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Derivatives and hedging activities (Tables)

12 Months Ended

Dec. 31, 2013

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					¹
end of 2013		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		9,366.2		2.5		2.6		0.0		0.0		0.0
Swaps		30,589.6		399.6		393.8		68.5		2.8		0.7
Options bought and sold (OTC)		3,889.5		44.3		44.9		0.0		0.0		0.0
Futures		830.8		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		705.9		0.3		0.2		0.0		0.0		0.0
Interest rate products		45,382.0		446.7		441.5		68.5		2.8		0.7
Forwards		2,098.0		21.6		21.5		30.5		0.3		0.1
Swaps		1,382.1		28.9		39.2		0.0		0.0		0.0
Options bought and sold (OTC)		815.6		10.7		11.6		9.4		0.0		0.0
Futures		48.8		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		5.5		0.1		0.2		0.0		0.0		0.0
Foreign exchange products		4,350.0		61.3		72.5		39.9		0.3		0.1
Forwards		4.0		0.7		0.1		0.0		0.0		0.0
Swaps		236.1		5.4		7.9		0.0		0.0		0.0
Options bought and sold (OTC)		225.3		12.2		12.0		0.0		0.0		0.0
Futures		50.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		416.2		17.0		17.2		0.0		0.0		0.0
Equity/index-related products		932.2		35.3		37.2		0.0		0.0		0.0
Credit derivatives ²		1,483.3		26.8		27.2		0.0		0.0		0.0
Forwards		19.2		0.7		1.1		0.0		0.0		0.0
Swaps		45.4		2.9		2.5		0.0		0.0		0.0
Options bought and sold (OTC)		35.2		1.1		1.0		0.0		0.0		0.0
Futures		31.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		48.9		0.7		0.9		0.0		0.0		0.0
Other products ³		179.8		5.4		5.5		0.0		0.0		0.0
Total derivative instruments		52,327.3		575.5		583.9		108.4		3.1		0.8
The notional amount, PRV and NRV (trading and hedging) was CHF 52,435.7 billion, CHF 578.6 billion and CHF 584.7 billion, respectively, as of December 31, 2013.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity, energy and emission products.

Fair value of derivative instruments (continued)

		Trading						Hedging					¹
end of 2012		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		8,055.9		2.6		2.5		0.0		0.0		0.0
Swaps		29,155.2		635.6		630.1		62.8		3.9		1.5
Options bought and sold (OTC)		3,739.9		62.4		62.6		0.0		0.0		0.0
Futures		1,145.4		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		952.0		0.3		0.2		0.0		0.0		0.0
Interest rate products		43,048.4		700.9		695.4		62.8		3.9		1.5
Forwards		2,133.4		21.6		21.3		19.6		0.2		0.1
Swaps		1,336.3		32.2		46.6		0.0		0.0		0.0
Options bought and sold (OTC)		985.3		9.7		10.7		0.0		0.0		0.0
Futures		83.8	²	0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		3.6		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		4,542.4		63.5		78.6		19.6		0.2		0.1
Forwards		5.5		0.6		0.0		0.0		0.0		0.0
Swaps		211.0		4.6		5.8		0.0		0.0		0.0
Options bought and sold (OTC)		214.9		11.4		11.1		0.0		0.0		0.0
Futures		74.4		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		338.2		13.7		14.1		0.0		0.0		0.0
Equity/index-related products		844.0		30.3		31.0		0.0		0.0		0.0
Credit derivatives ³		1,694.4		30.6		29.8		0.0		0.0		0.0
Forwards		31.3		1.1		1.4		0.0		0.0		0.0
Swaps		55.3		3.6		3.1		0.0		0.0		0.0
Options bought and sold (OTC)		54.2		1.6		1.6		0.0		0.0		0.0
Futures		35.6	²	0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		50.4		1.6		1.7		0.0		0.0		0.0
Other products ⁴		226.8		7.9		7.8		0.0		0.0		0.0
Total derivative instruments		50,356.0		833.2		842.6		82.4		4.1		1.6
The notional amount, PRV and NRV (trading and hedging) was CHF 50,438.4 billion, CHF 837.3 billion and CHF 844.2 billion, respectively, as of December 31, 2012.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Prior period has been corrected to reclassify the notional amounts from other products to foreign exchange products.
3 Primarily credit default swaps.
4 Primarily precious metals, commodity, energy and emission products.

