Location of disclosures | |||||
FINMA disclosure requirements | Location | Page number | |||
Overview of risk management, key prudential metrics and risk-weighted assets | |||||
Key prudential metrics [Table KM1] / [Table KM2] | Qualitative disclosures: "Treasury, Risk, Balance sheet and Off-balance sheet" | 116 - 133 | |||
Risk management approach [Table OVA] |
"Risk management oversight" "Risk appetite framework" "Risk coverage and management" |
141 - 144 144 - 147 147 - 165 |
|||
Overview of risk-weighted assets [Table OV1] | Qualitative disclosures: "Risk-weighted assets" | 129 - 131 | |||
Linkages between financial statements and regulatory exposures | |||||
Valuation process [Table LIA] |
"Fair valuations" "Critical accounting estimates - Fair value" "Note 36 - Financial instruments" |
73 106 370 - 396 |
|||
Composition of capital and TLAC | |||||
Differences in basis of consolidation [Table CC2] |
List of significant subsidiaries and associated entities: "Note 41 - Significant subsidiaries and equity method investments" Changes in scope of consolidation: "Note 3 - Business developments, significant shareholders and subsequent events" |
411 - 414 290 - 292 |
|||
Main features of regulatory capital instruments and TLAC-eligible instruments [Table CCA] | Refer to "Capital instruments" under credit-suisse.com/regulatorydisclosures 1 | ||||
Macroprudential supervisor measures | |||||
Disclosure of G-SIBs indicators [Table GSIB1] | Refer to "G-SIB Indicators" under credit-suisse.com/regulatorydisclosures 1 | ||||
Credit risk | |||||
General qualitative information [Table CRA] | "Credit risk" | 150 - 153 | |||
Additional disclosure related to credit quality of assets [Table CRB a), b), c) and d)] |
"Note 1 - Summary of significant accounting policies" "Note 20 - Financial instruments measured at amortized cost and credit losses" |
283 - 285 304 - 316 |
|||
Qualitative disclosure requirements related to credit risk mitigation techniques [Table CRC a)]: Netting |
"Derivative instruments" "Note 1 - Summary of significant accounting policies" "Note 28 - Offsetting of financial assets and financial liabilities" |
170 - 172 281 - 282 326 - 329 |
|||
Counterparty credit risk | |||||
Qualitative disclosure requirements [Table CCRA] |
Transaction rating, credit limits and provisioning: "Credit risk" Effect of a credit rating downgrade: "Credit ratings" |
150 - 153 120 - 121 |
|||
Securitization | |||||
Qualitative disclosure requirements [Table SECA] | "Note 35 - Transfers of financial assets and variable interest entities" | 361 - 370 | |||
Market risk | |||||
Qualitative disclosure requirements [Table MRA] |
"Market risk" "Note 1 - Summary of significant accounting policies" "Note 33 - Derivatives and hedging activities" |
153 - 157 281 - 282 351 - 357 |
|||
Leverage metrics | |||||
Qualitative disclosures [Table LR2] |
"Leverage metrics" "Swiss metrics" |
132 132 - 133 |
|||
Liquidity coverage ratio | |||||
Liquidity risk management [Table LIQA] | "Liquidity and funding management" | 114 - 121 | |||
Liquidity Coverage Ratio [Table LIQ1] | Qualitative disclosures: "Liquidity metrics" | 116 - 117 | |||
Corporate Governance | |||||
Corporate Governance [Appendix 5] | "Corporate Governance" | 183 - 232 | |||
Remuneration | |||||
Remuneration policy [Table REMA] | "Compensation" | 233 - 268 | |||
Remuneration awarded during the financial year [table REM1] / Special payments [table REM2] / Deferred remuneration [table REM3] |
Senior management: "Executive Board compensation" Other material risk takers: "Group compensation" |
238 - 245 246 - 254 |
|||
Operational risk | |||||
Qualitative disclosures [Table ORA] | "Non-financial risk regulatory capital measurement" | 159 | |||
Special duties of disclosure for systemically important financial institutions and stand-alone banks | |||||
List and qualification of alleviations granted [Appendix 4] | "FINMA Decrees" | 124 - 125 | |||
1
The disclosure will be available by the end of April 2021.
|
Swiss capital requirements and metrics | |||||
end of 4Q20 |
CHF million |
in % of RWA |
|||
Swiss risk-weighted assets | |||||
Swiss risk-weighted assets | 275,576 | – | |||
Risk-based capital requirements (going-concern) based on Swiss capital ratios | |||||
Total | 39,468 | 14.322 | |||
of which CET1: minimum | 12,401 | 4.5 | |||
of which CET1: buffer | 15,157 | 5.5 | |||
of which CET1: countercyclical buffers | 60 | 0.022 | |||
of which additional tier 1: minimum | 9,645 | 3.5 | |||
of which additional tier 1: buffer | 2,205 | 0.8 | |||
Swiss eligible capital (going-concern) | |||||
Swiss CET1 capital and additional tier 1 capital 1 | 51,192 | 18.6 | |||
of which CET1 capital 2 | 35,351 | 12.8 | |||
of which additional tier 1 high-trigger capital instruments | 11,410 | 4.1 | |||
of which additional tier 1 low-trigger capital instruments 3 | 4,431 | 1.6 | |||
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios | |||||
Total according to size and market share 4 | 39,407 | 14.3 | |||
Reductions due to rebates in accordance with article 133 of the CAO | (7,069) | (2.565) | |||
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO | (1,201) | (0.436) | |||
Total, net | 31,138 | 11.299 | |||
Eligible additional total loss-absorbing capacity (gone-concern) 5 | |||||
Total 6 | 41,852 | 15.2 | |||
of which bail-in instruments | 39,450 | 14.3 | |||
of which tier 2 low-trigger capital instruments | 2,402 | 0.9 | |||
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
|
|||||
1
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
|
|||||
2
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
|
|||||
3
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
|
|||||
4
Consists of a base requirement of 12.86%, or CHF 35,439 million, and a surcharge of 1.44%, or CHF 3,968 million.
|
|||||
5
Excludes formally eligible gone-concern capacity of CHF 3,900 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
|
|||||
6
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 4Q20, total eligible gone-concern capital was CHF 42,198 million including CHF 346 million of such instruments.
|
Swiss leverage requirements and metrics | |||||
end of 4Q20 |
CHF million |
in % of LRD |
|||
Leverage exposure for going concern | |||||
Leverage ratio denominator | 799,853 | 1 | – | ||
Unweighted capital requirements (going-concern) based on Swiss leverage ratio | |||||
Total | 39,993 | 5.0 | |||
of which CET1: minimum | 11,998 | 1.5 | |||
of which CET1: buffer | 15,997 | 2.0 | |||
of which additional tier 1: minimum | 11,998 | 1.5 | |||
Swiss eligible capital (going-concern) | |||||
Swiss CET1 capital and additional tier 1 capital 2 | 51,192 | 6.4 | 3 | ||
of which CET1 capital 4 | 35,351 | 4.4 | |||
of which additional tier 1 high-trigger capital instruments | 11,410 | 1.4 | |||
of which additional tier 1 low-trigger capital instruments 5 | 4,431 | 0.6 | |||
Leverage exposure for gone concern | |||||
Leverage ratio denominator | 910,530 | – | |||
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio | |||||
Total according to size and market share 6 | 45,527 | 5.0 | |||
Reductions due to rebates in accordance with article 133 of the CAO | (8,195) | (0.9) | |||
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO | (1,201) | (0.132) | |||
Total, net | 36,131 | 3.968 | |||
Eligible additional total loss-absorbing capacity (gone-concern) 7 | |||||
Total 8 | 41,852 | 4.6 | |||
of which bail-in instruments | 39,450 | 4.3 | |||
of which tier 2 low-trigger capital instruments | 2,402 | 0.3 | |||
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
|
|||||
1
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
|
|||||
2
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
|
|||||
3
The going concern ratio would be 5.6%, if calculated using a leverage exposure of CHF 910,530 million without the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, of CHF 110,677 million.
|
|||||
4
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
|
|||||
5
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
|
|||||
6
Consists of a base requirement of 4.5%, or CHF 40,974 million, and a surcharge of 0.5%, or CHF 4,553 million.
|
|||||
7
Excludes formally eligible gone-concern capacity of CHF 3,900 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
|
|||||
8
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 4Q20, total eligible gone-concern capital was CHF 42,198 million including CHF 346 million of such instruments.
|
OV1 – Overview of Swiss risk-weighted assets and capital requirements | |||||||||
Risk-weighted assets |
Capital requirement |
1 | |||||||
end of | 4Q20 | 3Q20 | 4Q19 | 4Q20 | |||||
CHF million | |||||||||
Credit risk (excluding counterparty credit risk) | 134,648 | 136,264 | 144,984 | 10,772 | |||||
of which standardized approach (SA) | 26,237 | 26,789 | 25,518 | 2,099 | |||||
of which supervisory slotting approach | 4,246 | 4,101 | 4,212 | 340 | |||||
of which advanced internal ratings-based (A-IRB) approach | 104,165 | 105,374 | 115,254 | 8,333 | |||||
Counterparty credit risk | 22,577 | 23,209 | 20,365 | 1,806 | |||||
of which standardized approach for counterparty credit risk (SA-CCR) | 4,283 | 4,105 | 1,830 | 343 | |||||
of which internal model method (IMM) | 16,589 | 17,888 | 17,486 | 1,327 | |||||
of which other counterparty credit risk 2 | 1,705 | 1,216 | 1,049 | 136 | |||||
Credit valuation adjustments (CVA) | 8,498 | 11,064 | 6,892 | 680 | |||||
Equity positions in the banking book under the simple risk weight approach | 4,427 | 7,182 | 10,202 | 354 | |||||
Equity investments in funds - look-through approach 3 | 2,998 | 3,017 | – | 240 | |||||
Equity investments in funds - mandate-based approach 3 | 71 | 41 | – | 6 | |||||
Equity investments in funds - fall-back approach 3 | 506 | 848 | – | 40 | |||||
Settlement risk | 249 | 378 | 219 | 20 | |||||
Securitization exposures in the banking book | 12,962 | 13,561 | 13,333 | 1,037 | |||||
of which securitization internal ratings-based approach (SEC-IRBA) | 7,322 | 7,601 | 7,751 | 586 | |||||
of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA) | 1,285 | 1,228 | 1,555 | 103 | |||||
of which securitization standardized approach (SEC-SA) | 4,355 | 4,732 | 4,027 | 348 | |||||
Market risk | 18,317 | 17,241 | 15,192 | 1,465 | |||||
of which standardized approach (SA) | 1,478 | 1,945 | 1,981 | 118 | |||||
of which internal model approach (IMA) | 16,839 | 15,296 | 13,211 | 1,347 | |||||
Operational risk (AMA) | 58,655 | 61,371 | 68,318 | 4,692 | |||||
Amounts below the thresholds for deduction (subject to 250% risk weight) | 11,668 | 11,681 | 11,777 | 934 | |||||
Total | 275,576 | 285,857 | 291,282 | 22,046 | |||||
1
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding capital conservation buffer and G-SIB buffer requirements.
|
|||||||||
2
Includes RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS.
|
|||||||||
3
Following the adoption of the new regulation introduced in January 2020, the calculation of RWA for investments in funds is now presented separately. Prior to this, investments in funds were included under equity positions under the simple risk weight approach.
|
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | |||||||||||||||
Carrying values | Carrying values of items subject to: | ||||||||||||||
end of 4Q20 |
Published financial statements |
Regulatory scope of consolidation |
Credit risk frame- work |
Counter- party credit risk frame- work |
Securiti- zation frame- work |
Market risk frame- work |
Not subject to capital require- ments or subject to deduction from capital |
||||||||
Assets (CHF million) | |||||||||||||||
Cash and due from banks | 139,112 | 138,641 | 137,374 | 0 | 0 | 0 | 1,267 | ||||||||
Interest-bearing deposits with banks | 1,298 | 1,737 | 1,555 | 182 | 0 | 0 | 0 | ||||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 79,133 | 79,133 | 0 | 79,133 | 0 | 67,520 | 0 | ||||||||
Securities received as collateral, at fair value | 50,773 | 50,773 | 0 | 50,773 | 0 | 50,666 | 0 | ||||||||
Trading assets, at fair value 1 | 157,338 | 151,391 | 7,528 | 69,103 | 2 | 1,050 | 158,304 | 0 | |||||||
Investment securities | 607 | 607 | 597 | 0 | 10 | 0 | 0 | ||||||||
Other investments | 5,412 | 5,593 | 2,978 | 0 | 335 | 244 | 2,036 | ||||||||
Net loans | 291,908 | 291,534 | 262,862 | 178 | 27,766 | 906 | 0 | ||||||||
Goodwill | 4,426 | 4,430 | 0 | 0 | 0 | 0 | 4,430 | ||||||||
Other intangible assets | 237 | 237 | 0 | 0 | 0 | 0 | 237 | ||||||||
Brokerage receivables | 35,941 | 35,941 | 2,074 | 30,285 | 0 | 0 | 3,582 | ||||||||
Other assets | 39,637 | 38,347 | 18,711 | 8,160 | 949 | 3,921 | 6,812 | ||||||||
Total assets | 805,822 | 798,364 | 433,679 | 237,814 | 30,110 | 281,561 | 18,364 | ||||||||
Liabilities (CHF million) | |||||||||||||||
Due to banks | 16,423 | 16,765 | 0 | 0 | 0 | 0 | 16,765 | ||||||||
Customer deposits | 390,921 | 390,765 | 0 | 0 | 0 | 0 | 390,765 | ||||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 23,851 | 27,805 | 0 | 27,805 | 0 | 21,909 | 0 | ||||||||
Obligation to return securities received as collateral, at fair value | 50,773 | 50,773 | 0 | 50,773 | 0 | 50,666 | 0 | ||||||||
Trading liabilities, at fair value 1 | 45,871 | 45,905 | 61 | 17,770 | 0 | 70,539 | 1,193 | ||||||||
Short-term borrowings | 20,868 | 16,608 | 0 | 0 | 0 | 11,876 | 4,732 | ||||||||
Long-term debt | 161,087 | 159,341 | 0 | 0 | 0 | 51,090 | 108,251 | ||||||||
Brokerage payables | 21,653 | 21,653 | 0 | 17,150 | 0 | 0 | 4,503 | ||||||||
Other liabilities | 31,434 | 25,746 | 340 | 8,376 | 0 | 709 | 16,326 | ||||||||
Total liabilities | 762,881 | 755,361 | 401 | 121,874 | 0 | 206,789 | 542,535 | ||||||||
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
|
|||||||||||||||
1
Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
|
|||||||||||||||
2
Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.
|
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories (continued) | |||||||||||||||
Carrying values | Carrying values of items subject to: | ||||||||||||||
end of 4Q19 |
Published financial statements |
Regulatory scope of consolidation |
Credit risk frame- work |
Counter- party credit risk frame- work |
Securiti- zation frame- work |
Market risk frame- work |
Not subject to capital require- ments or subject to deduction from capital |
||||||||
Assets (CHF million) | |||||||||||||||
Cash and due from banks | 101,879 | 101,487 | 99,956 | 10 | 0 | 0 | 1,521 | ||||||||
Interest-bearing deposits with banks | 741 | 1,167 | 1,167 | 0 | 0 | 0 | 0 | ||||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 106,997 | 106,997 | 25 | 106,972 | 0 | 98,244 | 0 | ||||||||
Securities received as collateral, at fair value | 40,219 | 40,219 | 0 | 40,219 | 0 | 40,190 | 0 | ||||||||
Trading assets, at fair value 1 | 153,797 | 147,302 | 8,883 | 56,012 | 2,3 | 1,718 | 150,080 | 0 | |||||||
Investment securities | 1,006 | 1,006 | 990 | 0 | 16 | 0 | 0 | ||||||||
Other investments | 5,666 | 5,848 | 3,086 | 0 | 382 | 464 | 1,916 | ||||||||
Net loans | 296,779 | 297,095 | 267,741 | 3 | 208 | 27,806 | 3 | 1,586 | 0 | 3 | |||||
Goodwill | 4,663 | 4,668 | 0 | 0 | 0 | 0 | 4,668 | ||||||||
Other intangible assets | 291 | 291 | 0 | 0 | 0 | 0 | 291 | ||||||||
Brokerage receivables | 35,648 | 35,648 | 2,245 | 28,159 | 0 | 0 | 5,249 | ||||||||
Other assets | 39,609 | 38,917 | 18,502 | 5,137 | 1,551 | 6,386 | 7,380 | ||||||||
Total assets | 787,295 | 780,645 | 402,595 | 3 | 236,717 | 3 | 31,473 | 3 | 296,950 | 21,025 | 3 | ||||
Liabilities (CHF million) | |||||||||||||||
Due to banks | 16,744 | 17,139 | 0 | 0 | 0 | 0 | 17,139 | ||||||||
Customer deposits | 383,783 | 383,793 | 0 | 0 | 0 | 0 | 383,793 | ||||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 27,533 | 32,597 | 0 | 32,573 | 0 | 20,988 | 24 | ||||||||
Obligation to return securities received as collateral, at fair value | 40,219 | 40,219 | 0 | 40,219 | 0 | 40,190 | 0 | ||||||||
Trading liabilities, at fair value 1 | 38,186 | 38,252 | 12 | 14,577 | 0 | 56,746 | 478 | ||||||||
Short-term borrowings | 28,385 | 23,370 | 0 | 0 | 0 | 5,628 | 17,742 | ||||||||
Long-term debt | 152,005 | 150,364 | 0 | 0 | 0 | 50,966 | 99,398 | ||||||||
Brokerage payables | 25,683 | 25,683 | 0 | 20,413 | 0 | 0 | 5,270 | ||||||||
Other liabilities | 31,043 | 25,402 | 418 | 8,563 | 0 | 639 | 15,810 | ||||||||
Total liabilities | 743,581 | 736,819 | 430 | 116,345 | 0 | 175,157 | 539,654 | ||||||||
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
|
|||||||||||||||
1
Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
|
|||||||||||||||
2
Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.
|
|||||||||||||||
3
Prior period has been corrected.
|
LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements | |||||||||
Items subject to: | |||||||||
end of |
Credit risk frame- work |
Counter- party credit risk frame- work |
1 |
Securiti- zation frame- work |
Market risk frame- work |
||||
4Q20 (CHF million) | |||||||||
Asset carrying value amount under regulatory scope of consolidation | 433,679 | 237,814 | 30,110 | 281,561 | |||||
Liabilities carrying value amount under regulatory scope of consolidation | 401 | 121,874 | 0 | 206,789 | |||||
Total net amount under regulatory scope of consolidation | 433,278 | 115,940 | 30,110 | 74,772 | |||||
Off-balance sheet amounts | 65,796 | 0 | 29,269 | 0 | |||||
Differences due to consideration of provisions | 556 | 0 | 82 | 0 | |||||
Derivatives: Differences due to application of internal models (IMM) and SA-CCR | 0 | 34,204 | 0 | 0 | |||||
SFT: Differences due to the application of internal models (VaR) | 0 | (60,778) | 0 | 0 | |||||
Other differences not classified above | (2,668) | 4,065 | (2,717) | 0 | |||||
Exposure amounts considered for regulatory purposes | 496,962 | 93,431 | 56,744 | – | 2 | ||||
4Q19 (CHF million) 3 | |||||||||
Asset carrying value amount under regulatory scope of consolidation | 402,595 | 236,717 | 31,473 | 296,950 | |||||
Liabilities carrying value amount under regulatory scope of consolidation | 430 | 116,345 | 0 | 175,157 | |||||
Total net amount under regulatory scope of consolidation | 402,165 | 120,372 | 31,473 | 121,793 | |||||
Off-balance sheet amounts | 67,994 | 0 | 28,902 | 0 | |||||
Differences due to consideration of provisions | 229 | 0 | 5 | 0 | |||||
Derivatives: Differences due to application of internal models (IMM) and SA-CCR 4 | 0 | 44,004 | 0 | 0 | |||||
SFT: Differences due to the application of internal models (VaR) | 0 | (82,273) | 0 | 0 | |||||
Other differences not classified above | 1,075 | 2,113 | (2,858) | 0 | |||||
Exposure amounts considered for regulatory purposes | 471,463 | 84,216 | 57,522 | – | 2 | ||||
The funded portion of the default funds for clearing houses are recorded as a brokerage receivable in accounting. For these positions there is no exposure amount considered for regulatory purposes.
|
|||||||||
1
Counterparty credit risk includes client cleared exposures, whereas such agency exposures are not reported in the financial statements. Additionally, the column counterparty credit risk and the column market risk take into account the impact of collateral pledges received in SFTs.
