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Credit Suisse Group AG – ‘6-K’ for 6/30/22

On:  Friday, 8/26/22, at 6:12am ET   ·   For:  6/30/22   ·   Accession #:  1370368-22-73   ·   File #:  1-15244

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  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 8/26/22  Credit Suisse Group AG            6-K         6/30/22    1:3.1M                                   MDD Mgmt Digital … AG/FA

Current, Quarterly or Annual Report by a Foreign Issuer   —   Form 6-K   —   SEA’34

Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 6-K         Current, Quarterly or Annual Report by a Foreign    HTML   2.95M 
                Issuer                                                           


Document Table of Contents

Page (sequential)   (alphabetic) Top
 
11st Page  –  Filing Submission
"Introduction
"Swiss capital requirements
"Risk-weighted assets
"Credit risk
"Counterparty credit risk
"Securitization
"Market risk
"Additional regulatory disclosures
"List of abbreviations
"Cautionary statement regarding forward-looking information

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16 UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 26, 2022
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)

Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F.
   Form 20-F      Form 40-F   
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Note: Regulation S-T Rule 101(b)(1) only permits the submission in paper of a Form 6-K if submitted solely to provide an attached annual report to security holders.
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):
Note: Regulation S-T Rule 101(b)(7) only permits the submission in paper of a Form 6-K if submitted to furnish a report or other document that the registrant foreign private issuer must furnish and make public under the laws of the jurisdiction in which the registrant is incorporated, domiciled or legally organized (the registrant’s “home country”), or under the rules of the home country exchange on which the registrant’s securities are traded, as long as the report or other document is not a press release, is not required to be and has not been distributed to the registrant’s security holders, and, if discussing a material event, has already been the subject of a Form 6-K submission or other Commission filing on EDGAR.
Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
   Yes      No   
If “Yes” is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b): 82-.






Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE GROUP AG
 (Registrant)
Date: August 26, 2022
By:
/s/ David Wildermuth
David Wildermuth
Chief Risk Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer












For the purposes of this report, unless the context otherwise requires, the terms “Credit Suisse Group”, “Credit Suisse”, the “Group”, “we”, “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the “Bank” when we are referring only to Credit Suisse AG and its consolidated subsidiaries. We use the term the “Bank parent company” when we are referring only to the standalone parent entity Credit Suisse AG. Abbreviations and selected terms are explained in the List of abbreviations and the Glossary in the back of this report. Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report. Rounding differences may occur.


Pillar 3 and regulatory disclosures 2Q22
Credit Suisse Group AG

Introduction
Swiss capital requirements
Risk-weighted assets
Credit risk
Counterparty credit risk
Securitization
Market risk
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information






Introduction
General
This report as of June 30, 2022 is based on the Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA).
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q21 and 1Q22 as well as the Credit Suisse Annual Report 2021 and the Credit Suisse Financial Report 2Q22, which include important information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
Credit Suisse Group is the highest consolidated entity to which the FINMA circular applies.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The level of internal control processes for these disclosures is similar to those applied to the Group’s quarterly and annual financial reports. This report has not been audited by the Group’s external auditors.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
This report reflects certain updates and corrections to prior period metrics, which have been noted in the relevant tabular disclosures, where applicable.
Other regulatory disclosures
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features of regulatory capital instruments and total loss-absorbing capacity (TLAC)-eligible instruments that form part of the eligible capital base and TLAC resources, Global systemically important bank (G-SIB) financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
Regulatory developments
> Refer to “Regulatory developments” (page 46) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q22 for further information.
2

Swiss capital requirements
FINMA requires the Group to comply fully with the special requirements for systemically important financial institutions operating internationally. The following tables present the Swiss capital and leverage requirements and metrics as required by FINMA.
> Refer to “Swiss requirements” (page 45) and “Swiss metrics” (pages 50 to 51) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q22 for further information on general Swiss requirements and the related metrics.
Swiss capital requirements and metrics

end of 2Q22

CHF million
in %
of RWA
Swiss risk-weighted assets          
Swiss risk-weighted assets 274,997
Risk-based capital requirements (going-concern) based on Swiss capital ratios          
Total 1 40,316 14.66
   of which CET1: minimum  12,375 4.5
   of which CET1: buffer  14,135 5.14
   of which CET1: countercyclical buffers  70 0.025
   of which additional tier 1: minimum  9,625 3.5
   of which additional tier 1: buffer  2,200 0.8
Swiss eligible capital (going-concern)          
Swiss CET1 capital and additional tier 1 capital 2 52,736 19.2
   of which CET1 capital 3 37,049 13.5
   of which additional tier 1 high-trigger capital instruments  11,223 4.1
   of which additional tier 1 low-trigger capital instruments 4 4,464 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 38,335 13.9
Reductions due to rebates in accordance with article 133 of the CAO (8,077) (2.937)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,204) (0.438)
Total, net 29,054 10.565
Eligible additional total loss-absorbing capacity (gone-concern)          
Total 44,160 16.1
   of which bail-in instruments 6 41,753 15.2
   of which tier 2 low-trigger capital instruments  2,407 0.9
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,911 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 70 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 35,365 million, and a surcharge of 1.08%, or CHF 2,970 million.
6
Includes instruments issued in 2021, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,422 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 2Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,492 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,057 million offset by CHF 5,565 million of funding provided by the Group to Credit Suisse AG.
3

Swiss leverage requirements and metrics

end of 2Q22

CHF million
in %
of LRD
Leverage exposure          
Leverage ratio denominator 862,737
Unweighted capital requirements (going-concern) based on Swiss leverage ratio          
Total 1 43,970 5.097
   of which CET1: minimum  12,941 1.5
   of which CET1: buffer  16,176 1.875
   of which additional tier 1: minimum  12,941 1.5
Swiss eligible capital (going-concern)          
Swiss CET1 capital and additional tier 1 capital 2 52,736 6.1
   of which CET1 capital 3 37,049 4.3
   of which additional tier 1 high-trigger capital instruments  11,223 1.3
   of which additional tier 1 low-trigger capital instruments 4 4,464 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 42,058 4.875
Reductions due to rebates in accordance with article 133 of the CAO (8,895) (1.031)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,204) (0.14)
Total, net 31,960 3.704
Eligible additional total loss-absorbing capacity (gone-concern)          
Total 44,160 5.1
   of which bail-in instruments 6 41,753 4.8
   of which tier 2 low-trigger capital instruments  2,407 0.3
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,911 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 22 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 38,823 million, and a surcharge of 0.375%, or CHF 3,235 million.
6
Includes instruments issued in 2021, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,422 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 2Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,492 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,057 million offset by CHF 5,565 million of funding provided by the Group to Credit Suisse AG.
4

Risk-weighted assets
Risk-weighted assets (RWA) presented in this report, including prior period comparisons, are based on the Swiss capital requirements.
> Refer to “Swiss requirements” (page 45) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Financial Report 2Q22 for further information on Swiss capital requirements.
The following table presents an overview of total Swiss RWA forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent sections of this report.
RWA were CHF 275.0 billion as of the end of 2Q22, stable compared to the end of 1Q22, as the foreign exchange impact was offset by movements in risk levels and internal model and parameter updates in the Investment Bank.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented in subsequent parts of this report.
> Refer to “Risk-weighted assets” (pages 48 to 49) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q22 for further information on risk-weighted assets movements in 2Q22.
OV1 – Overview of Swiss risk-weighted assets and capital requirements 
     
Risk-weighted assets
Capital
requirement
1
end of 2Q22 1Q22 4Q21 2Q22
CHF million  
Credit risk (excluding counterparty credit risk) 132,190 130,639 126,878 10,575
   of which standardized approach (SA)  30,836 28,228 25,591 2,467
   of which supervisory slotting approach  4,322 4,346 4,040 346
   of which advanced internal ratings-based (A-IRB) approach  97,032 98,065 97,247 7,762
Counterparty credit risk 14,468 15,338 15,640 1,157
   of which standardized approach for counterparty credit risk (SA-CCR)  3,681 4,276 3,064 294
   of which internal model method (IMM)  9,875 10,001 11,536 790
   of which other counterparty credit risk 2 912 1,061 1,040 73
Credit valuation adjustments (CVA) 4,191 4,832 5,046 335
Equity positions in the banking book under the simple risk weight approach 5,469 5,645 7,071 438
Equity investments in funds - look-through approach 2,422 2,220 2,431 194
Equity investments in funds - mandate-based approach 11 21 21 1
Equity investments in funds - fall-back approach 688 571 505 55
Settlement risk 437 669 465 35
Securitization exposures in the banking book 13,228 13,048 13,396 1,058
   of which securitization internal ratings-based approach (SEC-IRBA)  7,807 7,381 7,736 625
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,016 1,135 1,429 81
   of which securitization standardized approach (SEC-SA)  4,405 4,532 4,231 352
Market risk 16,001 17,407 16,355 1,280
   of which standardized approach (SA)  1,612 1,725 1,648 129
   of which internal models approach (IMA)  14,389 15,682 14,707 1,151
Operational risk (AMA) 72,946 70,427 67,627 5,836
Amounts below the thresholds for deduction (subject to 250% risk weight) 12,946 12,792 12,983 1,036
Total  274,997 273,609 268,418 22,000
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.
5

Credit risk
General
This section covers credit risk as defined by the Basel framework. CCR, including those that are in the banking book for regulatory purposes, and all positions subject to the securitization framework are presented in separate sections.
> Refer to “Counterparty credit risk” (pages 22 to 29) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 30 to 35) for further information on the securitization framework.
The Basel framework permits banks to choose between two broad methodologies in calculating their capital requirements for credit risk: the standardized approach (SA) or the internal ratings-based (IRB) approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF).
The reported credit risk arises from the execution of the Group’s business strategy through the divisions and is predominantly driven by cash and balances with central banks, loans and commitments provided to corporate and institutional clients, loans to private clients including residential mortgages and lending against financial collateral.
Credit quality of assets
The amounts shown in the following tables are the US GAAP carrying values according to the regulatory scope of consolidation that are subject to the credit risk framework.
The following table presents a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
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
2Q22 (CHF million)  
Loans 1 8,097 428,505 436,602 (5,441) (38) 0 (483) 431,161
Debt securities 20 11,027 11,047 0 0 0 0 11,047
Off-balance sheet exposures 2 628 86,913 87,541 (178) (8) 0 (118) 87,363
Total  8,745 526,445 535,190 (5,619) (46) 0 (601) 529,571
4Q21 (CHF million)  
Loans 1 7,965 437,722 445,687 (5,334) (45) 0 (468) 440,353
Debt securities 17 9,916 9,933 0 0 0 0 9,933
Off-balance sheet exposures 2 391 93,257 93,648 (211) (13) 0 (189) 93,437
Total  8,373 540,895 549,268 (5,545) (58) 0 (657) 543,723
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and are not limited to exposures that are recognized as net loans under US GAAP. Loans 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.
The definitions of “past due” and “impaired” are aligned between accounting and regulatory purposes. However, there are some exemptions for impaired positions related to troubled debt restructurings where the default definition is different for accounting and regulatory purposes.
> Refer to “Note 1 – Summary of significant accounting policies – Loans” (pages 296 to 297) and “Note 20 – Financial instruments measured at amortized cost and credit losses” (pages 315 to 327) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 and “Note 19 – Financial instruments measured at amortized cost and credit losses” (pages 89 to 98) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q22 for further information on the current expected credit losses (CECL) model under US GAAP, the classification of CECL-related provisions and the credit quality of loans, including past due and impaired loans.
6

