Swiss capital requirements and metrics | |||||
end of 1Q22 |
CHF million |
in % of RWA |
|||
Swiss risk-weighted assets | |||||
Swiss risk-weighted assets | 273,609 | – | |||
Risk-based capital requirements (going-concern) based on Swiss capital ratios | |||||
Total 1 | 41,034 | 14.997 | |||
of which CET1: minimum | 12,312 | 4.5 | |||
of which CET1: buffer | 15,049 | 5.5 | |||
of which CET1: countercyclical buffers | 63 | 0.023 | |||
of which additional tier 1: minimum | 9,576 | 3.5 | |||
of which additional tier 1: buffer | 2,189 | 0.8 | |||
Swiss eligible capital (going-concern) | |||||
Swiss CET1 capital and additional tier 1 capital 2 | 53,204 | 19.4 | |||
of which CET1 capital 3 | 37,713 | 13.8 | |||
of which additional tier 1 high-trigger capital instruments | 11,135 | 4.1 | |||
of which additional tier 1 low-trigger capital instruments 4 | 4,356 | 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 5 | 39,126 | 14.3 | |||
Reductions due to rebates in accordance with article 133 of the CAO | (8,578) | (3.135) | |||
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO | (1,180) | (0.431) | |||
Total, net | 29,368 | 10.734 | |||
Eligible additional total loss-absorbing capacity (gone-concern) | |||||
Total | 47,973 | 17.5 | |||
of which bail-in instruments 6 | 45,612 | 16.7 | |||
of which tier 2 low-trigger capital instruments | 2,361 | 0.9 | |||
Rounding differences may occur.
|
|||||
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an additional Swiss CET1 capital ratio requirement of 67 basis points.
|
|||||
2
Excludes tier 1 capital that is used to fulfill gone-concern requirements.
|
|||||
3
Excludes CET1 capital that is used to fulfill gone-concern requirements.
|
|||||
4
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.
|
|||||
5
Consists of a base requirement of 12.86%, or CHF 35,186 million, and a surcharge of 1.44%, or CHF 3,940 million.
|
|||||
6
Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.
|
Swiss leverage requirements and metrics | ||||||
end of 1Q22 |
CHF million |
in % of LRD |
||||
Leverage exposure | ||||||
Leverage ratio denominator | 878,023 | – | ||||
Unweighted capital requirements (going-concern) based on Swiss leverage ratio | ||||||
Total 1 | 45,745 | 5.21 | ||||
of which CET1: minimum | 13,170 | 1.5 | ||||
of which CET1: buffer | 17,560 | 2.0 | ||||
of which additional tier 1: minimum | 13,170 | 1.5 | ||||
Swiss eligible capital (going-concern) | ||||||
Swiss CET1 capital and additional tier 1 capital 2 | 53,204 | 6.1 | ||||
of which CET1 capital 3 | 37,713 | 4.3 | ||||
of which additional tier 1 high-trigger capital instruments | 11,135 | 1.3 | ||||
of which additional tier 1 low-trigger capital instruments 4 | 4,356 | 0.5 | ||||
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio | ||||||
Total according to size and market share 5 | 43,901 | 5.0 | ||||
Reductions due to rebates in accordance with article 133 of the CAO | (9,658) | (1.1) | ||||
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO | (1,181) | (0.134) | ||||
Total, net | 33,062 | 3.766 | ||||
Eligible additional total loss-absorbing capacity (gone-concern) | ||||||
Total | 47,973 | 5.5 | ||||
of which bail-in instruments 6 | 45,612 | 5.2 | ||||
of which tier 2 low-trigger capital instruments | 2,361 | 0.3 | ||||
Rounding differences may occur.
|
||||||
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an additional Swiss CET1 leverage ratio requirement of 21 basis points.
|
||||||
2
Excludes tier 1 capital that is used to fulfill gone-concern requirements.
|
||||||
3
Excludes CET1 capital that is used to fulfill gone-concern requirements.
|
||||||
4
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.
|
||||||
5
Consists of a base requirement of 4.5%, or CHF 39,511 million, and a surcharge of 0.5%, or CHF 4,390 million.
|
||||||
6
Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.