|
|||||||||
2
The concept of “exposure amounts considered for regulatory purposes” is not applicable for market risk as for example for the VaR model.
|
|||||||||
3
Prior period has been corrected.
|
|||||||||
4
Calculated under the current exposure method.
|
CRB - Geographic concentration of gross credit exposures | |||||||||||
end of |
Switzerland |
Americas |
Asia Pacific |
EMEA |
Total |
||||||
4Q20 (CHF million) | |||||||||||
Loans and debt securities | 225,614 | 55,529 | 39,504 | 107,178 | 427,825 | ||||||
Off-balance sheet exposures 1 | 16,154 | 45,995 | 5,005 | 28,534 | 95,688 | ||||||
Total | 241,768 | 101,524 | 44,509 | 135,712 | 523,513 | ||||||
4Q19 (CHF million) | |||||||||||
Loans and debt securities | 207,888 | 56,330 | 45,228 | 86,644 | 396,090 | ||||||
Off-balance sheet exposures 1 | 17,842 | 55,521 | 5,191 | 26,024 | 104,578 | ||||||
Total | 225,730 | 111,851 | 50,419 | 112,668 | 500,668 | ||||||
The geographic distribution is based on the domicile of the counterparty, shown pre-substitution.
|
|||||||||||
1
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
|
CRB - Industry concentration of gross credit exposures | |||||||||||
end of |
Financial institutions |
1 |
Commercial |
Consumer |
Public authorities |
Total |
|||||
4Q20 (CHF million) | |||||||||||
Loans and debt securities | 200,311 | 84,318 | 138,984 | 4,212 | 427,825 | ||||||
Off-balance sheet exposures 2 | 27,839 | 65,921 | 843 | 1,085 | 95,688 | ||||||
Total | 228,150 | 150,239 | 139,827 | 5,297 | 523,513 | ||||||
4Q19 (CHF million) | |||||||||||
Loans and debt securities | 164,034 | 86,141 | 140,687 | 5,228 | 396,090 | ||||||
Off-balance sheet exposures 2 | 31,064 | 72,445 | 888 | 181 | 104,578 | ||||||
Total | 195,098 | 158,586 | 141,575 | 5,409 | 500,668 | ||||||
Exposures are shown pre-substitution.
|
|||||||||||
1
Includes exposures to central banks of CHF 125.2 billion and CHF 89.1 billion as of the end of 4Q20 and 4Q19, respectively.
|
|||||||||||
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
|
CRB - Remaining contractual maturity of gross credit exposures | |||||||||
end of |
within 1 year |
1 |
within 1-5 years |
Thereafter |
Total |
||||
4Q20 (CHF million) | |||||||||
Loans and debt securities | 188,838 | 179,972 | 59,015 | 427,825 | |||||
Off-balance sheet exposures 2 | 33,267 | 55,057 | 7,364 | 95,688 | |||||
Total | 222,105 | 235,029 | 66,379 | 523,513 | |||||
4Q19 (CHF million) | |||||||||
Loans and debt securities | 170,769 | 169,680 | 55,641 | 396,090 | |||||
Off-balance sheet exposures 2 | 41,778 | 56,880 | 5,920 | 104,578 | |||||
Total | 212,547 | 226,560 | 61,561 | 500,668 | |||||
1
Includes positions without agreed residual contractual maturity.
|
|||||||||
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
|
CRB - Geographic concentration of allowances, impaired loans and write-offs | |||||||||||||||
end of |
Allowances individually evaluated |
Allowances collectively evaluated |
Total allowances |
Impaired loans with specific allowances |
Impaired loans without specific allowances |
Total impaired loans |
Gross write- offs |
||||||||
4Q20 (CHF million) | |||||||||||||||
Switzerland | 572 | 402 | 974 | 1,251 | 316 | 1,567 | 184 | ||||||||
EMEA | 46 | 63 | 109 | 320 | 173 | 493 | 13 | ||||||||
Americas | 101 | 167 | 268 | 465 | 0 | 465 | 94 | ||||||||
Asia Pacific | 147 | 40 | 187 | 675 | 0 | 675 | 39 | ||||||||
Total | 866 | 672 | 1,538 | 2,711 | 489 | 3,200 | 330 | ||||||||
4Q19 (CHF million) | |||||||||||||||
Switzerland | 511 | 182 | 693 | 1,301 | 335 | 1,636 | 152 | ||||||||
EMEA | 26 | 29 | 55 | 177 | 68 | 245 | 60 | ||||||||
Americas | 57 | 83 | 140 | 150 | 13 | 163 | 20 | ||||||||
Asia Pacific | 14 | 49 | 63 | 87 | 0 | 87 | 75 | ||||||||
Total | 608 | 343 | 951 | 1,715 | 416 | 2,131 | 307 |
CRB - Industry concentration of allowances, impaired loans and write-offs | |||||||||||||||
end of |
Allowances individually evaluated |
Allowances collectively evaluated |
Total allowances |
Impaired loans with specific allowances |
Impaired loans without specific allowances |
Total impaired loans |
Gross write- offs |
||||||||
4Q20 (CHF million) | |||||||||||||||
Financial institutions | 36 | 70 | 106 | 91 | 24 | 115 | 0 | ||||||||
Commercial | 600 | 509 | 1,109 | 1,841 | 326 | 2,167 | 238 | ||||||||
Consumer | 230 | 90 | 320 | 779 | 129 | 908 | 92 | ||||||||
Public authorities | 0 | 3 | 3 | 0 | 10 | 10 | 0 | ||||||||
Total | 866 | 672 | 1,538 | 2,711 | 489 | 3,200 | 330 | ||||||||
4Q19 (CHF million) | |||||||||||||||
Financial institutions | 37 | 25 | 62 | 48 | 0 | 48 | 0 | ||||||||
Commercial | 426 | 272 | 698 | 1,059 | 335 | 1,394 | 213 | ||||||||
Consumer | 145 | 46 | 191 | 608 | 81 | 689 | 94 | ||||||||
Total | 608 | 343 | 951 | 1,715 | 416 | 2,131 | 307 |
CR1 – Credit quality of assets | |||||||||||||||||
of which CECL-related provisions on SA exposures |
|||||||||||||||||
end of |
Defaulted exposures |
Non- defaulted exposures |
Gross exposures |
Allowances/ impairments |
Regulatory category – specific |
Regulatory category – general |
of which CECL- related provisions on IRB exposures |
Net exposures |
|||||||||
4Q20 (CHF million) | |||||||||||||||||
Loans 1 | 3,761 | 413,915 | 417,676 | (1,334) | (76) | 0 | (492) | 416,342 | |||||||||
Debt securities | 75 | 10,074 | 10,149 | 0 | 0 | 0 | 0 | 10,149 | |||||||||
Off-balance sheet exposures 2 | 396 | 95,292 | 95,688 | (273) | (35) | 0 | (222) | 95,415 | |||||||||
Total | 4,232 | 519,281 | 523,513 | (1,607) | (111) | 0 | (714) | 521,906 | |||||||||
2Q20 (CHF million) | |||||||||||||||||
Loans 1 | 4,356 | 407,468 | 411,824 | (1,537) | (57) | 0 | (686) | 410,287 | |||||||||
Debt securities | 71 | 10,377 | 10,448 | 0 | 0 | 0 | 0 | 10,448 | |||||||||
Off-balance sheet exposures 2 | 204 | 85,937 | 86,141 | (279) | (14) | 0 | (201) | 85,862 | |||||||||
Total | 4,631 | 503,782 | 508,413 | (1,816) | (71) | 0 | (887) | 506,597 | |||||||||
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
|
|||||||||||||||||
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
|
|||||||||||||||||
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
|
CR2 – Changes in defaulted exposures | |||
2H20 | |||
CHF million | |||
Defaulted exposures at beginning of period | 4,631 | ||
Exposures that have defaulted since the last reporting period | 1,101 | ||
Returned to non-defaulted status | (433) | ||
Amounts written-off | (312) | ||
Other changes | (755) | ||
Defaulted exposures at end of period | 4,232 |
CRB - Aging analysis of accounting past-due exposures | |||||||||||||||
Current | Past due | ||||||||||||||
end of |
|
Up to 30 days |
31–60 days |
61–90 days |
More than 90 days |
Total |
Total |
||||||||
4Q20 (CHF million) | |||||||||||||||
Financial institutions | 14,315 | 42 | 15 | 72 | 46 | 175 | 14,490 | ||||||||
Commercial | 97,161 | 684 | 57 | 148 | 759 | 1,648 | 98,809 | ||||||||
Consumer | 167,035 | 275 | 141 | 82 | 635 | 1,133 | 168,168 | ||||||||
Public authorities | 969 | 37 | 4 | 0 | 0 | 41 | 1,010 | ||||||||
Gross loans held at amortized cost | 279,480 | 1,038 | 217 | 302 | 1,440 | 2,997 | 282,477 | ||||||||
Gross loans held at fair value | 11,409 | ||||||||||||||
Gross loans | 293,886 | ||||||||||||||
4Q19 (CHF million) | |||||||||||||||
Financial institutions | 15,315 | 88 | 1 | 3 | 47 | 139 | 15,454 | ||||||||
Commercial | 108,805 | 642 | 74 | 73 | 728 | 1,517 | 110,322 | ||||||||
Consumer | 157,676 | 504 | 83 | 57 | 493 | 1,137 | 158,813 | ||||||||
Public authorities | 1,208 | 26 | 0 | 0 | 0 | 26 | 1,234 | ||||||||
Gross loans held at amortized cost | 283,004 | 1,260 | 158 | 133 | 1,268 | 2,819 | 285,823 | ||||||||
Gross loans held at fair value | 12,662 | ||||||||||||||
Gross loans | 298,485 |
CR3 – CRM techniques | |||||||||||||
Net exposures | Exposures secured by | ||||||||||||
end of |
Unsecured |
Partially or fully secured |
Total |
Collateral |
Financial guarantees |
Credit derivatives |
|||||||
4Q20 (CHF million) | |||||||||||||
Loans 1 | 184,053 | 232,289 | 416,342 | 191,146 | 8,170 | 66 | |||||||
Debt securities | 9,854 | 295 | 10,149 | 225 | 44 | 0 | |||||||
Total | 193,907 | 232,584 | 426,491 | 191,371 | 8,214 | 66 | |||||||
of which defaulted | 1,137 | 1,934 | 3,071 | 1,645 | 135 | 0 | |||||||
2Q20 (CHF million) | |||||||||||||
Loans 1 | 176,736 | 233,551 | 410,287 | 191,131 | 8,098 | 28 | |||||||
Debt securities | 10,033 | 415 | 10,448 | 329 | 47 | 0 | |||||||
Total | 186,769 | 233,966 | 420,735 | 191,460 | 8,145 | 28 | |||||||
of which defaulted | 1,090 | 2,759 | 3,849 | 2,429 | 142 | 0 | |||||||
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
|
CR4 – Credit risk exposure and CRM effects | |||||||||||||||||
Exposures pre-CCF and CRM | Exposures post-CCF and CRM | ||||||||||||||||
end of |
On-balance sheet |
Off-balance sheet |
Total |
On-balance sheet |
Off-balance sheet |
Total |
RWA |
RWA density |
|||||||||
4Q20 (CHF million) | |||||||||||||||||
Sovereigns | 84,804 | 54 | 84,858 | 84,804 | 14 | 84,818 | 164 | 0% | |||||||||
Institutions - Banks and securities dealer | 2,258 | 728 | 2,986 | 2,258 | 358 | 2,616 | 892 | 34% | |||||||||
Institutions - Other institutions | 593 | 2,242 | 2,835 | 592 | 287 | 879 | 604 | 69% | |||||||||
Corporates | 9,238 | 8,662 | 17,900 | 8,225 | 2,297 | 10,522 | 9,100 | 87% | |||||||||
Retail | 1,802 | 1,465 | 3,267 | 1,516 | 301 | 1,817 | 1,508 | 83% | |||||||||
Other exposures | 16,417 | 1,190 | 17,607 | 16,159 | 1,148 | 17,307 | 13,969 | 81% | |||||||||
of which non-counterparty related assets | 7,300 | 0 | 7,300 | 7,300 | 0 | 7,300 | 7,300 | 100% | |||||||||
Total | 115,112 | 14,341 | 129,453 | 113,554 | 4,405 | 117,959 | 26,237 | 22% | |||||||||
2Q20 (CHF million) | |||||||||||||||||
Sovereigns | 94,724 | 47 | 94,771 | 94,525 | 6 | 94,531 | 233 | 0% | |||||||||
Institutions - Banks and securities dealer | 2,784 | 747 | 3,531 | 2,689 | 370 | 3,059 | 954 | 31% | |||||||||
Institutions - Other institutions | 488 | 2,037 | 2,525 | 488 | 151 | 639 | 439 | 69% | |||||||||
Corporates | 9,963 | 7,938 | 17,901 | 9,146 | 2,057 | 11,203 | 9,403 | 84% | |||||||||
Retail | 1,874 | 1,581 | 3,455 | 1,573 | 461 | 2,034 | 1,714 | 84% | |||||||||
Other exposures | 16,155 | 1,149 | 17,304 | 15,968 | 1,117 | 17,085 | 14,644 | 86% | |||||||||
of which non-counterparty related assets | 7,575 | 0 | 7,575 | 7,575 | 0 | 7,575 | 7,575 | 100% | |||||||||
Total | 125,988 | 13,499 | 139,487 | 124,389 | 4,162 | 128,551 | 27,387 | 21% |
CR5 – Exposures by asset class and risk weight | |||||||||||||||||||
Risk weight | |||||||||||||||||||
end of |
0% |
20% |
35% |
50% |
75% |
100% |
150% |
Others |
Exposures post-CCF and CRM |
||||||||||
4Q20 (CHF million) | |||||||||||||||||||
Sovereigns | 84,560 | 34 | 0 | 133 | 0 | 91 | 0 | 0 | 84,818 | ||||||||||
Institutions - Banks and securities dealer | 0 | 1,817 | 0 | 601 | 0 | 136 | 62 | 0 | 2,616 | ||||||||||
Institutions - Other institutions | 0 | 0 | 0 | 551 | 0 | 328 | 0 | 0 | 879 | ||||||||||
Corporates | 0 | 1,066 | 26 | 1,298 | 1 | 7,937 | 194 | 0 | 10,522 | ||||||||||
Retail | 0 | 0 | 136 | 0 | 884 | 797 | 0 | 0 | 1,817 | ||||||||||
Other exposures | 3,435 | 0 | 0 | 0 | 0 | 13,864 | 0 | 8 | 17,307 | ||||||||||
of which non-counterparty related assets | 0 | 0 | 0 | 0 | 0 | 7,300 | 0 | 0 | 7,300 | ||||||||||
Total | 87,995 | 2,917 | 162 | 2,583 | 885 | 23,153 | 256 | 8 | 117,959 | ||||||||||
of which secured by real estate | 0 | 0 | 164 | 0 | 0 | 0 | 0 | 0 | 164 | ||||||||||
of which past due | 0 | 0 | 0 | 0 | 0 | 270 | 87 | 0 | 357 | ||||||||||
2Q20 (CHF million) | |||||||||||||||||||
Sovereigns | 94,199 | 25 | 0 | 183 | 0 | 98 | 26 | 0 | 94,531 | ||||||||||
Institutions - Banks and securities dealer | 0 | 2,202 | 0 | 691 | 0 | 162 | 4 | 0 | 3,059 | ||||||||||
Institutions - Other institutions | 0 | 0 | 0 | 400 | 0 | 239 | 0 | 0 | 639 | ||||||||||
Corporates | 0 | 1,144 | 23 | 1,934 | 1 | 7,907 | 194 | 0 | 11,203 | ||||||||||
Retail | 0 | 0 | 161 | 0 | 860 | 1,013 | 0 | 0 | 2,034 | ||||||||||
Other exposures | 2,544 | 0 | 0 | 0 | 0 | 14,532 | 0 | 9 | 17,085 | ||||||||||
of which non-counterparty related assets | 0 | 0 | 0 | 0 | 0 | 7,575 | 0 | 0 | 7,575 | ||||||||||
Total | 96,743 | 3,371 | 184 | 3,208 | 861 | 23,951 | 224 | 9 | 128,551 | ||||||||||
of which secured by real estate | 0 | 0 | 184 | 0 | 0 | 0 | 0 | 0 | 184 | ||||||||||
of which past due | 0 | 0 | 0 | 0 | 0 | 372 | 133 | 0 | 505 |
Key differences between the standardized approach and the internal model approach | |||||||
Standardized approach | Internal model approach | Key impact | |||||
EAD for derivatives |
Current Exposure Method is simplistic (market value and add-on): replaced with SA-CCR in 2020. |
Internal Models Method (IMM) allows Monte-Carlo simulation to estimate exposure. |
For large diversified derivatives portfolios, standardized EAD is higher than model EAD. |
||||
No differentiation between margined and unmargined transactions. |
Ability to net and offset risk factors within the portfolio (i.e. diversification). |
Impact applies across all asset classes. |
|||||
Differentiates add-ons by five exposure types and three maturity buckets only. |
Application of multiplier on IMM exposure estimate. |
|
|||||
Limited ability to net. |
Variability in holding period applied to collateralized transactions, reflecting liquidity risks. |
|
|||||
Risk weighting |
Reliance on ECAIs: where no rating is available a 100% risk weight is applied (i.e. for most small and medium-size enterprises and funds). |
Reliance on internal ratings where each counterparty/transaction receives a rating. |
Model approach produces lower RWA for high-quality short-term transactions. |
||||
Crude risk weight differentiation with 4 key weights: 20%, 50%, 100%, 150% (and 0% for AAA sovereigns; 35%, 75% or 100% for mortgages; 75% or 100% for retail). |
Granular risk sensitive risk weights differentiation via individual PDs and LGDs. |
Standardized approach produces lower RWA for non-investment grade and long-term transactions. |
|||||
No differentiation for transaction features. |
LGD captures transaction quality features incl. collateralization. |
Impact relevant across all asset classes. |
|||||
Application of a 1.06 scaling factor. | |||||||
Risk mitigation |
Limited recognition of risk mitigation. |
Risk mitigation recognized via risk sensitive LGD or EAD. |
Standardized approach RWA higher than model approach RWA for most collaterals. |
||||
Restricted list of eligible collateral. |
Wider variety of collateral types eligible. |
Impact particularly relevant for lombard lending and SFTs. |
|||||
Conservative and crude regulatory haircuts. |
Repo VaR allows use of VaR models to estimate exposure and collateral for SFTs. Approach permits full diversification and netting across all collateral types. |
|
|||||
Maturity in risk weight |
No differentiation for maturity of transactions, except for interbank exposures in a coarse manner. |
No internal modelling of maturity. |
Model approach produces lower RWA for high-quality short-term transactions. |
||||
|
Regulatory RWA function considers maturity: the longer the maturity the higher the risk weight (see chart "Risk weight by maturity"). |
|
Leverage exposure estimate | |||||||
Internal model approach | |||||||
EAD |
Risk weight |
Leverage exposures |
1 | ||||
Basel asset class (CHF billion, except where indicated) | |||||||
Corporates | 172 | 53% | 320 | ||||
Banks | 30 | 29% | 59 | ||||
Sovereigns | 51 | 7% | 26 | ||||
Retail | 198 | 16% | 200 | ||||
1
The leverage exposure estimates only consider those exposures which are comparable to the credit risk RWA calculation under internal model approach and hence excludes exposures such as trading book, securitization and non-credit exposures. Asset class leverage ratio based exposures are approximate and provided on a best efforts basis.