The following table presents the changes in the Group’s defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the defaulted exposures due to write-offs.
CR2 – Changes in defaulted exposures
1H22
CHF million  
Defaulted exposures at beginning of period  8,373
Exposures that have defaulted since the last reporting period 223
Returned to non-defaulted status (118)
Amounts written-off (71)
Other changes 338
Defaulted exposures at end of period  8,745
Credit risk mitigation
Credit Suisse actively mitigates credit exposure through the use of legal netting agreements, security over supporting financial and non-financial collateral or financial guarantees and through the use of credit hedging techniques, primarily credit default swaps (CDS). The recognition of credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness.
The following table presents the use of CRM techniques. Credit Suisse recognizes the CRM effect of eligible collateral either as a reduction from the exposure at default (EAD) value of the secured instrument or as an adjustment to the probability of default (PD) or loss given default (LGD) associated with the exposure. All exposures that are secured through eligible collateral are disclosed as “Net exposures partially or fully secured”. Eligible collateral amounts, regardless of which CRM technique has been applied, are disclosed as “Exposures secured by collateral”. Exposures secured by credit derivatives do not include certain immaterial positions, where the credit derivative is recognized with an adjustment to the LGD.
CR3 – CRM techniques
   Net exposures Exposures secured by

end of


Unsecured
Partially
or fully
secured


Total


Collateral

Financial
guarantees

Credit
derivatives
2Q22 (CHF million)    
Loans 1 203,558 227,603 431,161 184,912 5,446 15
Debt securities 9,545 1,502 11,047 1,460 0 0
Total  213,103 229,105 442,208 186,372 5,446 15
   of which defaulted  1,402 1,794 3,196 1,068 74 0
4Q21 (CHF million)  
Loans 1 208,561 231,792 440,353 193,549 6,970 0
Debt securities 9,622 311 9,933 274 0 0
Total  218,183 232,103 450,286 193,823 6,970 0
   of which defaulted  1,612 1,550 3,162 1,355 143 0
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and are not limited to exposures that are recognized as net loans under US GAAP. Loans exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
7

Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table presents the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on the riskiness of each portfolio.
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
2Q22 (CHF million)  
Sovereigns 119,874 20 119,894 119,874 0 119,874 101 0%
Institutions - Banks and securities dealer 2,780 768 3,548 2,578 388 2,966 986 33%
Institutions - Other institutions 814 2,122 2,936 814 298 1,112 369 33%
Corporates 12,260 8,783 21,043 11,444 2,822 14,266 12,179 85%
Retail 2,944 1,933 4,877 2,654 410 3,064 2,736 89%
Other exposures 15,442 1,443 16,885 15,172 1,257 16,429 14,465 88%
   of which non-counterparty related assets  7,403 0 7,403 7,403 0 7,403 7,403 100%
Total  154,114 15,069 169,183 152,536 5,175 157,711 30,836 20%
4Q21 (CHF million)  
Sovereigns 90,453 238 90,691 89,959 82 90,041 190 0%
Institutions - Banks and securities dealer 3,002 761 3,763 2,741 382 3,123 1,108 35%
Institutions - Other institutions 497 2,020 2,517 497 221 718 498 69%
Corporates 7,742 9,579 17,321 7,053 2,519 9,572 8,465 88%
Retail 2,758 1,381 4,139 2,494 363 2,857 2,413 84%
Other exposures 13,996 1,109 15,105 13,740 1,086 14,826 12,917 87%
   of which non-counterparty related assets  7,317 0 7,317 7,317 0 7,317 7,317 100%
Total  118,448 15,088 133,536 116,484 4,653 121,137 25,591 21%
8

Exposures by asset class and risk weight
The following table presents the breakdown of credit exposures by asset class and risk weight, which corresponds to the riskiness attributed to the exposure according to the standardized approach.
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
2Q22 (CHF million)  
Sovereigns 119,737 53 0 32 0 10 42 0 119,874
Institutions - Banks and securities dealer 0 1,912 0 913 0 131 10 0 2,966
Institutions - Other institutions 374 4 0 732 0 0 2 0 1,112
Corporates 0 1,734 27 2,189 0 9,489 827 0 14,266
Retail 0 0 91 0 1,716 936 321 0 3,064
Other exposures 2,062 0 0 0 0 14,358 0 9 16,429
   of which non-counterparty related assets  0 0 0 0 0 7,403 0 0 7,403
Total  122,173 3,703 118 3,866 1,716 24,924 1,202 9 157,711
   of which secured by real estate  0 0 118 0 44 591 0 0 753
   of which past due  0 0 0 0 0 254 465 0 719
4Q21 (CHF million)  
Sovereigns 89,801 51 0 19 0 170 0 0 90,041
Institutions - Banks and securities dealer 0 2,071 0 719 0 328 5 0 3,123
Institutions - Other institutions 0 0 0 440 0 278 0 0 718
Corporates 0 966 27 1,050 1 7,110 418 0 9,572
Retail 0 0 115 0 1,694 940 108 0 2,857
Other exposures 2,013 0 0 0 0 12,804 0 9 14,826
   of which non-counterparty related assets  0 0 0 0 0 7,317 0 0 7,317
Total  91,814 3,088 142 2,228 1,695 21,630 531 9 121,137
   of which secured by real estate  0 0 142 0 3 270 0 0 415
   of which past due  0 0 0 0 0 384 99 0 483
9

Credit risk under internal ratings-based approaches
The following table presents the main parameters used for the calculation of capital requirements for IRB models.
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q22
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% 37,926 315 38,241 53% 32,579 0.03% < 0.1 6% 1.1 518 2% 1
0.15% to <0.25% 27 0 27 0% 0 0.22% < 0.1 58% 2.5 0 64% 0
0.25% to <0.50% 116 0 116 0% 83 0.37% < 0.1 56% 2.2 64 77% 0
0.50% to <0.75% 49 0 49 0% 13 0.64% < 0.1 58% 1.4 12 88% 0
0.75% to <2.50% 47 3 50 45% 48 1.85% < 0.1 24% 3.5 34 71% 0
2.50% to <10.00% 245 59 304 20% 204 5.73% < 0.1 49% 2.0 349 171% 6
10.00% to <100.00% 499 0 499 0% 344 28.23% < 0.1 54% 1.1 1,037 301% 53
100.00% (Default) 357 0 357 0% 129 100.00% < 0.1 56% 1.9 136 106% 178
Sub-total  39,266 377 39,643 48% 33,400 0.74% 0.1 7% 1.1 2,150 6% 238 178
Institutions - Banks and securities dealer  
0.00% to <0.15% 8,399 1,695 10,094 61% 11,196 0.06% 1.6 51% 0.7 1,682 15% 3
0.15% to <0.25% 237 278 515 47% 225 0.22% 0.1 49% 0.6 86 38% 0
0.25% to <0.50% 521 207 728 49% 472 0.37% 0.1 51% 0.7 282 60% 1
0.50% to <0.75% 56 132 188 52% 104 0.64% < 0.1 45% 2.6 91 87% 0
0.75% to <2.50% 235 129 364 42% 224 1.62% 0.1 51% 0.5 233 104% 2
2.50% to <10.00% 653 173 826 43% 353 5.31% 0.2 50% 0.8 576 163% 10
10.00% to <100.00% 52 24 76 50% 58 28.04% < 0.1 53% 0.7 188 321% 9
100.00% (Default) 8 0 8 0% 8 100.00% < 0.1 50% 1.6 8 106% 0
Sub-total  10,161 2,638 12,799 56% 12,640 0.44% 2.0 51% 0.7 3,146 25% 25 0
Institutions - Other institutions  
0.00% to <0.15% 1,059 1,845 2,904 2% 1,183 0.04% < 0.1 41% 3.4 261 22% 0
0.15% to <0.25% 68 9 77 33% 71 0.16% < 0.1 49% 1.2 29 42% 0
0.25% to <0.50% 13 0 13 45% 13 0.37% < 0.1 58% 2.5 11 83% 0
0.50% to <0.75% 5 2 7 45% 5 0.72% < 0.1 44% 1.9 4 77% 0
0.75% to <2.50% 1 0 1 0% 1 1.05% < 0.1 17% 2.0 1 52% 0
2.50% to <10.00% 165 276 441 45% 290 5.40% < 0.1 7% 4.7 88 30% 1
Sub-total  1,311 2,132 3,443 7% 1,563 1.05% 0.1 35% 3.5 394 25% 1 0
Corporates - Specialized lending  
0.00% to <0.15% 8,039 2,540 10,579 44% 9,155 0.06% 0.8 28% 2.4 1,972 22% 1
0.15% to <0.25% 4,463 2,407 6,870 38% 5,367 0.19% 0.7 28% 2.4 1,998 37% 3
0.25% to <0.50% 2,785 1,457 4,242 33% 3,267 0.37% 0.4 29% 1.8 1,425 44% 4
0.50% to <0.75% 3,341 2,591 5,932 31% 4,156 0.59% 0.3 22% 1.9 1,698 41% 5
0.75% to <2.50% 7,116 2,173 9,289 39% 7,965 1.42% 0.6 19% 2.3 3,937 49% 21
2.50% to <10.00% 1,321 28 1,349 15% 1,325 3.88% 0.1 16% 2.4 691 52% 9
10.00% to <100.00% 45 0 45 45% 45 14.86% < 0.1 19% 1.3 41 93% 1
100.00% (Default) 89 2 91 56% 55 100.00% < 0.1 43% 1.3 58 106% 34
Sub-total  27,199 11,198 38,397 37% 31,335 0.89% 3.0 24% 2.2 11,820 38% 78 34
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
10 / 11

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q22
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% 15,948 49,374 65,322 34% 33,330 0.07% 2.9 40% 2.3 7,050 21% 9
0.15% to <0.25% 5,915 10,585 16,500 37% 9,515 0.21% 1.4 45% 1.9 4,342 46% 9
0.25% to <0.50% 5,632 8,412 14,044 36% 8,374 0.37% 1.5 41% 2.0 4,431 53% 13
0.50% to <0.75% 3,762 4,849 8,611 42% 5,343 0.62% 0.8 41% 2.2 3,667 69% 13
0.75% to <2.50% 8,616 7,689 16,305 40% 10,945 1.44% 1.7 37% 2.3 9,440 86% 60
2.50% to <10.00% 8,001 14,320 22,321 44% 12,923 6.06% 2.0 35% 2.6 16,970 131% 275
10.00% to <100.00% 984 491 1,475 35% 1,070 19.08% 0.1 26% 2.8 1,542 144% 54
100.00% (Default) 6,082 683 6,765 37% 1,732 100.00% 0.2 64% 1.6 1,784 103% 4,688
Sub-total  54,940 96,403 151,343 37% 83,232 3.58% 10.6 40% 2.2 49,226 59% 5,121 4,688
Residential mortgages  
0.00% to <0.15% 30,701 1,646 32,347 41% 31,369 0.09% 43.8 14% 3.0 2,236 7% 4
0.15% to <0.25% 33,251 1,624 34,875 43% 33,949 0.18% 38.1 15% 3.0 4,391 13% 9
0.25% to <0.50% 36,132 1,962 38,094 43% 36,986 0.30% 50.3 14% 3.1 7,042 19% 16
0.50% to <0.75% 4,793 439 5,232 47% 4,998 0.58% 5.7 17% 2.8 1,596 32% 5
0.75% to <2.50% 5,615 640 6,255 42% 5,885 1.30% 5.5 17% 2.8 2,702 46% 12
2.50% to <10.00% 1,356 51 1,407 57% 1,385 4.40% 0.7 15% 2.2 962 69% 9
10.00% to <100.00% 27 0 27 70% 27 15.23% < 0.1 16% 2.4 44 166% 1
100.00% (Default) 462 3 465 73% 430 100.00% 0.2 55% 1.6 456 106% 34
Sub-total  112,337 6,365 118,702 43% 115,029 0.70% 144.2 15% 3.0 19,429 17% 90 34
Qualifying revolving retail  
0.75% to <2.50% 490 0 490 0% 490 1.30% 572.5 50% 1.0 164 33% 3
100.00% (Default) 0 0 0 0% 0 100.00% < 0.1 50% 1.0 0 106% 0
Sub-total  490 0 490 0% 490 1.30% 572.6 50% 1.0 164 33% 3 0
Other retail  
0.00% to <0.15% 44,395 139,515 183,910 6% 52,772 0.04% 49.8 63% 1.4 4,138 8% 13
0.15% to <0.25% 3,198 7,171 10,369 9% 3,845 0.19% 4.1 46% 1.4 738 19% 4
0.25% to <0.50% 1,983 2,573 4,556 10% 2,249 0.36% 3.5 41% 1.6 589 26% 3
0.50% to <0.75% 675 766 1,441 17% 806 0.62% 1.4 39% 1.7 292 36% 2
0.75% to <2.50% 4,531 1,432 5,963 22% 4,852 1.59% 92.6 34% 2.3 2,090 43% 27
2.50% to <10.00% 2,653 721 3,374 41% 2,950 5.19% 83.1 39% 3.6 1,789 61% 59
10.00% to <100.00% 25 35 60 5% 27 15.47% 0.2 53% 2.0 30 109% 2
100.00% (Default) 306 19 325 19% 238 100.00% 4.8 79% 1.8 252 106% 280
Sub-total  57,766 152,232 209,998 7% 67,739 0.76% 239.4 58% 1.6 9,918 15% 390 280
Sub-total (all portfolios)  
0.00% to <0.15% 146,467 196,931 343,398 14% 171,585 0.05% 98.9 36% 1.8 17,857 10% 31
0.15% to <0.25% 47,158 22,074 69,232 29% 52,971 0.19% 44.3 24% 2.6 11,586 22% 25
0.25% to <0.50% 47,183 14,612 61,795 32% 51,444 0.32% 55.8 21% 2.8 13,842 27% 37
0.50% to <0.75% 12,679 8,778 21,457 37% 15,426 0.60% 8.2 28% 2.3 7,360 48% 26
0.75% to <2.50% 26,650 12,066 38,716 38% 30,410 1.43% 673.0 28% 2.4 18,599 61% 125
2.50% to <10.00% 14,396 15,628 30,024 44% 19,430 5.63% 86.0 33% 2.7 21,427 110% 368
10.00% to <100.00% 1,632 550 2,182 33% 1,571 21.17% 0.4 33% 2.3 2,882 183% 120
100.00% (Default) 7,304 706 8,010 37% 2,591 100.00% 5.3 63% 1.6 2,695 104% 5,215
Sub-total (all portfolios)  303,469 271,345 574,814 20% 345,428 1.42% 971.9 31% 2.2 96,248 28% 5,947 5,215
Alternative treatment  
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 21 22
IRB - maturity and export finance buffer 762
Total (all portfolios and alternative treatment)  303,469 271,345 574,814 20% 345,449 1.42% 971.9 31% 2.2 97,032 28% 5,947 5,215
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
12 / 13

