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
March 18, 2021
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: March 18, 2021
By:
/s/ Lara J. Warner
Lara J. Warner
Chief Risk and Compliance Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer










For purposes of this report, unless the context otherwise requires, the terms “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 only referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.

Pillar 3 and regulatory disclosures 4Q20
Credit Suisse Group AG

Introduction
Swiss capital requirements
Overview of risk management
Risk-weighted assets
Linkages between financial statements and regulatory exposures
Credit risk
Counterparty credit risk
Securitization
Market risk
Interest rate risk in the banking book
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information





Introduction
General
This report as of December 31, 2020 is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA) on October 31, 2019. The revised FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision (BCBS) in August and December 2019.
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 2Q20 and 3Q20 and the Credit Suisse Annual Report 2020, which includes important information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
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
COVID-19 pandemic and related regulatory measures
The Swiss government, the Swiss National Bank and FINMA have already taken various measures to mitigate the consequences for the economy and the financial system. Governments and regulators in other jurisdictions where we have operations have also taken a number of emergency and temporary measures to address the financial and economic pressures arising from the COVID-19 pandemic.
> Refer to “COVID-19 pandemic and related regulatory measures” (pages 68 to 69) in II – Operating and financial review – Credit Suisse in the Credit Suisse Annual Report 2020 for further information.
Location of disclosure
This report provides the Pillar 3 and regulatory disclosures required by the FINMA circular for the Group to the extent that these disclosures are not included in the Credit Suisse Annual Report 2020 or in the regulatory disclosures on our website.
> Refer to “Annual Report” under credit-suisse.com/ar for disclosures included in the Credit Suisse Annual Report 2020.
2
Location of disclosures   
FINMA disclosure requirements Location Page number
Overview of risk management, key prudential metrics and risk-weighted assets         
Key prudential metrics [Table KM1] / [Table KM2] Qualitative disclosures: "Treasury, Risk, Balance sheet and Off-balance sheet" 116 - 133
Risk management approach [Table OVA] "Risk management oversight"
"Risk appetite framework"
"Risk coverage and management"		 141 - 144
144 - 147
147 - 165
Overview of risk-weighted assets [Table OV1] Qualitative disclosures: "Risk-weighted assets" 129 - 131
Linkages between financial statements and regulatory exposures         
Valuation process [Table LIA] "Fair valuations"
"Critical accounting estimates - Fair value"
"Note 36 - Financial instruments"		 73
106
370 - 396
Composition of capital and TLAC         
Differences in basis of consolidation [Table CC2] List of significant subsidiaries and associated entities:
"Note 41 - Significant subsidiaries and equity method investments"
Changes in scope of consolidation:
"Note 3 - Business developments, significant shareholders and subsequent events"		  
411 - 414
 
290 - 292
Main features of regulatory capital instruments and TLAC-eligible instruments [Table CCA] Refer to "Capital instruments" under credit-suisse.com/regulatorydisclosures 1
Macroprudential supervisor measures         
Disclosure of G-SIBs indicators [Table GSIB1] Refer to "G-SIB Indicators" under credit-suisse.com/regulatorydisclosures 1
Credit risk         
General qualitative information [Table CRA] "Credit risk" 150 - 153
Additional disclosure related to credit quality
of assets [Table CRB a), b), c) and d)]		 "Note 1 - Summary of significant accounting policies"
"Note 20 - Financial instruments measured at amortized cost and credit losses"		 283 - 285
304 - 316
Qualitative disclosure requirements related to credit
risk mitigation techniques [Table CRC a)]: Netting		 "Derivative instruments"
"Note 1 - Summary of significant accounting policies"
"Note 28 - Offsetting of financial assets and financial liabilities"		 170 - 172
281 - 282
326 - 329
Counterparty credit risk         
Qualitative disclosure requirements [Table CCRA] Transaction rating, credit limits and provisioning: "Credit risk"
Effect of a credit rating downgrade: "Credit ratings"		 150 - 153
120 - 121
Securitization         
Qualitative disclosure requirements [Table SECA] "Note 35 - Transfers of financial assets and variable interest entities" 361 - 370
Market risk         
Qualitative disclosure requirements [Table MRA] "Market risk"
"Note 1 - Summary of significant accounting policies"
"Note 33 - Derivatives and hedging activities"		 153 - 157
281 - 282
351 - 357
Leverage metrics         
Qualitative disclosures [Table LR2] "Leverage metrics"
"Swiss metrics"		 132
132 - 133
Liquidity coverage ratio         
Liquidity risk management [Table LIQA] "Liquidity and funding management" 114 - 121
Liquidity Coverage Ratio [Table LIQ1] Qualitative disclosures: "Liquidity metrics" 116 - 117
Corporate Governance         
Corporate Governance [Appendix 5] "Corporate Governance" 183 - 232
Remuneration         
Remuneration policy [Table REMA] "Compensation" 233 - 268
Remuneration awarded during the financial
year [table REM1] / Special payments [table REM2] /
Deferred remuneration [table REM3]		 Senior management: "Executive Board compensation"