|
OV1 – Overview of Swiss risk-weighted assets and capital requirements | |||||||
Risk-weighted assets |
Capital requirement |
1 | |||||
end of | 1Q22 | 4Q21 | 1Q22 | ||||
CHF million | |||||||
Credit risk (excluding counterparty credit risk) | 130,639 | 126,878 | 10,452 | ||||
of which standardized approach (SA) | 28,228 | 25,591 | 2,260 | ||||
of which supervisory slotting approach | 4,346 | 4,040 | 348 | ||||
of which advanced internal ratings-based (A-IRB) approach | 98,065 | 97,247 | 7,844 | ||||
Counterparty credit risk | 15,338 | 15,640 | 1,227 | ||||
of which standardized approach for counterparty credit risk (SA-CCR) | 4,276 | 3,064 | 342 | ||||
of which internal model method (IMM) | 10,001 | 11,536 | 800 | ||||
of which other counterparty credit risk 2 | 1,061 | 1,040 | 85 | ||||
Credit valuation adjustments (CVA) | 4,832 | 5,046 | 387 | ||||
Equity positions in the banking book under the simple risk weight approach | 5,645 | 7,071 | 452 | ||||
Equity investments in funds - look-through approach | 2,220 | 2,431 | 178 | ||||
Equity investments in funds - mandate-based approach | 21 | 21 | 2 | ||||
Equity investments in funds - fall-back approach | 571 | 505 | 46 | ||||
Settlement risk | 669 | 465 | 54 | ||||
Securitization exposures in the banking book | 13,048 | 13,396 | 1,044 | ||||
of which securitization internal ratings-based approach (SEC-IRBA) | 7,381 | 7,736 | 590 | ||||
of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA) | 1,135 | 1,429 | 91 | ||||
of which securitization standardized approach (SEC-SA) | 4,532 | 4,231 | 363 | ||||
Market risk | 17,407 | 16,355 | 1,391 | ||||
of which standardized approach (SA) | 1,725 | 1,648 | 137 | ||||
of which internal models approach (IMA) | 15,682 | 14,707 | 1,254 | ||||
Operational risk (AMA) | 70,427 | 67,627 | 5,634 | ||||
Amounts below the thresholds for deduction (subject to 250% risk weight) | 12,792 | 12,983 | 1,023 | ||||
Total | 273,609 | 268,418 | 21,890 | ||||
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.
|
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 |
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB | |||
1Q22 | |||
CHF million | |||
Risk-weighted assets at beginning of period | 101,287 | ||
Asset size | 613 | ||
Asset quality | (282) | ||
Model and parameter updates | 500 | ||
Foreign exchange impact | 293 | ||
Risk-weighted assets at end of period | 102,411 | ||
Includes RWA related to the A-IRB approach and supervisory slotting approach.
|
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM | |||
1Q22 | |||
CHF million | |||
Risk-weighted assets at beginning of period | 11,536 | ||
Asset size | (1,574) | ||
Credit quality of counterparties | (14) | ||
Model and parameter updates | 0 | ||
Foreign exchange impact | 53 | ||
Risk-weighted assets at end of period | 10,001 |
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 |
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA | |||||||||||
1Q22 |
Regulatory VaR |
Stressed VaR |
IRC |
Other |
1 |
Total |
|||||
CHF million | |||||||||||
Risk-weighted assets at beginning of period | 4,067 | 4,840 | 2,087 | 3,713 | 14,707 | ||||||
Regulatory adjustment | (179) | (474) | (195) | 7 | (841) | ||||||
Risk-weighted assets at beginning of period (end of day) | 3,888 | 4,366 | 1,892 | 3,720 | 13,866 | ||||||
Movement in risk levels | 267 | 1,677 | 97 | 355 | 2,396 | ||||||
Model and parameter updates | (104) | 84 | 0 | 69 | 49 | ||||||
Foreign exchange impact | 39 | 43 | 19 | 32 | 133 | ||||||
Risk-weighted assets at end of period (end of day) | 4,090 | 6,170 | 2,008 | 4,176 | 16,444 | ||||||
Regulatory adjustment | 273 | (1,394) | 198 | 160 | (762) | ||||||
Risk-weighted assets at end of period | 4,363 | 4,776 | 2,206 | 4,336 | 15,682 | ||||||
1
Risks not in VaR.