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q21
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% 69,257 861 70,118 57% 69,846 0.02% < 0.1 2% 1.1 621 1% 1
0.15% to <0.25% 0 0 0 0% 0 0.22% < 0.1 58% 2.5 0 63% 0
0.25% to <0.50% 131 9 140 100% 140 0.37% < 0.1 54% 2.1 100 72% 0
0.50% to <0.75% 17 0 17 0% 17 0.64% < 0.1 58% 1.9 16 96% 0
0.75% to <2.50% 78 3 81 45% 80 1.10% < 0.1 42% 3.0 79 100% 0
2.50% to <10.00% 281 30 311 14% 143 6.01% < 0.1 44% 2.1 238 166% 4
10.00% to <100.00% 182 0 182 0% 22 28.23% < 0.1 60% 2.3 76 351% 4
100.00% (Default) 416 0 416 0% 135 100.00% < 0.1 57% 1.8 144 106% 176
Sub-total  70,362 903 71,265 56% 70,383 0.24% 0.1 3% 1.1 1,274 2% 185 176
Institutions - Banks and securities dealer  
0.00% to <0.15% 8,891 2,159 11,050 57% 11,800 0.06% 1.6 53% 0.7 1,820 15% 4
0.15% to <0.25% 281 286 567 45% 377 0.22% 0.1 50% 0.8 149 40% 0
0.25% to <0.50% 764 173 937 51% 611 0.37% 0.1 55% 0.7 412 67% 1
0.50% to <0.75% 176 211 387 51% 225 0.64% < 0.1 49% 1.8 189 84% 1
0.75% to <2.50% 154 155 309 48% 242 1.62% 0.1 51% 0.8 275 114% 2
2.50% to <10.00% 728 259 987 43% 389 4.79% 0.2 50% 1.0 605 156% 9
10.00% to <100.00% 8 1 9 30% 1 18.01% < 0.1 53% 1.9 2 281% 0
100.00% (Default) 7 0 7 0% 7 100.00% < 0.1 51% 2.5 8 106% 0
Sub-total  11,009 3,244 14,253 54% 13,652 0.30% 2.1 53% 0.7 3,460 25% 17 0
Institutions - Other institutions  
0.00% to <0.15% 455 1,769 2,224 1% 572 0.05% < 0.1 41% 4.3 174 30% 0
0.15% to <0.25% 5 50 55 8% 9 0.20% < 0.1 23% 2.4 3 30% 0
0.25% to <0.50% 17 2 19 45% 18 0.40% < 0.1 54% 2.8 14 82% 0
0.50% to <0.75% 5 2 7 45% 5 0.72% < 0.1 44% 2.0 4 79% 0
0.75% to <2.50% 1 0 1 0% 1 1.05% < 0.1 17% 2.5 1 55% 0
2.50% to <10.00% 140 454 594 45% 344 4.66% < 0.1 8% 4.8 111 32% 1
Sub-total  623 2,277 2,900 10% 949 1.74% 0.1 29% 4.5 307 32% 1 0
Corporates - Specialized lending  
0.00% to <0.15% 7,549 2,204 9,753 44% 8,512 0.06% 0.8 28% 2.4 1,775 21% 1
0.15% to <0.25% 3,871 1,523 5,394 36% 4,421 0.19% 0.7 30% 2.3 1,603 36% 3
0.25% to <0.50% 2,177 1,904 4,081 37% 2,878 0.37% 0.4 27% 2.0 1,280 44% 3
0.50% to <0.75% 2,924 1,447 4,371 32% 3,393 0.58% 0.3 24% 1.9 1,446 43% 5
0.75% to <2.50% 8,084 2,388 10,472 41% 9,069 1.38% 0.6 21% 2.2 4,856 54% 26
2.50% to <10.00% 1,274 30 1,304 52% 1,289 3.72% 0.1 14% 2.7 627 49% 7
10.00% to <100.00% 48 0 48 45% 48 14.74% < 0.1 18% 1.8 44 91% 1
100.00% (Default) 19 0 19 27% 19 100.00% < 0.1 44% 2.4 20 106% 45
Sub-total  25,946 9,496 35,442 39% 29,629 0.82% 3.0 25% 2.2 11,651 39% 91 45
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
14 / 15

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q21
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% 13,420 43,915 57,335 38% 31,874 0.07% 2.7 42% 2.3 7,466 23% 9
0.15% to <0.25% 3,691 10,656 14,347 39% 7,748 0.21% 1.2 44% 2.1 3,710 48% 7
0.25% to <0.50% 5,476 7,304 12,780 33% 7,763 0.37% 1.5 42% 2.3 4,381 56% 12
0.50% to <0.75% 2,872 4,396 7,268 38% 4,173 0.61% 0.8 40% 2.2 2,788 67% 10
0.75% to <2.50% 9,703 8,322 18,025 43% 12,409 1.45% 1.8 34% 2.7 10,630 86% 61
2.50% to <10.00% 8,229 14,672 22,901 45% 13,406 5.96% 1.6 34% 3.0 17,313 129% 266
10.00% to <100.00% 585 714 1,299 43% 776 18.04% 0.1 22% 2.9 904 116% 32
100.00% (Default) 5,910 491 6,401 46% 1,588 100.00% 0.2 63% 1.9 1,676 106% 4,704
Sub-total  49,886 90,470 140,356 39% 79,737 3.51% 9.9 39% 2.5 48,868 61% 5,101 4,704
Residential mortgages  
0.00% to <0.15% 30,080 1,768 31,848 43% 30,833 0.09% 43.7 14% 3.1 2,194 7% 4
0.15% to <0.25% 33,017 1,749 34,766 40% 33,716 0.18% 38.1 15% 3.1 4,384 13% 9
0.25% to <0.50% 36,369 2,033 38,402 41% 37,179 0.30% 51.1 14% 3.2 7,085 19% 16
0.50% to <0.75% 5,050 466 5,516 44% 5,257 0.58% 6.0 17% 2.9 1,662 32% 5
0.75% to <2.50% 5,888 874 6,762 39% 6,227 1.30% 6.1 17% 2.8 2,899 47% 13
2.50% to <10.00% 1,524 46 1,570 43% 1,544 4.53% 0.7 16% 2.3 1,076 70% 11
10.00% to <100.00% 63 0 63 70% 61 18.19% < 0.1 16% 2.6 76 125% 2
100.00% (Default) 406 7 413 83% 412 100.00% 0.3 46% 1.7 436 106% 34
Sub-total  112,397 6,943 119,340 41% 115,229 0.70% 146.0 15% 3.1 19,812 17% 94 34
Qualifying revolving retail  
0.75% to <2.50% 373 5,376 5,749 0% 395 1.30% 745.9 50% 1.0 98 25% 3
100.00% (Default) 0 0 0 0% 0 100.00% < 0.1 50% 1.0 0 106% 0
Sub-total  373 5,376 5,749 0% 395 1.30% 745.9 50% 1.0 98 25% 3 0
Other retail  
0.00% to <0.15% 53,778 148,359 202,137 6% 62,676 0.04% 50.5 63% 1.3 4,835 8% 14
0.15% to <0.25% 3,091 7,558 10,649 9% 3,784 0.20% 3.9 46% 1.4 735 19% 3
0.25% to <0.50% 2,151 2,383 4,534 12% 2,427 0.36% 3.5 34% 1.5 524 22% 3
0.50% to <0.75% 1,394 1,168 2,562 22% 1,646 0.60% 1.3 37% 1.4 519 32% 4
0.75% to <2.50% 4,896 2,125 7,021 22% 5,361 1.62% 96.0 36% 2.2 2,489 46% 32
2.50% to <10.00% 3,303 1,172 4,475 25% 3,593 5.52% 81.8 38% 3.3 2,144 60% 77
10.00% to <100.00% 32 35 67 2% 33 17.93% 0.2 50% 2.0 37 112% 3
100.00% (Default) 427 17 444 24% 380 100.00% 4.9 86% 1.5 403 106% 337
Sub-total  69,072 162,817 231,889 7% 79,900 0.90% 242.1 58% 1.5 11,686 15% 473 337
Sub-total (all portfolios)  
0.00% to <0.15% 183,430 201,035 384,465 14% 216,113 0.05% 99.5 31% 1.7 18,885 9% 33
0.15% to <0.25% 43,956 21,822 65,778 28% 50,055 0.18% 44.1 23% 2.7 10,584 21% 22
0.25% to <0.50% 47,085 13,808 60,893 31% 51,016 0.32% 56.7 21% 2.9 13,796 27% 35
0.50% to <0.75% 12,438 7,690 20,128 35% 14,716 0.60% 8.4 28% 2.3 6,624 45% 25
0.75% to <2.50% 29,177 19,243 48,420 28% 33,784 1.43% 850.4 28% 2.5 21,327 63% 137
2.50% to <10.00% 15,479 16,663 32,142 44% 20,708 5.59% 84.5 32% 2.9 22,114 107% 375
10.00% to <100.00% 918 750 1,668 41% 941 18.11% 0.3 23% 2.7 1,139 121% 42
100.00% (Default) 7,185 515 7,700 46% 2,541 100.00% 5.3 63% 1.8 2,687 106% 5,296
Sub-total (all portfolios)  339,668 281,526 621,194 20% 389,874 1.23% 1,149.2 29% 2.1 97,156 25% 5,965 5,296
Alternative treatment  
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 3 3
IRB - maturity and export finance buffer 88
Total (all portfolios and alternative treatment)  339,668 281,526 621,194 20% 389,877 1.23% 1,149.2 29% 2.1 97,247 25% 5,965 5,296
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
16 / 17