|
CRE - Main PD and LGD models used by Credit Suisse | |||||||||||||||
PD | LGD | ||||||||||||||
Portfolio |
Asset class |
RWA (in CHF billion) as of 3Q20 |
Number of years loss data |
No. of models |
Model comment |
No. of models |
Model comment |
||||||||
Statistical and hybrid models using e.g. industry and counterparty segmentation, collateral types and amounts, seniority and other transaction specific factors with granularity enhancements by public research and expert judgement | |||||||||||||||
Corporates | Corporates, retail | 54 | >15 years | 2 | Statistical scorecards using e.g. balance sheet, P&L data and qualitative factors | 3 | |||||||||
Banks and other financial institutions | Banks, corporates | 10 | >30 years | 5 | Statistical scorecard and constrained expert judgement using e.g. balance sheet, P&L data and qualitative factors | ||||||||||
Funds |
Corporates |
12 |
>10 years |
4 |
Statistical scorecards using e.g. net asset value, volatility of returns and qualitative factors |
|
|||||||||
Statistical model using e.g. counterparty segmentation, collateral types and amounts | |||||||||||||||
Residential mortgages | Retail | 13 | >15 years | 1 | Statistical scorecard using e.g. LTV, affordability, assets and qualitative factors | 1 | |||||||||
Income producing real estate | Specialized lending, retail | 19 | >15 years | 2 | Statistical scorecards using e.g. LTV, debt service coverage and qualitative factors | ||||||||||
Commodity traders |
Corporates, specialized lending |
2 |
>15 years |
1 |
Statistical scorecard using e.g. volume, liquidity and duration of financed commodity transactions |
|
|||||||||
Sovereign |
Sovereign, corporates |
2 |
>15 years |
1 |
Statistical scorecards using e.g. GDP, financials and qualitative factors |
1 |
Statistical models using e.g. industry and counterparty segmentation, seniority and other transaction specific factors |
||||||||
Ship finance |
Specialized lending |
3 |
>15 years |
1 |
Statistical scorecard using e.g. freight rates, ship market values, operational expenses and group information |
1 |
Statistical model using e.g. LTV and counterparty attributes |
||||||||
Lombard, Securities Borrowing & Lending |
Retail, corporates |
12 |
>15 years |
1 |
Merton type model using e.g. LTV, collateral volatility and counterparty attributes |
1 |
Merton type model using e.g. LTV, collateral volatility and counterparty attributes |
CRE - Credit Suisse counterparty ratings | |||||||||||||
Ratings | PD bands (%)1 | Definition | S&P | Fitch | Moody's | Details | |||||||
AAA |
0.000 - 0.021 |
Substantially risk free |
AAA |
AAA |
Aaa |
Extremely low risk, very high long-term stability, still solvent under extreme conditions |
|||||||
AA+ AA AA- |
0.021 - 0.027 0.027 - 0.034 0.034 - 0.044 |
Minimal risk |
AA+ AA AA- |
AA+ AA AA- |
Aa1 Aa2 Aa3 |
Very low risk, long-term stability, repayment sources sufficient under lasting adverse conditions, extremely high medium-term stability |
|||||||
A+ A A- |
0.044 - 0.056 0.056 - 0.068 0.068 - 0.097 |
Modest risk |
A+ A A- |
A+ A A- |
A1 A2 A3 |
Low risk, short- and mid-term stability, small adverse developments can be absorbed long term, short- and mid-term solvency preserved in the event of serious difficulties |
|||||||
BBB+ BBB BBB- |
0.097 - 0.167 0.167 - 0.285 0.285 - 0.487 |
Average risk |
BBB+ BBB BBB- |
BBB+ BBB BBB- |
Baa1 Baa2 Baa3 |
Medium to low risk, high short-term stability, adequate substance for medium-term survival, very stable short term |
|||||||
BB+ BB BB- |
0.487 - 0.839 0.839 - 1.442 1.442 - 2.478 |
Acceptable risk |
BB+ BB BB- |
BB+ BB BB- |
Ba1 Ba2 Ba3 |
Medium risk, only short-term stability, only capable of absorbing minor adverse developments in the medium term, stable in the short term, no increased credit risks expected within the year |
|||||||
B+ B B- |
2.478 - 4.259 4.259 - 7.311 7.311 - 12.550 |
High risk |
B+ B B- |
B+ B B- |
B1 B2 B3 |
Increasing risk, limited capability to absorb further unexpected negative developments |
|||||||
CCC+ CCC CCC- CC |
12.550 - 21.543 21.543 - 100.00 21.543 - 100.00 21.543 - 100.00 |
Very high risk |
CCC+ CCC CCC- CC |
CCC+ CCC CCC- CC |
Caa1 Caa2 Caa3 Ca |
High risk, very limited capability to absorb further unexpected negative developments |
|||||||
C D1 D2 |
100 Risk of default has materialized |
Imminent or actual loss |
C D |
C D |
C |
Substantial credit risk has materialized, i.e. counterparty is distressed and/or non-performing. Adequate specific provisions must be made as further adverse developments will result directly in credit losses. |
|||||||
Transactions rated C are potential problem loans; those rated D1 are non-performing assets and those rated D2 are non-interest earning.
|
|||||||||||||
1
For Ratings AAA to CCC+, the PD bands are exclusive of the left-hand side and inclusive of the right-hand side PD band boundary. For Ratings CCC to CC, the PD bands are exclusive of the left-hand and exclusive of the right-hand side. For Rating C, the PD equals 100%.
|
CRE - EAD covered by the various approaches | |||||
end of 4Q20 |
Standardized approach |
A-IRB approach |
|||
EAD (in %) | |||||
Sovereigns | 64 | 36 | |||
Institutions - Banks and securities dealer | 15 | 85 | |||
Institutions - Other institutions | 56 | 44 | |||
Corporates | 8 | 92 | |||
Residential mortgages | 0 | 100 | |||
Retail | 2 | 98 | |||
Other exposures | 100 | 0 | |||
Total | 24 | 76 |
CR6 – Credit risk exposures by portfolio and PD range (continued) | |||||||||||||||||||||||||||
end of 4Q20 |
Original on-balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Total exposures |
Average CCF |
EAD post- CRM and post-CCF |
1 |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 46,913 | 43 | 46,956 | 100% | 47,395 | 0.02% | < 0.1 | 4% | 1.2 | 790 | 2% | 1 | – | ||||||||||||||
0.15% to <0.25% | 0 | 0 | 0 | 0% | – | 0.22% | < 0.1 | 56% | 2.5 | 0 | 63% | 0 | – | ||||||||||||||
0.25% to <0.50% | 119 | 19 | 138 | 100% | 127 | 0.37% | < 0.1 | 52% | 2.4 | 94 | 74% | 0 | – | ||||||||||||||
0.50% to <0.75% | 23 | 0 | 23 | 0% | 23 | 0.64% | < 0.1 | 58% | 2.9 | 26 | 113% | 0 | – | ||||||||||||||
0.75% to <2.50% | 91 | 3 | 94 | 45% | 92 | 1.18% | < 0.1 | 45% | 2.8 | 98 | 106% | 0 | – | ||||||||||||||
2.50% to <10.00% | 342 | 0 | 342 | 50% | 176 | 6.45% | < 0.1 | 47% | 2.4 | 333 | 189% | 6 | – | ||||||||||||||
10.00% to <100.00% | 200 | 0 | 200 | 0% | 29 | 28.23% | < 0.1 | 61% | 4.0 | 108 | 375% | 5 | – | ||||||||||||||
100.00% (Default) | 383 | 0 | 383 | 0% | 180 | 100.00% | < 0.1 | 57% | 1.5 | 190 | 106% | 105 | – | ||||||||||||||
Sub-total | 48,071 | 65 | 48,136 | 98% | 48,022 | 0.44% | 0.1 | 4% | 1.2 | 1,639 | 3% | 117 | 105 | ||||||||||||||
Institutions - Banks and securities dealer | |||||||||||||||||||||||||||
0.00% to <0.15% | 10,208 | 1,533 | 11,741 | 58% | 12,416 | 0.06% | 1.6 | 54% | 0.6 | 1,889 | 15% | 4 | – | ||||||||||||||
0.15% to <0.25% | 419 | 217 | 636 | 48% | 507 | 0.22% | 0.1 | 54% | 1.2 | 258 | 51% | 1 | – | ||||||||||||||
0.25% to <0.50% | 787 | 306 | 1,093 | 55% | 702 | 0.37% | 0.2 | 52% | 0.6 | 429 | 61% | 1 | – | ||||||||||||||
0.50% to <0.75% | 69 | 85 | 154 | 45% | 113 | 0.61% | 0.1 | 24% | 0.6 | 44 | 39% | 0 | – | ||||||||||||||
0.75% to <2.50% | 369 | 92 | 461 | 46% | 359 | 1.31% | 0.1 | 52% | 0.7 | 392 | 109% | 2 | – | ||||||||||||||
2.50% to <10.00% | 576 | 194 | 770 | 40% | 542 | 5.16% | 0.2 | 57% | 1.2 | 1,045 | 193% | 16 | – | ||||||||||||||
10.00% to <100.00% | 1 | 0 | 1 | 50% | 1 | 17.18% | < 0.1 | 53% | 0.2 | 2 | 254% | 0 | – | ||||||||||||||
100.00% (Default) | 7 | 0 | 7 | 0% | 7 | 100.00% | < 0.1 | 51% | 2.5 | 7 | 106% | 0 | – | ||||||||||||||
Sub-total | 12,436 | 2,427 | 14,863 | 54% | 14,647 | 0.35% | 2.3 | 54% | 0.6 | 4,066 | 28% | 24 | 0 | ||||||||||||||
Institutions - Other institutions | |||||||||||||||||||||||||||
0.00% to <0.15% | 213 | 1,420 | 1,633 | 11% | 444 | 0.04% | 0.4 | 41% | 3.4 | 98 | 22% | 0 | – | ||||||||||||||
0.15% to <0.25% | 2 | 60 | 62 | 3% | 4 | 0.20% | < 0.1 | 35% | 1.1 | 1 | 25% | 0 | – | ||||||||||||||
0.25% to <0.50% | 12 | 1 | 13 | 45% | 13 | 0.37% | < 0.1 | 58% | 2.4 | 10 | 81% | 0 | – | ||||||||||||||
2.50% to <10.00% | 51 | 396 | 447 | 45% | 230 | 4.77% | < 0.1 | 5% | 4.0 | 43 | 19% | 1 | – | ||||||||||||||
Sub-total | 278 | 1,877 | 2,155 | 18% | 691 | 1.63% | 0.5 | 29% | 3.6 | 152 | 22% | 1 | 0 | ||||||||||||||
Corporates - Specialized lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 7,076 | 1,983 | 9,059 | 43% | 7,924 | 0.06% | 0.8 | 29% | 2.3 | 1,741 | 22% | 1 | – | ||||||||||||||
0.15% to <0.25% | 4,280 | 1,572 | 5,852 | 34% | 4,814 | 0.20% | 0.7 | 30% | 2.3 | 1,975 | 41% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,335 | 847 | 3,182 | 40% | 2,675 | 0.37% | 0.5 | 33% | 1.7 | 1,542 | 58% | 3 | – | ||||||||||||||
0.50% to <0.75% | 2,820 | 2,122 | 4,942 | 30% | 3,449 | 0.58% | 0.3 | 28% | 1.4 | 1,585 | 46% | 6 | – | ||||||||||||||
0.75% to <2.50% | 7,942 | 2,972 | 10,914 | 40% | 9,133 | 1.50% | 0.7 | 18% | 2.8 | 4,498 | 49% | 24 | – | ||||||||||||||
2.50% to <10.00% | 2,330 | 30 | 2,360 | 52% | 2,345 | 4.43% | 0.2 | 14% | 3.2 | 1,204 | 51% | 15 | – | ||||||||||||||
10.00% to <100.00% | 46 | 64 | 110 | 45% | 75 | 12.45% | < 0.1 | 4% | 4.9 | 18 | 25% | 0 | – | ||||||||||||||
100.00% (Default) | 172 | 7 | 179 | 39% | 48 | 100.00% | < 0.1 | 61% | 1.1 | 51 | 106% | 127 | – | ||||||||||||||
Sub-total | 27,001 | 9,597 | 36,598 | 37% | 30,463 | 1.12% | 3.2 | 25% | 2.4 | 12,614 | 41% | 179 | 127 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects RWA post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range (continued) | |||||||||||||||||||||||||||
end of 4Q20 |
Original on-balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Total exposures |
Average CCF |
EAD post- CRM and post-CCF |
1 |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 13,429 | 49,738 | 63,167 | 40% | 35,077 | 0.07% | 2.7 | 40% | 2.3 | 8,056 | 23% | 10 | – | ||||||||||||||
0.15% to <0.25% | 5,077 | 10,170 | 15,247 | 37% | 8,907 | 0.21% | 1.3 | 40% | 2.1 | 3,505 | 39% | 7 | – | ||||||||||||||
0.25% to <0.50% | 5,100 | 5,126 | 10,226 | 37% | 6,929 | 0.37% | 1.8 | 36% | 2.5 | 3,437 | 50% | 9 | – | ||||||||||||||
0.50% to <0.75% | 3,726 | 4,697 | 8,423 | 41% | 5,282 | 0.62% | 1.3 | 40% | 2.6 | 3,707 | 70% | 13 | – | ||||||||||||||
0.75% to <2.50% | 9,125 | 8,369 | 17,494 | 41% | 11,788 | 1.50% | 2.2 | 35% | 2.8 | 10,837 | 92% | 64 | – | ||||||||||||||
2.50% to <10.00% | 10,199 | 14,670 | 24,869 | 48% | 16,043 | 5.70% | 1.8 | 33% | 2.8 | 20,995 | 131% | 286 | – | ||||||||||||||
10.00% to <100.00% | 895 | 640 | 1,535 | 51% | 942 | 19.34% | 0.1 | 28% | 2.6 | 1,655 | 176% | 53 | – | ||||||||||||||
100.00% (Default) | 1,842 | 563 | 2,405 | 37% | 1,552 | 100.00% | 0.2 | 53% | 1.7 | 1,621 | 104% | 499 | – | ||||||||||||||
Sub-total | 49,393 | 93,973 | 143,366 | 41% | 86,520 | 3.39% | 11.3 | 38% | 2.5 | 53,813 | 62% | 941 | 499 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 29,787 | 1,711 | 31,498 | 40% | 30,486 | 0.09% | 44.1 | 14% | 2.9 | 2,172 | 7% | 4 | – | ||||||||||||||
0.15% to <0.25% | 32,136 | 1,942 | 34,078 | 40% | 32,913 | 0.18% | 38.8 | 15% | 3.0 | 4,300 | 13% | 9 | – | ||||||||||||||
0.25% to <0.50% | 39,642 | 1,994 | 41,636 | 44% | 40,521 | 0.30% | 52.5 | 15% | 3.1 | 7,767 | 19% | 19 | – | ||||||||||||||
0.50% to <0.75% | 4,656 | 363 | 5,019 | 47% | 4,821 | 0.59% | 6.5 | 17% | 2.9 | 1,637 | 34% | 5 | – | ||||||||||||||
0.75% to <2.50% | 4,536 | 562 | 5,098 | 28% | 4,695 | 1.23% | 6.6 | 18% | 2.6 | 2,692 | 57% | 10 | – | ||||||||||||||
2.50% to <10.00% | 447 | 28 | 475 | 63% | 464 | 4.17% | 0.7 | 19% | 2.1 | 555 | 119% | 4 | – | ||||||||||||||
10.00% to <100.00% | 12 | 0 | 12 | 70 | 12 | 17.12% | < 0.1 | 13% | 2.8 | 22 | 188% | 0 | – | ||||||||||||||
100.00% (Default) | 616 | 7 | 623 | 82% | 583 | 100.00% | 0.3 | 18% | 1.4 | 618 | 106% | 39 | – | ||||||||||||||
Sub-total | 111,832 | 6,607 | 118,439 | 41% | 114,495 | 0.78% | 149.3 | 15% | 3.0 | 19,763 | 17% | 90 | 39 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 298 | 5,592 | 5,890 | 0% | 320 | 1.30% | 767.2 | 50% | 1.0 | 79 | 25% | 2 | – | ||||||||||||||
100.00% (Default) | 0 | 0 | 0 | 0% | – | 100.00% | 0.3 | 50% | 1.0 | 0 | 106% | 0 | – | ||||||||||||||
Sub-total | 298 | 5,592 | 5,890 | 0% | 320 | 1.30% | 767.5 | 50% | 1.0 | 79 | 25% | 2 | 0 | ||||||||||||||
Other retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 52,803 | 134,338 | 187,141 | 7% | 61,094 | 0.04% | 50.9 | 63% | 1.3 | 4,956 | 8% | 16 | – | ||||||||||||||
0.15% to <0.25% | 2,377 | 8,588 | 10,965 | 8% | 3,086 | 0.19% | 3.9 | 42% | 1.3 | 527 | 17% | 2 | – | ||||||||||||||
0.25% to <0.50% | 1,941 | 2,358 | 4,299 | 14% | 2,270 | 0.36% | 6.0 | 31% | 1.4 | 438 | 19% | 3 | – | ||||||||||||||
0.50% to <0.75% | 714 | 879 | 1,593 | 25% | 938 | 0.62% | 10.6 | 44% | 1.8 | 351 | 37% | 3 | – | ||||||||||||||
0.75% to <2.50% | 5,169 | 1,949 | 7,118 | 27% | 5,698 | 1.51% | 83.2 | 36% | 2.0 | 2,590 | 45% | 30 | – | ||||||||||||||
2.50% to <10.00% | 3,750 | 747 | 4,497 | 24% | 3,933 | 5.19% | 80.7 | 39% | 2.9 | 2,389 | 61% | 81 | – | ||||||||||||||
10.00% to <100.00% | 34 | 25 | 59 | 36% | 43 | 15.79% | 1.4 | 49% | 1.4 | 44 | 103% | 3 | – | ||||||||||||||
100.00% (Default) | 457 | 41 | 498 | 33% | 353 | 100.00% | 5.4 | 86% | 1.8 | 374 | 106% | 306 | – | ||||||||||||||
Sub-total | 67,245 | 148,925 | 216,170 | 7% | 77,415 | 0.90% | 242.0 | 58% | 1.5 | 11,669 | 15% | 444 | 306 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 160,429 | 190,766 | 351,195 | 16% | 194,836 | 0.05% | 100.5 | 35% | 1.7 | 19,702 | 10% | 36 | – | ||||||||||||||
0.15% to <0.25% | 44,291 | 22,549 | 66,840 | 26% | 50,231 | 0.19% | 44.8 | 23% | 2.6 | 10,566 | 21% | 22 | – | ||||||||||||||
0.25% to <0.50% | 49,936 | 10,651 | 60,587 | 34% | 53,237 | 0.32% | 61.0 | 20% | 2.8 | 13,717 | 26% | 35 | – | ||||||||||||||
0.50% to <0.75% | 12,008 | 8,146 | 20,154 | 36% | 14,626 | 0.60% | 18.8 | 30% | 2.3 | 7,350 | 50% | 27 | – | ||||||||||||||
0.75% to <2.50% | 27,530 | 19,539 | 47,069 | 27% | 32,085 | 1.46% | 859.9 | 28% | 2.6 | 21,186 | 66% | 132 | – | ||||||||||||||
2.50% to <10.00% | 17,695 | 16,065 | 33,760 | 47% | 23,733 | 5.45% | 83.5 | 32% | 2.8 | 26,564 | 112% | 409 | – | ||||||||||||||
10.00% to <100.00% | 1,188 | 729 | 1,917 | 50% | 1,102 | 18.94% | 1.5 | 28% | 2.8 | 1,849 | 168% | 61 | – | ||||||||||||||
100.00% (Default) | 3,477 | 618 | 4,095 | 38% | 2,723 | 100.00% | 6.2 | 50% | 1.6 | 2,861 | 105% | 1,076 | – | ||||||||||||||
Sub-total (all portfolios) | 316,554 | 269,063 | 585,617 | 21% | 372,573 | 1.38% | 1,176.2 | 30% | 2.2 | 103,795 | 28% | 1,798 | 1,076 | ||||||||||||||
Alternative treatment | |||||||||||||||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | 7 | – | – | – | – | 4 | – | – | – | ||||||||||||||
IRB - maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 366 | – | – | – | ||||||||||||||
Total (all portfolios and alternative treatment) | 316,554 | 269,063 | 585,617 | 21% | 372,580 | 1.38% | 1,176.2 | 30% | 2.2 | 104,165 | 28% | 1,798 | 1,076 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects RWA post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range | |||||||||||||||||||||||||||
end of 2Q20 |
Original on-balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Total exposures |
Average CCF |
EAD post- CRM and post-CCF |
1 |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 30,138 | 162 | 30,300 | 100% | 30,300 | 0.03% | < 0.1 | 4% | 1.2 | 411 | 1% | 0 | – | ||||||||||||||
0.15% to <0.25% | 0 | 0 | 0 | – | – | 0.22% | < 0.1 | 58% | 0.2 | 0 | 34% | 0 | – | ||||||||||||||
