 | 76 | 50% | 58 | 28.04% | < 0.1 | 53% | 0.7 | 188 | 321% | 9 | – | ||||||||||||||
100.00% (Default) | 8 | 0 | 8 | 0% | 8 | 100.00% | < 0.1 | 50% | 1.6 | 8 | 106% | 0 | – | ||||||||||||||
Sub-total | 10,161 | 2,638 | 12,799 | 56% | 12,640 | 0.44% | 2.0 | 51% | 0.7 | 3,146 | 25% | 25 | 0 | ||||||||||||||
Establishments – Different establishments | |||||||||||||||||||||||||||
0.00% to <0.15% | 1,059 | 1,845 | 2,904 | 2% | 1,183 | 0.04% | < 0.1 | 41% | 3.4 | 261 | 22% | 0 | – | ||||||||||||||
0.15% to <0.25% | 68 | 9 | 77 | 33% | 71 | 0.16% | < 0.1 | 49% | 1.2 | 29 | 42% | 0 | – | ||||||||||||||
0.25% to <0.50% | 13 | 0 | 13 | 45% | 13 | 0.37% | < 0.1 | 58% | 2.5 | 11 | 83% | 0 | – | ||||||||||||||
0.50% to <0.75% | 5 | 2 | 7 | 45% | 5 | 0.72% | < 0.1 | 44% | 1.9 | 4 | 77% | 0 | – | ||||||||||||||
0.75% to <2.50% | 1 | 0 | 1 | 0% | 1 | 1.05% | < 0.1 | 17% | 2.0 | 1 | 52% | 0 | – | ||||||||||||||
2.50% to <10.00% | 165 | 276 | 441 | 45% | 290 | 5.40% | < 0.1 | 7% | 4.7 | 88 | 30% | 1 | – | ||||||||||||||
Sub-total | 1,311 | 2,132 | 3,443 | 7% | 1,563 | 1.05% | 0.1 | 35% | 3.5 | 394 | 25% | 1 | 0 | ||||||||||||||
Corporates – Specialised lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 8,039 | 2,540 | 10,579 | 44% | 9,155 | 0.06% | 0.8 | 28% | 2.4 | 1,972 | 22% | 1 | – | ||||||||||||||
0.15% to <0.25% | 4,463 | 2,407 | 6,870 | 38% | 5,367 | 0.19% | 0.7 | 28% | 2.4 | 1,998 | 37% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,785 | 1,457 | 4,242 | 33% | 3,267 | 0.37% | 0.4 | 29% | 1.8 | 1,425 | 44% | 4 | – | ||||||||||||||
0.50% to <0.75% | 3,341 | 2,591 | 5,932 | 31% | 4,156 | 0.59% | 0.3 | 22% | 1.9 | 1,698 | 41% | 5 | – | ||||||||||||||
0.75% to <2.50% | 7,116 | 2,173 | 9,289 | 39% | 7,965 | 1.42% | 0.6 | 19% | 2.3 | 3,937 | 49% | 21 | – | ||||||||||||||
2.50% to <10.00% | 1,321 | 28 | 1,349 | 15% | 1,325 | 3.88% | 0.1 | 16% | 2.4 | 691 | 52% | 9 | – | ||||||||||||||
10.00% to <100.00% | 45 | 0 | 45 | 45% | 45 | 14.86% | < 0.1 | 19% | 1.3 | 41 | 93% | 1 | – | ||||||||||||||
100.00% (Default) | 89 | 2 | 91 | 56% | 55 | 100.00% | < 0.1 | 43% | 1.3 | 58 | 106% | 34 | – | ||||||||||||||
Sub-total | 27,199 | 11,198 | 38,397 | 37% | 31,335 | 0.89% | 3.0 | 24% | 2.2 | 11,820 | 38% | 78 | 34 | ||||||||||||||
1 CRM is mirrored by shifting the counterparty publicity from the underlying obligor to the safety supplier. |
|||||||||||||||||||||||||||
CR6 – Credit score threat exposures by portfolio and PD vary (continued) | |||||||||||||||||||||||||||
finish of 2Q22 |
Authentic on-balance sheet gross publicity |
Off-balance sheet exposures pre CCF |
Whole exposures |
Common CCF |
EAD post- CRM and post-CCF |
1 |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
2 |
RWA density |
Anticipated loss |
Provisions |
||||||||||||
Corporates with out specialised lending (CHF million, besides the place indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 15,948 | 49,374 | 65,322 | 34% | 33,330 | 0.07% | 2.9 | 40% | 2.3 | 7,050 | 21% | 9 | – | ||||||||||||||
0.15% to <0.25% | 5,915 | 10,585 | 16,500 | 37% | 9,515 | 0.21% | 1.4 | 45% | 1.9 | 4,342 | 46% | 9 | – | ||||||||||||||
0.25% to <0.50% | 5,632 | 8,412 | 14,044 | 36% | 8,374 | 0.37% | 1.5 | 41% | 2.0 | 4,431 | 53% | 13 | – | ||||||||||||||
0.50% to <0.75% | 3,762 | 4,849 | 8,611 | 42% | 5,343 | 0.62% | 0.8 | 41% | 2.2 | 3,667 | 69% | 13 | – | ||||||||||||||
0.75% to <2.50% | 8,616 | 7,689 | 16,305 | 40% | 10,945 | 1.44% | 1.7 | 37% | 2.3 | 9,440 | 86% | 60 | – | ||||||||||||||
2.50% to <10.00% | 8,001 | 14,320 | 22,321 | 44% | 12,923 | 6.06% | 2.0 | 35% | 2.6 | 16,970 | 131% | 275 | – | ||||||||||||||
10.00% to <100.00% | 984 | 491 | 1,475 | 35% | 1,070 | 19.08% | 0.1 | 26% | 2.8 | 1,542 | 144% | 54 | – | ||||||||||||||
100.00% (Default) | 6,082 | 683 | 6,765 | 37% | 1,732 | 100.00% | 0.2 | 64% | 1.6 | 1,784 | 103% | 4,688 | – | ||||||||||||||
Sub-total | 54,940 | 96,403 | 151,343 | 37% | 83,232 | 3.58% | 10.6 | 40% | 2.2 | 49,226 | 59% | 5,121 | 4,688 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 30,701 | 1,646 | 32,347 | 41% | 31,369 | 0.09% | 43.8 | 14% | 3.0 | 2,236 | 7% | 4 | – | ||||||||||||||
0.15% to <0.25% | 33,251 | 1,624 | 34,875 | 43% | 33,949 | 0.18% | 38.1 | 15% | 3.0 | 4,391 | 13% | 9 | – | ||||||||||||||
0.25% to <0.50% | 36,132 | 1,962 | 38,094 | 43% | 36,986 | 0.30% | 50.3 | 14% | 3.1 | 7,042 | 19% | 16 | – | ||||||||||||||
0.50% to <0.75% | 4,793 | 439 | 5,232 | 47% | 4,998 | 0.58% | 5.7 | 17% | 2.8 | 1,596 | 32% | 5 | – | ||||||||||||||
0.75% to <2.50% | 5,615 | 640 | 6,255 | 42% | 5,885 | 1.30% | 5.5 | 17% | 2.8 | 2,702 | 46% | 12 | – | ||||||||||||||
2.50% to <10.00% | 1,356 | 51 | 1,407 | 57% | 1,385 | 4.40% | 0.7 | 15% | 2.2 | 962 | 69% | 9 | – | ||||||||||||||
10.00% to <100.00% | 27 | 0 | 27 | 70% | 27 | 15.23% | < 0.1 | 16% | 2.4 | 44 | 166% | 1 | – | ||||||||||||||
100.00% (Default) | 462 | 3 | 465 | 73% | 430 | 100.00% | 0.2 | 55% | 1.6 | 456 | 106% | 34 | – | ||||||||||||||
Sub-total | 112,337 | 6,365 | 118,702 | 43% | 115,029 | 0.70% | 144.2 | 15% | 3.0 | 19,429 | 17% | 90 | 34 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 490 | 0 | 490 | 0% | 490 | 1.30% | 572.5 | 50% | 1.0 | 164 | 33% | 3 | – | ||||||||||||||
100.00% (Default) | 0 | 0 | 0 | 0% | 0 | 100.00% | < 0.1 | 50% | 1.0 | 0 | 106% | 0 | – | ||||||||||||||
Sub-total | 490 | 0 | 490 | 0% | 490 | 1.30% | 572.6 | 50% | 1.0 | 164 | 33% | 3 | 0 | ||||||||||||||
Different retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 44,395 | 139,515 | 183,910 | 6% | 52,772 | 0.04% | 49.8 | 63% | 1.4 | 4,138 | 8% | 13 | – | ||||||||||||||
0.15% to <0.25% | 3,198 | 7,171 | 10,369 | 9% | 3,845 | 0.19% | 4.1 | 46% | 1.4 | 738 | 19% | 4 | – | ||||||||||||||
0.25% to <0.50% | 1,983 | 2,573 | 4,556 | 10% | 2,249 | 0.36% | 3.5 | 41% | 1.6 | 589 | 26% | 3 | – | ||||||||||||||
0.50% to <0.75% | 675 | 766 | 1,441 | 17% | 806 | 0.62% | 1.4 | 39% | 1.7 | 292 | 36% | 2 | – | ||||||||||||||
0.75% to <2.50% | 4,531 | 1,432 | 5,963 | 22% | 4,852 | 1.59% | 92.6 | 34% | 2.3 | 2,090 | 43% | 27 | – | ||||||||||||||
2.50% to <10.00% | 2,653 | 721 | 3,374 | 41% | 2,950 | 5.19% | 83.1 | 39% | 3.6 | 1,789 | 61% | 59 | – | ||||||||||||||
10.00% to <100.00% | 25 | 35 | 60 | 5% | 27 | 15.47% | 0.2 | 53% | 2.0 | 30 | 109% | 2 | – | ||||||||||||||
100.00% (Default) | 306 | 19 | 325 | 19% | 238 | 100.00% | 4.8 | 79% | 1.8 | 252 | 106% | 280 | – | ||||||||||||||
Sub-total | 57,766 | 152,232 | 209,998 | 7% | 67,739 | 0.76% | 239.4 | 58% | 1.6 | 9,918 | 15% | 390 | 280 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 146,467 | 196,931 | 343,398 | 14% | 171,585 | 0.05% | 98.9 | 36% | 1.8 | 17,857 | 10% | 31 | – | ||||||||||||||
0.15% to <0.25% | 47,158 | 22,074 | 69,232 | 29% | 52,971 | 0.19% | 44.3 | 24% | 2.6 | 11,586 | 22% | 25 | – | ||||||||||||||
0.25% to <0.50% | 47,183 | 14,612 | 61,795 | 32% | 51,444 | 0.32% | 55.8 | 21% | 2.8 | 13,842 | 27% | 37 | – | ||||||||||||||
0.50% to <0.75% | 12,679 | 8,778 | 21,457 | 37% | 15,426 | 0.60% | 8.2 | 28% | 2.3 | 7,360 | 48% | 26 | – | ||||||||||||||
0.75% to <2.50% | 26,650 | 12,066 | 38,716 | 38% | 30,410 | 1.43% | 673.0 | 28% | 2.4 | 18,599 | 61% | 125 | – | ||||||||||||||
2.50% to <10.00% | 14,396 | 15,628 | 30,024 | 44% | 19,430 | 5.63% | 86.0 | 33% | 2.7 | 21,427 | 110% | 368 | – | ||||||||||||||
10.00% to <100.00% | 1,632 | 550 | 2,182 | 33% | 1,571 | 21.17% | 0.4 | 33% | 2.3 | 2,882 | 183% | 120 | – | ||||||||||||||
100.00% (Default) | 7,304 | 706 | 8,010 | 37% | 2,591 | 100.00% | 5.3 | 63% | 1.6 | 2,695 | 104% | 5,215 | – | ||||||||||||||
Sub-total (all portfolios) | 303,469 | 271,345 | 574,814 | 20% | 345,428 | 1.42% | 971.9 | 31% | 2.2 | 96,248 | 28% | 5,947 | 5,215 | ||||||||||||||
Various remedy | |||||||||||||||||||||||||||
Exposures from free deliveries making use of standardized threat weights or 100% beneath the choice remedy | – | – | – | – | 21 | – | – | – | – | 22 | – | – | – | ||||||||||||||
IRB – maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 762 | – | – | – | ||||||||||||||
Whole (all portfolios and different remedy) | 303,469 | 271,345 | 574,814 | 20% | 345,449 | 1.42% | 971.9 | 31% | 2.2 | 97,032 | 28% | 5,947 | 5,215 | ||||||||||||||
1 CRM is mirrored by shifting the counterparty publicity from the underlying obligor to the safety supplier. |
|||||||||||||||||||||||||||
CR6 – Credit score threat exposures by portfolio and PD vary (continued) | |||||||||||||||||||||||||||
finish of 4Q21 |
Authentic on-balance sheet gross publicity |
Off-balance sheet exposures pre CCF |
Whole exposures |
Common CCF |
EAD post- CRM and post-CCF |
1 |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
2 |
RWA density |
Anticipated loss |
Provisions |
||||||||||||
Sovereigns (CHF million, besides the place indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 69,257 | 861 | 70,118 | 57% | 69,846 | 0.02% | < 0.1 | 2% | 1.1 | 621 | 1% | 1 | – | ||||||||||||||
0.15% to <0.25% | 0 | 0 | 0 | 0% | 0 | 0.22% | < 0.1 | 58% | 2.5 | 0 | 63% | 0 | – | ||||||||||||||
0.25% to <0.50% | 131 | 9 | 140 | 100% | 140 | 0.37% | < 0.1 | 54% | 2.1 | 100 | 72% | 0 | – | ||||||||||||||
0.50% to <0.75% | 17 | 0 | 17 | 0% | 17 | 0.64% | < 0.1 | 58% | 1.9 | 16 | 96% | 0 | – | ||||||||||||||
0.75% to <2.50% | 78 | 3 | 81 | 45% | 80 | 1.10% | < 0.1 | 42% | 3.0 | 79 | 100% | 0 | – | ||||||||||||||
2.50% to <10.00% | 281 | 30 | 311 | 14% | 143 | 6.01% | < 0.1 | 44% | 2.1 | 238 | 166% | 4 | – | ||||||||||||||
10.00% to <100.00% | 182 | 0 | 182 | 0% | 22 | 28.23% | < 0.1 | 60% | 2.3 | 76 | 351% | 4 | – | ||||||||||||||
100.00% (Default) | 416 | 0 | 416 | 0% | 135 | 100.00% | < 0.1 | 57% | 1.8 | 144 | 106% | 176 | – | ||||||||||||||
Sub-total | 70,362 | 903 | 71,265 | 56% | 70,383 | 0.24% | 0.1 | 3% | 1.1 | 1,274 | 2% | 185 | 176 | ||||||||||||||
Establishments – Banks and securities seller | |||||||||||||||||||||||||||
0.00% to <0.15% | 8,891 | 2,159 | 11,050 | 57% | 11,800 | 0.06% | 1.6 | 53% | 0.7 | 1,820 | 15% | 4 | – | ||||||||||||||
0.15% to <0.25% | 281 | 286 | 567 | 45% | 377 | 0.22% | 0.1 | 50% | 0.8 | 149 | 40% | 0 | – | ||||||||||||||
0.25% to <0.50% | 764 | 173 | 937 | 51% | 611 | 0.37% | 0.1 | 55% | 0.7 | 412 | 67% | 1 | – | ||||||||||||||
0.50% to <0.75% | 176 | 211 | 387 | 51% | 225 | 0.64% | < 0.1 | 49% | 1.8 | 189 | 84% | 1 | – | ||||||||||||||
0.75% to <2.50% | 154 | 155 | 309 | 48% | 242 | 1.62% | 0.1 | 51% | 0.8 | 275 | 114% | 2 | – | ||||||||||||||
2.50% to <10.00% | 728 | 259 | 987 | 43% | 389 | 4.79% | 0.2 | 50% | 1.0 | 605 | 156% | 9 | – | ||||||||||||||
10.00% to <100.00% | 8 | 1 | 9 | 30% | 1 | 18.01% | < 0.1 | 53% | 1.9 | 2 | 281% | 0 | – | ||||||||||||||
100.00% (Default) | 7 | 0 | 7 | 0% | 7 | 100.00% | < 0.1 | 51% | 2.5 | 8 | 106% | 0 | – | ||||||||||||||
Sub-total | 11,009 | 3,244 | 14,253 | 54% | 13,652 | 0.30% | 2.1 | 53% | 0.7 | 3,460 | 25% | 17 | 0 | ||||||||||||||
Establishments – Different establishments | |||||||||||||||||||||||||||
0.00% to <0.15% | 455 | 1,769 | 2,224 | 1% | 572 | 0.05% | < 0.1 | 41% | 4.3 | 174 | 30% | 0 | – | ||||||||||||||
0.15% to <0.25% | 5 | 50 | 55 | 8% | 9 | 0.20% | < 0.1 | 23% | 2.4 | 3 | 30% | 0 | – | ||||||||||||||
0.25% to <0.50% | 17 | 2 | 19 | 45% | 18 | 0.40% | < 0.1 | 54% | 2.8 | 14 | 82% | 0 | – | ||||||||||||||
0.50% to <0.75% | 5 | 2 | 7 | 45% | 5 | 0.72% | < 0.1 | 44% | 2.0 | 4 | 79% | 0 | – | ||||||||||||||
0.75% to <2.50% | 1 | 0 | 1 | 0% | 1 | 1.05% | < 0.1 | 17% | 2.5 | 1 | 55% | 0 | – | ||||||||||||||
2.50% to <10.00% | 140 | 454 | 594 | 45% | 344 | 4.66% | < 0.1 | 8% | 4.8 | 111 | 32% | 1 | – | ||||||||||||||
Sub-total | 623 | 2,277 | 2,900 | 10% | 949 | 1.74% | 0.1 | 29% | 4.5 | 307 | 32% | 1 | 0 | ||||||||||||||
Corporates – Specialised lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 7,549 | 2,204 | 9,753 | 44% | 8,512 | 0.06% | 0.8 | 28% | 2.4 | 1,775 | 21% | 1 | – | ||||||||||||||