Fair value hedges

Fair value hedges

in		2013		2012		2011
Gains/(losses) recognized in income on derivatives (CHF million)
Interest rate products		437		834		548
Foreign exchange products		(9)		(13)		20
Total		428		821		568
Gains/(losses) recognized in income on hedged items (CHF million)
Interest rate products		(435)		(878)		(585)
Foreign exchange products		9		13		(20)
Total		(426)		(865)		(605)
Details of fair value hedges (CHF million)
Net gains/(losses) on the ineffective portion		2		(44)		(37)
Represents gains/(losses) recognized in trading revenues.

Cash flow hedges

Cash flow hedges

in		2013		2012		2011
Gains/(losses) recognized in AOCI on derivatives (CHF million)
Interest rate products		7		8		0
Foreign exchange products		13		30		(6)
Total		20		38		(6)
Gains/(losses) reclassified from AOCI into income (CHF million)
Interest rate products ¹		3		0		0
Foreign exchange products		(3)	²	0		31	³
Total		0		0		31
Details of cash flow hedges (CHF million)
Net gains on the ineffective portion		1		0		0
1 Included in trading revenues.
2 Included in other revenues.
3 Included in commissions and fees.

Net investment hedges

Net investment hedges

in		2013		2012		2011
Gains/(losses) recognized in AOCI on derivatives (CHF million)
Foreign exchange products		504		(81)		280
Total		504		(81)		280
Gains/(losses) reclassified from AOCI into income (CHF million)
Foreign exchange products ¹		2		75		4
Total		2		75		4
Represents gains/(losses) on effective portion.
1 Included in other revenues.

Credit protection sold/purchased

Credit protection sold/purchased

		2013										2012
end of		Credit protection sold		Credit protection purchased	¹	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold		Credit protection sold		Credit protection purchased	¹	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold
Single-name instruments (CHF billion)
Investment grade ²		(305.9)		287.9		(18.0)		37.7		5.2		(394.6)		373.9		(20.7)		56.0		2.5
Non-investment grade		(108.7)		104.9		(3.8)		10.5		2.5		(135.4)		129.3		(6.1)		11.3		(0.4)
Total single-name instruments		(414.6)		392.8		(21.8)		48.2		7.7		(530.0)	³	503.2	³	(26.8)		67.3	³	2.1	³
of which sovereign		(88.1)		85.0		(3.1)		8.9		(0.4)		(119.4)		117.1		(2.3)		10.3		(0.7)
of which non-sovereign		(326.5)		307.8		(18.7)		39.3		8.1		(410.6)		386.1		(24.5)		57.0		2.8
Multi-name instruments (CHF billion)
Investment grade ²		(219.1)		212.1		(7.0)		47.3		3.3		(222.2)		207.1		(15.1)		20.6		(0.7)
Non-investment grade		(65.0)		59.0	⁴	(6.0)		13.5		1.5		(62.8)		56.1	⁴	(6.7)		9.8		(1.6)
Total multi-name instruments		(284.1)		271.1		(13.0)		60.8		4.8		(285.0)	³	263.2	³	(21.8)		30.4	³	(2.3)	³
of which sovereign		(10.8)		10.9		0.1		1.1		0.0		(13.5)		13.1		(0.4)		0.4		(0.1)
of which non-sovereign		(273.3)		260.2		(13.1)		59.7		4.8		(271.5)		250.1		(21.4)		30.0		(2.2)
Total instruments (CHF billion)
Investment grade ²		(525.0)		500.0		(25.0)		85.0		8.5		(616.8)		581.0		(35.8)		76.6		1.8
Non-investment grade		(173.7)		163.9		(9.8)		24.0		4.0		(198.2)		185.4		(12.8)		21.1		(2.0)
Total instruments		(698.7)		663.9		(34.8)		109.0		12.5		(815.0)		766.4		(48.6)		97.7		(0.2)
of which sovereign		(98.9)		95.9		(3.0)		10.0		(0.4)		(132.9)		130.2		(2.7)		10.7		(0.8)
of which non-sovereign		(599.8)		568.0		(31.8)		99.0		12.9		(682.1)		636.2		(45.9)		87.0		0.6
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Credit protection instruments have been corrected to reclassify certain single-name instruments to multi-name instruments.
4 Includes the Clock Finance transaction.