0.25% to <0.50% | 144 | 15 | 159 | 100% | 154 | 0.37% | < 0.1 | 53% | 2.7 | 121 | 79% | 0 | – | ||||||||||||||
0.75% to <2.50% | 74 | 54 | 128 | 50% | 100 | 1.64% | < 0.1 | 51% | 1.9 | 117 | 116% | 1 | – | ||||||||||||||
2.50% to <10.00% | 636 | 44 | 680 | 55% | 217 | 5.83% | < 0.1 | 49% | 2.4 | 405 | 186% | 7 | – | ||||||||||||||
10.00% to <100.00% | 176 | 0 | 176 | – | 62 | 28.23% | < 0.1 | 45% | 4.0 | 169 | 275% | 8 | – | ||||||||||||||
100.00% (Default) | 281 | 1 | 282 | 55% | 172 | 100.00% | < 0.1 | 58% | 1.1 | 182 | 106% | 109 | – | ||||||||||||||
Sub-total | 31,449 | 276 | 31,725 | 83% | 31,005 | 0.68% | 0.1 | 5% | 1.2 | 1,405 | 5% | 125 | 109 | ||||||||||||||
Institutions - Banks and securities dealer | |||||||||||||||||||||||||||
0.00% to <0.15% | 9,703 | 1,365 | 11,068 | 61% | 11,951 | 0.06% | 1.6 | 53% | 0.6 | 1,890 | 16% | 4 | – | ||||||||||||||
0.15% to <0.25% | 538 | 89 | 628 | 53% | 549 | 0.22% | 0.1 | 53% | 1.1 | 245 | 45% | 1 | – | ||||||||||||||
0.25% to <0.50% | 576 | 224 | 800 | 60% | 572 | 0.37% | 0.2 | 52% | 0.7 | 355 | 62% | 1 | – | ||||||||||||||
0.50% to <0.75% | 93 | 45 | 138 | 50% | 125 | 0.64% | 0.1 | 52% | 0.4 | 95 | 76% | 0 | – | ||||||||||||||
0.75% to <2.50% | 143 | 118 | 261 | 54% | 208 | 1.51% | 0.1 | 52% | 0.9 | 247 | 119% | 2 | – | ||||||||||||||
2.50% to <10.00% | 618 | 284 | 903 | 53% | 535 | 4.87% | 0.1 | 51% | 1.1 | 875 | 163% | 13 | – | ||||||||||||||
10.00% to <100.00% | 4 | 5 | 9 | 50% | 4 | 27.60% | < 0.1 | 51% | 0.0 | 10 | 271% | 1 | – | ||||||||||||||
100.00% (Default) | 7 | 0 | 7 | – | 7 | 100.00% | < 0.1 | 51% | 1.0 | 8 | 106% | 0 | – | ||||||||||||||
Sub-total | 11,683 | 2,130 | 13,813 | 59% | 13,951 | 0.35% | 2.2 | 53% | 0.7 | 3,725 | 27% | 21 | 0 | ||||||||||||||
Institutions - Other institutions | |||||||||||||||||||||||||||
0.00% to <0.15% | 462 | 1,000 | 1,462 | 2% | 546 | 0.04% | 0.4 | 43% | 1.9 | 90 | 16% | 0 | – | ||||||||||||||
0.15% to <0.25% | 4 | 247 | 250 | 1% | 5 | 0.20% | < 0.1 | 37% | 1.2 | 1 | 27% | 0 | – | ||||||||||||||
0.25% to <0.50% | 13 | 1 | 14 | 45% | 14 | 0.37% | < 0.1 | 58% | 2.4 | 11 | 80% | 0 | – | ||||||||||||||
0.50% to <0.75% | 0 | 0 | 0 | – | 0 | 0.58% | < 0.1 | 52% | 0.2 | 0 | 57% | 0 | – | ||||||||||||||
2.50% to <10.00% | 30 | 104 | 134 | 45% | 81 | 3.33% | < 0.1 | 8% | 4.1 | 23 | 28% | 0 | – | ||||||||||||||
10.00% to <100.00% | 9 | 52 | 61 | 45% | 33 | 19.31% | < 0.1 | 2% | 5.0 | 3 | 10% | 0 | – | ||||||||||||||
Sub-total | 518 | 1,405 | 1,922 | 7% | 679 | 1.37% | 0.5 | 37% | 2.3 | 128 | 19% | 0 | 0 | ||||||||||||||
Corporates - Specialized lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 7,106 | 1,692 | 8,799 | 44% | 7,851 | 0.06% | 0.8 | 29% | 2.1 | 1,615 | 21% | 1 | – | ||||||||||||||
0.15% to <0.25% | 4,278 | 1,786 | 6,064 | 37% | 4,933 | 0.21% | 0.8 | 26% | 2.3 | 1,864 | 38% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,589 | 1,056 | 3,645 | 42% | 3,028 | 0.37% | 0.5 | 30% | 1.8 | 1,500 | 50% | 3 | – | ||||||||||||||
0.50% to <0.75% | 2,550 | 2,047 | 4,597 | 34% | 3,334 | 0.58% | 0.3 | 32% | 1.5 | 1,700 | 51% | 6 | – | ||||||||||||||
0.75% to <2.50% | 8,045 | 2,942 | 10,987 | 39% | 9,206 | 1.51% | 0.7 | 17% | 2.8 | 4,318 | 47% | 22 | – | ||||||||||||||
2.50% to <10.00% | 3,095 | 52 | 3,147 | 37% | 3,114 | 4.02% | 0.2 | 10% | 3.3 | 1,097 | 35% | 13 | – | ||||||||||||||
10.00% to <100.00% | 69 | 155 | 224 | 45% | 139 | 13.56% | < 0.1 | 6% | 4.6 | 43 | 31% | 1 | – | ||||||||||||||
100.00% (Default) | 164 | 5 | 168 | 43% | 71 | 100.00% | < 0.1 | 41% | 1.8 | 75 | 106% | 95 | – | ||||||||||||||
Sub-total | 27,897 | 9,734 | 37,631 | 39% | 31,676 | 1.26% | 3.3 | 24% | 2.4 | 12,212 | 39% | 144 | 95 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects RWA post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range (continued) | |||||||||||||||||||||||||||
end of 2Q20 |
Original on-balance sheet gross exposure |
Off-balance sheet exposures pre CCF |
Total exposures |
Average CCF |
EAD post- CRM and post-CCF |
1 |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 14,521 | 48,016 | 62,537 | 40% | 36,043 | 0.07% | 3.1 | 40% | 2.4 | 8,522 | 24% | 10 | – | ||||||||||||||
0.15% to <0.25% | 4,580 | 9,862 | 14,442 | 37% | 8,205 | 0.21% | 1.3 | 39% | 2.3 | 3,255 | 40% | 7 | – | ||||||||||||||
0.25% to <0.50% | 4,533 | 6,846 | 11,379 | 36% | 6,814 | 0.37% | 1.8 | 37% | 2.3 | 3,455 | 51% | 9 | – | ||||||||||||||
0.50% to <0.75% | 4,906 | 4,564 | 9,470 | 42% | 6,507 | 0.62% | 1.3 | 37% | 2.6 | 4,306 | 66% | 15 | – | ||||||||||||||
0.75% to <2.50% | 9,898 | 6,696 | 16,594 | 42% | 12,280 | 1.47% | 2.2 | 36% | 2.9 | 11,471 | 93% | 65 | – | ||||||||||||||
2.50% to <10.00% | 10,797 | 9,535 | 20,332 | 48% | 13,825 | 5.66% | 1.7 | 32% | 3.1 | 23,072 | 167% | 239 | – | ||||||||||||||
10.00% to <100.00% | 1,315 | 649 | 1,964 | 46% | 1,333 | 20.95% | 0.1 | 33% | 2.7 | 3,384 | 254% | 93 | – | ||||||||||||||
100.00% (Default) | 1,935 | 460 | 2,395 | 31% | 1,573 | 100.00% | 0.2 | 50% | 1.7 | 1,618 | 103% | 486 | – | ||||||||||||||
Sub-total | 52,485 | 86,628 | 139,112 | 41% | 86,581 | 3.37% | 11.7 | 38% | 2.6 | 59,083 | 68% | 924 | 486 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 27,915 | 1,665 | 29,579 | 35% | 29,526 | 0.09% | 43.8 | 14% | 2.9 | 2,108 | 7% | 4 | – | ||||||||||||||
0.15% to <0.25% | 31,422 | 1,845 | 33,267 | 38% | 32,120 | 0.18% | 38.4 | 15% | 2.9 | 4,234 | 13% | 9 | – | ||||||||||||||
0.25% to <0.50% | 39,615 | 2,274 | 41,889 | 38% | 40,475 | 0.30% | 53.0 | 15% | 3.0 | 7,780 | 19% | 19 | – | ||||||||||||||
0.50% to <0.75% | 5,945 | 386 | 6,331 | 44% | 5,118 | 0.58% | 6.7 | 17% | 2.8 | 1,740 | 34% | 5 | – | ||||||||||||||
0.75% to <2.50% | 4,695 | 579 | 5,275 | 32% | 4,881 | 1.22% | 6.8 | 18% | 2.6 | 2,864 | 59% | 11 | – | ||||||||||||||
2.50% to <10.00% | 471 | 55 | 526 | 8% | 475 | 4.21% | 0.7 | 19% | 2.2 | 569 | 120% | 4 | – | ||||||||||||||
10.00% to <100.00% | 14 | 0 | 14 | – | 14 | 16.54% | < 0.1 | 14% | 2.4 | 27 | 189% | 0 | – | ||||||||||||||
100.00% (Default) | 637 | 8 | 645 | 74% | 611 | 100.00% | 0.3 | 18% | 1.5 | 648 | 106% | 32 | – | ||||||||||||||
Sub-total | 110,713 | 6,812 | 117,525 | 37% | 113,220 | 0.82% | 149.7 | 15% | 2.9 | 19,969 | 18% | 82 | 32 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 317 | 5,702 | 6,020 | 0% | 340 | 1.30% | 783.7 | 50% | 1.0 | 84 | 25% | 2 | – | ||||||||||||||
10.00% to <100.00% | 0 | 0 | 0 | – | 0 | 0% | 91.3 | 0% | 0.0 | 0 | 0% | 0 | – | ||||||||||||||
100.00% (Default) | 0 | 0 | 0 | – | 0 | 100.00% | 0.3 | 50% | 1.0 | 0 | 106% | 0 | – | ||||||||||||||
Sub-total | 317 | 5,703 | 6,020 | 0% | 340 | 1.30% | 875.3 | 50% | 1.0 | 84 | 25% | 2 | 0 | ||||||||||||||
Other retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 49,373 | 124,636 | 174,009 | 6% | 57,345 | 0.04% | 50.5 | 63% | 1.3 | 4,677 | 8% | 15 | – | ||||||||||||||
0.15% to <0.25% | 3,056 | 8,726 | 11,781 | 8% | 3,792 | 0.18% | 3.9 | 41% | 1.3 | 626 | 17% | 3 | – | ||||||||||||||
0.25% to <0.50% | 1,518 | 2,248 | 3,766 | 15% | 1,844 | 0.36% | 6.0 | 40% | 1.6 | 468 | 25% | 3 | – | ||||||||||||||
0.50% to <0.75% | 645 | 703 | 1,347 | 19% | 776 | 0.64% | 13.1 | 42% | 2.0 | 281 | 36% | 2 | – | ||||||||||||||
0.75% to <2.50% | 4,428 | 2,141 | 6,570 | 21% | 4,889 | 1.60% | 76.7 | 33% | 2.1 | 2,077 | 42% | 26 | – | ||||||||||||||
2.50% to <10.00% | 4,061 | 664 | 4,724 | 22% | 4,204 | 5.16% | 82.8 | 39% | 2.7 | 2,592 | 62% | 86 | – | ||||||||||||||
10.00% to <100.00% | 132 | 6 | 138 | 25% | 134 | 27.89% | 1.4 | 38% | 1.6 | 134 | 100% | 15 | – | ||||||||||||||
100.00% (Default) | 581 | 52 | 632 | 62% | 479 | 100.00% | 5.3 | 86% | 1.7 | 508 | 106% | 375 | – | ||||||||||||||
Sub-total | 63,793 | 139,174 | 202,967 | 7% | 73,463 | 1.16% | 239.7 | 58% | 1.5 | 11,362 | 15% | 524 | 375 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 139,217 | 178,536 | 317,753 | 17% | 173,563 | 0.05% | 100.3 | 37% | 1.8 | 19,313 | 11% | 33 | – | ||||||||||||||
0.15% to <0.25% | 43,877 | 22,554 | 66,431 | 25% | 49,604 | 0.19% | 44.4 | 23% | 2.6 | 10,225 | 21% | 21 | – | ||||||||||||||
0.25% to <0.50% | 48,988 | 12,664 | 61,652 | 34% | 52,900 | 0.32% | 61.4 | 20% | 2.8 | 13,691 | 26% | 35 | – | ||||||||||||||
0.50% to <0.75% | 14,139 | 7,745 | 21,883 | 38% | 15,861 | 0.60% | 21.6 | 30% | 2.4 | 8,123 | 51% | 29 | – | ||||||||||||||
0.75% to <2.50% | 27,601 | 18,233 | 45,834 | 26% | 31,905 | 1.46% | 870.3 | 28% | 2.7 | 21,178 | 66% | 130 | – | ||||||||||||||
2.50% to <10.00% | 19,708 | 10,738 | 30,446 | 46% | 22,451 | 5.28% | 85.5 | 30% | 3.0 | 28,631 | 128% | 362 | – | ||||||||||||||
10.00% to <100.00% | 1,720 | 866 | 2,586 | 45% | 1,718 | 21.10% | 92.8 | 31% | 2.9 | 3,770 | 219% | 117 | – | ||||||||||||||
100.00% (Default) | 3,604 | 526 | 4,130 | 35% | 2,913 | 100.00% | 6.1 | 49% | 1.6 | 3,039 | 104% | 1,097 | – | ||||||||||||||
Sub-total (all portfolios) | 298,855 | 251,861 | 550,716 | 21% | 350,916 | 1.53% | 1,282.4 | 31% | 2.2 | 107,970 | 31% | 1,823 | 1,097 | ||||||||||||||
Alternative treatment | |||||||||||||||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | 14 | – | – | – | – | 12 | – | – | – | ||||||||||||||
IRB - maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 1,312 | – | – | – | ||||||||||||||
Total (all portfolios and alternative treatment) | 298,855 | 251,861 | 550,716 | 21% | 350,930 | 1.53% | 1,282.4 | 31% | 2.2 | 109,294 | 31% | 1,823 | 1,097 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects RWA post CCF.
|
CR7 – Effect on risk-weighted assets of credit derivatives used as CRM techniques | |||||||||
4Q20 | 2Q20 | ||||||||
end of |
Pre-credit derivatives RWA |
Actual RWA |
Pre-credit derivatives RWA |
Actual RWA |
|||||
CHF million | |||||||||
Sovereigns - A-IRB | 1,639 | 1,639 | 1,405 | 1,405 | |||||
Institutions - Banks and securities dealers - A-IRB | 4,158 | 4,066 | 3,822 | 3,728 | |||||
Institutions - Other institutions - A-IRB | 152 | 152 | 128 | 128 | |||||
Corporates - Specialized lending - A-IRB | 16,860 | 16,860 | 16,508 | 16,508 | |||||
Corporates without specialized lending - A-IRB | 53,893 | 53,817 | 59,148 | 59,092 | |||||
Residential mortgages | 19,763 | 19,763 | 19,969 | 19,969 | |||||
Qualifying revolving retail | 79 | 79 | 84 | 84 | |||||
Other retail | 11,669 | 11,669 | 11,362 | 11,362 | |||||
Maturity and export finance buffer - IRB | 366 | 366 | 1,312 | 1,312 | |||||
Total | 108,579 | 108,411 | 113,739 | 113,589 | |||||
Includes RWA related to the A-IRB approach and supervisory slotting approach.
|
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB | |||
4Q20 | |||
CHF million | |||
Risk-weighted assets at beginning of period | 109,475 | ||
Asset size | 3,021 | ||
Asset quality | (585) | ||
Model and parameter updates | (1,479) | ||
Foreign exchange impact | (2,021) | ||
Risk-weighted assets at end of period | 108,411 | ||
Includes RWA related to the A-IRB approach and supervisory slotting approach.
|
Definition of risk-weighted assets movement components related to credit risk and CCR | |||
Description | Definition | ||
Asset size |
Represents changes on the portfolio size arising in the ordinary course of business (including new businesses). Asset size also includes movements arising from the application of the comprehensive approach with regard to the treatment of financial collateral |
||
Asset quality/credit quality of counterparties | Represents changes in average risk weighting across credit risk classes | ||
Model and parameter updates |
Represents movements arising from internally driven or externally mandated updates to models and recalibrations of model parameters specific only to Credit Suisse |
||
Methodology and policy changes |
Represents movements arising from externally mandated regulatory methodology and policy changes to accounting and exposure classification and treatment policies not specific only to Credit Suisse |
||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
CR9 - Backtesting of PD per portfolio | |||||||||||||||||||||
Number of obligors (thousands) |
|||||||||||||||||||||
Master scale from CRM S&P |
Master scale from CRM Fitch |
Master scale from CRM Moody |
Weighted average PD |
Arithmetic average PD by obligors |
1 |
End of previous year |
End of the year |
Defaulted obligors in the year |
2 |
of which: new defaulted obligors in the year |
2 |
Average historical annual default rate |
2 | ||||||||
Sovereigns | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.02% | 0.03% | 0.1 | < 0.1 | 0 | 0 | 0.04% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.22% | 0.21% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.37% | 0.37% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.64% | 0.59% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.40% | 1.49% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 6.45% | 6.61% | < 0.1 | < 0.1 | 0 | 0 | 1.02% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | – | – | – | < 0.1 | – | – | – | |||||||||||
Institutions - Banks and securities dealer | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.06% | 0.07% | 0.7 | 1.6 | 0 | 0 | 0.03% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.22% | 0.22% | 0.1 | 0.1 | 0 | 0 | 0.15% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.37% | 0.37% | 0.2 | 0.2 | 0 | 0 | 0.29% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.60% | 0.60% | 0.1 | 0.1 | 0 | 0 | 0.19% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.25% | 1.24% | 0.2 | 0.1 | 0 | 0 | 0.13% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 4.92% | 5.20% | 0.1 | 0.1 | 0 | 0 | 0.62% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 16.44% | 18.41% | < 0.1 | < 0.1 | 0 | 0 | 2.48% | |||||||||||
Institutions - Other institutions | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.04% | 0.05% | 0.4 | 0.4 | 0 | 0 | 0.00% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.21% | 0.20% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.36% | 0.37% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.58% | 0.58% | 0.1 | < 0.1 | 0 | 0 | 0.08% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.03% | 1.32% | < 0.1 | < 0.1 | 0 | 0 | 0.00% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 5.08% | 4.46% | < 0.1 | < 0.1 | – | – | – | |||||||||||
Corporates - Specialized lending | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.06% | 0.07% | 0.9 | 0.8 | 0 | 0 | 0.01% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.22% | 0.20% | 0.7 | 0.7 | 0 | 0 | 0.03% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.37% | 0.37% | 0.6 | 0.5 | 0 | 0 | 0.04% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.58% | 0.60% | 0.4 | 0.3 | 1 | 0 | 0.17% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.33% | 1.33% | 0.8 | 0.8 | 1 | 0 | 0.39% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 4.59% | 4.18% | 0.1 | 0.2 | 6 | 1 | 4.53% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 14.08% | 14.94% | < 0.1 | < 0.1 | 0 | 0 | 18.81% | |||||||||||
1
The number of obligors used in the calculation is based on the transactional-based approach.
|
|||||||||||||||||||||
2
Reflects risk data where prudential portfolios are not captured. Accordingly for these columns approximations are required. For the qualifying revolving retail portfolio - CR7 (PD range 10.00% to <100.00%), no results are reported as portfolio in that scope has moved to standardized approach in 2020. Further, fast defaults are in tendency understated since capturing of fast defaults is not available for all clients in risk data. Underlying default rates are determined on client level, i.e. a client can have more than one transaction/credit.