Other material risk takers: "Group compensation"		 238 - 245

246 - 254
Operational risk         
Qualitative disclosures [Table ORA] "Non-financial risk regulatory capital measurement" 159
Special duties of disclosure for systemically important financial institutions and stand-alone banks         
List and qualification of alleviations granted [Appendix 4] "FINMA Decrees" 124 - 125
1
The disclosure will be available by the end of April 2021.
3
Swiss capital requirements
FINMA requires the Group to fully comply 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” (pages 123 to 125) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework and “Swiss metrics” (pages 132 to 133) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for further information on general Swiss requirements and the related metrics.
Swiss capital requirements and metrics

end of 4Q20
CHF million		 in %
of RWA
Swiss risk-weighted assets               
Swiss risk-weighted assets 275,576 –
Risk-based capital requirements (going-concern) based on Swiss capital ratios               
Total 39,468 14.322
   of which CET1: minimum  12,401 4.5
   of which CET1: buffer  15,157 5.5
   of which CET1: countercyclical buffers  60 0.022
   of which additional tier 1: minimum  9,645 3.5
   of which additional tier 1: buffer  2,205 0.8
Swiss eligible capital (going-concern)               
Swiss CET1 capital and additional tier 1 capital 1 51,192 18.6
   of which CET1 capital 2 35,351 12.8
   of which additional tier 1 high-trigger capital instruments  11,410 4.1
   of which additional tier 1 low-trigger capital instruments 3 4,431 1.6
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios               
Total according to size and market share 4 39,407 14.3
Reductions due to rebates in accordance with article 133 of the CAO (7,069) (2.565)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,201) (0.436)
Total, net 31,138 11.299
Eligible additional total loss-absorbing capacity (gone-concern)   5            
Total 6 41,852 15.2
   of which bail-in instruments  39,450 14.3
   of which tier 2 low-trigger capital instruments  2,402 0.9
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
1
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
2
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
3
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
4
Consists of a base requirement of 12.86%, or CHF 35,439 million, and a surcharge of 1.44%, or CHF 3,968 million.
5
Excludes formally eligible gone-concern capacity of CHF 3,900 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
6
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 4Q20, total eligible gone-concern capital was CHF 42,198 million including CHF 346 million of such instruments.
4
Swiss leverage requirements and metrics