|
KM1 - Key metrics | |||||||||||
end of | 1Q22 | 4Q21 | 3Q21 | 2Q21 | 1Q21 | ||||||
Capital (CHF million) | |||||||||||
Swiss CET1 capital | 37,713 | 38,529 | 39,951 | 38,934 | 36,959 | ||||||
Fully loaded CECL accounting model Swiss CET1 capital 1 | 37,713 | 38,529 | 39,951 | 38,934 | 36,959 | ||||||
Swiss tier 1 capital | 53,204 | 54,372 | 56,252 | 55,148 | 53,406 | ||||||
Fully loaded CECL accounting model Swiss tier 1 capital 1 | 53,204 | 54,372 | 56,252 | 55,148 | 53,406 | ||||||
Swiss total eligible capital | 53,676 | 55,073 | 56,998 | 56,394 | 54,682 | ||||||
Fully loaded CECL accounting model Swiss total eligible capital 1 | 53,676 | 55,073 | 56,998 | 56,394 | 54,682 | ||||||
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 | 21,889 | 21,473 | 22,304 | 22,744 | 24,270 | ||||||
Risk-weighted assets (CHF million) | |||||||||||
Swiss risk-weighted assets | 273,609 | 268,418 | 278,801 | 284,295 | 303,380 | ||||||
Risk-based capital ratios as a percentage of risk-weighted assets (%) | |||||||||||
Swiss CET1 capital ratio | 13.8 | 14.4 | 14.3 | 13.7 | 12.2 | ||||||
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 | 13.8 | 14.4 | 14.3 | 13.7 | 12.2 | ||||||
Swiss tier 1 capital ratio | 19.4 | 20.3 | 20.2 | 19.4 | 17.6 | ||||||
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 | 19.4 | 20.3 | 20.2 | 19.4 | 17.6 | ||||||
Swiss total capital ratio | 19.6 | 20.5 | 20.4 | 19.8 | 18.0 | ||||||
Fully loaded CECL accounting model Swiss total capital ratio 1 | 19.6 | 20.5 | 20.4 | 19.8 | 18.0 | ||||||
BIS CET1 buffer requirements (%) 3 | |||||||||||
Capital conservation buffer | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | ||||||
Extended countercyclical buffer | 0.023 | 0.028 | 0.021 | 0.022 | 0.021 | ||||||
Progressive buffer for G-SIB and/or D-SIB | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | ||||||
Total BIS CET1 buffer requirement | 3.523 | 3.528 | 3.521 | 3.522 | 3.521 | ||||||
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 | 9.3 | 9.9 | 9.8 | 9.2 | 7.7 | ||||||
Basel III leverage ratio (CHF million) | |||||||||||
Leverage exposure | 878,023 | 889,137 | 937,419 | 931,041 | 981,979 | ||||||
Basel III leverage ratio (%) | 6.1 | 6.1 | 6.0 | 5.9 | 5.4 | ||||||
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 | 6.1 | 6.1 | 6.0 | 5.9 | 5.4 | ||||||
Liquidity coverage ratio (CHF million) 5 | |||||||||||
High-quality liquid assets | 225,572 | 227,193 | 228,352 | 209,256 | 211,307 | ||||||
Net cash outflows | 114,869 | 112,156 | 103,504 | 97,007 | 103,088 | ||||||
Liquidity coverage ratio (%) | 196 | 203 | 221 | 216 | 205 | ||||||
Net stable funding ratio (CHF million) | |||||||||||
Available stable funding | 430,894 | 436,856 | 446,805 | – | – | ||||||
Required stable funding | 335,546 | 342,870 | 353,492 | – | – | ||||||
Net stable funding ratio (%) | 128 | 127 | 126 | – | – | ||||||
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, less the BIS minimum CET1 ratio requirement of 4.5%.
|
|||||||||||
5
Calculated using a three-month average, which is calculated on a daily basis.
|
KM2 - Key metrics - TLAC requirements (at resolution group level) | |||||||||||
end of | 1Q22 | 4Q21 | 3Q21 | 2Q21 | 1Q21 | ||||||
CHF million | |||||||||||
TLAC | 101,177 | 101,269 | 106,048 | 107,027 | 105,862 | ||||||
Fully loaded CECL accounting model TLAC 1 | 101,177 | 101,269 | 106,048 | 107,027 | 105,862 | ||||||
Swiss risk-weighted assets | 273,609 | 268,418 | 278,801 | 284,295 | 303,380 | ||||||
TLAC ratio (%) | 37.0 | 37.7 | 38.0 | 37.6 | 34.9 | ||||||
Fully loaded CECL accounting model TLAC ratio (%) 1 | 37.0 | 37.7 | 38.0 | 37.6 | 34.9 | ||||||
Leverage exposure | 878,023 | 889,137 | 937,419 | 931,041 | 981,979 | ||||||
TLAC leverage ratio (%) | 11.5 | 11.4 | 11.3 | 11.5 | 10.8 | ||||||
Fully loaded CECL accounting model TLAC leverage ratio (%) 1 | 11.5 | 11.4 | 11.3 | 11.5 | 10.8 | ||||||
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 | ||||||
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”.