|
CR9 - Backtesting of PD per portfolio (continued) | |||||||||||||||||||||
Number of obligors (thousands) |
|||||||||||||||||||||
Master scale from CRM S&P |
Master scale from CRM Fitch |
Master scale from CRM Moody |
Weighted average PD |
Arithmetic average PD by obligors |
1 |
End of previous year |
End of the year |
Defaulted obligors in the year |
2 |
of which: new defaulted obligors in the year |
2 |
Average historical annual default rate |
2 | ||||||||
Corporates without specialized lending | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.07% | 0.07% | 2.9 | 2.7 | 0 | 0 | 0.03% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.21% | 0.20% | 1.3 | 1.2 | 0 | 0 | 0.10% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.37% | 0.37% | 1.8 | 1.7 | 1 | 0 | 0.11% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.62% | 0.63% | 1.4 | 1.3 | 5 | 0 | 0.25% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.51% | 1.29% | 3.0 | 1.9 | 16 | 1 | 0.76% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 5.54% | 4.65% | 2.4 | 1.6 | 42 | 1 | 1.93% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 17.41% | 19.75% | 0.1 | 0.1 | 9 | 1 | 12.77% | |||||||||||
Residential mortgages | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.08% | 0.08% | 46.4 | 43.5 | 5 | 0 | 0.02% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.18% | 0.18% | 40.1 | 38.2 | 13 | 0 | 0.04% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.31% | 0.31% | 48.3 | 52.9 | 19 | 0 | 0.06% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.59% | 0.60% | 6.8 | 6.9 | 12 | 0 | 0.14% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.24% | 1.29% | 6.8 | 7.0 | 24 | 1 | 0.27% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 4.42% | 4.45% | 0.8 | 0.8 | 16 | 0 | 3.85% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 17.83% | 17.54% | 0.1 | < 0.1 | 11 | 1 | 18.27% | |||||||||||
Qualifying revolving retail | |||||||||||||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.30% | 1.30% | 808.3 | 794.4 | 5,571 | 0 | 1.03% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 25.00% | 25.00% | 93.3 | 96.0 | – | – | – | |||||||||||
Other retail | |||||||||||||||||||||
0.00% to <0.15% | AAA to BBB+ | AAA to BBB+ | Aaa to Baa1 | 0.04% | 0.04% | 49.9 | 50.1 | 7 | 1 | 0.05% | |||||||||||
0.15% to <0.25% | BBB | BBB | Baa2 | 0.19% | 0.19% | 3.6 | 3.6 | 0 | 0 | 0.25% | |||||||||||
0.25% to <0.50% | BBB- | BBB- | Baa3 | 0.36% | 0.36% | 5.6 | 5.8 | 36 | 0 | 0.82% | |||||||||||
0.50% to <0.75% | BB+ | BB+ | Ba1 | 0.61% | 0.60% | 11.6 | 11.8 | 0 | 0 | 0.14% | |||||||||||
0.75% to <2.50% | BB to BB- | BB to BB- | Ba2 to Ba3 | 1.62% | 1.68% | 80.6 | 84.3 | 1,251 | 140 | 1.00% | |||||||||||
2.50% to <10.00% | B+ to B- | B+ to B- | B1 to B3 | 5.19% | 5.43% | 85.0 | 84.2 | 2,945 | 295 | 3.51% | |||||||||||
10.00% to <100.00% | CCC+ to CC | CCC+ to CC | Caa1 to Ca | 14.02% | 18.07% | 0.3 | 0.4 | 1 | 0 | 0.00% | |||||||||||
1
The number of obligors used in the calculation is based on the transactional-based approach.
|
|||||||||||||||||||||
2
Reflects risk data where prudential portfolios are not captured. Accordingly for these columns approximations are required. For the qualifying revolving retail portfolio - CR7 (PD range 10.00% to <100.00%), no results are reported as portfolio in that scope has moved to standardized approach in 2020. Further, fast defaults are in tendency understated since capturing of fast defaults is not available for all clients in risk data. Underlying default rates are determined on client level, i.e. a client can have more than one transaction/credit.
|
CR10 – Specialized lending | |||||||||||||||
end of |
|
On- balance sheet amount |
Off- balance sheet amount |
Risk weight |
Exposure amount |
1 |
RWA |
Expected losses |
|||||||
4Q20 (CHF million, except where indicated) | |||||||||||||||
Other than high-volatility commercial real estate | |||||||||||||||
Regulatory categories and remaining maturity | |||||||||||||||
Strong | Less than 2.5 years | 195 | 745 | 50% | 604 | 320 | 0 | ||||||||
Equal to or more than 2.5 years | 539 | 426 | 70% | 776 | 576 | 3 | |||||||||
Good | Less than 2.5 years | 704 | 142 | 70% | 782 | 580 | 3 | ||||||||
Equal to or more than 2.5 years | 946 | 336 | 90% | 1,122 | 1,070 | 9 | |||||||||
Satisfactory | 852 | 51 | 115% | 2 | 881 | 1,074 | 25 | ||||||||
Weak | 51 | 59 | 250% | 84 | 222 | 7 | |||||||||
Default | 56 | 0 | – | 56 | 0 | 28 | |||||||||
Total | 3,343 | 1,759 | – | 4,305 | 3,842 | 75 | |||||||||
High-volatility commercial real estate | |||||||||||||||
Regulatory categories and remaining maturity | |||||||||||||||
Good | Equal to or more than 2.5 years | 3 | 11 | 120% | 9 | 11 | 0 | ||||||||
Satisfactory | 38 | 0 | 140% | 38 | 56 | 1 | |||||||||
Weak | 90 | 67 | 250% | 127 | 337 | 10 | |||||||||
Default | 0 | 2 | – | 2 | 0 | 1 | |||||||||
Total | 131 | 80 | – | 176 | 404 | 12 | |||||||||
2Q20 (CHF million, except where indicated) | |||||||||||||||
Other than high-volatility commercial real estate | |||||||||||||||
Regulatory categories and remaining maturity | |||||||||||||||
Strong | Less than 2.5 years | 190 | 445 | 50% | 434 | 230 | 0 | ||||||||
Equal to or more than 2.5 years | 580 | 444 | 70% | 825 | 612 | 3 | |||||||||
Good | Less than 2.5 years | 436 | 218 | 70% | 556 | 412 | 2 | ||||||||
Equal to or more than 2.5 years | 758 | 168 | 90% | 850 | 811 | 7 | |||||||||
Satisfactory | 1,122 | 75 | 115% | 2 | 1,163 | 1,417 | 33 | ||||||||
Weak | 124 | 44 | 250% | 148 | 393 | 12 | |||||||||
Default | 32 | 0 | – | 32 | 0 | 16 | |||||||||
Total | 3,240 | 1,394 | – | 4,008 | 3,876 | 73 | |||||||||
High-volatility commercial real estate | |||||||||||||||
Regulatory categories and remaining maturity | |||||||||||||||
Strong | Equal to or more than 2.5 years | 41 | 48 | 95% | 67 | 67 | 0 | ||||||||
Good | Equal to or more than 2.5 years | 23 | 13 | 120% | 31 | 40 | 0 | ||||||||
Satisfactory | 36 | 0 | 140% | 36 | 54 | 1 | |||||||||
Weak | 98 | 0 | 250% | 98 | 258 | 8 | |||||||||
Default | 11 | 2 | – | 13 | 0 | 6 | |||||||||
Total | 208 | 64 | – | 244 | 419 | 15 | |||||||||
1
Exposure amounts in connection with IPRE.
|
|||||||||||||||
2
For a portion of the exposure, a risk weight of 120% is applied.
|
CR10 – Equity positions in the banking book under the simple risk-weight approach | |||||||||||
end of |
On-balance sheet amount |
Off-balance sheet amount |
Risk weight |
Exposure amount |
RWA |
||||||
4Q20 (CHF million) | |||||||||||
Exchange-traded equity exposures | 54 | 0 | 300% | 54 | 173 | ||||||
Other equity exposures | 1,003 | 0 | 400% | 1,003 | 4,254 | ||||||
Total | 1,057 | 0 | – | 1,057 | 4,427 | ||||||
2Q20 (CHF million) | |||||||||||
Exchange-traded equity exposures | 52 | 0 | 300% | 52 | 165 | ||||||
Other equity exposures | 1,435 | 0 | 400% | 1,435 | 6,085 | ||||||
Total | 1,487 | 0 | – | 1,487 | 6,250 | ||||||
Equity investments in funds exposures of CHF 885 million are not included in the above table.
|
CCR1 – Analysis of counterparty credit risk exposure by approach | |||||||||||||
end of |
Re-placement cost |
PFE |
EEPE |
Alpha used for computing regulatory EAD |
EAD post-CRM |
RWA |
|||||||
4Q20 (CHF million, except where indicated) | |||||||||||||
SA-CCR (for derivatives) | 2,939 | 5,098 | – | 1.4 | 11,251 | 4,120 | |||||||
IMM (for derivatives) | – | – | 19,764 | 1.6 | 1 | 31,410 | 10,950 | ||||||
Comprehensive Approach for CRM (for SFTs) | – | – | – | – | 0 | 0 | |||||||
VaR for SFTs | – | – | – | – | 34,467 | 5,499 | |||||||
Total | – | – | – | – | 77,128 | 20,569 | |||||||
2Q20 (CHF million, except where indicated) | |||||||||||||
SA-CCR (for derivatives) | 2,782 | 4,815 | – | 1.4 | 10,636 | 3,669 | |||||||
IMM (for derivatives) | – | – | 22,226 | 1.6 | 1 | 35,401 | 9,601 | ||||||
Comprehensive Approach for CRM (for SFTs) | – | – | – | – | 2 | 1 | |||||||
VaR for SFTs | – | – | – | – | 51,201 | 9,334 | |||||||
Total | – | – | – | – | 97,240 | 22,605 | |||||||
1
Alpha factor is set equal to 1.0 in case of wrong way risk.
|
CCR2 – CVA capital charge | |||||||||
4Q20 | 2Q20 | ||||||||
end of |
EAD post-CRM |
RWA |
EAD post-CRM |
RWA |
|||||
CHF million | |||||||||
Total portfolios subject to the advanced CVA capital charge | 39,771 | 8,368 | 44,355 | 15,078 | |||||
of which VaR component (including the 3 x multiplier) | – | 2,112 | – | 7,582 | |||||
of which stressed VaR component (including the 3 x multiplier) | – | 6,256 | – | 7,496 | |||||
All portfolios subject to the standardized CVA capital charge | 110 | 130 | 165 | 265 | |||||
Total subject to the CVA capital charge | 39,881 | 8,498 | 44,520 | 15,343 | |||||
EAD post-CRM is disclosed as of the end of the period (end of day), whereas the RWA is an average as of the last 12 weeks.
|
CCR3 – CCR exposures by regulatory portfolio and risk weight - standardized approach | |||||||||||||||
Risk weight | |||||||||||||||
end of |
0% |
20% |
50% |
75% |
100% |
150% |
Exposures post-CCF and CRM |
||||||||
4Q20 (CHF million) | |||||||||||||||
Sovereigns | 451 | 0 | 0 | 0 | 0 | 0 | 451 | ||||||||
Institutions - Banks and securities dealer | 0 | 243 | 485 | 0 | 1 | 3 | 732 | ||||||||
Institutions - Other institutions | 0 | 0 | 274 | 0 | 0 | 0 | 274 | ||||||||
Corporates | 0 | 138 | 8 | 0 | 1,254 | 40 | 1,440 | ||||||||
Retail | 0 | 0 | 0 | 55 | 324 | 0 | 379 | ||||||||
Other exposures | 0 | 0 | 0 | 0 | 248 | 0 | 248 | ||||||||
Total | 451 | 381 | 767 | 55 | 1,827 | 43 | 3,524 | ||||||||
2Q20 (CHF million) | |||||||||||||||
Sovereigns | 689 | 0 | 0 | 0 | 2 | 0 | 691 | ||||||||
Institutions - Banks and securities dealer | 0 | 369 | 495 | 0 | 1 | 41 | 906 | ||||||||
Institutions - Other institutions | 0 | 0 | 296 | 0 | 1 | 0 | 297 | ||||||||
Corporates | 0 | 199 | 11 | 0 | 1,591 | 26 | 1,827 | ||||||||
Retail | 0 | 0 | 0 | 57 | 231 | 0 | 288 | ||||||||
Other exposures | 0 | 0 | 0 | 0 | 672 | 0 | 672 | ||||||||
Total | 689 | 568 | 802 | 57 | 2,498 | 67 | 4,681 |
CCR4 – CCR exposures by portfolio and PD scale - IRB models | |||||||||||||||
end of 4Q20 |
EAD post- CRM |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 2,253 | 0.03% | < 0.1 | 49% | 0.5 | 144 | 6% | ||||||||
0.15% to <0.25% | 0 | 0.22% | < 0.1 | 58% | 1.0 | 0 | 44% | ||||||||
0.25% to <0.50% | 122 | 0.37% | < 0.1 | 41% | 1.0 | 52 | 42% | ||||||||
2.50% to <10.00% | 199 | 3.25% | < 0.1 | 41% | 1.0 | 217 | 109% | ||||||||
Sub-total | 2,574 | 0.29% | < 0.1 | 48% | 0.6 | 413 | 16% | ||||||||
Institutions - Banks and securities dealer | |||||||||||||||
0.00% to <0.15% | 13,757 | 0.06% | 0.4 | 58% | 0.7 | 2,739 | 20% | ||||||||
0.15% to <0.25% | 522 | 0.22% | 0.1 | 59% | 0.9 | 271 | 52% | ||||||||
0.25% to <0.50% | 525 | 0.37% | 0.1 | 58% | 0.6 | 335 | 64% | ||||||||
0.50% to <0.75% | 122 | 0.64% | < 0.1 | 51% | 0.3 | 83 | 68% | ||||||||
0.75% to <2.50% | 236 | 1.56% | 0.1 | 54% | 0.4 | 267 | 113% | ||||||||
2.50% to <10.00% | 163 | 5.07% | 0.1 | 53% | 0.8 | 268 | 164% | ||||||||
10.00% to <100.00% | 22 | 27.35% | < 0.1 | 58% | 1.0 | 71 | 322% | ||||||||
Sub-total | 15,347 | 0.20% | 0.8 | 58% | 0.7 | 4,034 | 26% | ||||||||
Institutions - Other institutions | |||||||||||||||
0.00% to <0.15% | 96 | 0.04% | < 0.1 | 11% | 0.7 | 3 | 3% | ||||||||
Sub-total | 96 | 0.04% | < 0.1 | 11% | 0.7 | 3 | 3% | ||||||||
Corporates - Specialized lending | |||||||||||||||
0.50% to <0.75% | 4 | 0.58% | < 0.1 | 50% | 1.0 | 2 | 66% | ||||||||
0.75% to <2.50% | 23 | 2.03% | < 0.1 | 50% | 1.0 | 26 | 113% | ||||||||
2.50% to <10.00% | 14 | 3.91% | < 0.1 | 50% | 1.0 | 19 | 140% | ||||||||
Sub-total | 41 | 2.55% | < 0.1 | 50% | 1.0 | 47 | 118% |
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued) | |||||||||||||||
end of 4Q20 |
EAD post- CRM |
Average PD |
Number obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 42,043 | 0.05% | 9.2 | 48% | 0.5 | 4,745 | 11% | ||||||||
0.15% to <0.25% | 1,988 | 0.21% | 0.7 | 49% | 0.9 | 748 | 38% | ||||||||
0.25% to <0.50% | 1,337 | 0.37% | 0.7 | 54% | 0.9 | 780 | 58% | ||||||||
0.50% to <0.75% | 587 | 0.63% | 0.3 | 71% | 0.8 | 654 | 111% | ||||||||
0.75% to <2.50% | 2,205 | 1.50% | 1.1 | 65% | 0.8 | 3,202 | 145% | ||||||||
2.50% to <10.00% | 1,287 | 5.92% | 0.6 | 44% | 1.0 | 2,563 | 199% | ||||||||
10.00% to <100.00% | 26 | 16.44% | < 0.1 | 42% | 1.0 | 70 | 269% | ||||||||
100.00% (Default) | 18 | 100.00% | < 0.1 | 39% | 1.0 | 19 | 106% | ||||||||
Sub-total | 49,491 | 0.33% | 12.6 | 49% | 0.5 | 12,781 | 26% | ||||||||
Other retail | |||||||||||||||
0.00% to <0.15% | 5,058 | 0.06% | 6.1 | 67% | 1.6 | 628 | 12% | ||||||||
0.15% to <0.25% | 497 | 0.17% | 0.5 | 21% | 1.2 | 41 | 8% | ||||||||
0.25% to <0.50% | 194 | 0.28% | 0.3 | 60% | 1.2 | 63 | 32% | ||||||||
0.50% to <0.75% | 14 | 0.56% | 0.3 | 29% | 2.2 | 3 | 23% | ||||||||
0.75% to <2.50% | 103 | 1.79% | 0.1 | 12% | 3.6 | 15 | 14% | ||||||||
2.50% to <10.00% | 133 | 5.43% | < 0.1 | 56% | 1.8 | 117 | 88% | ||||||||
10.00% to <100.00% | 0 | 15.86% | < 0.1 | 35% | 0.6 | 0 | 67% | ||||||||
100.00% (Default) | 4 | 100.00% | < 0.1 | 31% | 1.0 | 4 | 106% | ||||||||
Sub-total | 6,003 | 0.29% | 7.4 | 62% | 1.6 | 871 | 15% | ||||||||
Total (all portfolios) | |||||||||||||||
0.00% to <0.15% | 63,207 | 0.05% | 15.8 | 52% | 0.6 | 8,259 | 13% | ||||||||
0.15% to <0.25% | 3,007 | 0.20% | 1.3 | 46% | 1.0 | 1,060 | 35% | ||||||||
0.25% to <0.50% | 2,178 | 0.36% | 1.1 | 55% | 0.9 | 1,230 | 56% | ||||||||
0.50% to <0.75% | 727 | 0.63% | 0.7 | 66% | 0.8 | 742 | 102% | ||||||||
0.75% to <2.50% | 2,567 | 1.52% | 1.3 | 62% | 0.9 | 3,510 | 137% | ||||||||
2.50% to <10.00% | 1,796 | 5.50% | 0.7 | 46% | 1.0 | 3,184 | 177% | ||||||||
10.00% to <100.00% | 48 | 21.40% | < 0.1 | 49% | 1.0 | 141 | 292% | ||||||||
100.00% (Default) | 22 | 100.00% | < 0.1 | 38% | 1.0 | 23 | 106% | ||||||||
Total (all portfolios) | 73,552 | 0.30% | 20.9 | 52% | 0.6 | 18,149 | 25% | ||||||||
SA-CCR phase-in relief 1 | – | – | – | – | – | – | |||||||||
Total (all portfolios including SA-CCR phase-in relief) | 73,552 | 0.30% | 20.9 | 52% | 0.6 | 18,149 | 25% | ||||||||
1
In response to the COVID-19 pandemic, FINMA has advised the Group that it may phase in the impact that arises from certain Basel III revisions to the capital requirements equally throughout 2020.