0.15% to <0.25% | 3,871 | 1,523 | 5,394 | 36% | 4,421 | 0.19% | 0.7 | 30% | 2.3 | 1,603 | 36% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,177 | 1,904 | 4,081 | 37% | 2,878 | 0.37% | 0.4 | 27% | 2.0 | 1,280 | 44% | 3 | – | ||||||||||||||
0.50% to <0.75% | 2,924 | 1,447 | 4,371 | 32% | 3,393 | 0.58% | 0.3 | 24% | 1.9 | 1,446 | 43% | 5 | – | ||||||||||||||
0.75% to <2.50% | 8,084 | 2,388 | 10,472 | 41% | 9,069 | 1.38% | 0.6 | 21% | 2.2 | 4,856 | 54% | 26 | – | ||||||||||||||
2.50% to <10.00% | 1,274 | 30 | 1,304 | 52% | 1,289 | 3.72% | 0.1 | 14% | 2.7 | 627 | 49% | 7 | – | ||||||||||||||
10.00% to <100.00% | 48 | 0 | 48 | 45% | 48 | 14.74% | < 0.1 | 18% | 1.8 | 44 | 91% | 1 | – | ||||||||||||||
100.00% (Default) | 19 | 0 | 19 | 27% | 19 | 100.00% | < 0.1 | 44% | 2.4 | 20 | 106% | 45 | – | ||||||||||||||
Sub-total | 25,946 | 9,496 | 35,442 | 39% | 29,629 | 0.82% | 3.0 | 25% | 2.2 | 11,651 | 39% | 91 | 45 | ||||||||||||||
1 CRM is mirrored by shifting the counterparty publicity from the underlying obligor to the safety supplier. |
|||||||||||||||||||||||||||
CR6 – Credit score threat exposures by portfolio and PD vary (continued) | |||||||||||||||||||||||||||
finish of 4Q21 |
Authentic on-balance sheet gross publicity |
Off-balance sheet exposures pre CCF |
Whole exposures |
Common CCF |
EAD post- CRM and post-CCF |
1 |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
2 |
RWA density |
Anticipated loss |
Provisions |
||||||||||||
Corporates with out specialised lending (CHF million, besides the place indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 13,420 | 43,915 | 57,335 | 38% | 31,874 | 0.07% | 2.7 | 42% | 2.3 | 7,466 | 23% | 9 | – | ||||||||||||||
0.15% to <0.25% | 3,691 | 10,656 | 14,347 | 39% | 7,748 | 0.21% | 1.2 | 44% | 2.1 | 3,710 | 48% | 7 | – | ||||||||||||||
0.25% to <0.50% | 5,476 | 7,304 | 12,780 | 33% | 7,763 | 0.37% | 1.5 | 42% | 2.3 | 4,381 | 56% | 12 | – | ||||||||||||||
0.50% to <0.75% | 2,872 | 4,396 | 7,268 | 38% | 4,173 | 0.61% | 0.8 | 40% | 2.2 | 2,788 | 67% | 10 | – | ||||||||||||||
0.75% to <2.50% | 9,703 | 8,322 | 18,025 | 43% | 12,409 | 1.45% | 1.8 | 34% | 2.7 | 10,630 | 86% | 61 | – | ||||||||||||||
2.50% to <10.00% | 8,229 | 14,672 | 22,901 | 45% | 13,406 | 5.96% | 1.6 | 34% | 3.0 | 17,313 | 129% | 266 | – | ||||||||||||||
10.00% to <100.00% | 585 | 714 | 1,299 | 43% | 776 | 18.04% | 0.1 | 22% | 2.9 | 904 | 116% | 32 | – | ||||||||||||||
100.00% (Default) | 5,910 | 491 | 6,401 | 46% | 1,588 | 100.00% | 0.2 | 63% | 1.9 | 1,676 | 106% | 4,704 | – | ||||||||||||||
Sub-total | 49,886 | 90,470 | 140,356 | 39% | 79,737 | 3.51% | 9.9 | 39% | 2.5 | 48,868 | 61% | 5,101 | 4,704 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 30,080 | 1,768 | 31,848 | 43% | 30,833 | 0.09% | 43.7 | 14% | 3.1 | 2,194 | 7% | 4 | – | ||||||||||||||
0.15% to <0.25% | 33,017 | 1,749 | 34,766 | 40% | 33,716 | 0.18% | 38.1 | 15% | 3.1 | 4,384 | 13% | 9 | – | ||||||||||||||
0.25% to <0.50% | 36,369 | 2,033 | 38,402 | 41% | 37,179 | 0.30% | 51.1 | 14% | 3.2 | 7,085 | 19% | 16 | – | ||||||||||||||
0.50% to <0.75% | 5,050 | 466 | 5,516 | 44% | 5,257 | 0.58% | 6.0 | 17% | 2.9 | 1,662 | 32% | 5 | – | ||||||||||||||
0.75% to <2.50% | 5,888 | 874 | 6,762 | 39% | 6,227 | 1.30% | 6.1 | 17% | 2.8 | 2,899 | 47% | 13 | – | ||||||||||||||
2.50% to <10.00% | 1,524 | 46 | 1,570 | 43% | 1,544 | 4.53% | 0.7 | 16% | 2.3 | 1,076 | 70% | 11 | – | ||||||||||||||
10.00% to <100.00% | 63 | 0 | 63 | 70% | 61 | 18.19% | < 0.1 | 16% | 2.6 | 76 | 125% | 2 | – | ||||||||||||||
100.00% (Default) | 406 | 7 | 413 | 83% | 412 | 100.00% | 0.3 | 46% | 1.7 | 436 | 106% | 34 | – | ||||||||||||||
Sub-total | 112,397 | 6,943 | 119,340 | 41% | 115,229 | 0.70% | 146.0 | 15% | 3.1 | 19,812 | 17% | 94 | 34 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 373 | 5,376 | 5,749 | 0% | 395 | 1.30% | 745.9 | 50% | 1.0 | 98 | 25% | 3 | – | ||||||||||||||
100.00% (Default) | 0 | 0 | 0 | 0% | 0 | 100.00% | < 0.1 | 50% | 1.0 | 0 | 106% | 0 | – | ||||||||||||||
Sub-total | 373 | 5,376 | 5,749 | 0% | 395 | 1.30% | 745.9 | 50% | 1.0 | 98 | 25% | 3 | 0 | ||||||||||||||
Different retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 53,778 | 148,359 | 202,137 | 6% | 62,676 | 0.04% | 50.5 | 63% | 1.3 | 4,835 | 8% | 14 | – | ||||||||||||||
0.15% to <0.25% | 3,091 | 7,558 | 10,649 | 9% | 3,784 | 0.20% | 3.9 | 46% | 1.4 | 735 | 19% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,151 | 2,383 | 4,534 | 12% | 2,427 | 0.36% | 3.5 | 34% | 1.5 | 524 | 22% | 3 | – | ||||||||||||||
0.50% to <0.75% | 1,394 | 1,168 | 2,562 | 22% | 1,646 | 0.60% | 1.3 | 37% | 1.4 | 519 | 32% | 4 | – | ||||||||||||||
0.75% to <2.50% | 4,896 | 2,125 | 7,021 | 22% | 5,361 | 1.62% | 96.0 | 36% | 2.2 | 2,489 | 46% | 32 | – | ||||||||||||||
2.50% to <10.00% | 3,303 | 1,172 | 4,475 | 25% | 3,593 | 5.52% | 81.8 | 38% | 3.3 | 2,144 | 60% | 77 | – | ||||||||||||||
10.00% to <100.00% | 32 | 35 | 67 | 2% | 33 | 17.93% | 0.2 | 50% | 2.0 | 37 | 112% | 3 | – | ||||||||||||||
100.00% (Default) | 427 | 17 | 444 | 24% | 380 | 100.00% | 4.9 | 86% | 1.5 | 403 | 106% | 337 | – | ||||||||||||||
Sub-total | 69,072 | 162,817 | 231,889 | 7% | 79,900 | 0.90% | 242.1 | 58% | 1.5 | 11,686 | 15% | 473 | 337 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 183,430 | 201,035 | 384,465 | 14% | 216,113 | 0.05% | 99.5 | 31% | 1.7 | 18,885 | 9% | 33 | – | ||||||||||||||
0.15% to <0.25% | 43,956 | 21,822 | 65,778 | 28% | 50,055 | 0.18% | 44.1 | 23% | 2.7 | 10,584 | 21% | 22 | – | ||||||||||||||
0.25% to <0.50% | 47,085 | 13,808 | 60,893 | 31% | 51,016 | 0.32% | 56.7 | 21% | 2.9 | 13,796 | 27% | 35 | – | ||||||||||||||
0.50% to <0.75% | 12,438 | 7,690 | 20,128 | 35% | 14,716 | 0.60% | 8.4 | 28% | 2.3 | 6,624 | 45% | 25 | – | ||||||||||||||
0.75% to <2.50% | 29,177 | 19,243 | 48,420 | 28% | 33,784 | 1.43% | 850.4 | 28% | 2.5 | 21,327 | 63% | 137 | – | ||||||||||||||
2.50% to <10.00% | 15,479 | 16,663 | 32,142 | 44% | 20,708 | 5.59% | 84.5 | 32% | 2.9 | 22,114 | 107% | 375 | – | ||||||||||||||
10.00% to <100.00% | 918 | 750 | 1,668 | 41% | 941 | 18.11% | 0.3 | 23% | 2.7 | 1,139 | 121% | 42 | – | ||||||||||||||
100.00% (Default) | 7,185 | 515 | 7,700 | 46% | 2,541 | 100.00% | 5.3 | 63% | 1.8 | 2,687 | 106% | 5,296 | – | ||||||||||||||
Sub-total (all portfolios) | 339,668 | 281,526 | 621,194 | 20% | 389,874 | 1.23% | 1,149.2 | 29% | 2.1 | 97,156 | 25% | 5,965 | 5,296 | ||||||||||||||
Various remedy | |||||||||||||||||||||||||||
Exposures from free deliveries making use of standardized threat weights or 100% beneath the choice remedy | – | – | – | – | 3 | – | – | – | – | 3 | – | – | – | ||||||||||||||
IRB – maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 88 | – | – | – | ||||||||||||||
Whole (all portfolios and different remedy) | 339,668 | 281,526 | 621,194 | 20% | 389,877 | 1.23% | 1,149.2 | 29% | 2.1 | 97,247 | 25% | 5,965 | 5,296 | ||||||||||||||
1 CRM is mirrored by shifting the counterparty publicity from the underlying obligor to the safety supplier. |
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Credit score derivatives used as CRM strategies
The next desk presents the impact on RWA of credit score derivatives used as CRM strategies by portfolio.
For exposures lined by acknowledged credit score derivatives, the substitution strategy is utilized, which implies the danger weight of the obligor is substituted with the danger weight of the safety supplier. The CRM impact is mirrored in response to the precise post-risk mitigation asset class for pre-credit derivatives and precise RWA. The desk doesn’t embrace the impression of sure immaterial positions the place the credit score spinoff was acknowledged with an adjustment to LGD.
CR7 – Impact on risk-weighted belongings of credit score derivatives used as CRM strategies | |||||||||
2Q22 | 4Q21 | ||||||||
finish of |
Pre-credit derivatives RWA |
Precise RWA |
Pre-credit derivatives RWA |
Precise RWA |
|||||
CHF million | |||||||||
Sovereigns – A-IRB | 2,150 | 2,150 | 1,274 | 1,274 | |||||
Establishments – Banks and securities sellers – A-IRB | 3,210 | 3,146 | 3,521 | 3,460 | |||||
Establishments – Different establishments – A-IRB | 394 | 394 | 307 | 307 | |||||
Corporates – Specialised lending – A-IRB | 16,143 | 16,143 | 15,691 | 15,691 | |||||
Corporates with out specialised lending – A-IRB | 49,262 | 49,248 | 48,932 | 48,871 | |||||
Residential mortgages | 19,429 | 19,429 | 19,812 | 19,812 | |||||
Qualifying revolving retail | 164 | 164 | 98 | 98 | |||||
Different retail | 9,918 | 9,918 | 11,686 | 11,686 | |||||
Maturity and export finance buffer – IRB | 762 | 762 | 88 | 88 | |||||
Whole | 101,432 | 101,354 | 101,409 | 101,287 | |||||
Contains RWA associated to the A-IRB strategy and supervisory slotting strategy. |
RWA circulate assertion of credit score threat exposures beneath IRB
The next desk presents the 2Q22 circulate assertion explaining the variations within the credit score threat RWA decided beneath the IRB strategy.
Credit score Danger RWA beneath IRB strategy decreased by CHF 1.Zero billion to CHF 101.Four billion in comparison with CHF 102.Four billion as at finish of 1Q22. The lower was primarily pushed by a motion in threat ranges attributable to asset measurement, partially offset by a rise in mannequin and parameters updates and a optimistic international trade impression, primarily attributable to a US greenback strengthening of 4% over the quarter in opposition to the Swiss franc. The mannequin and parameter updates mirrored the regulatory buffers per FINMA approval, referring to industrial commerce finance in addition to retail to company remedy of sure exposures.
CR8 – Danger-weighted belongings circulate statements of credit score threat exposures beneath IRB | |||
2Q22 | |||
CHF million | |||
Danger-weighted belongings at starting of interval | 102,411 | ||
Asset measurement | (3,635) | ||
Asset high quality | 633 | ||
Mannequin and parameter updates | 1,069 | ||
Overseas trade impression | 876 | ||
Danger-weighted belongings at finish of interval | 101,354 | ||
Contains RWA associated to the A-IRB strategy and supervisory slotting strategy. |
Definition of risk-weighted belongings motion parts associated to credit score threat and CCR | |||
Description | Definition | ||
Asset measurement |
Represents modifications on the portfolio measurement arising within the extraordinary course of enterprise (together with new companies). Asset measurement additionally consists of actions arising from the applying of the complete strategy with regard to the remedy of economic collateral |
||
Asset high quality/credit score high quality of counterparties | Represents modifications in common threat weighting throughout credit score threat courses | ||
Mannequin and parameter updates |
Represents actions arising from internally pushed or externally mandated updates to fashions and recalibrations of mannequin parameters particular solely to Credit score Suisse |
||
Methodology and coverage modifications |
Represents actions arising from externally mandated regulatory methodology and coverage modifications to accounting and publicity classification and remedy insurance policies not particular solely to Credit score Suisse |
||
Acquisitions and disposals | Represents modifications in e book sizes attributable to acquisitions and disposals of entities | ||
Overseas trade impression | Represents modifications in trade charges of the transaction currencies in comparison with the Swiss franc | ||
Different | Represents modifications that can not be attributed to every other class |
Specialised lending
The next tables current the carrying values, publicity quantities and RWA for the Group’s specialised lending beneath the supervisory slotting strategy.