Credit derivatives used as CRM techniques
The following table presents the effect on RWA of credit derivatives used as CRM techniques by portfolio.
For exposures covered by recognized credit derivatives, the substitution approach is applied, which means the risk weight of the obligor is substituted with the risk weight of the protection provider. The CRM effect is reflected according to the actual post-risk mitigation asset class for pre-credit derivatives and actual RWA. The table does not include the impact of certain immaterial positions where the credit derivative was recognized with an adjustment to LGD.
CR7 – Effect on risk-weighted assets of credit derivatives used as CRM techniques
   2Q22 4Q21

end of
Pre-credit
derivatives
RWA

Actual
RWA
Pre-credit
derivatives
RWA

Actual
RWA
CHF million  
Sovereigns - A-IRB 2,150 2,150 1,274 1,274
Institutions - Banks and securities dealers - A-IRB 3,210 3,146 3,521 3,460
Institutions - Other institutions - A-IRB 394 394 307 307
Corporates - Specialized lending - A-IRB 16,143 16,143 15,691 15,691
Corporates without specialized lending - A-IRB 49,262 49,248 48,932 48,871
Residential mortgages 19,429 19,429 19,812 19,812
Qualifying revolving retail 164 164 98 98
Other retail 9,918 9,918 11,686 11,686
Maturity and export finance buffer - IRB 762 762 88 88
Total  101,432 101,354 101,409 101,287
Includes RWA related to the A-IRB approach and supervisory slotting approach.
18

RWA flow statement of credit risk exposures under IRB
The following table presents the 2Q22 flow statement explaining the variations in the credit risk RWA determined under the IRB approach.
Credit Risk RWA under IRB approach decreased by CHF 1.0 billion to CHF 101.4 billion compared to CHF 102.4 billion as at end of 1Q22. The decrease was primarily driven by a movement in risk levels attributable to asset size, partially offset by an increase in model and parameters updates and a positive foreign exchange impact, mainly due to a US dollar strengthening of 4% over the quarter against the Swiss franc. The model and parameter updates reflected the regulatory buffers per FINMA approval, relating to commercial trade finance as well as retail to corporate treatment of certain exposures.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB
2Q22
CHF million  
Risk-weighted assets at beginning of period  102,411
Asset size (3,635)
Asset quality 633
Model and parameter updates 1,069
Foreign exchange impact 876
Risk-weighted assets at end of period  101,354
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
19

Specialized lending
The following tables present the carrying values, exposure amounts and RWA for the Group’s specialized lending under the supervisory slotting approach.
CR10 – Specialized lending

end of



On-
balance
sheet
amount
Off-
balance
sheet
amount


Risk
weight


Exposure
amount
1


RWA


Expected
losses
2Q22 (CHF million, except where indicated)    
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 735 276 50% 921 488 0
Equal to or more than 2.5 years 522 696 70% 865 642 4
Good Less than 2.5 years 1,378 612 70% 1,715 1,273 7
Equal to or more than 2.5 years 787 351 90% 968 923 8
Satisfactory 946 42 115% 2 640 780 18
Weak 11 12 250% 18 47 1
Default 15 0 15 0 7
Total  4,394 1,989 5,142 4,153 45
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Satisfactory 32 0 140% 32 48 1
Weak 46 0 250% 46 121 3
Default 0 2 1 0 1
Total  78 2 79 169 5
4Q21 (CHF million, except where indicated)    
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 423 747 50% 833 442 0
Equal to or more than 2.5 years 555 695 70% 897 666 4
Good Less than 2.5 years 732 143 70% 750 557 3
Equal to or more than 2.5 years 926 270 90% 1,074 1,024 9
Satisfactory 998 38 115% 2 774 944 22
Weak 16 11 250% 22 59 2
Default 14 0 14 0 7
Total  3,664 1,904 4,364 3,692 47
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Satisfactory 35 0 140% 35 53 1
Weak 111 0 250% 111 295 9
Default 0 2 2 0 1
Total  146 2 148 348 11
1
Exposure amounts in connection with IPRE.
2
For a portion of the exposure, a risk weight of 120% is applied.
20

Equity positions in the banking book
For equity type securities in the banking book, risk weights are determined using the simple risk-weight approach, which differentiates by equity sub-asset types, such as exchange-traded and other equity exposures.
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
2Q22 (CHF million)  
Exchange-traded equity exposures 437 0 300% 437 1,390
Other equity exposures 962 0 400% 962 4,079
Total  1,399 0 1,399 5,469
4Q21 (CHF million)  
Exchange-traded equity exposures 1,004 0 300% 1,004 3,193
Other equity exposures 1,031 52 400% 915 3,878
Total  2,035 52 1,919 7,071
Equity investments in funds exposures of CHF 713.5 million are not included in the above table.
21

Counterparty credit risk
General
Counterparty exposure
CCR arises from over-the-counter (OTC) and exchange-traded derivatives, as well as security financing transactions (SFTs), such as repurchase agreements, securities lending and borrowing and other similar products. CCR exposures depend on the value of underlying market factors, for example, interest rates and foreign exchange rates, which may be volatile.
Credit Suisse has received approval from FINMA to use the IMM for measuring CCR for the majority of the derivatives and the value-at-risk (VaR) model for SFTs.
Details of counterparty credit risk exposures
Analysis of counterparty credit risk exposure by approach
The following table presents a comprehensive view of the methods used to calculate CCR regulatory requirements and the main parameters used within each method.
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
2Q22 (CHF million, except where indicated)  
SA-CCR (for derivatives) 3,053 3,540 1.4 9,230 3,496
IMM (for derivatives) 13,879 1.6 1 22,189 5,982
Comprehensive Approach for CRM (for SFTs) 1 1
VaR for SFTs 20,882 3,799
Total  52,302 13,278
4Q21 (CHF million, except where indicated)  
SA-CCR (for derivatives) 2,300 3,684 1.4 8,377 2,842
IMM (for derivatives) 14,750 1.6 1 23,572 6,691
Comprehensive Approach for CRM (for SFTs) 6 6
VaR for SFTs 21,163 4,782
Total  53,118 14,321
1
Alpha factor is set equal to 1.0 in case of wrong way risk.
CVA capital charge
The following table presents the CVA regulatory calculations by advanced and standardized approaches.
RWA decreased CHF 0.9 billion to CHF 4.2 billion compared to the end of 4Q21, mainly due to exposure updates across counterparties, partially offset by a decrease in hedge benefit.
CCR2 – CVA capital charge
   2Q22 4Q21

end of
EAD
post-CRM

RWA
EAD
post-CRM

RWA
CHF million  
Total portfolios subject to the advanced CVA capital charge 27,967 4,191 30,024 5,046
   of which VaR component (including the 3 x multiplier)  780 890
   of which stressed VaR component (including the 3 x multiplier)  3,411 4,156
Total subject to the CVA capital charge  27,967 4,191 30,024 5,046
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.
22

CCR exposures by regulatory portfolio and risk weight – standardized approach
The following table presents a breakdown of CCR exposures by regulatory portfolio (type of counterparties) and by risk weight (riskiness attributed to the exposure according to the standardized approach).
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
2Q22 (CHF million)  
Sovereigns 4 0 0 0 0 0 4
Institutions - Banks and securities dealer 0 116 299 0 57 0 472
Institutions - Other institutions 542 0 119 0 0 0 661
Corporates 0 122 2 0 1,530 22 1,676
Retail 0 0 0 48 348 0 396
Other exposures 0 0 0 0 478 0 478
Total  546 238 420 48 2,413 22 3,687
4Q21 (CHF million)  
Sovereigns 335 0 0 0 18 0 353
Institutions - Banks and securities dealer 0 161 785 0 1 0 947
Institutions - Other institutions 0 0 205 0 0 0 205
Corporates 0 347 7 0 947 35 1,336
Retail 0 0 0 64 336 0 400
Other exposures 0 0 0 0 316 0 316
Total  335 508 997 64 1,618 35 3,557
23

CCR exposures by portfolio and PD scale – IRB models
The following table presents all relevant parameters used for the calculation of CCR capital requirements for IRB models.
> Refer to “Rating models” (pages 24 to 25) in Credit risk – Credit risk under internal risk-based approaches in the Credit Suisse Pillar 3 and regulatory disclosures 4Q21 report for further information on key models used at the group-wide level, an explanation of how the scope of models was determined and the risk-weighted assets covered by the models shown for each of the regulatory portfolios.
CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 2Q22
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% 6,150 0.03% < 0.1 49% 0.4 373 6%
0.15% to <0.25% 0 0.22% < 0.1 58% 1.0 0 44%
0.25% to <0.50% 84 0.37% < 0.1 41% 1.0 36 42%
0.75% to <2.50% 0 1.10% < 0.1 53% 1.0 0 95%
Sub-total  6,234 0.03% < 0.1 49% 0.4 409 7%
Institutions - Banks and securities dealer  
0.00% to <0.15% 10,666 0.06% 0.5 58% 0.7 1,989 19%
0.15% to <0.25% 444 0.22% < 0.1 57% 0.7 202 46%
0.25% to <0.50% 176 0.37% < 0.1 59% 0.8 129 73%
0.50% to <0.75% 61 0.64% < 0.1 50% 0.4 38 63%
0.75% to <2.50% 172 1.83% < 0.1 54% 0.2 213 124%
2.50% to <10.00% 40 5.73% < 0.1 55% 0.9 74 183%
10.00% to <100.00% 1 27.63% < 0.1 53% 1.0 4 295%
Sub-total  11,560 0.12% 0.8 58% 0.7 2,649 23%
Institutions - Other institutions  
0.00% to <0.15% 65 0.04% < 0.1 16% 1.0 3 4%
0.15% to <0.25% 0 0.24% < 0.1 0% 1.0 0 0%
0.50% to <0.75% 0 0.72% < 0.1 44% 1.0 0 65%
Sub-total  65 0.04% < 0.1 16% 1.0 3 4%
Corporates - Specialized lending  
0.25% to <0.50% 0 0.37% < 0.1 50% 1.0 0 52%
0.50% to <0.75% 0 0.58% < 0.1 50% 1.0 0 66%
0.75% to <2.50% 0 1.72% < 0.1 50% 1.0 0 99%
2.50% to <10.00% 0 3.37% < 0.1 50% 1.0 1 135%
Sub-total  0 2.49% < 0.1 50% 1.0 1 112%
24

CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 2Q22
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% 21,452 0.05% 5.7 47% 0.5 2,533 12%
0.15% to <0.25% 2,360 0.22% 0.5 50% 0.7 888 38%
0.25% to <0.50% 926 0.37% 0.6 51% 1.0 552 60%
0.50% to <0.75% 243 0.63% 0.2 55% 0.8 195 80%
0.75% to <2.50% 944 1.57% 0.6 70% 0.6 1,501 159%
2.50% to <10.00% 459 5.72% 0.4 63% 0.8 1,369 298%
10.00% to <100.00% 1 16.44% < 0.1 32% 1.0 1 159%
100.00% (Default) 6 100.00% < 0.1 62% 1.0 7 106%
Sub-total  26,391 0.26% 7.9 49% 0.6 7,046 27%
Other retail  
0.00% to <0.15% 3,851 0.04% 5.8 63% 1.0 281 7%
0.15% to <0.25% 279 0.20% 0.5 53% 1.0 63 23%
0.25% to <0.50% 125 0.36% 0.2 42% 1.0 34 27%
0.50% to <0.75% 48 0.58% < 0.1 62% 1.0 25 52%
0.75% to <2.50% 39 1.26% < 0.1 30% 1.0 14 36%
2.50% to <10.00% 6 5.53% < 0.1 48% 1.0 4 75%
10.00% to <100.00% 0 19.08% < 0.1 63% 1.0 1 145%
100.00% (Default) 0 100.00% < 0.1 53% 1.0 0 106%
Sub-total  4,348 0.08% 6.6 62% 1.0 422 10%
Total (all portfolios)  
0.00% to <0.15% 42,184 0.05% 12.0 51% 0.6 5,179 12%
0.15% to <0.25% 3,083 0.21% 1.0 51% 0.7 1,153 37%
0.25% to <0.50% 1,311 0.37% 0.9 51% 0.9 751 57%
0.50% to <0.75% 353 0.62% 0.3 55% 0.8 259 73%
0.75% to <2.50% 1,155 1.59% 0.8 67% 0.6 1,728 150%
2.50% to <10.00% 505 5.72% 0.5 62% 0.8 1,447 286%
10.00% to <100.00% 2 22.66% < 0.1 48% 1.0 5 227%
100.00% (Default) 6 100.00% < 0.1 62% 1.0 7 106%
Total (all portfolios)  48,599 0.18% 15.4 52% 0.6 10,529 22%
25

CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 4Q21
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% 1,636 0.03% < 0.1 48% 0.5 92 6%
0.15% to <0.25% 0 0.22% < 0.1 58% 1.0 0 44%
0.25% to <0.50% 155 0.37% < 0.1 45% 0.7 66 42%
2.50% to <10.00% 91 3.86% < 0.1 44% 0.8 112 122%
Sub-total  1,882 0.24% < 0.1 48% 0.5 270 14%
Institutions - Banks and securities dealer  
0.00% to <0.15% 11,467 0.06% 0.4 58% 0.6 2,136 19%
0.15% to <0.25% 409 0.22% 0.1 57% 0.7 197 48%
0.25% to <0.50% 357 0.37% 0.1 56% 0.6 230 64%
0.50% to <0.75% 58 0.64% < 0.1 55% 0.7 42 72%
0.75% to <2.50% 278 1.80% 0.1 54% 0.3 330 119%
2.50% to <10.00% 88 4.33% 0.1 53% 0.6 141 160%
10.00% to <100.00% 2 24.90% < 0.1 53% 1.0 7 284%
100.00% (Default) 0 100.00% < 0.1 60% 1.0 0 100%
Sub-total  12,659 0.15% 0.8 58% 0.6 3,083 24%
Institutions - Other institutions  
0.00% to <0.15% 99 0.04% < 0.1 9% 0.6 2 2%
0.50% to <0.75% 0 0.72% < 0.1 44% 1.0 0 65%
Sub-total  99 0.04% < 0.1 9% 0.6 2 2%
Corporates - Specialized lending  
0.25% to <0.50% 5 0.37% < 0.1 50% 1.0 2 52%
0.50% to <0.75% 1 0.58% < 0.1 50% 1.0 1 66%
0.75% to <2.50% 4 1.78% < 0.1 48% 1.0 4 103%
2.50% to <10.00% 6 3.38% < 0.1 50% 1.0 8 130%
Sub-total  16 1.88% < 0.1 50% 1.0 15 96%
26

CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 4Q21
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% 25,294 0.05% 7.8 47% 0.5 2,867 11%
0.15% to <0.25% 1,690 0.22% 0.5 43% 0.8 534 32%
0.25% to <0.50% 1,218 0.37% 0.6 47% 0.8 633 52%
0.50% to <0.75% 395 0.63% 0.2 67% 0.5 382 97%
0.75% to <2.50% 1,188 1.65% 0.8 61% 0.6 1,617 136%
2.50% to <10.00% 746 5.32% 0.5 59% 0.8 2,018 271%
10.00% to <100.00% 7 15.76% < 0.1 39% 0.9 15 201%
100.00% (Default) 5 100.00% < 0.1 56% 0.7 5 106%
Sub-total  30,543 0.29% 10.4 48% 0.6 8,071 26%
Other retail  
0.00% to <0.15% 3,217 0.04% 5.9 61% 0.8 230 7%
0.15% to <0.25% 908 0.22% 0.5 60% 1.1 252 28%
0.25% to <0.50% 107 0.34% 0.3 31% 0.9 21 19%
0.50% to <0.75% 13 0.59% 0.2 47% 0.7 5 39%
0.75% to <2.50% 52 1.93% 0.1 19% 4.0 13 26%
2.50% to <10.00% 13 3.73% < 0.1 64% 0.9 13 98%
10.00% to <100.00% 0 19.31% < 0.1 65% 1.0 0 151%
100.00% (Default) 0 100.00% < 0.1 53% 1.0 0 106%
Sub-total  4,310 0.12% 7.1 60% 0.9 534 12%
Total (all portfolios)  
0.00% to <0.15% 41,713 0.05% 14.2 51% 0.6 5,327 13%
0.15% to <0.25% 3,007 0.22% 1.1 50% 0.9 983 33%
0.25% to <0.50% 1,842 0.37% 1.0 48% 0.8 952 52%
0.50% to <0.75% 467 0.63% 0.5 65% 0.5 430 92%
0.75% to <2.50% 1,522 1.68% 1.0 58% 0.7 1,964 129%
2.50% to <10.00% 944 5.05% 0.6 57% 0.8 2,292 243%
10.00% to <100.00% 9 17.97% < 0.1 42% 0.9 22 221%
100.00% (Default) 5 100.00% < 0.1 56% 0.7 5 106%
Total (all portfolios)  49,509 0.24% 18.4 51% 0.6 11,975 24%
27

Composition of collateral for CCR exposure
The following table presents a breakdown of all types of collateral posted or received by banks to support or reduce CCR exposures related to derivative transactions or SFTs, including transactions cleared through central counterparties (CCPs). For disclosure purposes, the collateral values are presented as the market value of the collateral without any adjustments for haircuts.
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
1 Un-
segregated

Total

Segregated
1 Un-
segregated

Total


2Q22 (CHF million)  
Cash - domestic currency 0 8,275 8,275 0 2,051 2,051 62 6,729
Cash - other currencies 585 34,395 34,980 1,109 36,744 37,853 41,929 113,413
Domestic sovereign debt 0 93 93 0 0 0 1,444 85
Other sovereign debt 4,796 7,709 12,505 12,384 4,112 16,496 127,057 51,777
Government agency debt 8 24 32 0 15 15 1,366 2,723
Corporate bonds 114 9,815 9,929 0 418 418 32,303 19,328
Equity securities 758 14,166 14,924 2,255 689 2,944 15,999 2 21,384 2
Other collateral 286 4,352 4,638 2 19 21 32,297 11,103
Total  6,547 78,829 85,376 15,750 44,048 59,798 252,457 226,542
4Q21 (CHF million)  
Cash - domestic currency 0 6,792 6,792 0 881 881 356 5,528
Cash - other currencies 138 40,815 40,953 1,272 38,097 39,369 67,077 99,417
Domestic sovereign debt 0 71 71 0 0 0 1,388 20
Other sovereign debt 6,036 14,908 20,944 10,702 9,184 19,886 118,452 58,342
Government agency debt 7 67 74 0 28 28 662 1,813
Corporate bonds 33 10,645 10,678 0 333 333 39,211 21,833
Equity securities 775 22,170 22,945 1,856 650 2,506 78,434 2 29,005 2
Other collateral 203 3,705 3,908 5 0 5 25,678 14,638
Total  7,192 99,173 106,365 13,835 49,173 63,008 331,258 230,596
1
A reclassification of balances from unsegregated to segregated derivatives has been applied with respect to collateral with third party custodians for which a positive legal opinion has been obtained. Prior period has been reclassified to conform to the current presentation.
2
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".
28

Credit derivatives exposures
The following table presents the extent of the Group’s exposures to credit derivative transactions as protection bought or sold.
CCR6 – Credit derivatives exposures
   2Q22 4Q21

end of
Protection
bought
Protection
sold
Protection
bought
Protection
sold
Notionals (CHF billion)  
Single-name CDS 89.6 80.6 102.9 94.0
Index CDS 113.2 100.2 139.4 119.9
Total return swaps 7.2 4.9 6.7 5.3
Other credit derivatives 22.4 17.4 40.3 33.6
   of which credit default swaptions  20.0 11.5 40.3 33.6
   of which other credit instruments  2.4 5.9 0.0 0.0
Total notionals  232.4 203.1 289.3 252.8
Fair values (CHF billion)  
Positive fair value (asset) 2.7 0.7 2.0 3.8
Negative fair value (liability) 1.9 2.4 5.4 2.0
Includes the client leg of cleared credit derivatives.
RWA flow statements of CCR exposures under IMM
The following table presents the 2Q22 flow statement explaining changes in CCR RWA determined under the IMM for CCR (derivatives and SFTs).
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM
2Q22
CHF million  
Risk-weighted assets at beginning of period  10,001
Asset size (387)
Credit quality of counterparties 22
Model and parameter updates 17
Foreign exchange impact 222
Risk-weighted assets at end of period  9,875
> Refer to “RWA flow statement of credit risk exposures under IRB” (page 19) in Credit risk for definitions of the RWA flow statements components.
The CCR RWA under IMM decreased CHF 0.1 billion to CHF 9.9 billion compared to CHF 10.0 billion as at the end of 1Q22, primarily driven by a decrease in asset size risk levels attributable to the expiration of trades and exposures reductions across securities financing business, over-the-counter derivatives and exchange traded derivatives. This is partially offset by a positive foreign exchange impact, mainly due to a US dollar strengthening of 4% over the quarter against the Swiss franc.
Exposures to central counterparties
The following table presents a comprehensive picture of the Group’s exposure to CCPs.
CCR8 – Exposures to central counterparties
   2Q22 4Q21

end of
EAD
(post-CRM)

RWA
EAD
(post-CRM)

RWA
CHF million  
QCCPs 
Exposures for trades at QCCPs 15,787 334 16,101 350
   of which OTC derivatives  8,627 191 7,674 182
   of which exchange-traded    derivatives    5,956 119 7,723 154
   of which SFTs  1,204 24 704 14
Segregated initial margin 5,532 2,428
Pre-funded default fund contributions 3,024 856 3,583 949
Total exposures to QCCPs  1,190 1,299
Non-QCCPs 
Pre-funded default fund contributions 0 0 2 20
Total exposures to non-QCCPs  0 20
1
Exposures associated with initial margin, where the exposures are measured under the IMM/SA-CCR, have been included within the exposures for trades.
29

Securitization
Securitization exposures in the banking book
Securitization exposures presented in the following table represent the EAD.
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
2Q22 (CHF million)  
Residential mortgages 108 457 565 0 0 0 2,570 0 2,570
Credit cards 0 0 0 628 0 628 616 0 616
Other retail exposures 335 43 378 3,044 0 3,044 2,692 0 2,692
Re-securitization 0 0 0 0 0 0 48 0 48
Total retail  443 500 943 3,672 0 3,672 5,926 0 5,926
Loans to corporates 0 29,860 29,860 1,022 0 1,022 3,138 0 3,138
Commercial mortgages 11 10,484 10,495 0 0 0 888 0 888
Lease and receivables 0 0 0 2,102 0 2,102 2,209 0 2,209
Other wholesale 745 125 870 870 0 870 1,224 0 1,224
Total wholesale  756 40,469 41,225 3,994 0 3,994 7,459 0 7,459
Total  1,199 40,969 42,168 7,666 0 7,666 13,385 0 13,385
4Q21 (CHF million)  
Residential mortgages 120 408 528 0 0 0 2,332 0 2,332
Credit cards 0 0 0 1,002 0 1,002 874 0 874
Other retail exposures 325 309 634 3,067 0 3,067 2,611 0 2,611
Re-securitization 14 0 14 0 0 0 23 0 23
Total retail  459 717 1,176 4,069 0 4,069 5,840 0 5,840
Loans to corporates 0 26,801 26,801 632 0 632 3,276 0 3,276
Commercial mortgages 0 12,267 12,267 0 0 0 839 0 839
Lease and receivables 0 1,096 1,096 1,952 0 1,952 2,019 0 2,019
Other wholesale 826 0 826 827 0 827 1,371 0 1,371
Total wholesale  826 40,164 40,990 3,411 0 3,411 7,505 0 7,505
Total  1,285 40,881 42,166 7,480 0 7,480 13,345 0 13,345
30

Securitization exposures in the trading book
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
2Q22 (CHF million)  
Residential mortgages 53 0 53 0 0 0 1,135 0 1,135
Other retail exposures 0 0 0 0 0 0 256 0 256
Re-securitization 0 10 10 0 0 0 200 57 257
Total retail  53 10 63 0 0 0 1,591 57 1,648
Loans to corporates 0 0 0 0 0 0 387 0 387
Commercial mortgages 100 0 100 0 0 0 693 0 693
Re-securitization 0 0 0 0 0 0 0 16 16
Total wholesale  100 0 100 0 0 0 1,080 16 1,096
Total  153 10 163 0 0 0 2,671 73 2,744
4Q21 (CHF million)  
Residential mortgages 23 0 23 0 0 0 1,120 0 1,120
Other retail exposures 0 0 0 0 0 0 209 0 209
Re-securitization 18 0 18 0 0 0 122 37 159
Total retail  41 0 41 0 0 0 1,451 37 1,488
Loans to corporates 0 0 0 0 0 0 186 0 186
Commercial mortgages 96 0 96 0 0 0 359 0 359
Re-securitization 0 0 0 0 0 0 0 17 17
Total wholesale  96 0 96 0 0 0 545 17 562
Total  137 0 137 0 0 0 1,996 54 2,050
31

