Transfers of financial assets and variable interest entities (Tables)

12 Months Ended

Dec. 31, 2011

Transfers of financial assets and variable interest entities

Securitizations

in	2011	2010	2009
Gains and cash flows (CHF million)
CMBS
Net gain 1	6	13	0
Proceeds from transfer of assets	974	523	144
Servicing fees	1	1	1
Cash received on interests that continue to be held	205	150	244
RMBS
Net gain 1	65	214	194
Proceeds from transfer of assets	30,695	52,308	34,246
Purchases of previously transferred financial assets or their underlying collateral	(4)	0	(46)
Servicing fees	3	6	6
Cash received on interests that continue to be held	382	488	329
ABS 2
Net gain 1	0	0	19
Proceeds from transfer of assets	0	0	104
Purchases of previously transferred financial assets or their underlying collateral	0	0	(18)
Cash received on interests that continue to be held	4	6	18
CDO
Net gain 1	25	69	107
Proceeds from transfer of assets	988	2,952	2,374
Purchases of previously transferred financial assets or their underlying collateral 3	(206)	(1,823)	(1,850)
Cash received on interests that continue to be held	32	157	13
1    Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral are the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans.   2    Primarily home equity loans.   3    Represents market-making activity and voluntary repurchases at fair value where no repurchase obligations were present.

Other asset-backed financing activities

in	2011	2010	2009
Gains and cash flows (CHF million)
Net gain/(loss) 1	(1)	16	12
Proceeds from transfer of assets 2	280	1,424	3,494
Purchases of previously transferred financial assets or their underlying collateral	(50)	(696)	(219)
Servicing fees	1	0	0
Cash received on interests that continue to be held	665	1,376	1,422
1    Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the other asset-backed financing activity. The gains or losses on the sale of the collateral are the difference between the fair value on the day prior to the other asset-backed financing activity pricing date and the sale price of the loans.   2    Primarily home equity loans.

Principal amounts outstanding and total assets of SPEs resulting from continuing involvement

end of	2011	2010
CHF million
CMBS
Principal amount outstanding	35,487	45,129
Total assets of SPE	52,536	65,667
RMBS
Principal amount outstanding	91,242	79,077
Total assets of SPE	95,297	85,556
ABS
Principal amount outstanding	3,023	4,171
Total assets of SPE	3,023	4,171
CDO
Principal amount outstanding	20,729	29,275
Total assets of SPE	20,729	29,279
Other asset-backed financing activities
Principal amount outstanding	11,481	10,770
Total assets of SPE	11,555	10,770
Principal amounts outstanding relate to assets transferred from the Goup and do not include principle amounts for assets transferred from third parties.

Key economic assumptions used in measuring fair value of beneficial interests at time of transfer

	2011						2010
at time of transfer in			CMBS			RMBS			CMBS			RMBS
CHF million, except where indicated
Fair value of beneficial interests			57			5,095			79			3,110
of which level 2			42			4,695			79			2,751
of which level 3			15			399			0			359
Weighted-average life, in years			7.2			5.4			6.4			7.7
Prepayment speed assumption (rate per annum), in % 1			15.0	9.0	–	34.9			–	0.0	–	43.7
Cash flow discount rate (rate per annum), in % 2	2.9	–	10.6	0.5	–	71.2	5.5	–	10.2	0.0	–	70.1
Expected credit losses (rate per annum), in %	1.2	–	9.3	0.3	–	71.0	3.2	–	8.0	0.0	–	71.5
Transfers of assets in which the Group does not have beneficial interests are not included in this table.
1    Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2% thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.   2    The rate was based on the weighted-average yield on the beneficial interests.

Key economic assumptions used in measuring fair value of beneficial interests held in SPEs

end of 2011			CMBS	1			RMBS	ABS			CDO	2			Other asset- backed financing activities
CHF million, except where indicated
Fair value of beneficial interests			342				2,960	10			244				1,500
of which non-investment grade			133				688	10			42				1,461
Weighted-average life, in years			4.1				5.3	18.9			2.9				2.4
Prepayment speed assumption (rate per annum), in % 3			–		0.1	–	30.0	–			–				–
Impact on fair value from 10% adverse change			–				(44.2)	–			–				–
Impact on fair value from 20% adverse change			–				(86.6)	–			–				–
Cash flow discount rate (rate per annum), in % 4	2.3	–	50.1		0.3	–	49.1	–	2.6	–	58.7		0.7	–	12.8
Impact on fair value from 10% adverse change			(30.5)				(94.4)	–			(3.9)				(4.3)
Impact on fair value from 20% adverse change			(36.2)				(151.9)	–			(7.3)				(8.6)
Expected credit losses (rate per annum), in %	1.9	–	49.0		0.9	–	48.9	–	5.4	–	31.8		9.5	–	12.2
Impact on fair value from 10% adverse change			(29.8)				(83.6)	–			(2.7)				(4.1)
Impact on fair value from 20% adverse change			(34.8)				(131.5)	–			(5.1)				(8.1)