CR10 – Specialised lending | |||||||||||||||
finish of |
On- stability sheet quantity |
Off- stability sheet quantity |
Danger |
Publicity |
1 |
RWA |
Anticipated |
||||||||
2Q22 (CHF million, besides the place indicated) | |||||||||||||||
Apart from high-volatility industrial actual property | |||||||||||||||
Regulatory classes and remaining maturity | |||||||||||||||
Robust | Lower than 2.5 years | 735 | 276 | 50% | 921 | 488 | 0 | ||||||||
Equal to or greater than 2.5 years | 522 | 696 | 70% | 865 | 642 | 4 | |||||||||
Good | Lower than 2.5 years | 1,378 | 612 | 70% | 1,715 | 1,273 | 7 | ||||||||
Equal to or greater than 2.5 years | 787 | 351 | 90% | 968 | 923 | 8 | |||||||||
Passable | 946 | 42 | 115% | 2 | 640 | 780 | 18 | ||||||||
Weak | 11 | 12 | 250% | 18 | 47 | 1 | |||||||||
Default | 15 | 0 | – | 15 | 0 | 7 | |||||||||
Whole | 4,394 | 1,989 | – | 5,142 | 4,153 | 45 | |||||||||
Excessive-volatility industrial actual property | |||||||||||||||
Regulatory classes and remaining maturity | |||||||||||||||
Passable | 32 | 0 | 140% | 32 | 48 | 1 | |||||||||
Weak | 46 | 0 | 250% | 46 | 121 | 3 | |||||||||
Default | 0 | 2 | – | 1 | 0 | 1 | |||||||||
Whole | 78 | 2 | – | 79 | 169 | 5 | |||||||||
4Q21 (CHF million, besides the place indicated) | |||||||||||||||
Apart from high-volatility industrial actual property | |||||||||||||||
Regulatory classes and remaining maturity | |||||||||||||||
Robust | Lower than 2.5 years | 423 | 747 | 50% | 833 | 442 | 0 | ||||||||
Equal to or greater than 2.5 years | 555 | 695 | 70% | 897 | 666 | 4 | |||||||||
Good | Lower than 2.5 years | 732 | 143 | 70% | 750 | 557 | 3 | ||||||||
Equal to or greater than 2.5 years | 926 | 270 | 90% | 1,074 | 1,024 | 9 | |||||||||
Passable | 998 | 38 | 115% | 2 | 774 | 944 | 22 | ||||||||
Weak | 16 | 11 | 250% | 22 | 59 | 2 | |||||||||
Default | 14 | 0 | – | 14 | 0 | 7 | |||||||||
Whole | 3,664 | 1,904 | – | 4,364 | 3,692 | 47 | |||||||||
Excessive-volatility industrial actual property | |||||||||||||||
Regulatory classes and remaining maturity | |||||||||||||||
Passable | 35 | 0 | 140% | 35 | 53 | 1 | |||||||||
Weak | 111 | 0 | 250% | 111 | 295 | 9 | |||||||||
Default | 0 | 2 | – | 2 | 0 | 1 | |||||||||
Whole | 146 | 2 | – | 148 | 348 | 11 | |||||||||
1 Publicity quantities in reference to IPRE. |
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2 For a portion of the publicity, a threat weight of 120% is utilized. |
Fairness positions within the banking e book
For fairness sort securities within the banking e book, threat weights are decided utilizing the easy risk-weight strategy, which differentiates by fairness sub-asset varieties, reminiscent of exchange-traded and different fairness exposures.
CR10 – Fairness positions within the banking e book beneath the easy risk-weight strategy | |||||||||||
finish of |
On-balance sheet quantity |
Off-balance sheet quantity |
Danger weight |
Publicity quantity |
RWA |
||||||
2Q22 (CHF million) | |||||||||||
Change-traded fairness exposures | 437 | 0 | 300% | 437 | 1,390 | ||||||
Different fairness exposures | 962 | 0 | 400% | 962 | 4,079 | ||||||
Whole | 1,399 | 0 | – | 1,399 | 5,469 | ||||||
4Q21 (CHF million) | |||||||||||
Change-traded fairness exposures | 1,004 | 0 | 300% | 1,004 | 3,193 | ||||||
Different fairness exposures | 1,031 | 52 | 400% | 915 | 3,878 | ||||||
Whole | 2,035 | 52 | – | 1,919 | 7,071 | ||||||
Fairness investments in funds exposures of CHF 713.5 million will not be included within the above desk. |
Counterparty publicity
CCR arises from over-the-counter (OTC) and exchange-traded derivatives, in addition to safety financing transactions (SFTs), reminiscent of repurchase agreements, securities lending and borrowing and different related merchandise. CCR exposures rely on the worth of underlying market components, for instance, rates of interest and international trade charges, which can be unstable.
Credit score Suisse has acquired approval from FINMA to make use of the IMM for measuring CCR for almost all of the derivatives and the value-at-risk (VaR) mannequin for SFTs.
Evaluation of counterparty credit score threat publicity by strategy
The next desk presents a complete view of the strategies used to calculate CCR regulatory necessities and the primary parameters used inside every methodology.
CCR1 – Evaluation of counterparty credit score threat publicity by strategy | |||||||||||||
finish of |
Re-placement price |
PFE |
EEPE |
Alpha used for computing regulatory EAD |
EAD |
RWA |
|||||||
2Q22 (CHF million, besides the place indicated) | |||||||||||||
SA-CCR (for derivatives) | 3,053 | 3,540 | – | 1.4 | 9,230 | 3,496 | |||||||
IMM (for derivatives) | – | – | 13,879 | 1.6 | 1 | 22,189 | 5,982 | ||||||
Complete Strategy for CRM (for SFTs) | – | – | – | – | 1 | 1 | |||||||
VaR for SFTs | – | – | – | – | 20,882 | 3,799 | |||||||
Whole | – | – | – | – | 52,302 | 13,278 | |||||||
4Q21 (CHF million, besides the place indicated) | |||||||||||||
SA-CCR (for derivatives) | 2,300 | 3,684 | – | 1.4 | 8,377 | 2,842 | |||||||
IMM (for derivatives) | – | – | 14,750 | 1.6 | 1 | 23,572 | 6,691 | ||||||
Complete Strategy for CRM (for SFTs) | – | – | – | – | 6 | 6 | |||||||
VaR for SFTs | – | – | – | – | 21,163 | 4,782 | |||||||
Whole | – | – | – | – | 53,118 | 14,321 | |||||||
1 Alpha issue is ready equal to 1.Zero in case of unsuitable approach threat. |
CVA capital cost
The next desk presents the CVA regulatory calculations by superior and standardized approaches.
RWA decreased CHF 0.9 billion to CHF 4.2 billion in comparison with the top of 4Q21, primarily attributable to publicity updates throughout counterparties, partially offset by a lower in hedge profit.
CCR2 – CVA capital cost | |||||||||
2Q22 | 4Q21 | ||||||||
finish of |
EAD post-CRM |
RWA |
EAD post-CRM |
RWA |
|||||
CHF million | |||||||||
Whole portfolios topic to the superior CVA capital cost | 27,967 | 4,191 | 30,024 | 5,046 | |||||
of which VaR part (together with the three x multiplier) | – | 780 | – | 890 | |||||
of which harassed VaR part (together with the three x multiplier) | – | 3,411 | – | 4,156 | |||||
Whole topic to the CVA capital cost | 27,967 | 4,191 | 30,024 | 5,046 | |||||
EAD post-CRM is disclosed as of the top of the interval (finish of day), whereas the RWA is a mean as of the final 12 weeks. |
CCR exposures by regulatory portfolio and threat weight – standardized strategy
The next desk presents a breakdown of CCR exposures by regulatory portfolio (sort of counterparties) and by threat weight (riskiness attributed to the publicity in response to the standardized strategy).
CCR3 – CCR exposures by regulatory portfolio and threat weight – standardized strategy | |||||||||||||||
Danger weight | |||||||||||||||
finish of |
0% |
20% |
50% |
75% |
100% |
150% |
Exposures post-CCF and CRM |
||||||||
2Q22 (CHF million) | |||||||||||||||
Sovereigns | 4 | 0 | 0 | 0 | 0 | 0 | 4 | ||||||||
Establishments – Banks and securities seller | 0 | 116 | 299 | 0 | 57 | 0 | 472 | ||||||||
Establishments – Different establishments | 542 | 0 | 119 | 0 | 0 | 0 | 661 | ||||||||
Corporates | 0 | 122 | 2 | 0 | 1,530 | 22 | 1,676 | ||||||||
Retail | 0 | 0 | 0 | 48 | 348 | 0 | 396 | ||||||||
Different exposures | 0 | 0 | 0 | 0 | 478 | 0 | 478 | ||||||||
Whole | 546 | 238 | 420 | 48 | 2,413 | 22 | 3,687 | ||||||||
4Q21 (CHF million) | |||||||||||||||
Sovereigns | 335 | 0 | 0 | 0 | 18 | 0 | 353 | ||||||||
Establishments – Banks and securities seller | 0 | 161 | 785 | 0 | 1 | 0 | 947 | ||||||||
Establishments – Different establishments | 0 | 0 | 205 | 0 | 0 | 0 | 205 | ||||||||
Corporates | 0 | 347 | 7 | 0 | 947 | 35 | 1,336 | ||||||||
Retail | 0 | 0 | 0 | 64 | 336 | 0 | 400 | ||||||||
Different exposures | 0 | 0 | 0 | 0 | 316 | 0 | 316 | ||||||||
Whole | 335 | 508 | 997 | 64 | 1,618 | 35 | 3,557 |
CCR exposures by portfolio and PD scale – IRB fashions
The next desk presents all related parameters used for the calculation of CCR capital necessities for IRB fashions.
> Check with “Score fashions” (pages 24 to 25) in Credit score threat – Credit score threat beneath inside risk-based approaches within the Credit score Suisse Pillar Three and regulatory disclosures 4Q21 report for additional info on key fashions used on the group-wide degree, an evidence of how the scope of fashions was decided and the risk-weighted belongings lined by the fashions proven for every of the regulatory portfolios.
CCR4 – CCR exposures by portfolio and PD scale – IRB fashions | |||||||||||||||
finish of 2Q22 |
EAD post- CRM |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, besides the place indicated) | |||||||||||||||
0.00% to <0.15% | 6,150 | 0.03% | < 0.1 | 49% | 0.4 | 373 | 6% | ||||||||
0.15% to <0.25% | 0 | 0.22% | < 0.1 | 58% | 1.0 | 0 | 44% | ||||||||
0.25% to <0.50% | 84 | 0.37% | < 0.1 | 41% | 1.0 | 36 | 42% | ||||||||
0.75% to <2.50% | 0 | 1.10% | < 0.1 | 53% | 1.0 | 0 | 95% | ||||||||
Sub-total | 6,234 | 0.03% | < 0.1 | 49% | 0.4 | 409 | 7% | ||||||||
Establishments – Banks and securities seller | |||||||||||||||
0.00% to <0.15% | 10,666 | 0.06% | 0.5 | 58% | 0.7 | 1,989 | 19% | ||||||||
0.15% to <0.25% | 444 | 0.22% | < 0.1 | 57% | 0.7 | 202 | 46% | ||||||||
0.25% to <0.50% | 176 | 0.37% | < 0.1 | 59% | 0.8 | 129 | 73% | ||||||||
0.50% to <0.75% | 61 | 0.64% | < 0.1 | 50% | 0.4 | 38 | 63% | ||||||||
0.75% to <2.50% | 172 | 1.83% | < 0.1 | 54% | 0.2 | 213 | 124% | ||||||||
2.50% to <10.00% | 40 | 5.73% | < 0.1 | 55% | 0.9 | 74 | 183% | ||||||||
10.00% to <100.00% | 1 | 27.63% | < 0.1 | 53% | 1.0 | 4 | 295% | ||||||||
Sub-total | 11,560 | 0.12% | 0.8 | 58% | 0.7 | 2,649 | 23% | ||||||||
Establishments – Different establishments | |||||||||||||||
0.00% to <0.15% | 65 | 0.04% | < 0.1 | 16% | 1.0 | 3 | 4% | ||||||||
0.15% to <0.25% | 0 | 0.24% | < 0.1 | 0% | 1.0 | 0 | 0% | ||||||||
0.50% to <0.75% | 0 | 0.72% | < 0.1 | 44% | 1.0 | 0 | 65% | ||||||||
Sub-total | 65 | 0.04% | < 0.1 | 16% | 1.0 | 3 | 4% | ||||||||
Corporates – Specialised lending | |||||||||||||||
0.25% to <0.50% | 0 | 0.37% | < 0.1 | 50% | 1.0 | 0 | 52% | ||||||||
0.50% to <0.75% | 0 | 0.58% | < 0.1 | 50% | 1.0 | 0 | 66% | ||||||||
0.75% to <2.50% | 0 | 1.72% | < 0.1 | 50% | 1.0 | 0 | 99% | ||||||||
2.50% to <10.00% | 0 | 3.37% | < 0.1 | 50% | 1.0 | 1 | 135% | ||||||||
Sub-total | 0 | 2.49% | < 0.1 | 50% | 1.0 | 1 | 112% |
CCR4 – CCR exposures by portfolio and PD scale – IRB fashions (continued) | |||||||||||||||
finish of 2Q22 |
EAD post- CRM |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
RWA density |
||||||||
Corporates with out specialised lending (CHF million, besides the place indicated) | |||||||||||||||
0.00% to <0.15% | 21,452 | 0.05% | 5.7 | 47% | 0.5 | 2,533 | 12% | ||||||||
0.15% to <0.25% | 2,360 | 0.22% | 0.5 | 50% | 0.7 | 888 | 38% | ||||||||
0.25% to <0.50% | 926 | 0.37% | 0.6 | 51% | 1.0 | 552 | 60% | ||||||||
0.50% to <0.75% | 243 | 0.63% | 0.2 | 55% | 0.8 | 195 | 80% | ||||||||
0.75% to <2.50% | 944 | 1.57% | 0.6 | 70% | 0.6 | 1,501 | 159% | ||||||||
2.50% to <10.00% | 459 | 5.72% | 0.4 | 63% | 0.8 | 1,369 | 298% | ||||||||
10.00% to <100.00% | 1 | 16.44% | < 0.1 | 32% | 1.0 | 1 | 159% | ||||||||
100.00% (Default) | 6 | 100.00% | < 0.1 | 62% | 1.0 | 7 | 106% | ||||||||
Sub-total | 26,391 | 0.26% | 7.9 | 49% | 0.6 | 7,046 | 27% | ||||||||
Different retail | |||||||||||||||
0.00% to <0.15% | 3,851 | 0.04% | 5.8 | 63% | 1.0 | 281 | 7% | ||||||||
0.15% to <0.25% | 279 | 0.20% | 0.5 | 53% | 1.0 | 63 | 23% | ||||||||
0.25% to <0.50% | 125 | 0.36% | 0.2 | 42% | 1.0 | 34 | 27% | ||||||||
0.50% to <0.75% | 48 | 0.58% | < 0.1 | 62% | 1.0 | 25 | 52% | ||||||||
0.75% to <2.50% | 39 | 1.26% | < 0.1 | 30% | 1.0 | 14 | 36% | ||||||||
2.50% to <10.00% | 6 | 5.53% | < 0.1 | 48% | 1.0 | 4 | 75% | ||||||||
10.00% to <100.00% | 0 | 19.08% | < 0.1 | 63% | 1.0 | 1 | 145% | ||||||||
100.00% (Default) | 0 | 100.00% | < 0.1 | 53% | 1.0 | 0 | 106% | ||||||||
Sub-total | 4,348 | 0.08% | 6.6 | 62% | 1.0 | 422 | 10% | ||||||||