|
CCR4 – CCR exposures by portfolio and PD scale - IRB models | |||||||||||||||
end of 2Q20 |
EAD post- CRM |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 2,742 | 0.03% | < 0.1 | 48% | 0.3 | 121 | 4% | ||||||||
0.15% to <0.25% | 0 | 0.22% | < 0.1 | 58% | 1.0 | 0 | 44% | ||||||||
0.25% to <0.50% | 164 | 0.37% | < 0.1 | 44% | 0.8 | 71 | 44% | ||||||||
0.75% to <2.50% | 0 | 1.10% | < 0.1 | 42% | 1.0 | 0 | 75% | ||||||||
2.50% to <10.00% | 250 | 3.75% | < 0.1 | 44% | 0.8 | 299 | 120% | ||||||||
Sub-total | 3,156 | 0.34% | < 0.1 | 47% | 0.4 | 492 | 16% | ||||||||
Institutions - Banks and securities dealer | |||||||||||||||
0.00% to <0.15% | 16,130 | 0.06% | 0.4 | 58% | 0.6 | 3,104 | 19% | ||||||||
0.15% to <0.25% | 498 | 0.22% | < 0.1 | 60% | 0.8 | 238 | 48% | ||||||||
0.25% to <0.50% | 723 | 0.37% | < 0.1 | 58% | 0.7 | 473 | 65% | ||||||||
0.50% to <0.75% | 198 | 0.64% | < 0.1 | 50% | 0.4 | 133 | 67% | ||||||||
0.75% to <2.50% | 378 | 1.78% | < 0.1 | 54% | 0.3 | 449 | 119% | ||||||||
2.50% to <10.00% | 227 | 4.30% | < 0.1 | 53% | 0.4 | 339 | 149% | ||||||||
10.00% to <100.00% | 23 | 27.24% | < 0.1 | 58% | 0.9 | 73 | 321% | ||||||||
Sub-total | 18,177 | 0.21% | 0.8 | 58% | 0.6 | 4,808 | 26% | ||||||||
Institutions - Other institutions | |||||||||||||||
0.00% to <0.15% | 139 | 0.04% | < 0.1 | 28% | 0.8 | 11 | 8% | ||||||||
0.15% to <0.25% | 6 | 0.16% | < 0.1 | 0% | 0.2 | 0 | 0% | ||||||||
Sub-total | 145 | 0.04% | < 0.1 | 27% | 0.8 | 11 | 8% | ||||||||
Corporates - Specialized lending | |||||||||||||||
0.75% to <2.50% | 38 | 1.84% | < 0.1 | 50% | 1.0 | 40 | 107% | ||||||||
2.50% to <10.00% | 17 | 3.71% | < 0.1 | 50% | 1.0 | 23 | 139% | ||||||||
Sub-total | 55 | 2.42% | < 0.1 | 50% | 1.0 | 64 | 117% |
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued) | |||||||||||||||
end of 2Q20 |
EAD post- CRM |
Average PD |
Number of obligors (thousands) |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 57,570 | 0.05% | 10.1 | 49% | 0.4 | 6,179 | 11% | ||||||||
0.15% to <0.25% | 2,275 | 0.21% | 1.0 | 48% | 1.0 | 831 | 37% | ||||||||
0.25% to <0.50% | 1,571 | 0.37% | 0.9 | 60% | 0.9 | 1,058 | 67% | ||||||||
0.50% to <0.75% | 841 | 0.64% | 0.8 | 69% | 0.7 | 919 | 109% | ||||||||
0.75% to <2.50% | 2,619 | 1.48% | 1.4 | 73% | 0.7 | 4,239 | 162% | ||||||||
2.50% to <10.00% | 1,365 | 5.56% | 0.7 | 43% | 1.0 | 3,107 | 228% | ||||||||
10.00% to <100.00% | 36 | 18.78% | < 0.1 | 39% | 1.0 | 105 | 290% | ||||||||
100.00% (Default) | 6 | 100.00% | < 0.1 | 50% | 1.0 | 6 | 106% | ||||||||
Sub-total | 66,283 | 0.26% | 15.0 | 50% | 0.5 | 16,445 | 25% | ||||||||
Other retail | |||||||||||||||
0.00% to <0.15% | 3,707 | 0.06% | 5.0 | 64% | 1.5 | 445 | 12% | ||||||||
0.15% to <0.25% | 585 | 0.17% | 0.5 | 27% | 1.3 | 65 | 11% | ||||||||
0.25% to <0.50% | 205 | 0.32% | 1.0 | 75% | 1.0 | 86 | 42% | ||||||||
0.50% to <0.75% | 24 | 0.57% | 4.7 | 41% | 1.7 | 8 | 34% | ||||||||
0.75% to <2.50% | 55 | 1.19% | 0.6 | 48% | 1.1 | 30 | 54% | ||||||||
2.50% to <10.00% | 89 | 4.48% | 0.2 | 52% | 1.0 | 71 | 80% | ||||||||
10.00% to <100.00% | 0 | 12.46% | < 0.1 | 65% | 1.0 | 0 | 125% | ||||||||
100.00% (Default) | 4 | 100.00% | < 0.1 | 31% | 1.0 | 4 | 106% | ||||||||
Sub-total | 4,669 | 0.27% | 12.0 | 59% | 1.4 | 709 | 15% | ||||||||
Total (all portfolios) | |||||||||||||||
0.00% to <0.15% | 80,288 | 0.05% | 15.7 | 52% | 0.5 | 9,860 | 12% | ||||||||
0.15% to <0.25% | 3,364 | 0.21% | 1.6 | 46% | 1.0 | 1,133 | 34% | ||||||||
0.25% to <0.50% | 2,663 | 0.37% | 2.0 | 59% | 0.8 | 1,688 | 63% | ||||||||
0.50% to <0.75% | 1,063 | 0.64% | 5.6 | 65% | 0.7 | 1,061 | 100% | ||||||||
0.75% to <2.50% | 3,090 | 1.51% | 2.2 | 70% | 0.7 | 4,758 | 154% | ||||||||
2.50% to <10.00% | 1,948 | 5.12% | 1.0 | 45% | 0.9 | 3,840 | 197% | ||||||||
10.00% to <100.00% | 59 | 22.05% | < 0.1 | 46% | 1.0 | 178 | 302% | ||||||||
100.00% (Default) | 10 | 100.00% | < 0.1 | 42% | 1.0 | 10 | 106% | ||||||||
Total (all portfolios) | 92,485 | 0.25% | 28.0 | 52% | 0.5 | 22,529 | 24% | ||||||||
SA-CCR phase-in relief 1 | – | – | – | – | – | (3,129) | – | ||||||||
Total (all portfolios including SA-CCR phase-in relief) | 92,485 | 0.25% | 28.0 | 52% | 0.5 | 19,400 | 21% | ||||||||
1
In response to the COVID-19 pandemic, FINMA has advised the Group that it may phase in the impact that arises from certain Basel III revisions to the capital requirements equally throughout 2020.
|
CCR5 – Composition of collateral for CCR exposure | |||||||||||||||||
Collateral used in derivative transactions | Collateral used in SFTs | ||||||||||||||||
Fair value of collateral received |
Fair value of posted collateral |
Fair value of collateral received |
Fair value of posted collateral |
||||||||||||||
end of | Segregated | Unsegregated | Total | Segregated | Unsegregated | Total | |||||||||||
4Q20 (CHF million) | |||||||||||||||||
Cash - domestic currency | 0 | 7,181 | 7,181 | 0 | 2,511 | 2,511 | 304 | 3,944 | |||||||||
Cash - other currencies | 0 | 54,962 | 54,962 | 608 | 50,834 | 51,442 | 94,558 | 94,005 | |||||||||
Domestic sovereign debt | 0 | 56 | 56 | 0 | 0 | 0 | 2,314 | 143 | |||||||||
Other sovereign debt | 0 | 21,959 | 21,959 | 4,575 | 15,531 | 20,106 | 144,882 | 82,427 | |||||||||
Government agency debt | 0 | 88 | 88 | 0 | 7 | 7 | 1,314 | 3,390 | |||||||||
Corporate bonds | 0 | 9,677 | 9,677 | 0 | 317 | 317 | 60,355 | 29,459 | |||||||||
Equity securities | 0 | 30,725 | 30,725 | 1,216 | 1,218 | 2,434 | 232,220 | 1 | 157,929 | 1 | |||||||
Other collateral | 0 | 4,044 | 4,044 | 5 | 44 | 49 | 27,244 | 13,098 | |||||||||
Total | 0 | 128,692 | 128,692 | 6,404 | 70,462 | 76,866 | 563,191 | 384,395 | |||||||||
2Q20 (CHF million) | |||||||||||||||||
Cash - domestic currency | 0 | 7,001 | 7,001 | 0 | 2,957 | 2,957 | 389 | 5,661 | |||||||||
Cash - other currencies | 0 | 58,136 | 58,136 | 639 | 54,608 | 55,247 | 104,158 | 130,398 | |||||||||
Domestic sovereign debt | 0 | 96 | 96 | 0 | 33 | 33 | 3,560 | 259 | |||||||||
Other sovereign debt | 0 | 22,577 | 22,577 | 2,770 | 14,306 | 17,076 | 174,723 | 121,987 | |||||||||
Government agency debt | 0 | 177 | 177 | 0 | 9 | 9 | 1,442 | 4,168 | |||||||||
Corporate bonds | 0 | 10,187 | 10,187 | 0 | 279 | 279 | 70,047 | 27,186 | |||||||||
Equity securities | 0 | 18,741 | 18,741 | 3,657 | 636 | 4,293 | 194,224 | 1 | 109,851 | 1 | |||||||
Other collateral | 0 | 4,733 | 4,733 | 3 | 18 | 21 | 28,808 | 12,889 | |||||||||
Total | 0 | 121,648 | 2 | 121,648 | 7,069 | 72,846 | 2 | 79,915 | 577,351 | 2 | 412,399 | 2 | |||||
1
The Equity Prime Brokerage business consists of clients acquiring long and short positions in the market in a Credit Suisse account along with the appropriate margins. In the case of a counterparty default, Credit Suisse gains control over the long positions and are free to sell them to cover the exposure and the long positions are thus considered as "collateral received". On the other hand, the short positions are considered as "trades" and are not reported in the disclosure as "posted collateral".
|
|||||||||||||||||
2
Reflects an update of the dataset, primarily related to revised reporting of agency lending transactions, as well as an enhanced collateral allocation for derivatives. Prior period has been corrected.
|
CCR6 – Credit derivatives exposures | |||||||||
4Q20 | 2Q20 | ||||||||
end of |
Protection bought |
Protection sold |
Protection bought |
Protection sold |
|||||
Notionals (CHF billion) | |||||||||
Single-name CDS | 104.8 | 88.0 | 111.9 | 91.7 | |||||
Index CDS | 170.1 | 149.4 | 202.6 | 171.3 | |||||
Total return swaps | 7.4 | 7.0 | 8.5 | 7.3 | |||||
Credit options | 0.5 | 0.0 | 0.5 | 0.0 | |||||
Other credit derivatives | 33.1 | 22.1 | 51.9 | 30.2 | |||||
of which credit default swaptions | 33.1 | 22.1 | 51.9 | 30.2 | |||||
Total notionals | 315.9 | 266.5 | 375.4 | 300.5 | |||||
Fair values (CHF billion) | |||||||||
Positive fair value (asset) | 2.5 | 4.0 | 4.6 | 2.3 | |||||
Negative fair value (liability) | 5.8 | 2.1 | 3.8 | 3.7 | |||||
Includes the client leg of cleared credit derivatives.
|
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM | |||
4Q20 | |||
CHF million | |||
Risk-weighted assets at beginning of period | 17,888 | ||
Asset size | (2,694) | ||
Credit quality of counterparties | 443 | ||
Model and parameter updates | 362 | ||
Methodology and policy changes | 1,316 | ||
Foreign exchange impact | (726) | ||
Risk-weighted assets at end of period | 16,589 |
CCR8 – Exposures to central counterparties | |||||||||
4Q20 | 2Q20 | ||||||||
end of |
EAD (post-CRM) |
RWA |
EAD (post-CRM) |
RWA |
|||||
CHF million | |||||||||
QCCPs | |||||||||
Exposures for trades at QCCPs | 16,282 | 343 | 22,205 | 464 | |||||
of which OTC derivatives | 10,593 | 229 | 12,696 | 274 | |||||
of which exchange-traded derivatives | 5,206 | 104 | 8,670 | 173 | |||||
of which SFTs | 483 | 10 | 839 | 17 | |||||
Segregated initial margin | 4,132 | – | 2,844 | – | |||||
Non-segregated initial margin 1 | – | – | – | – | |||||
Pre-funded default fund contributions | 3,685 | 1,560 | 3,700 | 788 | |||||
Total exposures to QCCPs | – | 1,903 | – | 1,252 | |||||
Non-QCCPs | |||||||||
Exposures for trades at non-QCCPs | 21 | 21 | 36 | 36 | |||||
of which SFTs | 21 | 21 | 36 | 36 | |||||
Pre-funded default fund contributions | 7 | 84 | 1 | 12 | |||||
Total exposures to non-QCCPs | – | 105 | – | 48 | |||||
1
Exposures associated with initial margin, where the exposures are measured under the IMM/SA-CCR, have been included within the exposures for trades.
|
SEC1 – Securitization exposures in the banking book | |||||||||||||||||||
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | |||||||||||||||||
end of | Traditional | Synthetic | Total | Traditional | Synthetic | Total | Traditional | Synthetic | Total | ||||||||||
4Q20 (CHF million) | |||||||||||||||||||
Residential mortgages | 134 | 1,246 | 1,380 | 0 | 0 | 0 | 1,387 | 233 | 1,620 | ||||||||||
Credit card | 0 | 0 | 0 | 205 | 0 | 205 | 1,445 | 0 | 1,445 | ||||||||||
Other retail exposures | 195 | 456 | 651 | 3,148 | 0 | 3,148 | 2,704 | 190 | 2,894 | ||||||||||
Re-securitization | 17 | 0 | 17 | 0 | 0 | 0 | 145 | 1 | 146 | ||||||||||
Total retail | 346 | 1,702 | 2,048 | 3,353 | 0 | 3,353 | 5,681 | 424 | 6,105 | ||||||||||
Loans to corporates | 0 | 24,187 | 24,187 | 652 | 0 | 652 | 2,179 | 0 | 2,179 | ||||||||||
Commercial mortgages | 49 | 12,091 | 12,140 | 0 | 0 | 0 | 1,003 | 3 | 1,006 | ||||||||||
Lease and receivables | 0 | 0 | 0 | 1,263 | 0 | 1,263 | 643 | 0 | 643 | ||||||||||
Other wholesale | 834 | 0 | 834 | 1,127 | 0 | 1,127 | 1,173 | 34 | 1,207 | ||||||||||
Re-securitization | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||
Total wholesale | 883 | 36,278 | 37,161 | 3,042 | 0 | 3,042 | 4,998 | 37 | 5,035 | ||||||||||
Total | 1,229 | 37,980 | 39,209 | 6,395 | 0 | 6,395 | 10,679 | 461 | 11,140 | ||||||||||
2Q20 (CHF million) | |||||||||||||||||||
Residential mortgages | 140 | 1,145 | 1,285 | 0 | 0 | 0 | 2,935 | 254 | 3,189 | ||||||||||
Credit card | 0 | 0 | 0 | 340 | 0 | 340 | 1,558 | 0 | 1,558 | ||||||||||
Other retail exposures | 124 | 439 | 563 | 2,803 | 0 | 2,803 | 2,405 | 161 | 2,566 | ||||||||||
Re-securitization | 19 | 0 | 19 | 0 | 0 | 0 | 179 | 1 | 180 | ||||||||||
Total retail | 283 | 1,584 | 1,867 | 3,143 | 0 | 3,143 | 7,077 | 416 | 7,493 | ||||||||||
Loans to corporates | 0 | 26,122 | 26,122 | 499 | 0 | 499 | 2,338 | 0 | 2,338 | ||||||||||
Commercial mortgages | 48 | 11,836 | 11,884 | 1,159 | 0 | 1,159 | 569 | 4 | 573 | ||||||||||
Lease and receivables | 0 | 0 | 0 | 1,383 | 0 | 1,383 | 826 | 0 | 826 | ||||||||||
Other wholesale | 1,396 | 0 | 1,396 | 600 | 0 | 600 | 1,261 | 134 | 1,395 | ||||||||||
Total wholesale | 1,444 | 37,958 | 39,402 | 3,641 | 0 | 3,641 | 4,994 | 138 | 5,132 | ||||||||||
Total | 1,727 | 39,542 | 41,269 | 6,784 | 0 | 6,784 | 12,071 | 554 | 12,625 |
SEC2 – Securitization exposures in the trading book | |||||||||||||||||||
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | |||||||||||||||||
end of | Traditional | Synthetic | Total | Traditional | Synthetic | Total | Traditional | Synthetic | Total | ||||||||||
4Q20 (CHF million) | |||||||||||||||||||
Residential mortgages | 4 | 0 | 4 | 0 | 0 | 0 | 1,790 | 32 | 1,822 | ||||||||||
Credit card | 0 | 0 | 0 | 0 | 0 | 0 | 34 | 33 | 67 | ||||||||||
Other retail exposures | 0 | 0 | 0 | 0 | 0 | 0 | 57 | 42 | 99 | ||||||||||
Re-securitization | 13 | 0 | 13 | 0 | 0 | 0 | 42 | 1 | 43 | ||||||||||
Total retail | 17 | 0 | 17 | 0 | 0 | 0 | 1,923 | 108 | 2,031 | ||||||||||
Loans to corporates | 0 | 0 | 0 | 0 | 0 | 0 | 156 | 109 | 265 | ||||||||||
Commercial mortgages | 62 | 0 | 62 | 0 | 0 | 0 | 757 | 84 | 841 | ||||||||||
Lease and receivables | 0 | 0 | 0 | 0 | 0 | 0 | 188 | 51 | 239 | ||||||||||
Total wholesale | 62 | 0 | 62 | 0 | 0 | 0 | 1,101 | 244 | 1,345 | ||||||||||
Total | 79 | 0 | 79 | 0 | 0 | 0 | 3,024 | 352 | 3,376 | ||||||||||
2Q20 (CHF million) | |||||||||||||||||||
Residential mortgages | 103 | 0 | 103 | 0 | 0 | 0 | 2,956 | 21 | 2,977 | ||||||||||
Credit card | 0 | 0 | 0 | 0 | 0 | 0 | 21 | 8 | 29 | ||||||||||
Other retail exposures | 0 | 0 | 0 | 0 | 0 | 0 | 107 | 56 | 163 | ||||||||||
Re-securitization | 17 | 0 | 17 | 0 | 0 | 0 | 75 | 2 | 77 | ||||||||||
Total retail | 120 | 0 | 120 | 0 | 0 | 0 | 3,159 | 87 | 3,246 | ||||||||||
Loans to corporates | 0 | 0 | 0 | 0 | 0 | 0 | 234 | 20 | 254 | ||||||||||
Commercial mortgages | 90 | 0 | 90 | 0 | 0 | 0 | 675 | 24 | 699 | ||||||||||
Lease and receivables | 0 | 0 | 0 | 0 | 0 | 0 | 105 | 4 | 109 | ||||||||||
Total wholesale | 90 | 0 | 90 | 0 | 0 | 0 | 1,014 | 48 | 1,062 | ||||||||||
Total | 210 | 0 | 210 | 0 | 0 | 0 | 4,173 | 135 | 4,308 |
SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as originator or as sponsor | |||||||||||||||||||||||||||||||||||
Exposure value (by RW band) | Exposure value (by regulatory approach) | RWA (by regulatory approach) | Capital charge after cap | ||||||||||||||||||||||||||||||||
end 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 |
||||||||||||||||||
4Q20 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 41,145 | 3,175 | 1,016 | 211 | 57 | 38,473 | 742 | 6,332 | 57 | 7,187 | 803 | 1,889 | 711 | 542 | 59 | 143 | 57 | ||||||||||||||||||
Traditional securitization | 4,372 | 2,106 | 949 | 162 | 36 | 834 | 742 | 6,013 | 36 | 523 | 803 | 1,767 | 447 | 24 | 59 | 133 | 36 | ||||||||||||||||||
of which securitization | 4,372 | 2,106 | 949 | 162 | 19 | 834 | 742 | 6,013 | 19 | 523 | 803 | 1,767 | 231 | 24 | 59 | 133 | 19 | ||||||||||||||||||
of which retail underlying | 2,779 | 733 | 150 | 15 | 7 | 0 | 506 | 3,170 | 7 | 0 | 330 | 654 | 84 | 0 | 21 | 44 | 7 | ||||||||||||||||||
of which wholesale | 1,593 | 1,373 | 799 | 147 | 12 | 834 | 236 | 2,843 | 12 | 523 | 473 | 1,113 | 147 | 24 | 38 | 89 | 12 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 0 | 17 | 0 | 0 | 0 | 17 | 0 | 0 | 0 | 216 | 0 | 0 | 0 | 17 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 0 | 12 | 0 | 0 | 0 | 12 | 0 | 0 | 0 | 155 | 0 | 0 | 0 | 12 | ||||||||||||||||||
of which non-senior | 0 | 0 | 0 | 0 | 5 | 0 | 0 | 0 | 5 | 0 | 0 | 0 | 61 | 0 | 0 | 0 | 5 | ||||||||||||||||||
Synthetic securitization | 36,773 | 1,069 | 67 | 49 | 21 | 37,639 | 0 | 319 | 21 | 6,664 | 0 | 122 | 264 | 518 | 0 | 10 | 21 | ||||||||||||||||||
of which securitization | 36,773 | 1,069 | 67 | 49 | 21 | 37,639 | 0 | 319 | 21 | 6,664 | 0 | 122 | 264 | 518 | 0 | 10 | 21 | ||||||||||||||||||
of which retail underlying | 1,573 | 119 | 0 | 4 | 5 | 1,697 | 0 | 0 | 5 | 338 | 0 | 0 | 65 | 27 | 0 | 0 | 5 | ||||||||||||||||||
of which wholesale | 35,200 | 950 | 67 | 45 | 16 | 35,942 | 0 | 319 | 16 | 6,326 | 0 | 122 | 199 | 491 | 0 | 10 | 16 | ||||||||||||||||||
2Q20 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 39,882 | 6,416 | 1,061 | 635 | 59 | 40,733 | 707 | 6,554 | 59 | 8,017 | 772 | 1,558 | 738 | 603 | 56 | 125 | 59 | ||||||||||||||||||
Traditional securitization | 5,136 | 1,759 | 993 | 587 | 36 | 1,396 | 707 | 6,372 | 36 | 861 | 772 | 1,489 | 450 | 31 | 56 | 119 | 36 | ||||||||||||||||||
of which securitization | 5,136 | 1,759 | 993 | 587 | 17 | 1,396 | 707 | 6,372 | 17 | 861 | 772 | 1,489 | 216 | 31 | 56 | 119 | 17 | ||||||||||||||||||
of which retail underlying | 2,565 | 533 | 282 | 16 | 12 | 0 | 483 | 2,913 | 12 | 0 | 342 | 571 | 150 | 0 | 22 | 46 | 12 | ||||||||||||||||||