end of 2010			CMBS	1			RMBS			ABS			CDO	2			Other asset- backed financing activities
CHF million, except where indicated
Fair value of beneficial interests			412				1,694			22			262				2,440
of which non-investment grade			25				1,070			22			35				2,397
Weighted-average life, in years			3.4				6.9			11.4			1.8				3.7
Prepayment speed assumption (rate per annum), in % 3			–		0.2	–	35.8	0.0	–	4.1			–				–
Impact on fair value from 10% adverse change			–				(38.8)			(0.1)			–				–
Impact on fair value from 20% adverse change			–				(78.1)			(0.3)			–				–
Cash flow discount rate (rate per annum), in % 4	2.2	–	40.3		2.2	–	52.5	7.5	–	28.0	0.7	–	29.2		0.8	–	7.8
Impact on fair value from 10% adverse change			(13.7)				(61.8)			(1.0)			(1.3)				(4.6)
Impact on fair value from 20% adverse change			(26.6)				(117.6)			(1.8)			(2.6)				(9.3)
Expected credit losses (rate per annum), in %	1.8	–	40.2		1.5	–	49.9	3.6	–	24.9	0.8	–	27.6		6.6	–	13.3
Impact on fair value from 10% adverse change			(9.8)				(48.2)			(0.6)			(0.8)				(4.1)
Impact on fair value from 20% adverse change			(19.2)				(92.1)			(1.2)			(1.5)				(8.4)
1    To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.   2    CDOs are generally structured to be protected from prepayment risk.   3    PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2% thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.   4    The rate is based on the weighted-average yield on the beneficial interests.

Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved

end of	2011	2010
CHF million
CMBS
Other assets	664	602
Liability to SPE, included in Other liabilities	(664)	(602)
RMBS
Other assets	12	58
Liability to SPE, included in Other liabilities	(12)	(58)
ABS
Trading assets	43	19
Other assets	1,268	1,341
Liability to SPE, included in Other liabilities	(1,312)	(1,360)
CDO
Trading assets	40	203
Other assets	206	171
Liability to SPE, included in Other liabilities	(246)	(374)
Other asset-backed financing activities
Trading assets	1,768	1,381
Other assets	0	29
Liability to SPE, included in Other liabilities	(1,768)	(1,410)

Consolidated VIEs in which the Group was primary beneficiary

			Financial intermediation
end of 2011	CDO	CP Conduit	Securi- tizations	Funds	Loans	Other	Total
Assets of consolidated VIEs (CHF million)
Cash and due from banks	1,202	24	0	43	102	25	1,396
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions	0	19	0	0	0	0	19
Trading assets	1,207	728	18	2,681	554	1,211	6,399
Investment securities	0	41	0	0	0	0	41
Other investments	0	0	0	0	1,863	483	2,346
Net loans	0	4,720	0	0	62	1,158	5,940
Premises and equipment	0	0	0	0	564	82	646
Loans held-for-sale	7,231	0	3,941	0	2	0	11,174
Other assets	43	751	0	30	741	263	1,828
Total assets of consolidated VIEs	9,683	6,283	3,959	2,754	3,888	3,222	29,789
Liabilities of consolidated VIEs (CHF million)
Customer deposits	0	0	0	0	0	221	221
Trading liabilities	30	0	0	0	3	1,253	1,286
Short-term borrowings	0	6,141	0	0	0	0	6,141
Long-term debt	9,383	24	4,483	276	227	465	14,858
Other liabilities	69	2	0	24	158	493	746
Total liabilities of consolidated VIEs	9,482	6,167	4,483	300	388	2,432	23,252

			Financial intermediation
end of 2010	CDO	CP Conduit	Securi- tizations	Funds	Loans	Other	Total
Assets of consolidated VIEs (CHF million)
Cash and due from banks	1,011	24	95	118	129	55	1,432
Trading assets	1,943	1,392	31	3,417	605	1,329	8,717
Investment securities	0	72	0	0	0	0	72
Other investments	0	0	0	46	1,781	507	2,334
Net loans	0	2,521	0	0	60	1,164	3,745
Premises and equipment	0	0	0	0	39	33	72
Loans held-for-sale	7,510	0	7,960	0	0	0	15,470
Other assets	58	1,278	1	65	2,278	420	4,100
Total assets of consolidated VIEs	10,522	5,287	8,087	3,646	4,892	3,508	35,942
Liabilities of consolidated VIEs (CHF million)
Customer deposits	0	0	0	0	0	54	54
Trading liabilities	33	0	0	149	0	6	188
Short-term borrowings	0	4,307	0	26	0	0	4,333
Long-term debt	9,617	23	9,139	499	221	240	19,739
Other liabilities	54	6	99	32	322	327	840
Total liabilities of consolidated VIEs	9,704	4,336	9,238	706	543	627	25,154

Non-consolidated VIEs

		Financial intermediation
end of 2011	CDO	Securi- tizations	Funds	Loans	Other	Total
Variable interest assets (CHF million)
Trading assets	126	5,497	1,449	834	2,395	10,301
Net loans	0	123	1,627	4,742	3,257	9,749
Other assets	0	0	32	0	391	423
Total variable interest assets	126	5,620	3,108	5,576	6,043	20,473
Maximum exposure to loss (CHF million)
Maximum exposure to loss	153	7,056	3,505	6,051	6,413	23,178
Non-consolidated VIE assets (CHF million)
Non-consolidated VIE assets	7,093	113,845	58,815	23,633	20,748	224,134

		Financial intermediation
end of 2010	CDO	Securi- tizations	Funds	Loans	Other	Total
Variable interest assets (CHF million)
Trading assets	130	3,847	2,426	645	2,905	9,953
Net loans	332	145	1,634	6,520	2,031	10,662
Other assets	0	0	80	0	32	112
Total variable interest assets	462	3,992	4,140	7,165	4,968	20,727
Maximum exposure to loss (CHF million)
Maximum exposure to loss	634	7,686	4,270	7,936	5,370	25,896
Non-consolidated VIE assets (CHF million)
Non-consolidated VIE assets	10,491	115,024	66,068	31,006	15,778	238,367