Whole (all portfolios) | |||||||||||||||
0.00% to <0.15% | 42,184 | 0.05% | 12.0 | 51% | 0.6 | 5,179 | 12% | ||||||||
0.15% to <0.25% | 3,083 | 0.21% | 1.0 | 51% | 0.7 | 1,153 | 37% | ||||||||
0.25% to <0.50% | 1,311 | 0.37% | 0.9 | 51% | 0.9 | 751 | 57% | ||||||||
0.50% to <0.75% | 353 | 0.62% | 0.3 | 55% | 0.8 | 259 | 73% | ||||||||
0.75% to <2.50% | 1,155 | 1.59% | 0.8 | 67% | 0.6 | 1,728 | 150% | ||||||||
2.50% to <10.00% | 505 | 5.72% | 0.5 | 62% | 0.8 | 1,447 | 286% | ||||||||
10.00% to <100.00% | 2 | 22.66% | < 0.1 | 48% | 1.0 | 5 | 227% | ||||||||
100.00% (Default) | 6 | 100.00% | < 0.1 | 62% | 1.0 | 7 | 106% | ||||||||
Whole (all portfolios) | 48,599 | 0.18% | 15.4 | 52% | 0.6 | 10,529 | 22% |
CCR4 – CCR exposures by portfolio and PD scale – IRB fashions | |||||||||||||||
finish of 4Q21 |
EAD post- CRM |
Common PD |
Variety of obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, besides the place indicated) | |||||||||||||||
0.00% to <0.15% | 1,636 | 0.03% | < 0.1 | 48% | 0.5 | 92 | 6% | ||||||||
0.15% to <0.25% | 0 | 0.22% | < 0.1 | 58% | 1.0 | 0 | 44% | ||||||||
0.25% to <0.50% | 155 | 0.37% | < 0.1 | 45% | 0.7 | 66 | 42% | ||||||||
2.50% to <10.00% | 91 | 3.86% | < 0.1 | 44% | 0.8 | 112 | 122% | ||||||||
Sub-total | 1,882 | 0.24% | < 0.1 | 48% | 0.5 | 270 | 14% | ||||||||
Establishments – Banks and securities seller | |||||||||||||||
0.00% to <0.15% | 11,467 | 0.06% | 0.4 | 58% | 0.6 | 2,136 | 19% | ||||||||
0.15% to <0.25% | 409 | 0.22% | 0.1 | 57% | 0.7 | 197 | 48% | ||||||||
0.25% to <0.50% | 357 | 0.37% | 0.1 | 56% | 0.6 | 230 | 64% | ||||||||
0.50% to <0.75% | 58 | 0.64% | < 0.1 | 55% | 0.7 | 42 | 72% | ||||||||
0.75% to <2.50% | 278 | 1.80% | 0.1 | 54% | 0.3 | 330 | 119% | ||||||||
2.50% to <10.00% | 88 | 4.33% | 0.1 | 53% | 0.6 | 141 | 160% | ||||||||
10.00% to <100.00% | 2 | 24.90% | < 0.1 | 53% | 1.0 | 7 | 284% | ||||||||
100.00% (Default) | 0 | 100.00% | < 0.1 | 60% | 1.0 | 0 | 100% | ||||||||
Sub-total | 12,659 | 0.15% | 0.8 | 58% | 0.6 | 3,083 | 24% | ||||||||
Establishments – Different establishments | |||||||||||||||
0.00% to <0.15% | 99 | 0.04% | < 0.1 | 9% | 0.6 | 2 | 2% | ||||||||
0.50% to <0.75% | 0 | 0.72% | < 0.1 | 44% | 1.0 | 0 | 65% | ||||||||
Sub-total | 99 | 0.04% | < 0.1 | 9% | 0.6 | 2 | 2% | ||||||||
Corporates – Specialised lending | |||||||||||||||
0.25% to <0.50% | 5 | 0.37% | < 0.1 | 50% | 1.0 | 2 | 52% | ||||||||
0.50% to <0.75% | 1 | 0.58% | < 0.1 | 50% | 1.0 | 1 | 66% | ||||||||
0.75% to <2.50% | 4 | 1.78% | < 0.1 | 48% | 1.0 | 4 | 103% | ||||||||
2.50% to <10.00% | 6 | 3.38% | < 0.1 | 50% | 1.0 | 8 | 130% | ||||||||
Sub-total | 16 | 1.88% | < 0.1 | 50% | 1.0 | 15 | 96% |
CCR4 – CCR exposures by portfolio and PD scale – IRB fashions (continued) | |||||||||||||||
finish of 4Q21 |
EAD post- CRM |
Common PD |
Quantity obligors (hundreds) |
Common LGD |
Common maturity (years) |
RWA |
RWA density |
||||||||
Corporates with out specialised lending (CHF million, besides the place indicated) | |||||||||||||||
0.00% to <0.15% | 25,294 | 0.05% | 7.8 | 47% | 0.5 | 2,867 | 11% | ||||||||
0.15% to <0.25% | 1,690 | 0.22% | 0.5 | 43% | 0.8 | 534 | 32% | ||||||||
0.25% to <0.50% | 1,218 | 0.37% | 0.6 | 47% | 0.8 | 633 | 52% | ||||||||
0.50% to <0.75% | 395 | 0.63% | 0.2 | 67% | 0.5 | 382 | 97% | ||||||||
0.75% to <2.50% | 1,188 | 1.65% | 0.8 | 61% | 0.6 | 1,617 | 136% | ||||||||
2.50% to <10.00% | 746 | 5.32% | 0.5 | 59% | 0.8 | 2,018 | 271% | ||||||||
10.00% to <100.00% | 7 | 15.76% | < 0.1 | 39% | 0.9 | 15 | 201% | ||||||||
100.00% (Default) | 5 | 100.00% | < 0.1 | 56% | 0.7 | 5 | 106% | ||||||||
Sub-total | 30,543 | 0.29% | 10.4 | 48% | 0.6 | 8,071 | 26% | ||||||||
Different retail | |||||||||||||||
0.00% to <0.15% | 3,217 | 0.04% | 5.9 | 61% | 0.8 | 230 | 7% | ||||||||
0.15% to <0.25% | 908 | 0.22% | 0.5 | 60% | 1.1 | 252 | 28% | ||||||||
0.25% to <0.50% | 107 | 0.34% | 0.3 | 31% | 0.9 | 21 | 19% | ||||||||
0.50% to <0.75% | 13 | 0.59% | 0.2 | 47% | 0.7 | 5 | 39% | ||||||||
0.75% to <2.50% | 52 | 1.93% | 0.1 | 19% | 4.0 | 13 | 26% | ||||||||
2.50% to <10.00% | 13 | 3.73% | < 0.1 | 64% | 0.9 | 13 | 98% | ||||||||
10.00% to <100.00% | 0 | 19.31% | < 0.1 | 65% | 1.0 | 0 | 151% | ||||||||
100.00% (Default) | 0 | 100.00% | < 0.1 | 53% | 1.0 | 0 | 106% | ||||||||
Sub-total | 4,310 | 0.12% | 7.1 | 60% | 0.9 | 534 | 12% | ||||||||
Whole (all portfolios) | |||||||||||||||
0.00% to <0.15% | 41,713 | 0.05% | 14.2 | 51% | 0.6 | 5,327 | 13% | ||||||||
0.15% to <0.25% | 3,007 | 0.22% | 1.1 | 50% | 0.9 | 983 | 33% | ||||||||
0.25% to <0.50% | 1,842 | 0.37% | 1.0 | 48% | 0.8 | 952 | 52% | ||||||||
0.50% to <0.75% | 467 | 0.63% | 0.5 | 65% | 0.5 | 430 | 92% | ||||||||
0.75% to <2.50% | 1,522 | 1.68% | 1.0 | 58% | 0.7 | 1,964 | 129% | ||||||||
2.50% to <10.00% | 944 | 5.05% | 0.6 | 57% | 0.8 | 2,292 | 243% | ||||||||
10.00% to <100.00% | 9 | 17.97% | < 0.1 | 42% | 0.9 | 22 | 221% | ||||||||
100.00% (Default) | 5 | 100.00% | < 0.1 | 56% | 0.7 | 5 | 106% | ||||||||
Whole (all portfolios) | 49,509 | 0.24% | 18.4 | 51% | 0.6 | 11,975 | 24% |
Composition of collateral for CCR publicity
The next desk presents a breakdown of all kinds of collateral posted or acquired by banks to help or cut back CCR exposures associated to spinoff transactions or SFTs, together with transactions cleared by way of central counterparties (CCPs). For disclosure functions, the collateral values are introduced because the market worth of the collateral with none changes for haircuts.
CCR5 – Composition of collateral for CCR publicity | |||||||||||||||||
Collateral utilized in spinoff transactions | Collateral utilized in SFTs | ||||||||||||||||
Honest worth of collateral acquired |
Honest worth of posted collateral |
Honest worth of collateral acquired |
Honest worth of posted collateral |
||||||||||||||
finish of |
Segregated |
1 |
Un- segregated |
Whole |
Segregated |
1 |
Un- segregated |
Whole |
|
|
|||||||
2Q22 (CHF million) | |||||||||||||||||
Money – home forex | 0 | 8,275 | 8,275 | 0 | 2,051 | 2,051 | 62 | 6,729 | |||||||||
Money – different currencies | 585 | 34,395 | 34,980 | 1,109 | 36,744 | 37,853 | 41,929 | 113,413 | |||||||||
Home sovereign debt | 0 | 93 | 93 | 0 | 0 | 0 | 1,444 | 85 | |||||||||
Different sovereign debt | 4,796 | 7,709 | 12,505 | 12,384 | 4,112 | 16,496 | 127,057 | 51,777 | |||||||||
Authorities company debt | 8 | 24 | 32 | 0 | 15 | 15 | 1,366 | 2,723 | |||||||||
Company bonds | 114 | 9,815 | 9,929 | 0 | 418 | 418 | 32,303 | 19,328 | |||||||||
Fairness securities | 758 | 14,166 | 14,924 | 2,255 | 689 | 2,944 | 15,999 | 2 | 21,384 | 2 | |||||||
Different collateral | 286 | 4,352 | 4,638 | 2 | 19 | 21 | 32,297 | 11,103 | |||||||||
Whole | 6,547 | 78,829 | 85,376 | 15,750 | 44,048 | 59,798 | 252,457 | 226,542 | |||||||||
4Q21 (CHF million) | |||||||||||||||||
Money – home forex | 0 | 6,792 | 6,792 | 0 | 881 | 881 | 356 | 5,528 | |||||||||
Money – different currencies | 138 | 40,815 | 40,953 | 1,272 | 38,097 | 39,369 | 67,077 | 99,417 | |||||||||
Home sovereign debt | 0 | 71 | 71 | 0 | 0 | 0 | 1,388 | 20 | |||||||||
Different sovereign debt | 6,036 | 14,908 | 20,944 | 10,702 | 9,184 | 19,886 | 118,452 | 58,342 | |||||||||
Authorities company debt | 7 | 67 | 74 | 0 | 28 | 28 | 662 | 1,813 | |||||||||
Company bonds | 33 | 10,645 | 10,678 | 0 | 333 | 333 | 39,211 | 21,833 | |||||||||
Fairness securities | 775 | 22,170 | 22,945 | 1,856 | 650 | 2,506 | 78,434 | 2 | 29,005 | 2 | |||||||
Different collateral | 203 | 3,705 | 3,908 | 5 | 0 | 5 | 25,678 | 14,638 | |||||||||
Whole | 7,192 | 99,173 | 106,365 | 13,835 | 49,173 | 63,008 | 331,258 | 230,596 | |||||||||
1 A reclassification of balances from unsegregated to segregated derivatives has been utilized with respect to collateral with third get together custodians for which a optimistic authorized opinion has been obtained. Prior interval has been reclassified to evolve to the present presentation. |
|||||||||||||||||
2 The fairness prime brokerage enterprise consists of purchasers buying lengthy and brief positions available in the market in a Credit score Suisse account together with the suitable margins. Within the case of a counterparty default, Credit score Suisse positive factors management over the lengthy positions and are free to promote them to cowl the publicity and the lengthy positions are thus thought of as “collateral acquired”. Alternatively, the brief positions are thought of as “trades” and will not be reported within the disclosure as “posted collateral”. |
Credit score derivatives exposures
The next desk presents the extent of the Group’s exposures to credit score spinoff transactions as safety purchased or bought.
CCR6 – Credit score derivatives exposures | |||||||||
2Q22 | 4Q21 | ||||||||
finish of |
Safety purchased |
Safety bought |
Safety purchased |
Safety bought |
|||||
Notionals (CHF billion) | |||||||||
Single-name CDS | 89.6 | 80.6 | 102.9 | 94.0 | |||||
Index CDS | 113.2 | 100.2 | 139.4 | 119.9 | |||||
Whole return swaps | 7.2 | 4.9 | 6.7 | 5.3 | |||||
Different credit score derivatives | 22.4 | 17.4 | 40.3 | 33.6 | |||||
of which credit score default swaptions | 20.0 | 11.5 | 40.3 | 33.6 | |||||
of which different credit score devices | 2.4 | 5.9 | 0.0 | 0.0 | |||||
Whole notionals | 232.4 | 203.1 | 289.3 | 252.8 | |||||
Honest values (CHF billion) | |||||||||
Constructive honest worth (asset) | 2.7 | 0.7 | 2.0 | 3.8 | |||||
Damaging honest worth (legal responsibility) | 1.9 | 2.4 | 5.4 | 2.0 | |||||
Contains the shopper leg of cleared credit score derivatives. |
RWA circulate statements of CCR exposures beneath IMM
The next desk presents the 2Q22 circulate assertion explaining modifications in CCR RWA decided beneath the IMM for CCR (derivatives and SFTs).
CCR7 – Danger-weighted belongings circulate statements of CCR exposures beneath IMM | |||
2Q22 | |||
CHF million | |||
Danger-weighted belongings at starting of interval | 10,001 | ||
Asset measurement | (387) | ||
Credit score high quality of counterparties | 22 | ||
Mannequin and parameter updates | 17 | ||
Overseas trade impression | 222 | ||
Danger-weighted belongings at finish of interval | 9,875 |
> Check with “RWA circulate assertion of credit score threat exposures beneath IRB” (web page 19) in Credit score threat for definitions of the RWA circulate statements parts.
The CCR RWA beneath IMM decreased CHF 0.1 billion to CHF 9.9 billion in comparison with CHF 10.Zero billion as on the finish of 1Q22, primarily pushed by a lower in asset measurement threat ranges attributable to the expiration of trades and exposures reductions throughout securities financing enterprise, over-the-counter derivatives and trade traded derivatives. That is partially offset by a optimistic international trade impression, primarily attributable to a US greenback strengthening of 4% over the quarter in opposition to the Swiss franc.
Exposures to central counterparties
The next desk presents a complete image of the Group’s publicity to CCPs.
CCR8 – Exposures to central counterparties | |||||||||
2Q22 | 4Q21 | ||||||||
finish of |
EAD (post-CRM) |
RWA |
EAD (post-CRM) |
RWA |
|||||
CHF million | |||||||||
QCCPs | |||||||||
Exposures for trades at QCCPs | 15,787 | 334 | 16,101 | 350 | |||||
of which OTC derivatives | 8,627 | 191 | 7,674 | 182 | |||||
of which exchange-traded derivatives | 5,956 | 119 | 7,723 | 154 | |||||
of which SFTs | 1,204 | 24 | 704 | 14 | |||||
Segregated preliminary margin | 5,532 | – | 2,428 | – | |||||
Pre-funded default fund contributions | 3,024 | 856 | 3,583 | 949 | |||||
Whole exposures to QCCPs | – | 1,190 | – | 1,299 | |||||
Non-QCCPs | |||||||||
Pre-funded default fund contributions | 0 | 0 | 2 | 20 | |||||
Whole exposures to non-QCCPs | – | 0 | – | 20 | |||||
1 Exposures related to preliminary margin, the place the exposures are measured beneath the IMM/SA-CCR, have been included inside the exposures for trades. |
Securitization exposures introduced within the following desk characterize the EAD.