Contingent credit risk

Contingent credit risk

		2013								2012
end of		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total
Contingent credit risk (CHF billion)
Current net exposure		11.7		1.1		0.1		12.9		15.3		1.4		0.6		17.3
Collateral posted		10.6		1.2		–		11.8		13.4		1.4		–		14.8
Additional collateral required in a one-notch downgrade event		0.6		0.8		0.0		1.4		0.2		0.5		0.0		0.7
Additional collateral required in a two-notch downgrade event		2.3		1.1		0.0		3.4		2.7	¹	1.5		0.5		4.7
1 Additional collateral required in a two-notch downgrade event has been corrected.

Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased

Credit derivatives

end of		2013		2012
Credit derivatives (CHF billion)
Credit protection sold		698.7		815.0
Credit protection purchased		663.9		766.4
Other protection purchased		109.0		97.7
Other instruments ¹		11.7		15.3
Total credit derivatives		1,483.3		1,694.4
1 Consists of certain cash collateralized debt obligations, total return swaps and other derivative instruments.

Maturity of credit protection sold

Maturity of credit protection sold

end of		Maturity less than 1 year		Maturity between 1 to 5 years		Maturity greater than 5 years		Total
2013 (CHF billion)
Single-name instruments		91.2		281.4		42.0		414.6
Multi-name instruments		19.2		208.2		56.7		284.1
Total instruments		110.4		489.6		98.7		698.7
2012 (CHF billion)
Single-name instruments		125.0		326.0		79.0		530.0
Multi-name instruments		42.7		171.0		71.3		285.0
Total instruments		167.7		497.0		150.3		815.0

Bank

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					¹
end of 2013		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		9,366.2		2.5		2.6		0.0		0.0		0.0
Swaps		30,593.2		399.7		393.7		63.7		2.7		0.6
Options bought and sold (OTC)		3,889.5		44.3		44.9		0.0		0.0		0.0
Futures		830.8		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		705.9		0.3		0.2		0.0		0.0		0.0
Interest rate products		45,385.6		446.8		441.4		63.7		2.7		0.6
Forwards		2,098.6		21.6		21.5		30.5		0.3		0.1
Swaps		1,382.2		28.8		39.2		0.0		0.0		0.0
Options bought and sold (OTC)		815.6		10.7		11.6		9.4		0.0		0.0
Futures		48.8		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		5.5		0.1		0.2		0.0		0.0		0.0
Foreign exchange products		4,350.7		61.2		72.5		39.9		0.3		0.1
Forwards		4.0		0.7		0.1		0.0		0.0		0.0
Swaps		236.1		5.4		8.0		0.0		0.0		0.0
Options bought and sold (OTC)		225.7		12.4		12.1		0.0		0.0		0.0
Futures		50.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		416.2		17.0		17.2		0.0		0.0		0.0
Equity/index-related products		932.6		35.5		37.4		0.0		0.0		0.0
Credit derivatives ²		1,483.3		26.8		27.2		0.0		0.0		0.0
Forwards		19.2		0.7		1.1		0.0		0.0		0.0
Swaps		45.5		2.9		2.5		0.0		0.0		0.0
Options bought and sold (OTC)		35.1		1.1		1.0		0.0		0.0		0.0
Futures		31.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		48.9		0.7		0.9		0.0		0.0		0.0
Other products ³		179.8		5.4		5.5		0.0		0.0		0.0
Total derivative instruments		52,332.0		575.7		584.0		103.6		3.0		0.7
The notional amount, PRV and NRV (trading and hedging) was CHF 52,435.6 billion, CHF 578.7 billion and CHF 584.7 billion, respectively, as of December 31, 2013.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity, energy and emission products.

