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Kind 6-Ok CREDIT SUISSE GROUP AG For: Jun 30



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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.

   Kind 20-F      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.

   Sure      No   

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.

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.

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
weight

Publicity
quantity

1

RWA

Anticipated
losses

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.

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
post-CRM

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’
fairness

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).

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”.

2

Calculated as 8% of Swiss risk-weighted belongings, primarily based on complete capital minimal necessities, excluding the BIS CET1 buffer necessities.

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%.

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
price (%)

RWA used
within the
computation
of the CCyB
Financial institution-
particular
CCyB
price (%)

CCyB
quantity

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.





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