SEC1 – Securitization exposures within the banking e book | |||||||||||||||||||
Financial institution acts as originator | Financial institution acts as sponsor | Financial institution acts as investor | |||||||||||||||||
finish of | Conventional | Artificial | Whole | Conventional | Artificial | Whole | Conventional | Artificial | Whole | ||||||||||
2Q22 (CHF million) | |||||||||||||||||||
Residential mortgages | 108 | 457 | 565 | 0 | 0 | 0 | 2,570 | 0 | 2,570 | ||||||||||
Bank cards | 0 | 0 | 0 | 628 | 0 | 628 | 616 | 0 | 616 | ||||||||||
Different retail exposures | 335 | 43 | 378 | 3,044 | 0 | 3,044 | 2,692 | 0 | 2,692 | ||||||||||
Re-securitization | 0 | 0 | 0 | 0 | 0 | 0 | 48 | 0 | 48 | ||||||||||
Whole retail | 443 | 500 | 943 | 3,672 | 0 | 3,672 | 5,926 | 0 | 5,926 | ||||||||||
Loans to corporates | 0 | 29,860 | 29,860 | 1,022 | 0 | 1,022 | 3,138 | 0 | 3,138 | ||||||||||
Business mortgages | 11 | 10,484 | 10,495 | 0 | 0 | 0 | 888 | 0 | 888 | ||||||||||
Lease and receivables | 0 | 0 | 0 | 2,102 | 0 | 2,102 | 2,209 | 0 | 2,209 | ||||||||||
Different wholesale | 745 | 125 | 870 | 870 | 0 | 870 | 1,224 | 0 | 1,224 | ||||||||||
Whole wholesale | 756 | 40,469 | 41,225 | 3,994 | 0 | 3,994 | 7,459 | 0 | 7,459 | ||||||||||
Whole | 1,199 | 40,969 | 42,168 | 7,666 | 0 | 7,666 | 13,385 | 0 | 13,385 | ||||||||||
4Q21 (CHF million) | |||||||||||||||||||
Residential mortgages | 120 | 408 | 528 | 0 | 0 | 0 | 2,332 | 0 | 2,332 | ||||||||||
Bank cards | 0 | 0 | 0 | 1,002 | 0 | 1,002 | 874 | 0 | 874 | ||||||||||
Different retail exposures | 325 | 309 | 634 | 3,067 | 0 | 3,067 | 2,611 | 0 | 2,611 | ||||||||||
Re-securitization | 14 | 0 | 14 | 0 | 0 | 0 | 23 | 0 | 23 | ||||||||||
Whole retail | 459 | 717 | 1,176 | 4,069 | 0 | 4,069 | 5,840 | 0 | 5,840 | ||||||||||
Loans to corporates | 0 | 26,801 | 26,801 | 632 | 0 | 632 | 3,276 | 0 | 3,276 | ||||||||||
Business mortgages | 0 | 12,267 | 12,267 | 0 | 0 | 0 | 839 | 0 | 839 | ||||||||||
Lease and receivables | 0 | 1,096 | 1,096 | 1,952 | 0 | 1,952 | 2,019 | 0 | 2,019 | ||||||||||
Different wholesale | 826 | 0 | 826 | 827 | 0 | 827 | 1,371 | 0 | 1,371 | ||||||||||
Whole wholesale | 826 | 40,164 | 40,990 | 3,411 | 0 | 3,411 | 7,505 | 0 | 7,505 | ||||||||||
Whole | 1,285 | 40,881 | 42,166 | 7,480 | 0 | 7,480 | 13,345 | 0 | 13,345 |
SEC2 – Securitization exposures within the buying and selling e book | |||||||||||||||||||
Financial institution acts as originator | Financial institution acts as sponsor | Financial institution acts as investor | |||||||||||||||||
finish of | Conventional | Artificial | Whole | Conventional | Artificial | Whole | Conventional | Artificial | Whole | ||||||||||
2Q22 (CHF million) | |||||||||||||||||||
Residential mortgages | 53 | 0 | 53 | 0 | 0 | 0 | 1,135 | 0 | 1,135 | ||||||||||
Different retail exposures | 0 | 0 | 0 | 0 | 0 | 0 | 256 | 0 | 256 | ||||||||||
Re-securitization | 0 | 10 | 10 | 0 | 0 | 0 | 200 | 57 | 257 | ||||||||||
Whole retail | 53 | 10 | 63 | 0 | 0 | 0 | 1,591 | 57 | 1,648 | ||||||||||
Loans to corporates | 0 | 0 | 0 | 0 | 0 | 0 | 387 | 0 | 387 | ||||||||||
Business mortgages | 100 | 0 | 100 | 0 | 0 | 0 | 693 | 0 | 693 | ||||||||||
Re-securitization | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 16 | 16 | ||||||||||
Whole wholesale | 100 | 0 | 100 | 0 | 0 | 0 | 1,080 | 16 | 1,096 | ||||||||||
Whole | 153 | 10 | 163 | 0 | 0 | 0 | 2,671 | 73 | 2,744 | ||||||||||
4Q21 (CHF million) | |||||||||||||||||||
Residential mortgages | 23 | 0 | 23 | 0 | 0 | 0 | 1,120 | 0 | 1,120 | ||||||||||
Different retail exposures | 0 | 0 | 0 | 0 | 0 | 0 | 209 | 0 | 209 | ||||||||||
Re-securitization | 18 | 0 | 18 | 0 | 0 | 0 | 122 | 37 | 159 | ||||||||||
Whole retail | 41 | 0 | 41 | 0 | 0 | 0 | 1,451 | 37 | 1,488 | ||||||||||
Loans to corporates | 0 | 0 | 0 | 0 | 0 | 0 | 186 | 0 | 186 | ||||||||||
Business mortgages | 96 | 0 | 96 | 0 | 0 | 0 | 359 | 0 | 359 | ||||||||||
Re-securitization | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 17 | 17 | ||||||||||
Whole wholesale | 96 | 0 | 96 | 0 | 0 | 0 | 545 | 17 | 562 | ||||||||||
Whole | 137 | 0 | 137 | 0 | 0 | 0 | 1,996 | 54 | 2,050 |
The next tables current the securitization exposures within the banking e book and the related regulatory capital necessities.
> Check with “Market threat beneath standardized strategy” (web page 36) in Market threat for capital prices associated to securitization positions within the buying and selling e book.
SEC3 – Securitization exposures within the banking e book and related regulatory capital necessities – Credit score Suisse appearing as originator or as sponsor | |||||||||||||||||||||||||||||||||||
Publicity worth (by RW band) | Publicity worth (by regulatory strategy) | RWA (by regulatory strategy) | Capital cost after cap | ||||||||||||||||||||||||||||||||
finish of |
<=20% RW |
>20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
||||||||||||||||||
2Q22 (CHF million) | |||||||||||||||||||||||||||||||||||
Whole exposures | 44,682 | 4,116 | 770 | 253 | 13 | 40,717 | 589 | 8,515 | 13 | 7,382 | 1,002 | 2,050 | 155 | 592 | 52 | 159 | 13 | ||||||||||||||||||
Conventional securitization | 5,800 | 2,089 | 770 | 198 | 8 | 745 | 589 | 7,523 | 8 | 306 | 1,002 | 1,749 | 101 | 24 | 52 | 135 | 8 | ||||||||||||||||||
of which securitization | 5,800 | 2,089 | 770 | 198 | 8 | 745 | 589 | 7,523 | 8 | 306 | 1,002 | 1,749 | 101 | 24 | 52 | 135 | 8 | ||||||||||||||||||
of which retail underlying | 3,525 | 362 | 158 | 62 | 8 | 0 | 323 | 3,784 | 8 | 0 | 545 | 667 | 101 | 0 | 15 | 53 | 8 | ||||||||||||||||||
of which wholesale | 2,275 | 1,727 | 612 | 136 | 0 | 745 | 266 | 3,739 | 0 | 306 | 457 | 1,082 | 0 | 24 | 37 | 82 | 0 | ||||||||||||||||||
Artificial securitization | 38,882 | 2,027 | 0 | 55 | 5 | 39,972 | 0 | 992 | 5 | 7,076 | 0 | 301 | 54 | 568 | 0 | 24 | 5 | ||||||||||||||||||
of which securitization | 38,882 | 2,027 | 0 | 55 | 5 | 39,972 | 0 | 992 | 5 | 7,076 | 0 | 301 | 54 | 568 | 0 | 24 | 5 | ||||||||||||||||||
of which retail underlying | 499 | 0 | 0 | 0 | 1 | 499 | 0 | 0 | 1 | 84 | 0 | 0 | 10 | 7 | 0 | 0 | 1 | ||||||||||||||||||
of which wholesale | 38,383 | 2,027 | 0 | 55 | 4 | 39,473 | 0 | 992 | 4 | 6,992 | 0 | 301 | 44 | 561 | 0 | 24 | 4 | ||||||||||||||||||
4Q21 (CHF million) | |||||||||||||||||||||||||||||||||||
Whole exposures | 44,428 | 4,083 | 868 | 263 | 4 | 41,014 | 959 | 7,669 | 4 | 7,688 | 1,259 | 1,858 | 44 | 586 | 70 | 148 | 4 | ||||||||||||||||||
Conventional securitization | 5,432 | 2,476 | 641 | 212 | 4 | 826 | 959 | 6,976 | 4 | 650 | 1,259 | 1,707 | 44 | 23 | 70 | 136 | 4 | ||||||||||||||||||
of which securitization | 5,432 | 2,476 | 629 | 210 | 4 | 826 | 959 | 6,962 | 4 | 650 | 1,259 | 1,689 | 44 | 23 | 70 | 135 | 4 | ||||||||||||||||||
of which retail underlying | 3,623 | 691 | 130 | 66 | 4 | 0 | 681 | 3,829 | 4 | 0 | 689 | 713 | 44 | 0 | 24 | 57 | 4 | ||||||||||||||||||
of which wholesale | 1,809 | 1,785 | 499 | 144 | 0 | 826 | 278 | 3,133 | 0 | 650 | 570 | 976 | 0 | 23 | 46 | 78 | 0 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 12 | 2 | 0 | 0 | 0 | 14 | 0 | 0 | 0 | 18 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
of which senior | 0 | 0 | 9 | 0 | 0 | 0 | 0 | 9 | 0 | 0 | 0 | 9 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
of which non-senior | 0 | 0 | 3 | 2 | 0 | 0 | 0 | 5 | 0 | 0 | 0 | 9 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
Artificial securitization | 38,996 | 1,607 | 227 | 51 | 0 | 40,188 | 0 | 693 | 0 | 7,038 | 0 | 151 | 0 | 563 | 0 | 12 | 0 | ||||||||||||||||||
of which securitization | 38,996 | 1,607 | 227 | 51 | 0 | 40,188 | 0 | 693 | 0 | 7,038 | 0 | 151 | 0 | 563 | 0 | 12 | 0 | ||||||||||||||||||
of which retail underlying | 607 | 106 | 2 | 2 | 0 | 717 | 0 | 0 | 0 | 146 | 0 | 0 | 0 | 12 | 0 | 0 | 0 | ||||||||||||||||||
of which wholesale | 38,389 | 1,501 | 225 | 49 | 0 | 39,471 | 0 | 693 | 0 | 6,892 | 0 | 151 | 0 | 551 | 0 | 12 | 0 |
SEC4 – Securitization exposures within the banking e book and related regulatory capital necessities – Credit score Suisse appearing as investor | |||||||||||||||||||||||||||||||||||
Publicity worth (by RW band) | Publicity worth (by regulatory strategy) | RWA (by regulatory strategy) | Capital cost after cap | ||||||||||||||||||||||||||||||||
finish of |
<=20% RW |
>20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
SEC-IRBA |
SEC-ERBA |
SEC-SA |
1250% RW |
||||||||||||||||||
2Q22 (CHF million) | |||||||||||||||||||||||||||||||||||
Whole exposures | 10,230 | 2,707 | 205 | 229 | 14 | 2,374 | 567 | 10,430 | 14 | 356 | 222 | 2,377 | 169 | 28 | 17 | 183 | 14 | ||||||||||||||||||
Conventional securitization | 10,230 | 2,707 | 205 | 229 | 14 | 2,374 | 567 | 10,430 | 14 | 356 | 222 | 2,377 | 169 | 28 | 17 | 183 | 14 | ||||||||||||||||||
of which securitization | 10,230 | 2,707 | 205 | 183 | 12 | 2,374 | 567 | 10,384 | 12 | 356 | 222 | 2,325 | 146 | 28 | 17 | 179 | 12 | ||||||||||||||||||
of which retail underlying | 3,691 | 2,124 | 22 | 41 | 0 | 0 | 204 | 5,674 | 0 | 0 | 79 | 1,263 | 0 | 0 | 6 | 100 | 0 | ||||||||||||||||||
of which wholesale | 6,539 | 583 | 183 | 142 | 12 | 2,374 | 363 | 4,710 | 12 | 356 | 143 | 1,062 | 146 | 28 | 11 | 79 | 12 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 46 | 2 | 0 | 0 | 46 | 2 | 0 | 0 | 52 | 23 | 0 | 0 | 4 | 2 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 46 | 2 | 0 | 0 | 46 | 2 | 0 | 0 | 52 | 23 | 0 | 0 | 4 | 2 | ||||||||||||||||||
4Q21 (CHF million) | |||||||||||||||||||||||||||||||||||
Whole exposures | 9,930 | 2,469 | 757 | 175 | 14 | 2,738 | 630 | 9,963 | 14 | 411 | 315 | 2,608 | 250 | 33 | 25 | 186 | 20 | ||||||||||||||||||
Conventional securitization | 9,930 | 2,469 | 757 | 175 | 14 | 2,738 | 630 | 9,963 | 14 | 411 | 315 | 2,608 | 250 | 33 | 25 | 186 | 20 | ||||||||||||||||||
of which securitization | 9,930 | 2,469 | 757 | 152 | 14 | 2,738 | 630 | 9,940 | 14 | 411 | 315 | 2,577 | 250 | 33 | 25 | 184 | 20 | ||||||||||||||||||
of which retail underlying | 3,757 | 1,466 | 488 | 106 | 0 | 0 | 246 | 5,571 | 0 | 0 | 159 | 1,576 | 0 | 0 | 13 | 109 | 0 | ||||||||||||||||||
of which wholesale | 6,173 | 1,003 | 269 | 46 | 14 | 2,738 | 384 | 4,369 | 14 | 411 | 156 | 1,001 | 250 | 33 | 12 | 75 | 20 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 23 | 0 | 0 | 0 | 23 | 0 | 0 | 0 | 31 | 0 | 0 | 0 | 2 | 0 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
of which non-senior | 0 | 0 | 0 | 23 | 0 | 0 | 0 | 23 | 0 | 0 | 0 | 31 | 0 | 0 | 0 | 2 | 0 |
We use the superior strategy for calculating the market threat capital necessities for majority of our market threat exposures. As of June 30, 2022, 90% of our market threat RWA was computed utilizing inside fashions. Consistent with regulatory necessities, the SMM is used for the particular threat of securitized exposures.
The next desk reveals the parts of RWA beneath the standardized strategy for market threat. Consistent with regulatory necessities, the SMM is used for the particular threat of securitized exposures.
MR1 – Market threat beneath standardized strategy | |||||
finish of | 2Q22 | 4Q21 | |||
Danger-weighted belongings (CHF million) | |||||
Securitization | 1,612 | 1,648 | |||
Whole risk-weighted belongings | 1,612 | 1,648 |
RWA circulate statements of market threat exposures beneath an IMA
The next desk presents the 2Q22 circulate assertion explaining variations available in the market threat RWA decided beneath an IMA.
Market threat RWA beneath an IMA decreased CHF 1.Three billion to CHF 14.Four billion in comparison with the top of 1Q22, primarily attributable to a lower in regulatory VaR as COVID-19 volatility rolled out of the two-year VaR window.