Calculation of capital requirements
The following tables present the securitization exposures in the banking book and the associated regulatory capital requirements.
> Refer to “Market risk under standardized approach” (page 36) in Market risk for capital charges related to securitization positions in the trading book.
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
2Q22 (CHF million)  
Total exposures  44,682 4,116 770 253 13 40,717 589 8,515 13 7,382 1,002 2,050 155 592 52 159 13
Traditional securitization 5,800 2,089 770 198 8 745 589 7,523 8 306 1,002 1,749 101 24 52 135 8
   of which securitization  5,800 2,089 770 198 8 745 589 7,523 8 306 1,002 1,749 101 24 52 135 8
      of which retail underlying  3,525 362 158 62 8 0 323 3,784 8 0 545 667 101 0 15 53 8
      of which wholesale  2,275 1,727 612 136 0 745 266 3,739 0 306 457 1,082 0 24 37 82 0
Synthetic securitization 38,882 2,027 0 55 5 39,972 0 992 5 7,076 0 301 54 568 0 24 5
   of which securitization  38,882 2,027 0 55 5 39,972 0 992 5 7,076 0 301 54 568 0 24 5
      of which retail underlying  499 0 0 0 1 499 0 0 1 84 0 0 10 7 0 0 1
      of which wholesale  38,383 2,027 0 55 4 39,473 0 992 4 6,992 0 301 44 561 0 24 4
4Q21 (CHF million)  
Total exposures  44,428 4,083 868 263 4 41,014 959 7,669 4 7,688 1,259 1,858 44 586 70 148 4
Traditional securitization 5,432 2,476 641 212 4 826 959 6,976 4 650 1,259 1,707 44 23 70 136 4
   of which securitization  5,432 2,476 629 210 4 826 959 6,962 4 650 1,259 1,689 44 23 70 135 4
      of which retail underlying  3,623 691 130 66 4 0 681 3,829 4 0 689 713 44 0 24 57 4
      of which wholesale  1,809 1,785 499 144 0 826 278 3,133 0 650 570 976 0 23 46 78 0
   of which re-securitization  0 0 12 2 0 0 0 14 0 0 0 18 0 0 0 1 0
      of which senior  0 0 9 0 0 0 0 9 0 0 0 9 0 0 0 0 0
      of which non-senior  0 0 3 2 0 0 0 5 0 0 0 9 0 0 0 1 0
Synthetic securitization 38,996 1,607 227 51 0 40,188 0 693 0 7,038 0 151 0 563 0 12 0
   of which securitization  38,996 1,607 227 51 0 40,188 0 693 0 7,038 0 151 0 563 0 12 0
      of which retail underlying  607 106 2 2 0 717 0 0 0 146 0 0 0 12 0 0 0
      of which wholesale  38,389 1,501 225 49 0 39,471 0 693 0 6,892 0 151 0 551 0 12 0
32 / 33

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
2Q22 (CHF million)  
Total exposures  10,230 2,707 205 229 14 2,374 567 10,430 14 356 222 2,377 169 28 17 183 14
Traditional securitization 10,230 2,707 205 229 14 2,374 567 10,430 14 356 222 2,377 169 28 17 183 14
   of which securitization  10,230 2,707 205 183 12 2,374 567 10,384 12 356 222 2,325 146 28 17 179 12
      of which retail underlying  3,691 2,124 22 41 0 0 204 5,674 0 0 79 1,263 0 0 6 100 0
      of which wholesale  6,539 583 183 142 12 2,374 363 4,710 12 356 143 1,062 146 28 11 79 12
   of which re-securitization  0 0 0 46 2 0 0 46 2 0 0 52 23 0 0 4 2
      of which senior  0 0 0 46 2 0 0 46 2 0 0 52 23 0 0 4 2
4Q21 (CHF million)  
Total exposures  9,930 2,469 757 175 14 2,738 630 9,963 14 411 315 2,608 250 33 25 186 20
Traditional securitization 9,930 2,469 757 175 14 2,738 630 9,963 14 411 315 2,608 250 33 25 186 20
   of which securitization  9,930 2,469 757 152 14 2,738 630 9,940 14 411 315 2,577 250 33 25 184 20
      of which retail underlying  3,757 1,466 488 106 0 0 246 5,571 0 0 159 1,576 0 0 13 109 0
      of which wholesale  6,173 1,003 269 46 14 2,738 384 4,369 14 411 156 1,001 250 33 12 75 20
   of which re-securitization  0 0 0 23 0 0 0 23 0 0 0 31 0 0 0 2 0
      of which senior  0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
      of which non-senior  0 0 0 23 0 0 0 23 0 0 0 31 0 0 0 2 0
34 / 35

Market risk
General
We use the advanced approach for calculating the market risk capital requirements for majority of our market risk exposures. As of June 30, 2022, 90% of our market risk RWA was computed using internal models. In line with regulatory requirements, the SMM is used for the specific risk of securitized exposures.
Market risk under standardized approach
The following table shows the components of RWA under the standardized approach for market risk. In line with regulatory requirements, the SMM is used for the specific risk of securitized exposures.
MR1 – Market risk under standardized approach
end of 2Q22 4Q21
Risk-weighted assets (CHF million)  
Securitization 1,612 1,648
Total risk-weighted assets  1,612 1,648
Market risk under internal model approach
RWA flow statements of market risk exposures under an IMA
The following table presents the 2Q22 flow statement explaining variations in the market risk RWA determined under an IMA.
Market risk RWA under an IMA decreased CHF 1.3 billion to CHF 14.4 billion compared to the end of 1Q22, primarily due to a decrease in regulatory VaR as COVID-19 volatility rolled out of the two-year VaR window.
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA

2Q22
Regulatory
VaR
Stressed
VaR

IRC

Other
1
Total
CHF million  
Risk-weighted assets at beginning of period  4,363 4,777 2,206 4,336 15,682
Regulatory adjustment (273) 1,394 (198) (160) 763
Risk-weighted assets at beginning of period (end of day)  4,090 6,171 2,008 4,176 16,445
Movement in risk levels 627 (1,882) (354) (98) (1,707)
Model and parameter updates (1,214) (196) 0 0 (1,410)
Foreign exchange impact 160 173 82 155 570
Risk-weighted assets at end of period (end of day)  3,663 4,266 1,736 4,233 13,898
Regulatory adjustment (83) 372 70 132 491
Risk-weighted assets at end of period  3,580 4,638 1,806 4,365 14,389
1
Risks not in VaR.
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
36

IMA approach values for trading portfolios
The following table presents the maximum, minimum, average and period-end values resulting from the different types of models used for computing regulatory capital charges at the Group level, before any additional capital charge is applied.
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge
in / end of 1H22 2H21
CHF million  
Regulatory VaR (10 day 99%) 
   Maximum value  139 147
   Average value  107 116
   Minimum value  82 96
   Period-end value  98 104
Stressed VaR (10 day 99%) 
   Maximum value  178 186
   Average value  122 134
   Minimum value  101 103
   Period-end value  114 116
IRC (99.9%) 
   Maximum value  188 188
   Average value  154 161
   Minimum value  116 135
   Period-end value  145 167
Comparison of VaR estimates with gains/losses
The following chart compares the results of estimates from the regulatory VaR model with both hypothetical and actual trading outcomes.
Backtesting involves comparing the results produced by the VaR model with the hypothetical trading revenues on the trading book. Hypothetical trading revenues are defined in compliance with regulatory requirements and aligned with the VaR model output by excluding (i) non-market elements (such as fees, commissions, cancellations and terminations, net cost of funding and credit-related valuation adjustments) and (ii) gains and losses from intra-day trading. A backtesting exception occurs when a hypothetical trading loss exceeds the daily VaR estimate.
For capital purposes and in line with Bank for International Settlements (BIS) requirements, FINMA increases the capital multiplier for every regulatory VaR backtesting exception above four in the prior rolling 12-month period, resulting in an incremental market risk capital requirement for the Group. VaR models with less than five backtesting exceptions are considered by regulators to be classified in a defined “green zone”. The “green zone” corresponds to backtesting results that do not themselves suggest a problem with the quality or accuracy of a bank’s model.
In 1H22, there was one backtesting exception in our regulatory VaR model. Since there was one backtesting exception in the rolling 12-month period through the end of 2Q22, in line with BIS industry guidelines, the bank is in the “green zone”.
37

Additional regulatory disclosures
Composition of capital
Credit Suisse is a systemically important financial institution.
> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically important financial institution view.
The following tables provide details on the composition of Swiss regulatory capital including common equity tier 1 (CET1) capital, additional tier 1 capital and tier 2 capital as if the Group was not a systemically important financial institution.
CC1 - Composition of regulatory capital
end of 2Q22 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 34,737 1
2 Retained earnings 29,059 2
3 Accumulated other comprehensive income (and other reserves) 2 (17,954) 3
6 CET1 capital before regulatory adjustments 45,842
7 Prudent valuation adjustments (215)
8 Goodwill, net of tax (2,953) 4
9 Other intangible assets (excluding mortgage servicing rights), net of tax (49) 5
10 Deferred tax assets that rely on future profitability (excluding temporary differences), net of tax (1,124) 6
11 Cash flow hedge reserve 852
12 Shortfall of provisions to expected losses (249)
14 Gains/(losses) due to changes in own credit on fair-valued liabilities (1,536)
15 Defined benefit pension plan assets (3,463) 7
16 Investments in own shares (79)
26b National specific regulatory adjustments 23
28 Total regulatory adjustments to CET1 capital (8,793)
29 CET1 capital 37,049
30 Directly issued qualifying additional tier 1 instruments plus related stock surplus 3 15,726
32   of which classified as liabilities under applicable accounting standards 15,726 9
36 Additional tier 1 capital before regulatory adjustments 15,726
37 Investments in own additional tier 1 instruments (39)
43 Total regulatory adjustments to additional tier 1 capital (39)
44 Additional tier 1 capital 15,687
Swiss tier 1 capital (CHF million)
45 Tier 1 capital 52,736
Swiss tier 2 capital (CHF million)
46 Directly issued qualifying tier 2 instruments plus related stock surplus 4 481 10
58 Tier 2 capital 481
Swiss eligible capital (CHF million)
59 Total eligible capital 53,217
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 11.2 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.5 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%.
38

CC1 - Composition of regulatory capital (continued)
end of 2Q22 Amounts Reference 1
Swiss risk-weighted assets (CHF million)  
60 Risk-weighted assets 274,997
Swiss risk-based capital ratios as a percentage of risk-weighted assets (%)  
61 CET1 capital ratio 13.5
62 Tier 1 capital ratio 19.2
63 Total capital ratio 19.4
BIS CET1 buffer requirements (%)  2    
64 Total BIS CET buffer requirement 3.525
65   of which capital conservation buffer 2.5
66   of which extended countercyclical buffer 0.025
67   of which progressive buffer for G-SIB and/or D-SIB 1.0
68 CET1 capital ratio available after meeting the bank's minimum capital requirements 3 9.0
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 1,931
73 Significant investments in the common stock of financial entities 1,826
74 Mortgage servicing rights, net of tax 267
75 Deferred tax assets arising from temporary differences, net of tax 3,086
Applicable caps on the inclusion of provisions in tier 2 (CHF million)  
77 Cap on inclusion of provisions in tier 2 under standardized approach 353
79 Cap for inclusion of provisions in tier 2 under internal ratings-based approach 700
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 Swiss CET1 capital ratio, less the BIS minimum CET1 ratio requirement of 4.5%.
39