end of 4Q20
CHF million		 in %
of LRD
Leverage exposure for going concern               
Leverage ratio denominator 799,853 1 –
Unweighted capital requirements (going-concern) based on Swiss leverage ratio               
Total 39,993 5.0
   of which CET1: minimum  11,998 1.5
   of which CET1: buffer  15,997 2.0
   of which additional tier 1: minimum  11,998 1.5
Swiss eligible capital (going-concern)               
Swiss CET1 capital and additional tier 1 capital 2 51,192 6.4 3
   of which CET1 capital 4 35,351 4.4
   of which additional tier 1 high-trigger capital instruments  11,410 1.4
   of which additional tier 1 low-trigger capital instruments 5 4,431 0.6
Leverage exposure for gone concern               
Leverage ratio denominator 910,530 –
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio               
Total according to size and market share 6 45,527 5.0
Reductions due to rebates in accordance with article 133 of the CAO (8,195) (0.9)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,201) (0.132)
Total, net 36,131 3.968
Eligible additional total loss-absorbing capacity (gone-concern)   7            
Total 8 41,852 4.6
   of which bail-in instruments  39,450 4.3
   of which tier 2 low-trigger capital instruments  2,402 0.3
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
1
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
2
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
3
The going concern ratio would be 5.6%, if calculated using a leverage exposure of CHF 910,530 million without the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, of CHF 110,677 million.
4
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
5
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
6
Consists of a base requirement of 4.5%, or CHF 40,974 million, and a surcharge of 0.5%, or CHF 4,553 million.
7
Excludes formally eligible gone-concern capacity of CHF 3,900 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
8
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 4Q20, total eligible gone-concern capital was CHF 42,198 million including CHF 346 million of such instruments.
5
Overview of risk management
General
Fundamental to our business is the prudent taking of risk in line with our strategic priorities. The primary objectives of risk management are to protect our financial strength and reputation, while ensuring that capital is well deployed to support business activities. Our risk management framework is based on transparency, management accountability and independent oversight. Risk management is an integral part of our business planning process with strong involvement of senior management and the Board of Directors. Risk measurement models are reviewed by the Model Risk Management team, an independent validation function, and regularly presented to and approved by the relevant oversight committee.
> Refer to “Risk management oversight” (pages 141 to 144), “Risk appetite framework” (pages 144 to 147) and “Risk coverage and management” (pages 147 to 165) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management in the Credit Suisse Annual Report 2020 for information on risk management oversight including risk culture, risk governance, risk organization, risk types, risk appetite, risk limits, stress testing and strategies/processes to manage, hedge and mitigate risks.
Risk reporting
Risk reporting is performed regularly and there are numerous internal control procedures in place, in particular the standard operating procedures, risk and control assessment and independent report review. These ensure the reporting and measurement systems are up to date and are working as intended. They cover: validation and authorization of risk measurement data, status summary reports, data reconciliation, independent checks/validation and error reports to capture any failings. Senior management and the Board of Directors are informed about key risk metrics aligned to our Strategic Risk Objectives (SRO) in the monthly Group Risk Report.
Key risks
The Group is exposed to several key banking risks such as:
■ Credit risk (refer to section “Credit risk” on pages 12 to 43);
■ Counterparty credit risk (refer to section “Counterparty credit risk” on pages 44 to 53);
■ Securitization risk (refer to section “Securitization risk” on pages 54 to 61);
■ Market risk (refer to section “Market risk” on pages 62 to 66);
■ Interest rate risk in the banking book (refer to section “Interest rate risk in the banking book” on pages 67 to 70); and
■ Operational risk.
> Refer to “Non-financial risk regulatory capital measurement” (page 159) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for information on operational risk.
The Basel framework proposes various approaches for determining capital requirements which banks have to abide by in order maintain regulatory compliance. Credit Suisse has adopted a modelled approach with respect to most of its risk types, both for regulatory and internal requirements, in order to ensure our capital resources are appropriate to our risk profile.
6
Risk-weighted assets
With the adoption of the revised FINMA circular, risk-weighted assets (RWA) presented in this report, including prior period comparisons, are based on the Swiss capital requirements.
> Refer to “Swiss requirements” (pages 123 to 125) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Annual Report 2020 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 275.6 billion as of the end of 4Q20, a 4% decrease compared to the end of 3Q20. Decreases in RWA were mainly related to foreign exchange movements, movements in risk levels in credit risk and internal model and parameter updates related to credit risk. These decreases were partially offset by methodology and policy changes related to credit risk and movements in risk levels in market risk. The movement in methodology and policy changes reflected the phase-in of certain Basel III revisions for credit risk, SA-CCR for derivatives, equity investments in funds and central counterparty default fund contributions.
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 129 to 131) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for further information on risk-weighted assets movements in 2020.
OV1 – Overview of Swiss risk-weighted assets and capital requirements 
     