MR2 – Danger-weighted belongings circulate statements of market threat exposures beneath an IMA | |||||||||||
2Q22 |
Regulatory VaR |
Harassed VaR |
IRC |
Different |
1 |
Whole |
|||||
CHF million | |||||||||||
Danger-weighted belongings at starting of interval | 4,363 | 4,777 | 2,206 | 4,336 | 15,682 | ||||||
Regulatory adjustment | (273) | 1,394 | (198) | (160) | 763 | ||||||
Danger-weighted belongings at starting of interval (finish of day) | 4,090 | 6,171 | 2,008 | 4,176 | 16,445 | ||||||
Motion in threat ranges | 627 | (1,882) | (354) | (98) | (1,707) | ||||||
Mannequin and parameter updates | (1,214) | (196) | 0 | 0 | (1,410) | ||||||
Overseas trade impression | 160 | 173 | 82 | 155 | 570 | ||||||
Danger-weighted belongings at finish of interval (finish of day) | 3,663 | 4,266 | 1,736 | 4,233 | 13,898 | ||||||
Regulatory adjustment | (83) | 372 | 70 | 132 | 491 | ||||||
Danger-weighted belongings at finish of interval | 3,580 | 4,638 | 1,806 | 4,365 | 14,389 | ||||||
Definitions of risk-weighted belongings motion parts associated to market threat | |||
Description | Definition | ||
RWA as of the top of the earlier/present reporting durations | Represents RWA at quarter-end | ||
Regulatory adjustment | Signifies the distinction between RWA and RWA (finish of day) at starting and finish of interval | ||
RWA as of the earlier/present quarters finish (finish of day) |
For a given part (e.g., VaR) it refers back to the RWA that might be computed if the snapshot quarter finish quantity of the part determines the quarter finish RWA, versus a 60-day common for regulatory |
||
Motion in threat ranges | Represents actions attributable to place modifications | ||
Mannequin and parameter updates |
Represents actions arising from internally pushed or externally mandated updates to fashions and recalibrations of mannequin parameters particular solely to Credit score Suisse |
||
Methodology and coverage modifications |
Represents actions arising from externally mandated regulatory methodology and coverage modifications to accounting and publicity classification and remedy insurance policies not particular solely to Credit score Suisse |
||
Acquisitions and disposals | Represents modifications in e book sizes attributable to acquisitions and disposals of entities | ||
Overseas trade impression | Represents modifications in trade charges of the transaction currencies in comparison with the Swiss franc | ||
Different | Represents modifications that can not be attributed to every other class |
IMA strategy values for buying and selling portfolios
The next desk presents the utmost, minimal, common and period-end values ensuing from the several types of fashions used for computing regulatory capital prices on the Group degree, earlier than any extra capital cost is utilized.
MR3 – Regulatory VaR, harassed VaR and Incremental Danger Cost | |||||
in / finish of | 1H22 | 2H21 | |||
CHF million | |||||
Regulatory VaR (10 day 99%) | |||||
Most worth | 139 | 147 | |||
Common worth | 107 | 116 | |||
Minimal worth | 82 | 96 | |||
Interval-end worth | 98 | 104 | |||
Harassed VaR (10 day 99%) | |||||
Most worth | 178 | 186 | |||
Common worth | 122 | 134 | |||
Minimal worth | 101 | 103 | |||
Interval-end worth | 114 | 116 | |||
IRC (99.9%) | |||||
Most worth | 188 | 188 | |||
Common worth | 154 | 161 | |||
Minimal worth | 116 | 135 | |||
Interval-end worth | 145 | 167 |
Comparability of VaR estimates with positive factors/losses
The next chart compares the outcomes of estimates from the regulatory VaR mannequin with each hypothetical and precise buying and selling outcomes.
Backtesting entails evaluating the outcomes produced by the VaR mannequin with the hypothetical buying and selling revenues on the buying and selling e book. Hypothetical buying and selling revenues are outlined in compliance with regulatory necessities and aligned with the VaR mannequin output by excluding (i) non-market parts (reminiscent of charges, commissions, cancellations and terminations, web price of funding and credit-related valuation changes) and (ii) positive factors and losses from intra-day buying and selling. A backtesting exception happens when a hypothetical buying and selling loss exceeds the day by day VaR estimate.
For capital functions and according to Financial institution for Worldwide Settlements (BIS) necessities, FINMA will increase the capital multiplier for each regulatory VaR backtesting exception above 4 within the prior rolling 12-month interval, leading to an incremental market threat capital requirement for the Group. VaR fashions with lower than 5 backtesting exceptions are thought of by regulators to be categorized in an outlined “inexperienced zone”. The “inexperienced zone” corresponds to backtesting outcomes that don’t themselves counsel an issue with the standard or accuracy of a financial institution’s mannequin.
In 1H22, there was one backtesting exception in our regulatory VaR mannequin. Since there was one backtesting exception within the rolling 12-month interval by way of the top of 2Q22, according to BIS trade pointers, the financial institution is within the “inexperienced zone”.
Credit score Suisse is a systemically necessary monetary establishment.
> Check with “Swiss capital necessities” (pages Three to 4) for the systemically necessary monetary establishment view.
The next tables present particulars on the composition of Swiss regulatory capital together with widespread fairness tier 1 (CET1) capital, extra tier 1 capital and tier 2 capital as if the Group was not a systemically necessary monetary establishment.
CC1 – Composition of regulatory capital | ||||||
finish of 2Q22 | Quantities | Reference | 1 | |||
Swiss CET1 capital (CHF million) | ||||||
1 | Immediately issued qualifying widespread share (and equal for non-joint inventory corporations) capital plus associated inventory surplus | 34,737 | 1 | |||
2 | Retained earnings | 29,059 | 2 | |||
3 | Amassed different complete revenue (and different reserves) 2 | (17,954) | 3 | |||
6 | CET1 capital earlier than regulatory changes | 45,842 | ||||
7 | Prudent valuation changes | (215) | ||||
8 | Goodwill, web of tax | (2,953) | 4 | |||
9 | Different intangible belongings (excluding mortgage servicing rights), web of tax | (49) | 5 | |||
10 | Deferred tax belongings that depend on future profitability (excluding non permanent variations), web of tax | (1,124) | 6 | |||
11 | Money circulate hedge reserve | 852 | ||||
12 | Shortfall of provisions to anticipated losses | (249) | ||||
14 | Positive aspects/(losses) attributable to modifications in personal credit score on fair-valued liabilities | (1,536) | ||||
15 | Outlined profit pension plan belongings | (3,463) | 7 | |||
16 | Investments in personal shares | (79) | ||||
26b | Nationwide particular regulatory changes | 23 | ||||
28 | Whole regulatory changes to CET1 capital | (8,793) | ||||
29 | CET1 capital | 37,049 | ||||
30 | Immediately issued qualifying extra tier 1 devices plus associated inventory surplus 3 | 15,726 | ||||
32 | of which categorized as liabilities beneath relevant accounting requirements | 15,726 | 9 | |||
36 | Extra tier 1 capital earlier than regulatory changes | 15,726 | ||||
37 | Investments in personal extra tier 1 devices | (39) | ||||
43 | Whole regulatory changes to extra tier 1 capital | (39) | ||||
44 | Extra tier 1 capital | 15,687 | ||||
Swiss tier 1 capital (CHF million) | ||||||
45 | Tier 1 capital | 52,736 | ||||
Swiss tier 2 capital (CHF million) | ||||||
46 | Immediately issued qualifying tier 2 devices plus associated inventory surplus 4 | 481 | 10 | |||
58 | Tier 2 capital | 481 | ||||
Swiss eligible capital (CHF million) | ||||||
59 | Whole eligible capital | 53,217 | ||||
1 Check with the stability sheet beneath regulatory scope of consolidation within the desk “CC2 – Reconciliation of regulatory capital to stability sheet”. Solely materials objects are referenced to the stability sheet. |
||||||
2 Contains treasury shares. |
||||||
3 Consists of high-trigger and low-trigger capital devices. Of this quantity, CHF 11.2 billion consists of capital devices with a capital ratio write-down set off of seven% and CHF 4.5 billion consists of capital devices with a capital ratio write-down set off of 5.125%. |
||||||
4 Consists of low-trigger capital devices with a capital ratio write-down set off of 5%. |
CC1 – Composition of regulatory capital (continued) | ||||||
finish of 2Q22 | Quantities | Reference | 1 | |||
Swiss risk-weighted belongings (CHF million) | ||||||
60 | Danger-weighted belongings | 274,997 | ||||
Swiss risk-based capital ratios as a proportion of risk-weighted belongings (%) | ||||||
61 | CET1 capital ratio | 13.5 | ||||
62 | Tier 1 capital ratio | 19.2 | ||||
63 | Whole capital ratio | 19.4 | ||||
BIS CET1 buffer necessities (%) 2 | ||||||
64 | Whole BIS CET buffer requirement | 3.525 | ||||
65 | of which capital conservation buffer | 2.5 | ||||
66 | of which prolonged countercyclical buffer | 0.025 | ||||
67 | of which progressive buffer for G-SIB and/or D-SIB | 1.0 | ||||
68 | CET1 capital ratio accessible after assembly the financial institution’s minimal capital necessities 3 | 9.0 | ||||
Quantities beneath the thresholds for deduction (earlier than threat weighting) (CHF million) | ||||||
72 | Non-significant investments within the capital and different TLAC liabilities of different monetary entities | 1,931 | ||||
73 | Important investments within the widespread inventory of economic entities | 1,826 | ||||
74 | Mortgage servicing rights, web of tax | 267 | ||||
75 | Deferred tax belongings arising from non permanent variations, web of tax | 3,086 | ||||
Relevant caps on the inclusion of provisions in tier 2 (CHF million) | ||||||
77 | Cap on inclusion of provisions in tier 2 beneath standardized strategy | 353 | ||||
79 | Cap for inclusion of provisions in tier 2 beneath inside ratings-based strategy | 700 | ||||
1 Check with the stability sheet beneath regulatory scope of consolidation within the desk “CC2 – Reconciliation of regulatory capital to stability sheet”. Solely materials objects are referenced to the stability sheet. |
||||||
2 CET1 buffer necessities are primarily based on BIS necessities as a proportion of Swiss risk-weighted belongings. |
||||||
3 Displays the Swiss CET1 capital ratio, much less the BIS minimal CET1 ratio requirement of 4.5%. |
The next desk presents the stability sheet as revealed within the consolidated monetary statements of the Group and the stability sheet beneath the regulatory scope of consolidation.
CC2 – Reconciliation of regulatory capital to stability sheet | |||||||
finish of 2Q22 |
Monetary statements |
Regulatory scope of consolidation |
Reference to composition of capital |
||||
Property (CHF million) | |||||||
Money and due from banks | 159,472 | 159,242 | |||||
Curiosity-bearing deposits with banks | 851 | 1,296 | |||||
Central financial institution funds bought, securities bought beneath resale agreements and securities borrowing transactions | 104,156 | 104,156 | |||||
Securities acquired as collateral, at honest worth | 7,386 | 7,386 | |||||
Buying and selling belongings, at honest worth | 101,095 | 100,090 | |||||
Funding securities | 739 | 739 | |||||
Different investments | 5,783 | 5,433 | |||||
Internet loans | 285,573 | 286,135 | |||||
Goodwill | 2,974 | 2,979 | 4 | ||||
Different intangible belongings | 340 | 340 | |||||
of which different intangible belongings (excluding mortgage servicing rights) | 51 | 51 | 5 | ||||
Brokerage receivables | 15,060 | 15,060 | |||||
Different belongings | 43,936 | 42,770 | |||||
of which deferred tax belongings associated to web working losses | 1,124 | 1,124 | 6 | ||||
of which deferred tax belongings from non permanent variations | 2,743 | 2,068 | 8 | ||||
of which outlined profit pension plan belongings | 4,376 | 4,376 | 7 | ||||
Whole belongings | 727,365 | 725,626 | |||||
Liabilities and fairness (CHF million) | |||||||
As a result of banks | 23,616 | 23,648 | |||||
Buyer deposits | 389,484 | 389,528 | |||||
Central financial institution funds bought, securities bought beneath repurchase agreements and securities lending transactions | 21,568 | 21,575 | |||||
Obligation to return securities acquired as collateral, at honest worth | 7,386 | 7,386 | |||||
Buying and selling liabilities, at honest worth | 29,967 | 29,999 | |||||
Brief-term borrowings | 20,145 | 20,325 | |||||
Lengthy-term debt | 158,010 | 156,194 | |||||
Brokerage payables | 8,061 | 8,061 | |||||
Different liabilities | 23,062 | 22,741 | |||||
Whole liabilities | 681,299 | 679,457 | |||||
of which extra tier 1 devices, absolutely eligible | 14,553 | 15,687 | 9 | ||||
of which tier 2 devices, absolutely eligible | 2,407 | 481 | 10 | ||||
Frequent shares | 106 | 106 | 1 | ||||
Extra paid-in capital | 34,631 | 34,631 | 1 | ||||
Retained earnings | 29,059 | 29,030 | 2 | ||||
Treasury shares, at price | (417) | (417) | 3 | ||||
Amassed different complete revenue/(loss) | (17,537) | (17,509) | 3 | ||||
Whole shareholders’ fairness 1 | 45,842 | 45,841 | |||||
Noncontrolling pursuits 2 | 224 | 328 | |||||
Whole fairness | 46,066 | 46,169 | |||||
Whole liabilities and fairness | 727,365 | 725,626 | |||||
1 Eligible as CET1 capital, previous to regulatory changes. |
|||||||
2 The distinction between the accounting and regulatory scope of consolidation primarily represents non-public fairness and different fund sort autos, which FINMA doesn’t require to consolidate for capital adequacy reporting. |
The next desk presents the composition of our TLAC.
TLAC1 – TLAC composition for G-SIBs | |||
finish of | 2Q22 | ||
TLAC (CHF million) | |||
CET1 capital | 37,049 | ||
Extra tier 1 devices eligible beneath TLAC framework | 15,687 | ||
Tier 2 capital earlier than TLAC changes | 481 | ||
TLAC changes | 1,926 | ||
of which amortized portion of tier 2 devices the place remaining maturity > 1 yr | 1,926 | ||
Tier 2 devices eligible beneath TLAC framework | 2,407 | ||
TLAC arising from regulatory capital | 55,143 | ||
Exterior TLAC devices issued instantly by Credit score Suisse Group AG and subordinated to excluded liabilities | 44,666 | ||
Exterior TLAC devices issued by funding autos previous to January 1, 2022 | 2,088 | ||
TLAC arising from non-regulatory capital devices earlier than changes | 46,754 | ||
TLAC earlier than deductions | 101,897 | ||
Deduction of funding in personal different TLAC liabilities | 64 | ||
Different changes to TLAC | 4,937 | ||
TLAC | 96,896 | ||
Danger-weighted belongings and leverage publicity (CHF million) | |||
Swiss risk-weighted belongings | 274,997 | ||
Leverage publicity | 862,737 | ||
TLAC ratios and buffers (%) | |||
TLAC ratio | 35.2 | ||
TLAC leverage ratio | 11.2 | ||
CET1 capital ratio accessible after assembly the decision group’s minimal capital and TLAC necessities | 9.0 | ||
Establishment-specific buffer requirement (capital conservation buffer plus countercyclical buffer necessities plus greater loss absorbency requirement, expressed as a proportion of risk-weighted belongings) | 3.525 | ||
of which capital conservation buffer requirement | 2.5 | ||
of which financial institution particular countercyclical buffer requirement | 0.025 | ||
of which greater loss absorbency requirement | 1.0 |
The next desk presents info relating to collectors’ rankings of the liabilities construction of the decision entity.
TLAC3 – Decision entity – Creditor rating at authorized entity degree | |||||||||
Creditor rating | |||||||||
finish of 2Q22 |
Shareholders’ |
1 |
Subordinated debt devices Extra tier 1 |
Bail-in debt devices and pari passu liabilities |
2 |
Whole |
|||
CHF million | |||||||||
Whole capital and liabilities web of credit score threat mitigation | 31,062 | 18,223 | 48,557 | 97,842 | |||||
Excluded liabilities | – | – | 56 | 56 | |||||
Whole capital and liabilities much less excluded liabilities | 31,062 | 18,223 | 48,501 | 97,786 | |||||
of which doubtlessly eligible as TLAC 3 | 31,062 | 16,495 | 45,226 | 92,783 | |||||
of which residual maturity between 1 to 2 years | – | – | 4,818 | 4,818 | |||||
of which residual maturity between 2 to five years | – | – | 19,572 | 19,572 | |||||
of which residual maturity between 5 to 10 years | – | – | 15,357 | 15,357 | |||||
of which residual maturity better than 10 years, excluding perpetual securities | – | – | 5,479 | 5,479 | |||||
of which perpetual securities | 31,062 | 16,495 | – | 47,557 | |||||
Offered for Credit score Suisse Group AG on the authorized entity degree and subsequently devices issued by subsidiaries and particular goal entities are excluded. Quantities are ready in accordance with the provisions of the Swiss Legislation on Accounting and Monetary Reporting (32nd title of the Swiss Code of Obligations). |
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1 Contains nominal share capital of CHF 106 million. |
|||||||||
2 Quantity doesn’t embrace CHF 7,196 million of intercompany liabilities, that are pari passu to the exterior bail-in debt devices and will not be thought of to be excluded liabilities. |
|||||||||
3 Notes with a maturity of lower than one yr, notes known as however not but redeemed and accrued however not but paid curiosity on TLAC devices will not be eligible as TLAC, however might be bailed in by FINMA. |
Most line objects within the following desk presents the view as if the Group was not a systemically necessary monetary establishment.