|
LR1 - Summary comparison of accounting assets vs leverage ratio exposure | |||
end of | 1Q22 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Total consolidated assets as per published financial statements | 739,554 | ||
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation 1 | (9,780) | ||
Adjustments for derivatives financial instruments | 56,200 | ||
Adjustments for SFTs (i.e. repos and similar secured lending) | (724) | ||
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 90,409 | ||
Other adjustments | 2,364 | ||
Leverage exposure | 878,023 | ||
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.
|
LR2 - Leverage ratio common disclosure template | |||||
end of | 1Q22 | 4Q21 | |||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||||
On-balance sheet items (excluding derivatives and SFTs, but including collateral) | 617,402 | 613,137 | |||
Asset amounts deducted from Basel III tier 1 capital | (8,170) | (7,965) | |||
Total on-balance sheet exposures | 609,232 | 605,172 | |||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||||
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 18,628 | 20,381 | |||
Add-on amounts for PFE associated with all derivatives transactions | 50,756 | 52,405 | |||
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 15,130 | 17,869 | |||
Deductions of receivables assets for cash variation margin provided in derivatives transactions | (13,975) | (17,118) | |||
Exempted CCP leg of client-cleared trade exposures | (1,872) | (4,324) | |||
Adjusted effective notional amount of all written credit derivatives | 229,495 | 201,987 | |||
Adjusted effective notional offsets and add-on deductions for written credit derivatives | (225,154) | (197,528) | |||
Derivative Exposures | 73,008 | 73,672 | |||
Securities financing transaction exposures (CHF million) | |||||
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 113,836 | 127,152 | |||
Netted amounts of cash payables and cash receivables of gross SFT assets | (15,823) | (16,616) | |||
Counterparty credit risk exposure for SFT assets | 7,361 | 6,471 | |||
Securities financing transaction exposures | 105,374 | 117,007 | |||
Other off-balance sheet exposures (CHF million) | |||||
Off-balance sheet exposure at gross notional amount | 284,584 | 294,755 | |||
Adjustments for conversion to credit equivalent amounts | (194,175) | (201,469) | |||
Other off-balance sheet exposures | 90,409 | 93,286 | |||
Swiss tier 1 capital (CHF million) | |||||
Swiss tier 1 capital | 53,204 | 54,372 | |||
Leverage exposure (CHF million) | |||||
Leverage exposure | 878,023 | 889,137 | |||
Leverage ratio (%) | |||||
Basel III leverage ratio | 6.1 | 6.1 |
LIQ1 - Liquidity coverage ratio | |||||
end of 1Q22 |
Unweighted value |
1 |
Weighted value |
2 | |
High-quality liquid assets (CHF million) | |||||
High-quality liquid assets 3 | – | 225,572 | |||
Cash outflows (CHF million) | |||||
Retail deposits and deposits from small business customers | 160,490 | 19,675 | |||
of which less stable deposits | 160,490 | 19,675 | |||
Unsecured wholesale funding | 247,390 | 91,890 | |||
of which operational deposits (all counterparties) and deposits in networks of cooperative banks | 50,089 | 12,522 | |||
of which non-operational deposits (all counterparties) | 128,258 | 66,298 | |||
of which unsecured debt | 12,966 | 12,966 | |||
Secured wholesale funding | 75,475 | 19,376 | |||
Additional requirements | 164,142 | 36,060 | |||
of which outflows related to derivative exposures and other collateral requirements | 54,716 | 13,864 | |||
of which outflows related to loss of funding on debt products | 774 | 774 | |||
of which credit and liquidity facilities | 108,652 | 21,422 | |||
Other contractual funding obligations | 65,548 | 65,548 | |||
Other contingent funding obligations | 195,886 | 2,498 | |||
Total cash outflows | – | 235,047 | |||
Cash inflows (CHF million) | |||||
Secured lending | 63,349 | 27,618 | |||
Inflows from fully performing exposures | 56,553 | 25,946 | |||
Other cash inflows | 66,613 | 66,614 | |||
Total cash inflows | 186,515 | 120,178 | |||
Liquidity cover ratio (CHF million) | |||||
High-quality liquid assets | – | 225,572 | |||
Net cash outflows | – | 114,869 | |||
Liquidity coverage ratio (%) | – | 196 | |||
Calculated based on an average of 64 data points in 1Q22.