of which wholesale | 2,571 | 1,226 | 711 | 571 | 5 | 1,396 | 224 | 3,459 | 5 | 861 | 430 | 918 | 66 | 31 | 34 | 73 | 5 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 0 | 19 | 0 | 0 | 0 | 19 | 0 | 0 | 0 | 234 | 0 | 0 | 0 | 19 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 0 | 15 | 0 | 0 | 0 | 15 | 0 | 0 | 0 | 192 | 0 | 0 | 0 | 15 | ||||||||||||||||||
of which non-senior | 0 | 0 | 0 | 0 | 4 | 0 | 0 | 0 | 4 | 0 | 0 | 0 | 42 | 0 | 0 | 0 | 4 | ||||||||||||||||||
Synthetic securitization | 34,746 | 4,657 | 68 | 48 | 23 | 39,337 | 0 | 182 | 23 | 7,156 | 0 | 69 | 288 | 572 | 0 | 6 | 23 | ||||||||||||||||||
of which securitization | 34,746 | 4,657 | 68 | 48 | 23 | 39,337 | 0 | 182 | 23 | 7,156 | 0 | 69 | 288 | 572 | 0 | 6 | 23 | ||||||||||||||||||
of which retail underlying | 1,498 | 77 | 0 | 4 | 4 | 1,580 | 0 | 0 | 4 | 328 | 0 | 0 | 52 | 26 | 0 | 0 | 4 | ||||||||||||||||||
of which wholesale | 33,248 | 4,580 | 68 | 44 | 19 | 37,757 | 0 | 182 | 19 | 6,828 | 0 | 69 | 236 | 546 | 0 | 6 | 19 |
SEC4 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as investor | |||||||||||||||||||||||||||||||||||
Exposure value (by RW band) | Exposure value (by regulatory approach) | RWA (by regulatory approach) | Capital charge after cap | ||||||||||||||||||||||||||||||||
end 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 |
||||||||||||||||||
4Q20 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 8,224 | 1,594 | 922 | 396 | 4 | 1,896 | 858 | 8,382 | 4 | 284 | 365 | 2,624 | 46 | 22 | 29 | 181 | 4 | ||||||||||||||||||
Traditional securitization | 8,049 | 1,396 | 845 | 384 | 4 | 1,896 | 581 | 8,197 | 4 | 284 | 219 | 2,576 | 46 | 22 | 18 | 178 | 4 | ||||||||||||||||||
of which securitization | 8,049 | 1,396 | 845 | 239 | 4 | 1,896 | 581 | 8,053 | 4 | 284 | 219 | 2,384 | 46 | 22 | 18 | 163 | 4 | ||||||||||||||||||
of which retail underlying | 4,188 | 1,011 | 292 | 45 | 0 | 0 | 114 | 5,422 | 0 | 0 | 62 | 1,108 | 0 | 0 | 5 | 89 | 0 | ||||||||||||||||||
of which wholesale | 3,861 | 385 | 553 | 194 | 4 | 1,896 | 467 | 2,631 | 4 | 284 | 157 | 1,276 | 46 | 22 | 13 | 74 | 4 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 145 | 0 | 0 | 0 | 144 | 0 | 0 | 0 | 192 | 0 | 0 | 0 | 15 | 0 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 145 | 0 | 0 | 0 | 144 | 0 | 0 | 0 | 192 | 0 | 0 | 0 | 15 | 0 | ||||||||||||||||||
Synthetic securitization | 175 | 198 | 77 | 12 | 0 | 0 | 277 | 185 | 0 | 0 | 146 | 48 | 0 | 0 | 11 | 3 | 0 | ||||||||||||||||||
of which securitization | 175 | 198 | 77 | 11 | 0 | 0 | 277 | 184 | 0 | 0 | 146 | 46 | 0 | 0 | 11 | 3 | 0 | ||||||||||||||||||
of which retail underlying | 138 | 198 | 77 | 11 | 0 | 0 | 274 | 150 | 0 | 0 | 144 | 41 | 0 | 0 | 11 | 3 | 0 | ||||||||||||||||||
of which wholesale | 37 | 0 | 0 | 0 | 0 | 0 | 3 | 34 | 0 | 0 | 2 | 5 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 1 | 0 | 0 | 1 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
2Q20 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 8,970 | 2,544 | 788 | 322 | 1 | 2,172 | 978 | 9,474 | 1 | 326 | 444 | 3,299 | 12 | 26 | 35 | 193 | 1 | ||||||||||||||||||
Traditional securitization | 8,739 | 2,316 | 706 | 311 | 0 | 2,172 | 659 | 9,240 | 0 | 326 | 292 | 3,255 | 0 | 26 | 23 | 190 | 0 | ||||||||||||||||||
of which securitization | 8,739 | 2,316 | 706 | 132 | 0 | 2,172 | 659 | 9,061 | 0 | 326 | 292 | 3,008 | 0 | 26 | 23 | 170 | 0 | ||||||||||||||||||
of which retail underlying | 5,002 | 1,497 | 345 | 55 | 0 | 0 | 158 | 6,740 | 0 | 0 | 84 | 1,676 | 0 | 0 | 7 | 114 | 0 | ||||||||||||||||||
of which wholesale | 3,737 | 819 | 361 | 77 | 0 | 2,172 | 501 | 2,321 | 0 | 326 | 208 | 1,332 | 0 | 26 | 16 | 56 | 0 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 179 | 0 | 0 | 0 | 179 | 0 | 0 | 0 | 247 | 0 | 0 | 0 | 20 | 0 | ||||||||||||||||||
of which non-senior | 0 | 0 | 0 | 179 | 0 | 0 | 0 | 179 | 0 | 0 | 0 | 247 | 0 | 0 | 0 | 20 | 0 | ||||||||||||||||||
Synthetic securitization | 231 | 228 | 82 | 11 | 1 | 0 | 319 | 234 | 1 | 0 | 152 | 44 | 12 | 0 | 12 | 3 | 1 | ||||||||||||||||||
of which securitization | 231 | 228 | 82 | 11 | 0 | 0 | 319 | 234 | 0 | 0 | 152 | 44 | 0 | 0 | 12 | 3 | 0 | ||||||||||||||||||
of which retail underlying | 93 | 228 | 82 | 11 | 0 | 0 | 315 | 100 | 0 | 0 | 151 | 24 | 0 | 0 | 12 | 2 | 0 | ||||||||||||||||||
of which wholesale | 138 | 0 | 0 | 0 | 0 | 0 | 4 | 134 | 0 | 0 | 1 | 20 | 0 | 0 | 0 | 1 | 0 | ||||||||||||||||||
of which re-securitization | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 12 | 0 | 0 | 0 | 1 | ||||||||||||||||||
of which senior | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 12 | 0 | 0 | 0 | 1 |
MR1 – Market risk under standardized approach | |||||
end of | 4Q20 | 2Q20 | |||
Risk-weighted assets (CHF million) | |||||
Securitization | 1,478 | 1,792 | |||
Total risk-weighted assets | 1,478 | 1,792 |
MRB - Internal model approach - overview | |||||||
Regulatory VaR | Stressed VaR | IRC | |||||
Method applied |
Historical simulation |
Historical simulation |
Portfolio loss simulation |
||||
Data set | 2 years | 1 Year | – | ||||
Holding period | 10 days (overlapping) | 10 days (overlapping) | One-year liquidity horizon | ||||
Confidence level | 99% equivalent | 99% equivalent | 99.9% | ||||
Population |
Regulatory trading book (where applicable, foreign exchange and commodity risks in the regulatory banking book are added) |
Regulatory trading book (where applicable, foreign exchange and commodity risks in the regulatory banking book are added) |
Regulatory trading book subject to issuer default and migration risk (excl. securitizations and correlation trades) |
MRB - IMA - Risk-weighted assets | |||||
end of 4Q20 | CHF billion | in % | |||
Risk-weighted assets | |||||
Regulatory VaR | 3.9 | 23 | |||
Stressed VaR | 5.7 | 33 | |||
RNIV | 5.0 | 30 | |||
IRC | 2.3 | 14 | |||
Total risk-weighted assets | 16.8 | 100 |
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA | |||||||||||
4Q20 |
Regulatory VaR |
Stressed VaR |
IRC |
Other |
1 |
Total |
|||||
CHF million | |||||||||||
Risk-weighted assets at beginning of period | 3,453 | 4,731 | 1,934 | 5,178 | 15,296 | ||||||
Regulatory adjustment | 182 | 932 | 0 | (80) | 1,034 | ||||||
Risk-weighted assets at beginning of period (end of day) | 3,635 | 5,663 | 1,934 | 5,098 | 16,330 | ||||||
Movement in risk levels | 1,191 | 954 | 492 | 290 | 2,927 | ||||||
Model and parameter updates | (52) | 0 | 0 | 146 | 94 | ||||||
Foreign exchange impact | (162) | (236) | (92) | (224) | (714) | ||||||
Risk-weighted assets at end of period (end of day) | 4,612 | 6,381 | 2,334 | 5,310 | 18,637 | ||||||
Regulatory adjustment | (755) | (715) | 0 | (328) | (1,798) | ||||||
Risk-weighted assets at end of period | 3,857 | 5,666 | 2,334 | 4,982 | 16,839 | ||||||
1
Risks not in VaR (RNIV).
|
Definitions of risk-weighted assets movement components related to market risk | |||
Description | Definition | ||
RWA as of the end of the previous/current reporting periods | Represents RWA at quarter-end | ||
Regulatory adjustment | Indicates the difference between RWA and RWA (end of day) at beginning and end of period | ||
RWA as of the previous/current quarters end (end of day) |
For a given component (e.g., VaR) it refers to the RWA that would be computed if the snapshot quarter end amount of the component determines the quarter end RWA, as opposed to a 60-day average for regulatory |
||
Movement in risk levels | Represents movements due to position changes | ||
Model and parameter updates |
Represents movements arising from internally driven or externally mandated updates to models and recalibrations of model parameters specific only to Credit Suisse |
||
Methodology and policy changes |
Represents movements arising from externally mandated regulatory methodology and policy changes to accounting and exposure classification and treatment policies not specific only to Credit Suisse |
||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge | |||||
in / end of | 2H20 | 1H20 | |||
CHF million | |||||
Regulatory VaR (10 day 99%) | |||||
Maximum value | 123 | 267 | |||
Average value | 98 | 112 | |||
Minimum value | 81 | 60 | |||
Period end | 123 | 94 | |||
Stressed VaR (10 day 99%) | |||||
Maximum value | 179 | 282 | |||
Average value | 141 | 169 | |||
Minimum value | 102 | 96 | |||
Period end | 170 | 168 | |||
IRC (99.9%) | |||||
Maximum value | 208 | 160 | |||
Average value | 152 | 109 | |||
Minimum value | 112 | 76 | |||
Period end | 187 | 113 |
IRRBBA1 - Quantitative information on the exposure's structure and repricing period | |||||||||||||||||
Volume |
1 |
Average repricing period (years) |
Maximum repricing period for exposures with modelled (not determined) repricing date (years) |
||||||||||||||
end of 4Q20 |
Total |
of which CHF |
of which USD |
of which EUR |
Total |
of which CHF |
Total |
of which CHF |
|||||||||
CHF million, except where indicated | |||||||||||||||||
Definite repricing date 2 | |||||||||||||||||
Due from banks | 114,776 | 3,604 | 67,912 | 12,385 | 0.1 | 0.0 | – | – | |||||||||
Due from customers | 137,465 | 24,048 | 70,803 | 25,922 | 0.6 | 1.0 | – | – | |||||||||
Money market mortgages | 38,373 | 38,373 | 0 | 0 | 0.3 | 0.3 | – | – | |||||||||
Fixed-rate mortgages | 97,656 | 97,656 | 0 | 0 | 4.7 | 4.7 | – | – | |||||||||
Financial investments | 3,154 | 139 | 123 | 0 | 0.3 | 0.1 | – | – | |||||||||
Other receivables | 154 | 154 | 0 | 0 | 0.1 | 0.1 | – | – | |||||||||
Receivables from interest rate derivatives 3 | 1,266,402 | 211,047 | 809,186 | 146,684 | 1.0 | 1.2 | – | – | |||||||||
Due to banks | (49,104) | (5,888) | (34,560) | (1,191) | 0.1 | 0.1 | – | – | |||||||||
Customer deposits | (98,526) | (13,173) | (50,096) | (12,601) | 0.2 | 0.3 | – | – | |||||||||
Cash bonds | (195) | (195) | 0 | 0 | 2.0 | 2.0 | – | – | |||||||||
Bonds issues and central mortgage institution loans | (125,990) | (15,637) | (70,413) | (27,393) | 3.3 | 8.0 | – | – | |||||||||
Other payables | (46,745) | (2,741) | (28,266) | (11,285) | 0.2 | 0.2 | – | – | |||||||||
Payables to interest rate derivatives 3 | (1,263,498) | (291,511) | (750,585) | (129,366) | 0.8 | 1.2 | – | – | |||||||||
Indefinite repricing date | |||||||||||||||||
Variable mortgages | 1,175 | 1,175 | 0 | 0 | 0.1 | 0.1 | – | – | |||||||||
Other receivables on demand | 2,048 | 734 | 698 | 530 | 0.1 | 0.1 | – | – | |||||||||
Payables on demand from personal accounts and current accounts | (191,389) | (91,049) | (55,254) | (33,191) | 1.4 | 2.2 | – | – | |||||||||
Other payables on demand | 0 | 0 | 0 | 0 | 0.1 | 0.1 | – | – | |||||||||
Payables arising from client deposits, terminable but not transferable (savings) | (37,014) | (37,014) | 0 | 0 | 2.6 | 2.6 | – | – | |||||||||
Total | – | – | – | – | – | – | 8.0 | 8.0 | |||||||||
1
Volume figures may differ from the respective accounting values under US GAAP, due to the impact of effective interest rate calculations and the treatment of loan loss provisions.
|
|||||||||||||||||
2
Additional Tier 1 capital is excluded.
|
|||||||||||||||||
3
Receivables and payables from interest rate derivatives are shown as gross figures, including intercompany transactions.
|
IRRBB1 - Quantitative information on the regulatory ∆EVE and regulatory ∆NII | |||||||||
ΔEVE | 1 | ΔNII | 2 | ||||||
end of | 4Q20 | 4Q19 | 4Q20 | 4Q19 | |||||
Interest rate shock scenarios (CHF million) 3 | |||||||||
Parallel up | (1,955) | (1,629) | (3,103) | (3,506) | |||||
Parallel down | 2,585 | 1,939 | 3,812 | 4,277 | |||||
Steepener shock | (428) | (129) | – | – | |||||
Flattener shock | 90 | (260) | – | – | |||||
Rise in short-term interest rates | (755) | (953) | – | – | |||||
Fall in short-term interest rates | 1,075 | 918 | – | – | |||||
Maximum | (1,955) | (1,629) | (3,103) | (3,506) | |||||
1
Reflects changes in the net present value.
|
|||||||||
2
Reflects changes in the earnings value.
|
|||||||||
3
All scenarios are in line with FINMA circular 2019/2.
|
IRRBB1 - Tier 1 capital | |||||
end of | 4Q20 | 4Q19 | |||
Tier 1 capital (CHF million) | |||||
Swiss CET1 capital and additional tier 1 capital 1 | 51,192 | 52,691 | |||
1
Excludes tier 1 capital, which is used to fulfill gone concern requirements.
|
CC1 - Composition of regulatory capital | ||||||
end of 4Q20 | Amounts | Reference | 1 | |||
Swiss CET1 capital (CHF million) | ||||||
1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | 33,421 | 1 | |||
2 | Retained earnings | 32,789 | 2 | |||
3 | Accumulated other comprehensive income (and other reserves) 2 | (23,534) | 3 | |||
6 | CET1 capital before regulatory adjustments | 42,676 | ||||
8 | Goodwill, net of tax | (4,681) | 4 | |||
9 | Other intangible assets (excluding mortgage servicing rights), net of tax | (271) | 5 | |||
10 | Deferred tax assets that rely on future profitability (excluding temporary differences), net of tax | (1,070) | 6 | |||
11 | Cash flow hedge reserve | (214) | ||||
12 | Shortfall of provisions to expected losses | (176) | ||||
14 | Gains/(losses) due to changes in own credit on fair-valued liabilities | 2,466 | ||||
15 | Defined benefit pension plan assets | (2,249) | 7 | |||
16 | Investments in own shares | (397) | ||||
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of tax) | 0 | 8 | |||
26b | National specific regulatory adjustments | (733) | ||||
28 | Total regulatory adjustments to CET1 capital | (7,325) | ||||
29 | CET1 capital | 35,351 | ||||
30 | Directly issued qualifying additional tier 1 instruments plus related stock surplus 3 | 15,888 | ||||
32 | of which classified as liabilities under applicable accounting standards | 15,888 | 9 | |||
36 | Additional tier 1 capital before regulatory adjustments | 15,888 | ||||
37 | Investments in own additional tier 1 instruments | (47) | ||||
43 | Total regulatory adjustments to additional tier 1 capital | (47) | ||||
44 | Additional tier 1 capital | 15,841 | ||||
Swiss tier 1 capital (CHF million) | ||||||
45 | Tier 1 capital | 51,192 | ||||
Swiss tier 2 capital (CHF million) | ||||||
46 | Directly issued qualifying tier 2 instruments plus related stock surplus 4 | 961 | 10 | |||
47 | Directly issued capital instruments subject to phase-out from tier 2 capital | 273 | 11 | |||
58 | Tier 2 capital | 1,234 | ||||
Swiss eligible capital (CHF million) | ||||||
59 | Total eligible capital | 52,426 | ||||
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
|
||||||
2
Includes treasury shares.
|
||||||
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 11.4 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.4 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
|
||||||
4
Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%.
|
CC1 - Composition of regulatory capital (continued) | ||||||
end of 4Q20 | Amounts | Reference | 1 | |||
Swiss risk-weighted assets (CHF million) | ||||||
60 | Risk-weighted assets | 275,576 | ||||
Swiss risk-based capital ratios as a percentage of risk-weighted assets (%) | ||||||
61 | CET1 capital ratio | 12.8 | ||||
62 | Tier 1 capital ratio | 18.6 | ||||
63 | Total capital ratio | 19.0 | ||||
BIS CET1 buffer requirements (%) 2 | ||||||
64 | Total BIS CET buffer requirement | 3.522 | ||||
65 | of which capital conservation buffer 3 | 2.5 | ||||
66 | of which extended countercyclical buffer | 0.022 | ||||
67 | of which progressive buffer for G-SIB and/or D-SIB 3 | 1.0 | ||||
68 | CET1 capital ratio available after meeting the bank's minimum capital requirements 4 | 8.3 | ||||
Amounts below the thresholds for deduction (before risk weighting) (CHF million) | ||||||
72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 2,572 | ||||
73 | Significant investments in the common stock of financial entities | 1,653 | ||||
74 | Mortgage servicing rights, net of tax | 155 | ||||
75 | Deferred tax assets arising from temporary differences, net of tax | 2,859 | ||||
Applicable caps on the inclusion of provisions in tier 2 (CHF million) | ||||||
77 | Cap on inclusion of provisions in tier 2 under standardized approach | 297 | ||||
79 | Cap for inclusion of provisions in tier 2 under internal ratings-based approach | 784 | ||||
Capital instruments subject to phase-out arrangements (CHF million) | ||||||
84 | Current cap on tier 2 instruments subject to phase-out arrangements | 273 | ||||
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
|
||||||
2
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
|
||||||
3
Reflects the phase-in requirement.
|
||||||
4
Reflects the Swiss CET1 capital ratio of 12.8%, less the BIS minimum CET1 ratio requirement of 4.5%.