KM1 – Key metrics | |||||||||||
finish of | 2Q22 | 1Q22 | 4Q21 | 3Q21 | 2Q21 | ||||||
Capital (CHF million) | |||||||||||
Swiss CET1 capital | 37,049 | 37,713 | 38,529 | 39,951 | 38,934 | ||||||
Totally loaded CECL accounting mannequin Swiss CET1 capital 1 | 37,049 | 37,713 | 38,529 | 39,951 | 38,934 | ||||||
Swiss tier 1 capital | 52,736 | 53,204 | 54,372 | 56,252 | 55,148 | ||||||
Totally loaded CECL accounting mannequin Swiss tier 1 capital 1 | 52,736 | 53,204 | 54,372 | 56,252 | 55,148 | ||||||
Swiss complete eligible capital | 53,217 | 53,676 | 55,073 | 56,998 | 56,394 | ||||||
Totally loaded CECL accounting mannequin Swiss complete eligible capital 1 | 53,217 | 53,676 | 55,073 | 56,998 | 56,394 | ||||||
Minimal capital requirement (8% of Swiss risk-weighted belongings) 2 | 22,000 | 21,889 | 21,473 | 22,304 | 22,744 | ||||||
Danger-weighted belongings (CHF million) | |||||||||||
Swiss risk-weighted belongings | 274,997 | 273,609 | 268,418 | 278,801 | 284,295 | ||||||
Danger-based capital ratios as a proportion of risk-weighted belongings (%) | |||||||||||
Swiss CET1 capital ratio | 13.5 | 13.8 | 14.4 | 14.3 | 13.7 | ||||||
Totally loaded CECL accounting mannequin Swiss CET1 capital ratio 1 | 13.5 | 13.8 | 14.4 | 14.3 | 13.7 | ||||||
Swiss tier 1 capital ratio | 19.2 | 19.4 | 20.3 | 20.2 | 19.4 | ||||||
Totally loaded CECL accounting mannequin Swiss tier 1 capital ratio 1 | 19.2 | 19.4 | 20.3 | 20.2 | 19.4 | ||||||
Swiss complete capital ratio | 19.4 | 19.6 | 20.5 | 20.4 | 19.8 | ||||||
Totally loaded CECL accounting mannequin Swiss complete capital ratio 1 | 19.4 | 19.6 | 20.5 | 20.4 | 19.8 | ||||||
BIS CET1 buffer necessities (%) 3 | |||||||||||
Capital conservation buffer | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | ||||||
Prolonged countercyclical buffer | 0.025 | 0.023 | 0.028 | 0.021 | 0.022 | ||||||
Progressive buffer for G-SIB and/or D-SIB | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | ||||||
Whole BIS CET1 buffer requirement | 3.525 | 3.523 | 3.528 | 3.521 | 3.522 | ||||||
CET1 capital ratio accessible after assembly the financial institution’s minimal capital necessities 4 | 9.0 | 9.3 | 9.9 | 9.8 | 9.2 | ||||||
Basel III leverage ratio (CHF million) | |||||||||||
Leverage publicity | 862,737 | 878,023 | 889,137 | 937,419 | 931,041 | ||||||
Basel III leverage ratio (%) | 6.1 | 6.1 | 6.1 | 6.0 | 5.9 | ||||||
Totally loaded CECL accounting mannequin Basel III leverage ratio (%) 1 | 6.1 | 6.1 | 6.1 | 6.0 | 5.9 | ||||||
Liquidity protection ratio (CHF million) 5 | |||||||||||
Excessive-quality liquid belongings | 234,931 | 225,572 | 227,193 | 228,352 | 209,256 | ||||||
Internet money outflows | 123,312 | 114,869 | 112,156 | 103,504 | 97,007 | ||||||
Liquidity protection ratio (%) | 191 | 196 | 203 | 221 | 216 | ||||||
Internet secure funding ratio (CHF million) | |||||||||||
Out there secure funding | 428,764 | 430,894 | 436,856 | 446,805 | – | ||||||
Required secure funding | 325,767 | 335,546 | 342,870 | 353,492 | – | ||||||
Internet secure funding ratio (%) | 132 | 128 | 127 | 126 | – | ||||||
1 The absolutely loaded US GAAP CECL accounting mannequin excludes the transitional reduction of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Round 2013/1 “Eligible capital – banks”. |
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2 Calculated as 8% of Swiss risk-weighted belongings, primarily based on complete capital minimal necessities, excluding the BIS CET1 buffer necessities. |
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3 CET1 buffer necessities are primarily based on BIS necessities as a proportion of Swiss risk-weighted belongings. |
|||||||||||
4 Displays the Swiss CET1 capital ratio, much less the BIS minimal CET1 ratio requirement of 4.5%. |
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5 Calculated utilizing a three-month common, which is calculated each day. |
> Check with “Swiss capital necessities” (pages Three to 4) for the systemically necessary monetary establishment view.
> Check with “Swiss metrics” (pages 50 to 51) and “Danger-weighted belongings” (pages 48 to 49) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration within the Credit score Suisse Monetary Report 2Q22 for additional info on actions in capital, capital ratios, risk-weighted belongings and leverage ratios.
> Check with “Liquidity protection ratio” (web page 42) and “Internet secure funding ratio” (web page 43) in II – Treasury, threat, stability sheet and off-balance sheet – Liquidity and funding administration – Liquidity administration within the Credit score Suisse Monetary Report 2Q22 for additional info on actions within the liquidity protection ratio and the web secure funding ratio.
> Check with “Swiss necessities” (web page 45) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration – Regulatory framework within the Credit score Suisse Monetary Report 2Q22 for additional info on extra CET1 buffer necessities.
The next desk presents details about accessible TLAC and TLAC necessities utilized on the decision group degree, which is outlined as Credit score Suisse Group AG consolidated.
KM2 – Key metrics – TLAC necessities (at decision group degree) | |||||||||||
finish of | 2Q22 | 1Q22 | 4Q21 | 3Q21 | 2Q21 | ||||||
CHF million | |||||||||||
TLAC | 96,896 | 101,177 | 101,269 | 106,048 | 107,027 | ||||||
Totally loaded CECL accounting mannequin TLAC 1 | 96,896 | 101,177 | 101,269 | 106,048 | 107,027 | ||||||
Swiss risk-weighted belongings | 274,997 | 273,609 | 268,418 | 278,801 | 284,295 | ||||||
TLAC ratio (%) | 35.2 | 37.0 | 37.7 | 38.0 | 37.6 | ||||||
Totally loaded CECL accounting mannequin TLAC ratio (%) 1 | 35.2 | 37.0 | 37.7 | 38.0 | 37.6 | ||||||
Leverage publicity | 862,737 | 878,023 | 889,137 | 937,419 | 931,041 | ||||||
TLAC leverage ratio (%) | 11.2 | 11.5 | 11.4 | 11.3 | 11.5 | ||||||
Totally loaded CECL accounting mannequin TLAC leverage ratio (%) 1 | 11.2 | 11.5 | 11.4 | 11.3 | 11.5 | ||||||
Does the subordination exemption within the antepenultimate paragraph of Part 11 of the FSB TLAC Time period Sheet apply? | No | No | No | No | No | ||||||
Does the subordination exemption within the penultimate paragraph of Part 11 of the FSB TLAC Time period Sheet apply? | No | No | No | No | No | ||||||
If the capped subordination exemption applies, the quantity of funding issued that ranks pari passu with Excluded Liabilities and that’s acknowledged as exterior TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that might be acknowledged as exterior TLAC if no cap was utilized (%) | N/A – confer with our response above | N/A – confer with our response above | N/A – confer with our response above | N/A – confer with our response above | N/A – confer with our response above | ||||||
1 The absolutely loaded US GAAP CECL accounting mannequin excludes the transitional reduction of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Round 2013/1 “Eligible capital – banks”. |
The next desk presents an outline of the geographical distribution of RWA for personal sector credit score exposures used within the calculation of the prolonged countercyclical buffer (CCyB).
CCyB1 – Geographical distribution of risk-weighted belongings used within the CCyB | |||||||||
finish of |
CCyB |
RWA used within the computation of the CCyB |
Financial institution- particular CCyB price (%) |
CCyB |
|||||
2Q22 (CHF million) | |||||||||
Hong Kong | 1.00 | 1,684 | – | – | |||||
Sweden | 0.00 | 449 | – | – | |||||
UK | 0.00 | 9,175 | – | – | |||||
France | 0.00 | 2,412 | – | – | |||||
Luxembourg | 0.50 | 4,510 | – | – | |||||
Germany | 0.00 | 3,831 | – | – | |||||
Subtotal | – | 22,061 | – | – | |||||
Different nations | 0.00 | 132,620 | – | – | |||||
Whole 1 | – | 154,681 | 0.025 | 70 | |||||
4Q21 (CHF million) | |||||||||
Hong Kong | 1.00 | 1,835 | – | – | |||||
Sweden | 0.00 | 445 | – | – | |||||
UK | 0.00 | 10,969 | – | – | |||||
France | 0.00 | 2,232 | – | – | |||||
Luxembourg | 0.50 | 4,740 | – | – | |||||
Germany | 0.00 | 3,353 | – | – | |||||
Subtotal | – | 23,574 | – | – | |||||
Different nations | 0.00 | 125,890 | – | – | |||||
Whole 1 | – | 149,464 | 0.028 | 76 | |||||
1 Displays the whole of RWA for personal sector credit score exposures throughout all jurisdictions to which the Group is uncovered, together with jurisdictions with no CCyB price or with a CCyB price set at zero, and worth of the Group particular CCyB price and ensuing CCyB quantity. |
Credit score Suisse has adopted the BIS leverage ratio framework, as issued by the Basel Committee on Banking Supervision (BCBS) and applied in Switzerland by FINMA.
> Check with “Leverage metrics” (web page 50) and “Swiss metrics” (pages 50 to 51) in II – Treasury, threat, stability sheet and off-balance sheet – Capital administration within the Credit score Suisse Monetary Report 2Q22 for additional info on leverage metrics, together with the calculation methodology and actions in leverage exposures.
LR1 – Abstract comparability of accounting belongings vs leverage ratio publicity | |||
finish of | 2Q22 | ||
Reconciliation of consolidated belongings to leverage publicity (CHF million) | |||
Whole consolidated belongings as per revealed monetary statements | 727,365 | ||
Adjustment for investments in banking, monetary, insurance coverage or industrial entities which might be consolidated for accounting functions however outdoors the scope of regulatory consolidation 1 | (9,724) | ||
Changes for derivatives monetary devices | 55,133 | ||
Changes for SFTs (i.e. repos and related secured lending) | (2,401) | ||
Changes for off-balance sheet objects (i.e. conversion to credit score equal quantities of off-balance sheet exposures) | 89,545 | ||
Different changes | 2,819 | ||
Leverage publicity | 862,737 | ||
1 Contains changes for investments in banking, monetary, insurance coverage or industrial entities which might be consolidated for accounting functions however outdoors the scope of regulatory consolidation and tier 1 capital deductions associated to stability sheet belongings. |
LR2 – Leverage ratio widespread disclosure template | |||||
finish of | 2Q22 | 1Q22 | |||
Reconciliation of consolidated belongings to leverage publicity (CHF million) | |||||
On-balance sheet objects (excluding derivatives and SFTs, however together with collateral) | 599,942 | 617,402 | |||
Asset quantities deducted from Basel III tier 1 capital | (7,474) | (8,170) | |||
Whole on-balance sheet exposures | 592,468 | 609,232 | |||
Reconciliation of consolidated belongings to leverage publicity (CHF million) | |||||
Alternative price related to all derivatives transactions (i.e. web of eligible money variation margin) | 18,644 | 18,628 | |||
Add-on quantities for PFE related to all derivatives transactions | 46,117 | 50,756 | |||
Gross-up for derivatives collateral offered the place deducted from the stability sheet belongings pursuant to the operative accounting framework | 15,368 | 15,130 | |||
Deductions of receivables belongings for money variation margin offered in derivatives transactions | (12,260) | (13,975) | |||
Exempted CCP leg of client-cleared commerce exposures | (956) | (1,872) | |||
Adjusted efficient notional quantity of all written credit score derivatives | 185,384 | 229,495 | |||
Adjusted efficient notional offsets and add-on deductions for written credit score derivatives | (181,022) | (225,154) | |||
Spinoff Exposures | 71,275 | 73,008 | |||
Securities financing transaction exposures (CHF million) | |||||
Gross SFT belongings (with no recognition of netting), after adjusting on the market accounting transactions | 118,754 | 113,836 | |||
Netted quantities of money payables and money receivables of gross SFT belongings | (14,290) | (15,823) | |||
Counterparty credit score threat publicity for SFT belongings | 4,985 | 7,361 | |||
Securities financing transaction exposures | 109,449 | 105,374 | |||
Different off-balance sheet exposures (CHF million) | |||||
Off-balance sheet publicity at gross notional quantity | 289,347 | 284,584 | |||
Changes for conversion to credit score equal quantities | (199,802) | (194,175) | |||
Different off-balance sheet exposures | 89,545 | 90,409 | |||
Swiss tier 1 capital (CHF million) | |||||
Swiss tier 1 capital | 52,736 | 53,204 | |||
Leverage publicity (CHF million) | |||||
Leverage publicity | 862,737 | 878,023 | |||
Leverage ratio (%) | |||||
Basel III leverage ratio | 6.1 | 6.1 |
Liquidity protection ratio
Our calculation methodology for the liquidity protection ratio (LCR) is prescribed by the Liquidity Ordinance and the FINMA round 2015/2 “Liquidity threat – banks”, as amended (Liquidity round), and makes use of a three-month common that’s measured utilizing day by day calculations throughout the quarter.
> Check with “Liquidity metrics” (pages 41 to 43) and “Funding sources” (web page 43) in II – Treasury, threat, stability sheet and off-balance sheet – Liquidity and funding administration within the Credit score Suisse Monetary Report 2Q22 for additional info on the Group’s liquidity protection ratio, together with high-quality liquid belongings, liquidity pool and funding sources.
LIQ1 – Liquidity protection ratio | |||||
finish of 2Q22 |
Unweighted worth |
1 |
Weighted worth |
2 | |
Excessive-quality liquid belongings (CHF million) | |||||
Excessive-quality liquid belongings 3 | – | 234,931 | |||
Money outflows (CHF million) | |||||
Retail deposits and deposits from small enterprise clients | 158,341 | 19,346 | |||
of which much less secure deposits | 158,341 | 19,346 | |||
Unsecured wholesale funding | 251,286 | 94,915 | |||
of which operational deposits (all counterparties) and deposits in networks of cooperative banks | 46,525 | 11,631 | |||
of which non-operational deposits (all counterparties) | 134,511 | 68,855 | |||
of which unsecured debt | 14,414 | 14,414 | |||
Secured wholesale funding | 69,902 | 16,284 | |||
Extra necessities | 165,896 | 36,740 | |||
of which outflows associated to spinoff exposures and different collateral necessities | 54,113 | 13,294 | |||
of which outflows associated to lack of funding on debt merchandise | 1,092 | 1,092 | |||
of which credit score and liquidity amenities | 110,691 | 22,354 | |||
Different contractual funding obligations | 65,729 | 65,729 | |||
Different contingent funding obligations | 203,947 | 2,334 | |||
Whole money outflows | – | 235,348 | |||
Money inflows (CHF million) | |||||
Secured lending | 48,973 | 19,009 | |||
Inflows from absolutely performing exposures | 52,755 | 24,293 | |||
Different money inflows | 68,734 | 68,734 | |||
Whole money inflows | 170,462 | 112,036 | |||
Liquidity cowl ratio (CHF million) | |||||
Excessive-quality liquid belongings | – | 234,931 | |||
Internet money outflows | – | 123,312 | |||
Liquidity protection ratio (%) | – | 191 | |||
Calculated primarily based on a mean of 62 information factors in 2Q22. |
|||||
1 Calculated as excellent balances maturing or callable inside 30 days. |
|||||
2 Calculated after the applying of haircuts for high-quality liquid belongings or influx and outflow charges. |
|||||
3 Consists of money and eligible securities as prescribed by FINMA and displays a post-cancellation view. |
Internet secure funding ratio
Our calculation methodology for the web secure funding ratio (NSFR) is prescribed by the Liquidity Ordinance and the Liquidity round.