Fair value of derivative instruments (continued)

		Trading						Hedging					¹
end of 2012		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		8,055.9		2.6		2.5		0.0		0.0		0.0
Swaps		29,159.0		635.8		630.1		58.0		3.8		1.3
Options bought and sold (OTC)		3,739.9		62.4		62.6		0.0		0.0		0.0
Futures		1,145.4		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		952.0		0.3		0.2		0.0		0.0		0.0
Interest rate products		43,052.2		701.1		695.4		58.0		3.8		1.3
Forwards		2,134.1		21.6		21.3		19.6		0.2		0.1
Swaps		1,336.4		32.1		46.6		0.0		0.0		0.0
Options bought and sold (OTC)		985.3		9.7		10.7		0.0		0.0		0.0
Futures		83.8	²	0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		3.6		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		4,543.2		63.4		78.6		19.6		0.2		0.1
Forwards		5.5		0.6		0.0		0.0		0.0		0.0
Swaps		211.1		4.5		5.9		0.0		0.0		0.0
Options bought and sold (OTC)		215.1		11.5		11.1		0.0		0.0		0.0
Futures		74.4		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		338.2		13.7		14.1		0.0		0.0		0.0
Equity/index-related products		844.3		30.3		31.1		0.0		0.0		0.0
Credit derivatives ³		1,694.5		30.6		29.8		0.0		0.0		0.0
Forwards		31.3		1.1		1.4		0.0		0.0		0.0
Swaps		55.3		3.6		3.1		0.0		0.0		0.0
Options bought and sold (OTC)		54.2		1.6		1.6		0.0		0.0		0.0
Futures		35.5	²	0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		50.4		1.6		1.7		0.0		0.0		0.0
Other products ⁴		226.7		7.9		7.8		0.0		0.0		0.0
Total derivative instruments		50,360.9		833.3		842.7		77.6		4.0		1.4
The notional amount, PRV and NRV (trading and hedging) was CHF 50,438.5 billion, CHF 837.3 billion and CHF 844.1 billion, respectively, as of December 31, 2012.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Prior period amounts have been corrected to reclassify the notional amounts from other products to foreign exchange products.
3 Primarily credit default swaps.
4 Primarily precious metals, commodity, energy and emission products.

Fair value hedges

Fair value hedges

in		2013		2012		2011
Gains/(losses) recognized in income on derivatives (CHF million)
Interest rate products		378		849		634
Foreign exchange products		(9)		(13)		20
Total		369		836		654
Gains/(losses) recognized in income on hedged items (CHF million)
Interest rate products		(375)		(894)		(672)
Foreign exchange products		9		13		(20)
Total		(366)		(881)		(692)
Details of fair value hedges (CHF million)
Net gains/(losses) on the ineffective portion		3		(45)		(38)
Represents gains/(losses) recognized in trading revenues.

Cash flow hedges

Cash flow hedges

in		2013		2012		2011
Gains/(losses) recognized in AOCI on derivatives (CHF million)
Interest rate products		7		8		0
Foreign exchange products		0		0		(5)
Total		7		8		(5)
Gains/(losses) reclassified from AOCI into income (CHF million)
Interest rate products ¹		3		0		0
Foreign exchange products ²		0		0		31
Total		3		0		31
Details of cash flow hedges (CHF million)
Net gains on the ineffective portion ¹		1		0		0
1 Included in trading revenues.
2 Included in commissions and fees.

The net gain associated with cash flow hedges expected to be reclassified from AOCI within the next 12 months was CHF 6 million.

Net investment hedges

Net investment hedges

in		2013		2012		2011
Gains/(losses) recognized in AOCI on derivatives (CHF million)
Foreign exchange products		504		(81)		280
Total		504		(81)		280
Gains/(losses) reclassified from AOCI into income (CHF million)
Foreign exchange products ¹		2		75		4
Total		2		75		4
Represents gains/(losses) on effective portion.
1 Included in other revenues.