|
|||||
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 | |||
A-IRB | Advanced-Internal Ratings-Based | ||
AMA | Advanced Measurement Approach | ||
B | |||
BCBS | Basel Committee on Banking Supervision | ||
BIS | Bank for International Settlements | ||
C | |||
CAO | Capital Adequacy Ordinance | ||
CCP | Central counterparties | ||
CCR | Counterparty credit risk | ||
CDS | Credit default swap | ||
CECL | Current expected credit loss | ||
CET1 | Common equity tier 1 | ||
CVA | Credit valuation adjustment | ||
D | |||
D-SIB | Domestic systemically important bank | ||
F | |||
FINMA | Swiss Financial Market Supervisory Authority FINMA | ||
FSB | Financial Stability Board | ||
G | |||
G-SIB | Global systemically important bank | ||
I | |||
IAA | Internal Assessment Approach | ||
IMA | Internal Models Approach | ||
IMM | Internal Model Method | ||
IRB | Internal Ratings-Based | ||
IRC | Incremental Risk Charge |
L | |||
LCR | Liquidity coverage ratio | ||
LRD | Leverage ratio denominator | ||
N | |||
NSFR | Net stable funding ratio | ||
O | |||
OTC | Over-the-counter | ||
P | |||
PFE | Potential future exposure | ||
R | |||
RNIV | Risks not in value-at-risk | ||
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 | ||
T | |||
TLAC | Total loss-absorbing capacity | ||
U | |||
US GAAP | Accounting principles generally accepted in the US | ||
V | |||
VaR | Value-at-Risk |
K\72[2?_ICKE_;_=#_ -0SKNY_/^RR\E>S#Z5<,RA@6&TWL+.E
MBMAI<-I8&54-,BQS-;$UJ2-\#Q51+IR4IY?TS#;):9Y%>L_\ZKN/GY(I$=U;
MI[3_ .'I[I/>LG1;FN1T:L5V 5[E:N]+TS]BF1Q_K5_,?Y:.?Z5OQ/\ AX:_
ML?\ ] =)OSC!O\*H/HO^IOFQ?O\ [,3] Z9/S'^[]$%VH?+/H7Y/X6Q.@+^T
MY]P5LD^R6RECV!4K
M>Y4:YFP::6H@C38UJ.36Y41$1$19%1-R60MY>9^GWDQ3$_P I_P"?X5\?
M&YN".Q7)$Q_/_P#)?6A]@UFWI$SSA?2-[*+IRQ+/-=@\S*BAPC#:5,/PZGREQ#*E;@6=<-P%N7H*V&1M9223K*L[HE16Z'):WCENOA
M;2Y7F?IV._>UPSOVWY*]N-S;T[NV2->^O/\ Q_NO?H!Z!,D>QUZ/J?(.28YI
M&=T6IKJZHLL]=4N1$=*^R(B;&M:UJ;&M:B)UJN=S>9DYV7O
(ZO>CT'T?9N9FO!6OG>U*^EM
M'5-39=>IZ)P=Z;H8?)P=S?RZ3T;7&S=]3SZPRLV5^,X'2ICN%Q)5PTJ7JZ1=
MBOBZWL7>CF[^"I?@ASAK3)/8MY;Z2ZS6MCCMU\]=8?7+6;<$S52]WPNI19&I
M>6!^R2/M3AS2Z'.7#?#.K0]Q9J9HW5BYLR'@F;(U?4Q]PK$2S*J)/#3@CD^$
MG)?(J'>'DWP].GLYS<>F;KU]U)YHR7C>4Y].(0:Z=RVCJ8]L;^7[J\E\ES7P
MYZ9H^'K[,G+@OAGXNC0DR$
M Y3QD[4 ]5L\1O8A\T^C=@ !YGS6B]]&+
M_/I_74^AP_3K^(8&;ZEOS+564D1N6J]CD>U51S5NBIU*!
GG"Z>CSI(CQU(\%QM[8\11+1RKL;4V]#^77O3@9'*XO=_'3I_AJ\;E=Y\%
M^O\ E8!176"N,X>S$?
ALFY@;F
M7+]-B*JG=T3N50U.J5NQWGV*G)3#SXNZO-6Y@R=[2+*]Z8OLWH:^/+7+'
M:JR
3<=):_$R=O'KV1[IDP2[:/,,+/%7VK/;@MU8OGU)Y4)
M^!DZXY_*#FX^EX5<:3/ &VRYF?%
Z.1CF/8JM
^/%?GLWKJ;^'Z=?PP\OU+?EK21&
M -