The following table presents the balance sheet as published in the consolidated financial statements of the Group and the balance sheet under the regulatory scope of consolidation.
CC2 - Reconciliation of regulatory capital to balance sheet

end of 2Q22

Financial
statements
Regulatory
scope of
consolidation
Reference to
composition
of capital
Assets (CHF million)  
Cash and due from banks 159,472 159,242
Interest-bearing deposits with banks 851 1,296
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 104,156 104,156
Securities received as collateral, at fair value 7,386 7,386
Trading assets, at fair value 101,095 100,090
Investment securities 739 739
Other investments 5,783 5,433
Net loans 285,573 286,135
Goodwill 2,974 2,979 4
Other intangible assets 340 340
   of which other intangible assets (excluding mortgage servicing rights)  51 51 5
Brokerage receivables 15,060 15,060
Other assets 43,936 42,770
   of which deferred tax assets related to net operating losses  1,124 1,124 6
   of which deferred tax assets from temporary differences  2,743 2,068 8
   of which defined benefit pension plan assets  4,376 4,376 7
Total assets  727,365 725,626
Liabilities and equity (CHF million)  
Due to banks 23,616 23,648
Customer deposits 389,484 389,528
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 21,568 21,575
Obligation to return securities received as collateral, at fair value 7,386 7,386
Trading liabilities, at fair value 29,967 29,999
Short-term borrowings 20,145 20,325
Long-term debt 158,010 156,194
Brokerage payables 8,061 8,061
Other liabilities 23,062 22,741
Total liabilities  681,299 679,457
   of which additional tier 1 instruments, fully eligible  14,553 15,687 9
   of which tier 2 instruments, fully eligible  2,407 481 10
Common shares 106 106 1
Additional paid-in capital 34,631 34,631 1
Retained earnings 29,059 29,030 2
Treasury shares, at cost (417) (417) 3
Accumulated other comprehensive income/(loss) (17,537) (17,509) 3
Total shareholders' equity 1 45,842 45,841
Noncontrolling interests 2 224 328
Total equity  46,066 46,169
Total liabilities and equity  727,365 725,626
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.
40

Composition of TLAC
The following table presents the composition of our TLAC.
TLAC1 - TLAC composition for G-SIBs
end of 2Q22
TLAC (CHF million)    
CET1 capital 37,049
Additional tier 1 instruments eligible under TLAC framework 15,687
Tier 2 capital before TLAC adjustments 481
TLAC adjustments 1,926
   of which amortized portion of tier 2 instruments where remaining maturity > 1 year  1,926
Tier 2 instruments eligible under TLAC framework 2,407
TLAC arising from regulatory capital  55,143
External TLAC instruments issued directly by Credit Suisse Group AG and subordinated to excluded liabilities 44,666
External TLAC instruments issued by funding vehicles prior to January 1, 2022 2,088
TLAC arising from non-regulatory capital instruments before adjustments  46,754
TLAC before deductions  101,897
Deduction of investment in own other TLAC liabilities 64
Other adjustments to TLAC 4,937
TLAC  96,896
Risk-weighted assets and leverage exposure (CHF million)    
Swiss risk-weighted assets 274,997
Leverage exposure 862,737
TLAC ratios and buffers (%)    
TLAC ratio 35.2
TLAC leverage ratio 11.2
CET1 capital ratio available after meeting the resolution group’s minimum capital and TLAC requirements 9.0
Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) 3.525
   of which capital conservation buffer requirement  2.5
   of which bank specific countercyclical buffer requirement  0.025
   of which higher loss absorbency requirement  1.0
41

The following table presents information regarding creditors’ rankings of the liabilities structure of the resolution entity.
TLAC3 - Resolution entity - Creditor ranking at legal entity level
   Creditor ranking

end of 2Q22



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 31,062 18,223 48,557 97,842
Excluded liabilities 56 56
Total capital and liabilities less excluded liabilities 31,062 18,223 48,501 97,786
   of which potentially eligible as TLAC 3 31,062 16,495 45,226 92,783
      of which residual maturity between 1 to 2 years  4,818 4,818
      of which residual maturity between 2 to 5 years  19,572 19,572
      of which residual maturity between 5 to 10 years  15,357 15,357
      of which residual maturity greater than 10 years, excluding perpetual securities  5,479 5,479
      of which perpetual securities  31,062 16,495 47,557
Presented for Credit Suisse Group AG at the legal entity level and therefore instruments issued by subsidiaries and special purpose entities are excluded. 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 106 million.
2
Amount does not include CHF 7,196 million of intercompany liabilities, which are pari passu to the external bail-in debt instruments and are not considered to be excluded liabilities.
3
Notes with a maturity of less than one year, notes called but not yet redeemed and accrued but not yet paid interest on TLAC instruments are not eligible as TLAC, but can be bailed in by FINMA.
42

Key prudential metrics
Most line items in the following table presents the view as if the Group was not a systemically important financial institution.
KM1 - Key metrics
end of 2Q22 1Q22 4Q21 3Q21 2Q21
Capital (CHF million)            
Swiss CET1 capital 37,049 37,713 38,529 39,951 38,934
Fully loaded CECL accounting model Swiss CET1 capital 1 37,049 37,713 38,529 39,951 38,934
Swiss tier 1 capital 52,736 53,204 54,372 56,252 55,148
Fully loaded CECL accounting model Swiss tier 1 capital 1 52,736 53,204 54,372 56,252 55,148
Swiss total eligible capital 53,217 53,676 55,073 56,998 56,394
Fully loaded CECL accounting model Swiss total eligible capital 1 53,217 53,676 55,073 56,998 56,394
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 22,000 21,889 21,473 22,304 22,744
Risk-weighted assets (CHF million)            
Swiss risk-weighted assets 274,997 273,609 268,418 278,801 284,295
Risk-based capital ratios as a percentage of risk-weighted assets (%)            
Swiss CET1 capital ratio 13.5 13.8 14.4 14.3 13.7
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 13.5 13.8 14.4 14.3 13.7
Swiss tier 1 capital ratio 19.2 19.4 20.3 20.2 19.4
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 19.2 19.4 20.3 20.2 19.4
Swiss total capital ratio 19.4 19.6 20.5 20.4 19.8
Fully loaded CECL accounting model Swiss total capital ratio 1 19.4 19.6 20.5 20.4 19.8
BIS CET1 buffer requirements (%)  3          
Capital conservation buffer 2.5 2.5 2.5 2.5 2.5
Extended countercyclical buffer 0.025 0.023 0.028 0.021 0.022
Progressive buffer for G-SIB and/or D-SIB 1.0 1.0 1.0 1.0 1.0
Total BIS CET1 buffer requirement 3.525 3.523 3.528 3.521 3.522
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 9.0 9.3 9.9 9.8 9.2
Basel III leverage ratio (CHF million)            
Leverage exposure 862,737 878,023 889,137 937,419 931,041
Basel III leverage ratio (%) 6.1 6.1 6.1 6.0 5.9
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 6.1 6.1 6.1 6.0 5.9
Liquidity coverage ratio (CHF million)  5          
High-quality liquid assets 234,931 225,572 227,193 228,352 209,256
Net cash outflows 123,312 114,869 112,156 103,504 97,007
Liquidity coverage ratio (%) 191 196 203 221 216
Net stable funding ratio (CHF million)                      
Available stable funding 428,764 430,894 436,856 446,805
Required stable funding 325,767 335,546 342,870 353,492
Net stable funding ratio (%) 132 128 127 126
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.
43

> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically important financial institution view.
> Refer to “Swiss metrics” (pages 50 to 51) and “Risk-weighted assets” (pages 48 to 49) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q22 for further information on movements in capital, capital ratios, risk-weighted assets and leverage ratios.
> Refer to “Liquidity coverage ratio” (page 42) and “Net stable funding ratio” (page 43) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management – Liquidity management in the Credit Suisse Financial Report 2Q22 for further information on movements in the liquidity coverage ratio and the net stable funding ratio.
> Refer to “Swiss requirements” (page 45) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Financial Report 2Q22 for further information on additional CET1 buffer requirements.
The following table presents information about available TLAC and TLAC requirements applied at the resolution group level, which is defined as Credit Suisse Group AG consolidated.
KM2 - Key metrics - TLAC requirements (at resolution group level)
end of 2Q22 1Q22 4Q21 3Q21 2Q21
CHF million            
TLAC 96,896 101,177 101,269 106,048 107,027
Fully loaded CECL accounting model TLAC 1 96,896 101,177 101,269 106,048 107,027
Swiss risk-weighted assets 274,997 273,609 268,418 278,801 284,295
TLAC ratio (%) 35.2 37.0 37.7 38.0 37.6
Fully loaded CECL accounting model TLAC ratio (%) 1 35.2 37.0 37.7 38.0 37.6
Leverage exposure 862,737 878,023 889,137 937,419 931,041
TLAC leverage ratio (%) 11.2 11.5 11.4 11.3 11.5
Fully loaded CECL accounting model TLAC leverage ratio (%) 1 11.2 11.5 11.4 11.3 11.5
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”.
44

Macroprudential supervisor measures
The following table presents an overview of the geographical distribution of RWA for private sector credit exposures used in the calculation of the extended countercyclical buffer (CCyB).
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
2Q22 (CHF million)  
Hong Kong 1.00 1,684
Sweden 0.00 449
UK 0.00 9,175
France 0.00 2,412
Luxembourg 0.50 4,510
Germany 0.00 3,831
Subtotal  22,061
Other countries 0.00 132,620
Total 1 154,681 0.025 70
4Q21 (CHF million)  
Hong Kong 1.00 1,835
Sweden 0.00 445
UK 0.00 10,969
France 0.00 2,232
Luxembourg 0.50 4,740
Germany 0.00 3,353
Subtotal  23,574
Other countries 0.00 125,890
Total 1 149,464 0.028 76
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.
45

Leverage metrics
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the Basel Committee on Banking Supervision (BCBS) and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 50) and “Swiss metrics” (pages 50 to 51) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q22 for further information on leverage metrics, including the calculation methodology and movements in leverage exposures.
LR1 - Summary comparison of accounting assets vs leverage ratio exposure
end of 2Q22
Reconciliation of consolidated assets to leverage exposure (CHF million)  
Total consolidated assets as per published financial statements 727,365
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation   1 (9,724)
Adjustments for derivatives financial instruments 55,133
Adjustments for SFTs (i.e. repos and similar secured lending) (2,401)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 89,545
Other adjustments 2,819
Leverage exposure  862,737
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 2Q22 1Q22
Reconciliation of consolidated assets to leverage exposure (CHF million)  
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 599,942 617,402
Asset amounts deducted from Basel III tier 1 capital (7,474) (8,170)
Total on-balance sheet exposures  592,468 609,232
Reconciliation of consolidated assets to leverage exposure (CHF million)  
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 18,644 18,628
Add-on amounts for PFE associated with all derivatives transactions 46,117 50,756
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 15,368 15,130
Deductions of receivables assets for cash variation margin provided in derivatives transactions (12,260) (13,975)
Exempted CCP leg of client-cleared trade exposures (956) (1,872)
Adjusted effective notional amount of all written credit derivatives 185,384 229,495
Adjusted effective notional offsets and add-on deductions for written credit derivatives (181,022) (225,154)
Derivative Exposures  71,275 73,008
Securities financing transaction exposures (CHF million)  
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 118,754 113,836
Netted amounts of cash payables and cash receivables of gross SFT assets (14,290) (15,823)
Counterparty credit risk exposure for SFT assets 4,985 7,361
Securities financing transaction exposures  109,449 105,374
Other off-balance sheet exposures (CHF million)  
Off-balance sheet exposure at gross notional amount 289,347 284,584
Adjustments for conversion to credit equivalent amounts (199,802) (194,175)
Other off-balance sheet exposures  89,545 90,409
Swiss tier 1 capital (CHF million)  
Swiss tier 1 capital  52,736 53,204
Leverage exposure (CHF million)  
Leverage exposure  862,737 878,023
Leverage ratio (%)  
Basel III leverage ratio  6.1 6.1
46