> Check with “Internet secure funding ratio” (web page 43) in II – Treasury, threat, stability sheet and off-balance sheet – Liquidity and funding administration – Liquidity administration within the Credit score Suisse Monetary Report 2Q22 for additional info on the Group’s web secure funding ratio.
LIQ2 – Liquidity: info on the NSFR | |||||||||||
Values not weighted, in response to residual maturities | |||||||||||
finish of 2Q22 |
No maturity |
< 6 months |
≥ 6 months as much as 1 yr |
≥ 1 yr |
Weighted values |
||||||
Info on the accessible secure funding (CHF million) | |||||||||||
Fairness devices | 47,702 | 0 | 0 | 17,121 | 64,824 | ||||||
of which regulatory capital 1 | 47,702 | 0 | 0 | 17,121 | 64,824 | ||||||
of which different fairness devices | 0 | 0 | 0 | 0 | 0 | ||||||
Demand deposits and/or time period deposits of personal clients and small enterprise clients | 124,057 | 24,546 | 8,659 | 10 | 141,846 | ||||||
of which “secure” deposits | 6,000 | 0 | 0 | 0 | 5,700 | ||||||
of which “much less secure” deposits | 118,057 | 24,546 | 8,659 | 10 | 136,146 | ||||||
Funding deposited by non-financial establishments (with out small enterprise clients) (wholesale clients) | 93,968 | 89,325 | 6,111 | 1,588 | 89,885 | ||||||
of which operational deposits | 33,123 | 0 | 0 | 0 | 16,561 | ||||||
of which non-operational deposits | 60,845 | 89,325 | 6,111 | 1,588 | 73,324 | ||||||
Liabilities with matching interdependent belongings | 0 | 0 | 0 | 0 | 0 | ||||||
Different exposures | 80,708 | 93,058 | 26,113 | 112,286 | 132,209 | ||||||
of which exposures arising from spinoff transactions | – | 17,831 | 0 | 0 | – | ||||||
of which different exposures and fairness devices | 80,708 | 75,227 | 26,113 | 112,286 | 132,209 | ||||||
Whole accessible secure funding | – | – | – | – | 428,764 | ||||||
Info on the required secure funding (CHF million) | |||||||||||
Whole of HQLA NSFR | – | – | – | – | 4,540 | ||||||
Operational deposits held at different monetary establishments | 9,270 | – | – | – | 4,635 | ||||||
Performing loans and securities | 52,418 | 150,744 | 50,280 | 184,505 | 245,393 | ||||||
of which performing loans to corporations within the monetary sector, secured with class 1 and 2a HQLA | 15,863 | 44,451 | 0 | 0 | 6,194 | ||||||
of which performing loans to corporations within the monetary sector, secured with non-category 1 or 2a HQLA or unsecured | 9,400 | 28,455 | 18,082 | 19,494 | 34,277 | ||||||
of which performing loans to corporations outdoors the monetary sector, to retail and small enterprise clients, to nations, central banks and sub-national public sector entities | 7,352 | 63,686 | 18,855 | 70,384 | 100,825 | ||||||
of which risk-weighted as much as 35% beneath the SA-BIS | 13 | 0 | 0 | 8,727 | 6,235 | ||||||
of which performing loans for residential properties | 0 | 12,439 | 13,026 | 80,912 | 74,533 | ||||||
of which risk-weighted as much as 35% beneath the SA-BIS | 0 | 4,660 | 5,132 | 70,992 | 58,265 | ||||||
of which non-defaulted securities that don’t qualify as HQLA, together with exchange-traded shares | 19,803 | 1,713 | 317 | 13,715 | 29,564 | ||||||
Property with matching interdependent liabilities | 0 | 0 | 0 | 0 | 0 | ||||||
Different belongings | 163,246 | 980 | 42 | 103,354 | 64,253 | ||||||
of which bodily traded commodities, together with gold | 1,798 | – | – | – | 1,528 | ||||||
of which belongings posted as preliminary margin for spinoff contracts and contributions to default funds of central counterparties | – | 0 | 0 | 15,583 | 13,245 | ||||||
of which NSFR belongings within the type of derivatives | – | 0 | 0 | 15,359 | 0 | ||||||
of which NSFR spinoff liabilities earlier than deduction of variation margin posted | – | 0 | 0 | 31,347 | 7,392 | ||||||
of which all remaining belongings | 161,448 | 980 | 42 | 41,065 | 42,088 | ||||||
Off-balance sheet objects | – | 0 | 0 | 330,071 | 6,946 | ||||||
Whole required secure funding | – | – | – | – | 325,767 | ||||||
Internet secure funding ratio (%) | – | – | – | – | 132 | ||||||
1 Previous to regulatory deductions. |
LIQ2 – Liquidity: info on the NSFR (continued) | |||||||||||
Values not weighted, in response to residual maturities | |||||||||||
finish of 1Q22 |
No maturity |
< 6 months |
≥ 6 months as much as 1 yr |
≥ 1 yr |
Weighted values |
||||||
Info on the accessible secure funding (CHF million) | |||||||||||
Fairness devices | 44,712 | 0 | 0 | 15,057 | 59,769 | ||||||
of which regulatory capital 1 | 44,712 | 0 | 0 | 15,057 | 59,769 | ||||||
of which different fairness devices | 0 | 0 | 0 | 0 | 0 | ||||||
Demand deposits and/or time period deposits of personal clients and small enterprise clients | 129,923 | 22,266 | 8,125 | 30 | 144,613 | ||||||
of which “secure” deposits | 6,000 | 0 | 0 | 0 | 5,700 | ||||||
of which “much less secure” deposits | 123,923 | 22,266 | 8,125 | 30 | 138,913 | ||||||
Funding deposited by non-financial establishments (with out small enterprise clients) (wholesale clients) | 100,648 | 82,954 | 7,014 | 1,375 | 91,779 | ||||||
of which operational deposits | 34,437 | 0 | 0 | 0 | 17,219 | ||||||
of which non-operational deposits | 66,211 | 82,954 | 7,014 | 1,375 | 74,560 | ||||||
Liabilities with matching interdependent belongings | 0 | 0 | 0 | 0 | 0 | ||||||
Different exposures | 90,621 | 95,859 | 19,450 | 117,107 | 134,733 | ||||||
of which exposures arising from spinoff transactions | – | 11,663 | 0 | 0 | – | ||||||
of which different exposures and fairness devices | 90,621 | 84,196 | 19,450 | 117,107 | 134,733 | ||||||
Whole accessible secure funding | – | – | – | – | 430,894 | ||||||
Info on the required secure funding (CHF million) | |||||||||||
Whole of HQLA NSFR | – | – | – | – | 5,091 | ||||||
Operational deposits held at different monetary establishments | 8,953 | – | – | – | 4,477 | ||||||
Performing loans and securities | 61,177 | 138,526 | 55,356 | 187,446 | 253,555 | ||||||
of which performing loans to corporations within the monetary sector, secured with class 1 and 2a HQLA | 15,055 | 41,512 | 0 | 0 | 5,853 | ||||||
of which performing loans to corporations within the monetary sector, secured with non-category 1 or 2a HQLA or unsecured | 12,678 | 25,280 | 20,280 | 18,209 | 34,172 | ||||||
of which performing loans to corporations outdoors the monetary sector, to retail and small enterprise clients, to nations, central banks and sub-national public sector entities | 7,046 | 59,498 | 20,540 | 73,071 | 103,605 | ||||||
of which risk-weighted as much as 35% beneath the SA-BIS | 14 | 1 | 0 | 9,390 | 6,712 | ||||||
of which performing loans for residential properties | 0 | 9,898 | 14,259 | 83,168 | 75,071 | ||||||
of which risk-weighted as much as 35% beneath the SA-BIS | 0 | 4,061 | 5,787 | 73,615 | 59,796 | ||||||
of which non-defaulted securities that don’t qualify as HQLA, together with exchange-traded shares | 26,398 | 2,338 | 277 | 12,998 | 34,854 | ||||||
Property with matching interdependent liabilities | 0 | 0 | 0 | 0 | 0 | ||||||
Different belongings | 173,738 | 1,270 | 118 | 97,995 | 65,487 | ||||||
of which bodily traded commodities, together with gold | 1,736 | – | – | – | 1,476 | ||||||
of which belongings posted as preliminary margin for spinoff contracts and contributions to default funds of central counterparties | – | 0 | 0 | 16,991 | 14,442 | ||||||
of which NSFR belongings within the type of derivatives | – | 0 | 0 | 15,053 | 3,389 | ||||||
of which NSFR spinoff liabilities earlier than deduction of variation margin posted | – | 0 | 0 | 27,649 | 6,489 | ||||||
of which all remaining belongings | 172,002 | 1,270 | 118 | 38,302 | 39,691 | ||||||
Off-balance sheet objects | – | 0 | 0 | 323,515 | 6,936 | ||||||
Whole required secure funding | – | – | – | – | 335,546 | ||||||
Internet secure funding ratio (%) | – | – | – | – | 128 | ||||||
1 Previous to regulatory deductions. |
A | ||
A-IRB | Superior-internal ratings-based | |
AMA | Superior measurement strategy | |
Artwork. | Article | |
B | ||
BCBS | Basel Committee on Banking Supervision | |
BIS | Financial institution for Worldwide Settlements | |
C | ||
CAO | Capital Adequacy Ordinance | |
CCF | Credit score conversion issue | |
CCP | Central counterparties | |
CCR | Counterparty credit score threat | |
CCyB | Countercyclical buffer | |
CDS | Credit score default swap | |
CECL | Present anticipated credit score loss | |
CET1 | Frequent fairness tier 1 | |
CRM | Credit score threat mitigation | |
CVA | Credit score valuation adjustment | |
D | ||
D-SIB | Home systemically necessary financial institution | |
E | ||
EAD | Publicity at default | |
EEPE | Efficient anticipated optimistic publicity | |
F | ||
FINMA | Swiss Monetary Market Supervisory Authority FINMA | |
FSB | Monetary Stability Board | |
G | ||
G-SIB | International systemically necessary financial institution | |
H | ||
HQLA | Excessive-quality liquid belongings | |
I | ||
IAA | Inner evaluation strategy | |
IMA | Inner mannequin strategy | |
IMM | Inner mannequin methodology | |
IPRE | Earnings producing actual property | |
IRB | Inner ratings-based | |
IRC | Incremental Danger Cost |
L | |||
LCR | Liquidity protection ratio | ||
LGD | Loss given default | ||
LRD | Leverage ratio denominator | ||
N | |||
N/A | Not relevant | ||
NSFR | Internet secure funding ratio | ||
O | |||
OTC | Over-the-counter | ||
P | |||
P&L | Income and losses | ||
PD | Likelihood of default | ||
PFE | Potential future publicity | ||
Q | |||
QCCP | Qualifying central counterparty | ||
R | |||
RW | Danger weight | ||
RWA | Danger-weighted belongings | ||
S | |||
SA | Standardized strategy | ||
SA-CCR | Standardized strategy – counterparty credit score threat | ||
SEC-ERBA | Securitization exterior ratings-based strategy | ||
SEC-IRBA | Securitization inside ratings-based strategy | ||
SEC-SA | Securitization standardized strategy | ||
SFT | Securities financing transactions | ||
SMM | Standardized measurement methodology | ||
T | |||
TLAC | Whole loss-absorbing capability | ||
U | |||
US GAAP | US typically accepted accounting ideas | ||
V | |||
VaR | Worth-at-risk |
This doc accommodates statements that represent forward-looking statements. As well as, sooner or later we, and others on our behalf, could make statements that represent forward-looking statements. Such forward-looking statements could embrace, with out limitation, statements referring to the next:
■ our plans, targets or targets;
■ our future financial efficiency or prospects;
■ the potential impact on our future efficiency of sure contingencies; and
■ assumptions underlying any such statements.
Phrases reminiscent of “believes,” “anticipates,” “expects,” “intends” and “plans” and related expressions are supposed to establish forward-looking statements however will not be the unique technique of figuring out such statements. We don’t intend to replace these forward-looking statements.
By their very nature, forward-looking statements contain inherent dangers and uncertainties, each common and particular, and dangers exist that predictions, forecasts, projections and different outcomes described or implied in forward-looking statements won’t be achieved. We warning you that numerous necessary components may trigger outcomes to vary materially from the plans, targets, targets, expectations, estimates and intentions expressed in such forward-looking statements. These components embrace, however will not be restricted to:
■ the power to take care of enough liquidity and entry capital markets;
■ market volatility, will increase in inflation and rate of interest fluctuations or developments affecting rate of interest ranges;
■ the continued vital unfavourable penalties, together with reputational hurt, of the Archegos and provide chain finance funds issues, in addition to different current occasions, and our potential to efficiently resolve these issues;
■ our potential to enhance our threat administration procedures and insurance policies and hedging methods;
■ the energy of the worldwide financial system generally and the energy of the economies of the nations during which we conduct our operations, particularly, however not restricted to, the danger of unfavourable impacts of COVID-19 on the worldwide financial system and monetary markets, Russia’s invasion of Ukraine, the ensuing sanctions from the US, EU, UK, Switzerland and different nations and the danger of continued gradual financial restoration or downturn within the EU, the US or different developed nations or in rising markets in 2022 and past;
■ the emergence of widespread well being emergencies, infectious ailments or pandemics, reminiscent of COVID-19, and the actions that could be taken by governmental authorities to comprise the outbreak or to counter its impression;
■ potential dangers and uncertainties referring to the severity of impacts from COVID-19 and the length of the pandemic, together with potential materials hostile results on our enterprise, monetary situation and outcomes of operations;
■ the direct and oblique impacts of decay or gradual restoration in residential and industrial actual property markets;
■ hostile score actions by credit standing companies in respect of us, sovereign issuers, structured credit score merchandise or different credit-related exposures;
■ the power to attain our strategic initiatives, together with these associated to our targets, ambitions and targets, reminiscent of our monetary ambitions in addition to varied targets and commitments to include sure environmental, social and governance issues into our enterprise technique, merchandise, companies and threat administration processes;
■ the power of counterparties to fulfill their obligations to us and the adequacy of our allowance for credit score losses;
■ the consequences of, and modifications in, fiscal, financial, trade price, commerce and tax insurance policies;
■ the consequences of forex fluctuations, together with the associated impression on our enterprise, monetary situation and outcomes of operations attributable to strikes in international trade charges;
■ geopolitical and diplomatic tensions, instabilities and conflicts, together with warfare, civil unrest, terrorist exercise, sanctions or different geopolitical occasions or escalations of hostilities, reminiscent of Russia’s invasion of Ukraine;
■ political, social and environmental developments, together with local weather change;
■ the power to appropriately deal with social, environmental and sustainability considerations which will come up from our enterprise actions;
■ the consequences of, and the uncertainty arising from, the UK’s withdrawal from the EU;
■ the opportunity of international trade controls, expropriation, nationalization or confiscation of belongings in nations during which we conduct our operations;
■ operational components reminiscent of techniques failure, human error, or the failure to implement procedures correctly;
■ the danger of cyber assaults, info or safety breaches or know-how failures on our status, enterprise or operations, the danger of which is elevated whereas giant parts of our workers work remotely;
■ the hostile decision of litigation, regulatory proceedings and different contingencies;
■ actions taken by regulators with respect to our enterprise and practices and doable ensuing modifications to our enterprise group, practices and insurance policies in nations during which we conduct our operations;
■ the consequences of modifications in legal guidelines, rules or accounting or tax requirements, insurance policies or practices in nations during which we conduct our operations;
■ the discontinuation of LIBOR and different interbank supplied charges and the transition to different reference charges;
■ the potential results of modifications in our authorized entity construction;
■ competitors or modifications in our aggressive place in geographic and enterprise areas during which we conduct our operations;
■ the power to retain and recruit certified personnel;
■ the power to guard our status and promote our model;
■ the power to extend market share and management bills;
■ technological modifications instituted by us, our counterparties or opponents;
■ the well timed improvement and acceptance of our new services and the perceived total worth of those services by customers;
■ acquisitions, together with the power to combine acquired companies efficiently, and divestitures, together with the power to promote non-core belongings; and
■ different unexpected or sudden occasions and our success at managing these and the dangers concerned within the foregoing.
We warning you that the foregoing record of necessary components isn’t unique. When evaluating forward-looking statements, you need to fastidiously think about the foregoing components and different uncertainties and occasions, together with the knowledge set forth in “Danger components” in I – Info on the corporate in our Annual Report 2021.