Credit protection sold/purchased

Credit protection sold/purchased

		2013										2012
end of		Credit protection sold		Credit protection purchased	¹	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold		Credit protection sold		Credit protection purchased	¹	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold
Single-name instruments (CHF billion)
Investment grade ²		(305.9)		287.9		(18.0)		37.7		5.2		(394.6)		373.9		(20.7)		56.0		2.5
Non-investment grade		(108.7)		104.9		(3.8)		10.5		2.5		(135.4)		129.3		(6.1)		11.3		(0.4)
Total single-name instruments		(414.6)		392.8		(21.8)		48.2		7.7		(530.0)	³	503.2	³	(26.8)		67.3	³	2.1	³
of which sovereign		(88.1)		85.0		(3.1)		8.9		(0.4)		(119.4)		117.1		(2.3)		10.3		(0.7)
of which non-sovereign		(326.5)		307.8		(18.7)		39.3		8.1		(410.6)		386.1		(24.5)		57.0		2.8
Multi-name instruments (CHF billion)
Investment grade ²		(219.1)		212.1		(7.0)		47.3		3.3		(222.2)		207.1		(15.1)		20.6		(0.7)
Non-investment grade		(65.0)		59.0	⁴	(6.0)		13.5		1.5		(62.8)		56.1	⁴	(6.7)		9.8		(1.6)
Total multi-name instruments		(284.1)		271.1		(13.0)		60.8		4.8		(285.0)	³	263.2	³	(21.8)		30.4	³	(2.3)	³
of which sovereign		(10.8)		10.9		0.1		1.1		0.0		(13.5)		13.1		(0.4)		0.4		(0.1)
of which non-sovereign		(273.3)		260.2		(13.1)		59.7		4.8		(271.5)		250.1		(21.4)		30.0		(2.2)
Total instruments (CHF billion)
Investment grade ²		(525.0)		500.0		(25.0)		85.0		8.5		(616.8)		581.0		(35.8)		76.6		1.8
Non-investment grade		(173.7)		163.9		(9.8)		24.0		4.0		(198.2)		185.4		(12.8)		21.1		(2.0)
Total instruments		(698.7)		663.9		(34.8)		109.0		12.5		(815.0)		766.4		(48.6)		97.7		(0.2)
of which sovereign		(98.9)		95.9		(3.0)		10.0		(0.4)		(132.9)		130.2		(2.7)		10.7		(0.8)
of which non-sovereign		(599.8)		568.0		(31.8)		99.0		12.9		(682.1)		636.2		(45.9)		87.0		0.6
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Credit protection instruments have been corrected to reclassify certain single-name instruments to multi-name instruments.
4 Includes the Clock Finance transaction.

Contingent credit risk

Contingent credit risk

		2013								2012
end of		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total
Contingent credit risk (CHF billion)
Current net exposure		11.7		1.1		0.1		12.9		15.3		1.4		0.6		17.3
Collateral posted		10.6		1.2		–		11.8		13.4		1.4		–		14.8
Additional collateral required in a one-notch downgrade event		0.6		0.8		0.0		1.4		0.2		0.5		0.0		0.7
Additional collateral required in a two-notch downgrade event		2.3		1.1		0.0		3.4		2.7	¹	1.5		0.5		4.7
1 Additional collateral required in a two-notch downgrade event has been corrected.

Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased

Credit derivatives

end of		2013		2012
Credit derivatives (CHF billion)
Credit protection sold		698.7		815.0
Credit protection purchased		663.9		766.4
Other protection purchased		109.0		97.7
Other instruments ¹		11.7		15.4
Total credit derivatives		1,483.3		1,694.5
1 Consists of certain cash collateralized debt obligations, total return swaps and other derivative instruments.

Maturity of credit protection sold

Maturity of credit protection sold

end of		Maturity less than 1 year		Maturity between 1 to 5 years		Maturity greater than 5 years		Total
2013 (CHF billion)
Single-name instruments		91.2		281.4		42.0		414.6
Multi-name instruments		19.2		208.2		56.7		284.1
Total instruments		110.4		489.6		98.7		698.7
2012 (CHF billion)
Single-name instruments		125.0		326.0		79.0		530.0
Multi-name instruments		42.7		171.0		71.3		285.0
Total instruments		167.7		497.0		150.3		815.0

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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