Liquidity
Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio (LCR) is prescribed by the Liquidity Ordinance and the FINMA circular 2015/2 “Liquidity risk – banks”, as amended (Liquidity circular), and uses a three-month average that is measured using daily calculations during the quarter.
> Refer to “Liquidity metrics” (pages 41 to 43) and “Funding sources” (page 43) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management in the Credit Suisse Financial Report 2Q22 for further information on the Group’s liquidity coverage ratio, including high-quality liquid assets, liquidity pool and funding sources.
LIQ1 - Liquidity coverage ratio

end of 2Q22
Unweighted
value
1 Weighted
value
2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 234,931
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 158,341 19,346
   of which less stable deposits  158,341 19,346
Unsecured wholesale funding 251,286 94,915
   of which operational deposits (all counterparties) and deposits in networks of cooperative banks  46,525 11,631
   of which non-operational deposits (all counterparties)  134,511 68,855
   of which unsecured debt  14,414 14,414
Secured wholesale funding 69,902 16,284
Additional requirements 165,896 36,740
   of which outflows related to derivative exposures and other collateral requirements  54,113 13,294
   of which outflows related to loss of funding on debt products  1,092 1,092
   of which credit and liquidity facilities  110,691 22,354
Other contractual funding obligations 65,729 65,729
Other contingent funding obligations 203,947 2,334
Total cash outflows  235,348
Cash inflows (CHF million)
Secured lending 48,973 19,009
Inflows from fully performing exposures 52,755 24,293
Other cash inflows 68,734 68,734
Total cash inflows  170,462 112,036
Liquidity cover ratio (CHF million)
High-quality liquid assets 234,931
Net cash outflows 123,312
Liquidity coverage ratio (%)  191
Calculated based on an average of 62 data points in 2Q22.
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.
47

Net stable funding ratio
Our calculation methodology for the net stable funding ratio (NSFR) is prescribed by the Liquidity Ordinance and the Liquidity circular.
> Refer to “Net stable funding ratio” (page 43) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management – Liquidity management in the Credit Suisse Financial Report 2Q22 for further information on the Group’s net stable funding ratio.
LIQ2 – Liquidity: information on the NSFR
   Values not weighted, according to residual maturities

end of 2Q22

No maturity

< 6 months
≥ 6 months
up to 1 year

≥ 1 year
Weighted
values
Information on the available stable funding (CHF million)  
Equity instruments 47,702 0 0 17,121 64,824
   of which regulatory capital 1 47,702 0 0 17,121 64,824
   of which other equity instruments  0 0 0 0 0
Demand deposits and/or term deposits of private customers and small business customers 124,057 24,546 8,659 10 141,846
   of which "stable" deposits  6,000 0 0 0 5,700
   of which "less stable" deposits  118,057 24,546 8,659 10 136,146
Funding deposited by non-financial institutions (without small business customers) (wholesale customers) 93,968 89,325 6,111 1,588 89,885
   of which operational deposits  33,123 0 0 0 16,561
   of which non-operational deposits  60,845 89,325 6,111 1,588 73,324
Liabilities with matching interdependent assets 0 0 0 0 0
Other exposures 80,708 93,058 26,113 112,286 132,209
   of which exposures arising from derivative transactions  17,831 0 0
   of which other exposures and equity instruments  80,708 75,227 26,113 112,286 132,209
Total available stable funding  428,764
Information on the required stable funding (CHF million)  
Total of HQLA NSFR 4,540
Operational deposits held at other financial institutions 9,270 4,635
Performing loans and securities 52,418 150,744 50,280 184,505 245,393
   of which performing loans to companies in the financial sector, secured    with category 1 and 2a HQLA    15,863 44,451 0 0 6,194
   of which performing loans to companies in the financial sector, secured    with non-category 1 or 2a HQLA or unsecured    9,400 28,455 18,082 19,494 34,277
   of which performing loans to companies outside the financial sector, to retail and small    business customers, to countries, central banks and sub-national public sector entities    7,352 63,686 18,855 70,384 100,825
      of which risk-weighted up to 35% under the SA-BIS  13 0 0 8,727 6,235
   of which performing loans for residential properties  0 12,439 13,026 80,912 74,533
      of which risk-weighted up to 35% under the SA-BIS  0 4,660 5,132 70,992 58,265
   of which non-defaulted securities that do not qualify as HQLA, including    exchange-traded shares    19,803 1,713 317 13,715 29,564
Assets with matching interdependent liabilities 0 0 0 0 0
Other assets 163,246 980 42 103,354 64,253
   of which physically traded commodities, including gold  1,798 1,528
   of which assets posted as initial margin for derivative contracts    and contributions to default funds of central counterparties    0 0 15,583 13,245
   of which NSFR assets in the form of derivatives  0 0 15,359 0
   of which NSFR derivative liabilities before deduction of variation margin posted  0 0 31,347 7,392
   of which all remaining assets  161,448 980 42 41,065 42,088
Off-balance sheet items 0 0 330,071 6,946
Total required stable funding  325,767
Net stable funding ratio (%)  132
1
Prior to regulatory deductions.
48

LIQ2 – Liquidity: information on the NSFR (continued)
   Values not weighted, according to residual maturities

end of 1Q22

No maturity

< 6 months
≥ 6 months
up to 1 year

≥ 1 year
Weighted
values
Information on the available stable funding (CHF million)  
Equity instruments 44,712 0 0 15,057 59,769
   of which regulatory capital 1 44,712 0 0 15,057 59,769
   of which other equity instruments  0 0 0 0 0
Demand deposits and/or term deposits of private customers and small business customers 129,923 22,266 8,125 30 144,613
   of which "stable" deposits  6,000 0 0 0 5,700
   of which "less stable" deposits  123,923 22,266 8,125 30 138,913
Funding deposited by non-financial institutions (without small business customers) (wholesale customers) 100,648 82,954 7,014 1,375 91,779
   of which operational deposits  34,437 0 0 0 17,219
   of which non-operational deposits  66,211 82,954 7,014 1,375 74,560
Liabilities with matching interdependent assets 0 0 0 0 0
Other exposures 90,621 95,859 19,450 117,107 134,733
   of which exposures arising from derivative transactions  11,663 0 0
   of which other exposures and equity instruments  90,621 84,196 19,450 117,107 134,733
Total available stable funding  430,894
Information on the required stable funding (CHF million)  
Total of HQLA NSFR 5,091
Operational deposits held at other financial institutions 8,953 4,477
Performing loans and securities 61,177 138,526 55,356 187,446 253,555
   of which performing loans to companies in the financial sector, secured    with category 1 and 2a HQLA    15,055 41,512 0 0 5,853
   of which performing loans to companies in the financial sector, secured    with non-category 1 or 2a HQLA or unsecured    12,678 25,280 20,280 18,209 34,172
   of which performing loans to companies outside the financial sector, to retail and small    business customers, to countries, central banks and sub-national public sector entities    7,046 59,498 20,540 73,071 103,605
      of which risk-weighted up to 35% under the SA-BIS  14 1 0 9,390 6,712
   of which performing loans for residential properties  0 9,898 14,259 83,168 75,071
      of which risk-weighted up to 35% under the SA-BIS  0 4,061 5,787 73,615 59,796
   of which non-defaulted securities that do not qualify as HQLA, including    exchange-traded shares    26,398 2,338 277 12,998 34,854
Assets with matching interdependent liabilities 0 0 0 0 0
Other assets 173,738 1,270 118 97,995 65,487
   of which physically traded commodities, including gold  1,736 1,476
   of which assets posted as initial margin for derivative contracts    and contributions to default funds of central counterparties    0 0 16,991 14,442
   of which NSFR assets in the form of derivatives  0 0 15,053 3,389
   of which NSFR derivative liabilities before deduction of variation margin posted  0 0 27,649 6,489
   of which all remaining assets  172,002 1,270 118 38,302 39,691
Off-balance sheet items 0 0 323,515 6,936
Total required stable funding  335,546
Net stable funding ratio (%)  128
1
Prior to regulatory deductions.
49

List of abbreviations
A  
A-IRB Advanced-internal ratings-based
AMA Advanced measurement approach
Art. Article
B  
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
C  
CAO Capital Adequacy Ordinance
CCF Credit conversion factor
CCP Central counterparties
CCR Counterparty credit risk
CCyB Countercyclical buffer
CDS Credit default swap
CECL Current expected credit loss
CET1 Common equity tier 1
CRM Credit risk mitigation
CVA Credit valuation adjustment
D  
D-SIB Domestic systemically important bank
E  
EAD Exposure at default
EEPE Effective expected positive exposure
F  
FINMA Swiss Financial Market Supervisory Authority FINMA
FSB Financial Stability Board
G  
G-SIB Global systemically important bank
H  
HQLA High-quality liquid assets
I  
IAA Internal assessment approach
IMA Internal model approach
IMM Internal model method
IPRE Income producing real estate
IRB Internal ratings-based
IRC Incremental Risk Charge
L    
LCR Liquidity coverage ratio
LGD Loss given default
LRD Leverage ratio denominator
N    
N/A Not applicable
NSFR Net stable funding ratio
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    
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
T    
TLAC Total loss-absorbing capacity
U    
US GAAP US generally accepted accounting principles
V    
VaR Value-at-risk
50

Cautionary statement regarding forward-looking information
This document contains statements that constitute forward-looking statements. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:
our plans, targets or goals;
our future economic performance or prospects;
the potential effect on our future performance of certain contingencies; and
assumptions underlying any such statements.
Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements.
By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predictions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, targets, goals, expectations, estimates and intentions expressed in such forward-looking statements. These factors include, but are not limited to:
the ability to maintain sufficient liquidity and access capital markets;
market volatility, increases in inflation and interest rate fluctuations or developments affecting interest rate levels;
the ongoing significant negative consequences, including reputational harm, of the Archegos and supply chain finance funds matters, as well as other recent events, and our ability to successfully resolve these matters;
our ability to improve our risk management procedures and policies and hedging strategies;
the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in particular, but not limited to, the risk of negative impacts of COVID-19 on the global economy and financial markets, Russia’s invasion of Ukraine, the resulting sanctions from the US, EU, UK, Switzerland and other countries and the risk of continued slow economic recovery or downturn in the EU, the US or other developed countries or in emerging markets in 2022 and beyond;
the emergence of widespread health emergencies, infectious diseases or pandemics, such as COVID-19, and the actions that may be taken by governmental authorities to contain the outbreak or to counter its impact;
potential risks and uncertainties relating to the severity of impacts from COVID-19 and the duration of the pandemic, including potential material adverse effects on our business, financial condition and results of operations;
the direct and indirect impacts of deterioration or slow recovery in residential and commercial real estate markets;
adverse rating actions by credit rating agencies in respect of us, sovereign issuers, structured credit products or other credit-related exposures;
the ability to achieve our strategic initiatives, including those related to our targets, ambitions and goals, such as our financial ambitions as well as various goals and commitments to incorporate certain environmental, social and governance considerations into our business strategy, products, services and risk management processes;
the ability of counterparties to meet their obligations to us and the adequacy of our allowance for credit losses;
the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies;
the effects of currency fluctuations, including the related impact on our business, financial condition and results of operations due to moves in foreign exchange rates;
geopolitical and diplomatic tensions, instabilities and conflicts, including war, civil unrest, terrorist activity, sanctions or other geopolitical events or escalations of hostilities, such as Russia’s invasion of Ukraine;
political, social and environmental developments, including climate change;
the ability to appropriately address social, environmental and sustainability concerns that may arise from our business activities;
the effects of, and the uncertainty arising from, the UK’s withdrawal from the EU;
the possibility of foreign exchange controls, expropriation, nationalization or confiscation of assets in countries in which we conduct our operations;
operational factors such as systems failure, human error, or the failure to implement procedures properly;
the risk of cyber attacks, information or security breaches or technology failures on our reputation, business or operations, the risk of which is increased while large portions of our employees work remotely;
the adverse resolution of litigation, regulatory proceedings and other contingencies;
actions taken by regulators with respect to our business and practices and possible resulting changes to our business organization, practices and policies in countries in which we conduct our operations;
the effects of changes in laws, regulations or accounting or tax standards, policies or practices in countries in which we conduct our operations;
the discontinuation of LIBOR and other interbank offered rates and the transition to alternative reference rates;
the potential effects of changes in our legal entity structure;
competition or changes in our competitive position in geographic and business areas in which we conduct our operations;
the ability to retain and recruit qualified personnel;
the ability to protect our reputation and promote our brand;
the ability to increase market share and control expenses;
technological changes instituted by us, our counterparties or competitors;
the timely development and acceptance of our new products and services and the perceived overall value of these products and services by users;
acquisitions, including the ability to integrate acquired businesses successfully, and divestitures, including the ability to sell non-core assets; and
other unforeseen or unexpected events and our success at managing these and the risks involved in the foregoing.
We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, including the information set forth in “Risk factors” in I – Information on the company in our Annual Report 2021.
51


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘6-K’ Filing    Date    Other Filings
Filed on:8/26/22
For Period end:6/30/226-K
1/1/22
7/1/16
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