|
CC2 - Reconciliation of regulatory capital to balance sheet | |||||||
end of 4Q20 |
Financial statements |
Regulatory scope of consolidation |
Reference to composition of capital |
||||
Assets (CHF million) | |||||||
Cash and due from banks | 139,112 | 138,641 | |||||
Interest-bearing deposits with banks | 1,298 | 1,737 | |||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 79,133 | 79,133 | |||||
Securities received as collateral, at fair value | 50,773 | 50,773 | |||||
Trading assets, at fair value | 157,338 | 151,391 | |||||
Investment securities | 607 | 607 | |||||
Other investments | 5,412 | 5,593 | |||||
Net loans | 291,908 | 291,534 | |||||
Goodwill | 4,426 | 4,430 | 4 | ||||
Other intangible assets | 237 | 237 | |||||
of which other intangible assets (excluding mortgage servicing rights) | 57 | 57 | 5 | ||||
Brokerage receivables | 35,941 | 35,941 | |||||
Other assets | 39,637 | 38,347 | |||||
of which deferred tax assets related to net operating losses | 1,070 | 1,070 | 6 | ||||
of which deferred tax assets from temporary differences | 2,597 | 2,103 | 8 | ||||
of which defined benefit pension plan assets | 2,872 | 2,872 | 7 | ||||
Total assets | 805,822 | 798,364 | |||||
Liabilities and equity (CHF million) | |||||||
Due to banks | 16,423 | 16,765 | |||||
Customer deposits | 390,921 | 390,765 | |||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 23,851 | 27,805 | |||||
Obligation to return securities received as collateral, at fair value | 50,773 | 50,773 | |||||
Trading liabilities, at fair value | 45,871 | 45,905 | |||||
Short-term borrowings | 20,868 | 16,608 | |||||
Long-term debt | 161,087 | 159,341 | |||||
Brokerage payables | 21,653 | 21,653 | |||||
Other liabilities | 31,434 | 25,746 | |||||
Total liabilities | 762,881 | 755,361 | |||||
of which additional tier 1 instruments, fully eligible | 16,615 | 14,335 | 9 | ||||
of which tier 2 instruments, fully eligible | 2,404 | 2,919 | 10 | ||||
of which tier 2 instruments subject to phase-out | 372 | 297 | 11 | ||||
Common shares | 98 | 107 | 1 | ||||
Additional paid-in capital | 33,323 | 33,314 | 1 | ||||
Retained earnings | 32,834 | 32,789 | 2 | ||||
Treasury shares, at cost | (428) | (424) | 3 | ||||
Accumulated other comprehensive income/(loss) | (23,150) | (23,110) | 3 | ||||
Total shareholders' equity 1 | 42,677 | 42,676 | |||||
Noncontrolling interests 2 | 264 | 327 | |||||
Total equity | 42,941 | 43,003 | |||||
Total liabilities and equity | 805,822 | 798,364 | |||||
1
Eligible as CET1 capital, prior to regulatory adjustments.
|
|||||||
2
The difference between the accounting and regulatory scope of consolidation primarily represents private equity and other fund type vehicles, which FINMA does not require to consolidate for capital adequacy reporting.
|
TLAC1 - TLAC composition for G-SIBs | |||
end of | 4Q20 | ||
TLAC (CHF million) | |||
CET1 capital | 35,351 | ||
Additional tier 1 instruments eligible under TLAC framework | 15,841 | ||
Tier 2 capital before TLAC adjustments | 1,234 | ||
TLAC adjustments | 1,514 | ||
of which amortized portion of tier 2 instruments where remaining maturity > 1 year | 1,514 | ||
Tier 2 instruments eligible under TLAC framework | 2,748 | ||
TLAC arising from regulatory capital | 53,940 | ||
External TLAC instruments issued directly by Credit Suisse Group AG and subordinated to excluded liabilities | 38,246 | ||
External TLAC instruments issued by funding vehicles prior to January 1, 2022 | 7,402 | ||
TLAC arising from non-regulatory capital instruments before adjustments | 45,648 | ||
TLAC before deductions | 99,588 | ||
Deduction of investment in own other TLAC liabilities | 93 | ||
Other adjustments to TLAC | 6,105 | ||
TLAC | 93,390 | ||
Risk-weighted assets and leverage exposure (CHF million) | |||
Swiss risk-weighted assets | 275,576 | ||
Leverage exposure | 799,853 | ||
TLAC ratios and buffers (%) | |||
TLAC ratio | 33.9 | ||
TLAC leverage ratio | 11.7 | ||
CET1 capital ratio available after meeting the resolution group’s minimum capital and TLAC requirements | 8.3 | ||
Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) | 3.522 | ||
of which capital conservation buffer requirement | 2.5 | ||
of which bank specific countercyclical buffer requirement | 0.022 | ||
of which higher loss absorbency requirement | 1.0 |
TLAC3 - Resolution entity - Creditor ranking at legal entity level | |||||||||
Creditor ranking | |||||||||
end of 4Q20 |
Shareholders' equity |
1 |
Subordinated debt instruments Additional tier 1 |
Bail-in debt instruments and pari passu liabilities |
2 |
Total |
|||
CHF million | |||||||||
Total capital and liabilities net of credit risk mitigation | 44,506 | 15,413 | 37,446 | 97,365 | |||||
Excluded liabilities | – | – | 416 | 416 | |||||
Total capital and liabilities less excluded liabilities | 44,506 | 15,413 | 37,030 | 96,949 | |||||
of which potentially eligible as TLAC 3 | 44,506 | 15,176 | 36,657 | 96,339 | |||||
of which residual maturity between 1 to 2 years | – | – | 53 | 53 | |||||
of which residual maturity between 2 to 5 years | – | – | 16,126 | 16,126 | |||||
of which residual maturity between 5 to 10 years | – | – | 14,133 | 14,133 | |||||
of which residual maturity greater than 10 years, excluding perpetual securities | – | – | 6,345 | 6,345 | |||||
of which perpetual securities | 44,506 | 15,176 | – | 59,682 | |||||
Presented for Credit Suisse Group AG at the legal entity level and therefore instruments issued by subsidiaries and special purpose entities are excluded. Effective November 3, 2020, Credit Suisse Group AG and Credit Suisse Group Funding (Guernsey) Limited exercised the voluntary issuer substitution clause included in the terms of senior unsecured notes issued by Credit Suisse Group Funding (Guernsey) Limited with a maturity date post December 31, 2022. The issuer of these notes, which qualify as TLAC, has migrated from Credit Suisse Group Funding (Guernsey) Limited to Credit Suisse Group AG. Amounts are prepared in accordance with the provisions of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations).
|
|||||||||
1
Includes nominal share capital of CHF 98 million.
|
|||||||||
2
Amount does not include CHF 6,853 million of intercompany liabilities, which are pari passu to the external bail-in debt instruments and are not considered to be excluded liabilities.
|
|||||||||
3
Accrued but not yet paid interest on TLAC instruments is not eligible as TLAC, but can be bailed in by FINMA.
|
KM1 - Key metrics | |||||||||||
end of | 4Q20 | 3Q20 | 2Q20 | 1Q20 | 4Q19 | ||||||
Capital (CHF million) | |||||||||||
Swiss CET1 capital | 35,351 | 37,076 | 37,339 | 36,305 | 36,740 | ||||||
Fully loaded CECL accounting model Swiss CET1 capital 1 | 35,297 | 37,076 | 37,339 | 36,305 | – | ||||||
Swiss tier 1 capital | 51,192 | 52,317 | 51,674 | 50,798 | 49,757 | ||||||
Fully loaded CECL accounting model Swiss tier 1 capital 1 | 51,139 | 52,317 | 51,674 | 50,798 | – | ||||||
Swiss total eligible capital | 52,426 | 53,618 | 54,890 | 54,036 | 53,005 | ||||||
Fully loaded CECL accounting model Swiss total eligible capital 1 | 52,373 | 53,618 | 54,890 | 54,036 | – | ||||||
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 | 22,046 | 22,869 | 23,991 | 24,096 | 23,303 | ||||||
Risk-weighted assets (CHF million) | |||||||||||
Swiss risk-weighted assets | 275,576 | 285,857 | 299,893 | 301,200 | 291,282 | ||||||
Risk-based capital ratios as a percentage of risk-weighted assets (%) | |||||||||||
Swiss CET1 capital ratio | 12.8 | 13.0 | 12.5 | 12.1 | 12.6 | ||||||
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 | 12.8 | 13.0 | 12.5 | 12.1 | – | ||||||
Swiss tier 1 capital ratio | 18.6 | 18.3 | 17.2 | 16.9 | 17.1 | ||||||
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 | 18.6 | 18.3 | 17.2 | 16.9 | – | ||||||
Swiss total capital ratio | 19.0 | 18.8 | 18.3 | 17.9 | 18.2 | ||||||
Fully loaded CECL accounting model Swiss total capital ratio 1 | 19.0 | 18.8 | 18.3 | 17.9 | – | ||||||
BIS CET1 buffer requirements (%) 3 | |||||||||||
Capital conservation buffer | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | ||||||
Extended countercyclical buffer | 0.022 | 0.022 | 0.026 | 0.04 | 0.104 | ||||||
Progressive buffer for G-SIB and/or D-SIB | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | ||||||
Total BIS CET1 buffer requirement | 3.522 | 3.522 | 3.526 | 3.54 | 3.604 | ||||||
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 | 8.3 | 8.5 | 8.0 | 7.6 | 8.1 | ||||||
Basel III leverage ratio (CHF million) | |||||||||||
Leverage exposure | 799,853 | 5 | 824,420 | 5 | 836,755 | 5 | 869,706 | 909,994 | |||
Basel III leverage ratio (%) | 6.4 | 6.3 | 6.2 | 5.8 | 5.5 | ||||||
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 | 6.4 | 6.3 | 6.2 | 5.8 | – | ||||||
Liquidity coverage ratio (CHF million) 6 | |||||||||||
Numerator: total high-quality liquid assets | 203,536 | 210,526 | 202,998 | 161,668 | 164,503 | ||||||
Denominator: net cash outflows | 107,376 | 110,882 | 103,743 | 88,783 | 83,255 | ||||||
Liquidity coverage ratio (%) | 190 | 190 | 196 | 182 | 198 | ||||||
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
|
|||||||||||
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
|
|||||||||||
2
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding the BIS CET1 buffer requirements.
|
|||||||||||
3
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
|
|||||||||||
4
Reflects the Swiss CET1 capital ratio of 12.8%, less the BIS minimum CET1 ratio requirement of 4.5%.
|
|||||||||||
5
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
|
|||||||||||
6
Calculated using a three-month average, which is calculated on a daily basis.
|
KM2 - Key metrics - TLAC requirements (at resolution group level) | |||||||||||
end of | 4Q20 | 3Q20 | 2Q20 | 1Q20 | 4Q19 | ||||||
CHF million | |||||||||||
TLAC | 93,390 | 96,820 | 98,757 | 93,298 | 91,267 | ||||||
Fully loaded CECL accounting model TLAC 1 | 93,336 | 96,820 | 98,757 | 93,298 | – | ||||||
Swiss risk-weighted assets | 275,576 | 285,857 | 299,893 | 301,200 | 291,282 | ||||||
TLAC ratio (%) | 33.9 | 33.9 | 32.9 | 31.0 | 31.3 | ||||||
Fully loaded CECL accounting model TLAC ratio 1 | 33.9 | 33.9 | 32.9 | 31.0 | – | ||||||
Leverage exposure | 799,853 | 2 | 824,420 | 2 | 836,755 | 2 | 869,706 | 909,994 | |||
TLAC leverage ratio (%) | 11.7 | 11.7 | 11.8 | 10.7 | 10.0 | ||||||
Fully loaded CECL accounting model TLAC leverage ratio 1 | 11.7 | 11.7 | 11.8 | 10.7 | – | ||||||
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No | No | No | ||||||
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No | No | No | ||||||
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) | N/A - refer to our response above | N/A - refer to our response above | N/A - refer to our response above | N/A - refer to our response above | N/A - refer to our response above | ||||||
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
|
|||||||||||
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
|
|||||||||||
2
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
|
CCyB1 - Geographical distribution of risk-weighted assets used in the CCyB | |||||||||
end of |
CCyB rate (%) |
RWA used in the computation of the CCyB |
Bank- specific CCyB rate (%) |
CCyB amount |
|||||
4Q20 (CHF million) | |||||||||
Hong Kong | 1.000 | 2,604 | – | – | |||||
Sweden | 0.000 | 699 | – | – | |||||
UK | 0.000 | 7,347 | – | – | |||||
France | 0.000 | 2,613 | – | – | |||||
Luxembourg | 0.250 | 5,067 | – | – | |||||
Germany | 0.000 | 4,439 | – | – | |||||
Subtotal | – | 22,769 | – | – | |||||
Other countries | 0.0 | 153,840 | – | – | |||||
Total 1 | – | 176,609 | 0.022 | 60 | |||||
2Q20 (CHF million) | |||||||||
Hong Kong | 1.000 | 3,638 | – | – | |||||
Sweden | 0.000 | 877 | – | – | |||||
UK | 0.000 | 10,299 | – | – | |||||
France | 0.000 | 3,086 | – | – | |||||
Luxembourg | 0.250 | 5,490 | – | – | |||||
Germany | 0.000 | 4,272 | – | – | |||||
Subtotal | – | 27,662 | – | – | |||||
Other countries | 0.0 | 165,349 | – | – | |||||
Total 1 | – | 193,011 | 0.026 | 78 | |||||
1
Reflects the total of RWA for private sector credit exposures across all jurisdictions to which the Group is exposed, including jurisdictions with no CCyB rate or with a CCyB rate set at zero, and value of the Group specific CCyB rate and resulting CCyB amount.
|
LR1 - Summary comparison of accounting assets vs leverage ratio exposure | |||
end of | 4Q20 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Total consolidated assets as per published financial statements | 805,822 | ||
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation 1 | (16,681) | ||
Adjustments for derivatives financial instruments | 68,577 | ||
Adjustments for SFTs (i.e. repos and similar secured lending) | (39,009) | ||
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 88,944 | ||
Other adjustments 2 | (107,800) | ||
Leverage exposure | 799,853 | ||
1
Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation and tier 1 capital deductions related to balance sheet assets.
|
|||
2
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure of CHF 110,677 million, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
|
LR2 - Leverage ratio common disclosure template | |||||
end of | 4Q20 | 3Q20 | |||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||||
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 1 | 511,058 | 519,495 | |||
Asset amounts deducted from Basel III tier 1 capital | (9,164) | (9,674) | |||
Total on-balance sheet exposures | 501,894 | 509,821 | |||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||||
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 31,851 | 32,582 | |||
Add-on amounts for PFE associated with all derivatives transactions | 65,545 | 71,212 | |||
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 26,815 | 26,620 | |||
Deductions of receivables assets for cash variation margin provided in derivatives transactions | (24,352) | (25,449) | |||
Exempted CCP leg of client-cleared trade exposures | (11,484) | (10,194) | |||
Adjusted effective notional amount of all written credit derivatives | 189,693 | 275,045 | |||
Adjusted effective notional offsets and add-on deductions for written credit derivatives | (183,831) | (268,075) | |||
Derivative Exposures | 94,237 | 101,741 | |||
Securities financing transaction exposures (CHF million) | |||||
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 110,947 | 124,883 | |||
Netted amounts of cash payables and cash receivables of gross SFT assets | (7,932) | (10,176) | |||
Counterparty credit risk exposure for SFT assets | 11,763 | 11,954 | |||
Agent transaction exposures | 0 | 0 | |||
Securities financing transaction exposures | 114,778 | 126,661 | |||
Other off-balance sheet exposures (CHF million) | |||||
Off-balance sheet exposure at gross notional amount | 276,387 | 267,892 | |||
Adjustments for conversion to credit equivalent amounts | (187,443) | (181,695) | |||
Other off-balance sheet exposures | 88,944 | 86,197 | |||
Swiss tier 1 capital (CHF million) | |||||
Swiss tier 1 capital | 51,192 | 52,317 | |||
Leverage exposure (CHF million) | |||||
Leverage exposure | 799,853 | 824,420 | |||
Leverage ratio (%) | |||||
Basel III leverage ratio | 6.4 | 6.3 | |||
1
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
|
LIQ1 - Liquidity coverage ratio | |||||
end of 4Q20 |
Unweighted value |
1 |
Weighted value |
2 | |
High-quality liquid assets (CHF million) | |||||
High-quality liquid assets 3 | – | 203,536 | |||
Cash outflows (CHF million) | |||||
Retail deposits and deposits from small business customers | 161,262 | 19,825 | |||
of which less stable deposits | 161,262 | 19,825 | |||
Unsecured wholesale funding | 235,302 | 89,758 | |||
of which operational deposits (all counterparties) and deposits in networks of cooperative banks | 51,117 | 12,779 | |||
of which non-operational deposits (all counterparties) | 117,924 | 63,050 | |||
of which unsecured debt | 13,542 | 13,542 | |||
Secured wholesale funding | – | 44,979 | |||
Additional requirements | 175,292 | 35,989 | |||
of which outflows related to derivative exposures and other collateral requirements | 69,070 | 15,166 | |||
of which outflows related to loss of funding on debt products | 800 | 800 | |||
of which credit and liquidity facilities | 105,422 | 20,023 | |||
Other contractual funding obligations | 56,751 | 56,751 | |||
Other contingent funding obligations | 214,181 | 5,574 | |||
Total cash outflows | – | 252,876 | |||
Cash inflows (CHF million) | |||||
Secured lending | 124,593 | 59,090 | |||
Inflows from fully performing exposures | 62,541 | 28,081 | |||
Other cash inflows | 58,329 | 58,329 | |||
Total cash inflows | 245,463 | 145,500 | |||
Liquidity cover ratio (CHF million) | |||||
High-quality liquid assets | – | 203,536 | |||
Net cash outflows | – | 107,376 | |||
Liquidity coverage ratio (%) | – | 190 | |||
Calculated based on an average of 66 data points in 4Q20.
|
|||||
1
Calculated as outstanding balances maturing or callable within 30 days.
|
|||||
2
Calculated after the application of haircuts for high-quality liquid assets or inflow and outflow rates.
|
|||||
3
Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation view.
|
A | ||
ABS | Asset-backed securities | |
ACVA | Advanced credit valuation adjustment approach | |
A-IRB | Advanced-Internal Ratings-Based Approach | |
AMA | Advanced Measurement Approach | |
B | ||
BCBS | Basel Committee on Banking Supervision | |
BIS | Bank for International Settlements | |
C | ||
CAO | Capital Adequacy Ordinance | |
CARMC | Capital Allocation & Risk Management Committee | |
CCF | Credit Conversion Factor | |
CCO | Chief Credit Officer | |
CCP | Central counterparties | |
CCR | Counterparty credit risk | |
CCyB | Countercyclical buffer | |
CDO | Collateralized debt obligation | |
CDS | Credit default swap | |
CECL | Current expected credit loss | |
CET1 | Common equity tier 1 | |
CFO | Chief Financial Officer | |
CLO | Collateralized loan obligation | |
CMBS | Commercial mortgage-backed securities | |
CMSC | Credit Model Steering Committee | |
CRCO | Chief Risk and Compliance Officer | |
CRM | Credit Risk Mitigation | |
CVA | Credit valuation adjustment | |
D | ||
D-SIB | Domestic systemically important banks | |
E | ||
EAD | Exposure at default | |
ECAI | External credit assessment institutions | |
EEPE | Effective Expected Positive Exposure | |
EMIR | European Market Infrastructure Regulation | |
ERC | Economic Risk Capital | |
F | ||
FINMA | Swiss Financial Market Supervisory Authority FINMA | |
FSB | Financial Stability Board | |
G | ||
GDP | Gross Domestic Product | |
G-SIB | Global systemically important banks | |
I | ||
IAA | Internal Assessment Approach | |
IMA | Internal Models Approach | |
IMM | Internal Models Method | |
IPRE | Income producing real estate | |
IRB | Internal Ratings-Based Approach | |
IRRBB | Interest rate risk in the banking book | |
IRC | Incremental Risk Charge |
L | |||
LCR | Liquidity coverage ratio | ||
LGD | Loss given default | ||
LRD | Leverage ratio denominator | ||
LTV | Loan-to-value | ||
N | |||
NII | Net interest income | ||
O | |||
OTC | Over-the-counter | ||
P | |||
P&L | Profits and losses | ||
PD | Probability of default | ||
PFE | Potential future exposure | ||
Q | |||
QCCP | Qualifying central counterparty | ||
R | |||
RMBS | Residential mortgage-backed securities | ||
RNIV | Risks not in value-at-risk | ||
RPSC | Risk Processes & Standards Committee | ||
RW | Risk weight | ||
RWA | Risk-weighted assets | ||
S | |||
SA | Standardized Approach | ||
SA-CCR | Standardized Approach - counterparty credit risk | ||
SEC-ERBA | Securitization External Ratings-Based Approach | ||
SEC-IRBA | Securitization Internal Ratings-Based Approach | ||
SEC-SA | Securitization Standardized Approach | ||
SFT | Securities financing transactions | ||
SMM | Standardized Measurement Method | ||
SPE | Special purpose entity | ||
T | |||
TLAC | Total loss-absorbing capacity | ||
U | |||
US GAAP | Accounting principles generally accepted in the US | ||
V | |||
VaR | Value-at-Risk | ||
∆ | |||
∆EVE | Delta economic value of equity | ||
∆NII | Delta net interest income |
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