Risk-weighted assets		 Capital
requirement		 1
end of 4Q20 3Q20 4Q19 4Q20
CHF million   
Credit risk (excluding counterparty credit risk) 134,648 136,264 144,984 10,772
   of which standardized approach (SA)  26,237 26,789 25,518 2,099
   of which supervisory slotting approach  4,246 4,101 4,212 340
   of which advanced internal ratings-based (A-IRB) approach  104,165 105,374 115,254 8,333
Counterparty credit risk 22,577 23,209 20,365 1,806
   of which standardized approach for counterparty credit risk (SA-CCR)  4,283 4,105 1,830 343
   of which internal model method (IMM)  16,589 17,888 17,486 1,327
   of which other counterparty credit risk 2 1,705 1,216 1,049 136
Credit valuation adjustments (CVA) 8,498 11,064 6,892 680
Equity positions in the banking book under the simple risk weight approach 4,427 7,182 10,202 354
Equity investments in funds - look-through approach 3 2,998 3,017 – 240
Equity investments in funds - mandate-based approach 3 71 41 – 6
Equity investments in funds - fall-back approach 3 506 848 – 40
Settlement risk 249 378 219 20
Securitization exposures in the banking book 12,962 13,561 13,333 1,037
   of which securitization internal ratings-based approach (SEC-IRBA)  7,322 7,601 7,751 586
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,285 1,228 1,555 103
   of which securitization standardized approach (SEC-SA)  4,355 4,732 4,027 348
Market risk 18,317 17,241 15,192 1,465
   of which standardized approach (SA)  1,478 1,945 1,981 118
   of which internal model approach (IMA)  16,839 15,296 13,211 1,347
Operational risk (AMA) 58,655 61,371 68,318 4,692
Amounts below the thresholds for deduction (subject to 250% risk weight) 11,668 11,681 11,777 934
Total  275,576 285,857 291,282 22,046
1
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding capital conservation buffer and G-SIB buffer requirements.
2
Includes RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS.
3
Following the adoption of the new regulation introduced in January 2020, the calculation of RWA for investments in funds is now presented separately. Prior to this, investments in funds were included under equity positions under the simple risk weight approach.
7
Linkages between financial statements and regulatory exposures
This section shows the various sources of differences between the carrying values presented in the Group’s financial statements prepared in accordance with accounting principles generally accepted in the US (US GAAP) and the exposure amounts used for regulatory purposes. The identification, classification and presentation of these sources of differences requires a significant amount of management judgement and is based on the information available at the time. As such, reclassifications have been made compared to the prior year. Management believes that the estimates and assumptions used in the preparation of these disclosures are prudent, reasonable and consistently applied.
The following table shows the differences between the scope of accounting consolidation and the scope of regulatory consolidation, broken down by how the amounts reported in the Group’s financial statements correspond to regulatory risk categories. The column about the securitization framework includes securitizations in the banking book, whereas securitizations in the trading book are included in the column about market risk. Foreign exchange risk in the banking book is captured by the Internal Model Approach (IMA) in market risk. Positions with foreign exchange risk in the banking book are not included in the column about market risk. Cash collateral is excluded from market risk. However, the cash leg of securities financing transactions (SFT) in the trading book is included in the column about market risk.
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories
   Carrying values Carrying values of items subject to:

end of 4Q20



Published
financial
statements



Regulatory
scope of
consolidation


Credit
risk
frame-
work
Counter-
party
credit
risk
frame-
work


Securiti-
zation
frame-
work


Market
risk
frame-
work		 Not subject
to capital
require-
ments or
subject to
deduction
from capital
Assets (CHF million)   
Cash and due from banks 139,112 138,641 137,374 0 0 0 1,267
Interest-bearing deposits with banks 1,298 1,737 1,555 182 0 0 0
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 79,133 79,133 0 79,133 0 67,520 0
Securities received as collateral, at fair value 50,773 50,773 0 50,773 0 50,666 0
Trading assets, at fair value 1 157,338 151,391 7,528 69,103 2 1,050 158,304 0
Investment securities 607 607 597 0 10 0 0
Other investments 5,412 5,593 2,978 0 335 244 2,036
Net loans 291,908 291,534 262,862 178 27,766 906 0
Goodwill 4,426 4,430 0 0 0 0 4,430
Other intangible assets 237 237 0 0 0 0 237
Brokerage receivables 35,941 35,941 2,074 30,285 0 0 3,582
Other assets 39,637 38,347 18,711 8,160 949 3,921 6,812
Total assets  805,822 798,364 433,679 237,814 30,110 281,561 18,364
Liabilities (CHF million)   
Due to banks 16,423 16,765 0 0 0 0 16,765
Customer deposits 390,921 390,765 0 0 0 0 390,765
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 23,851 27,805 0 27,805 0 21,909 0
Obligation to return securities received as collateral, at fair value 50,773 50,773 0 50,773 0 50,666 0
Trading liabilities, at fair value 1 45,871 45,905 61 17,770 0 70,539 1,193
Short-term borrowings 20,868 16,608 0 0 0 11,876 4,732
Long-term debt 161,087 159,341 0 0 0 51,090 108,251
Brokerage payables 21,653 21,653 0 17,150 0 0 4,503
Other liabilities 31,434 25,746 340 8,376 0 709 16,326
Total liabilities  762,881 755,361 401 121,874 0 206,789 542,535
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
1
Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
2
Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.
8
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories (continued)
   Carrying values Carrying values of items subject to:

end of 4Q19



Published
financial
statements



Regulatory
scope of
consolidation


Credit
risk
frame-
work
Counter-
party
credit
risk
frame-
work


Securiti-
zation
frame-
work


Market
risk
frame-
work		 Not subject
to capital
require-
ments or
subject to
deduction
from capital
Assets (CHF million)   
Cash and due from banks 101,879 101,487 99,956 10 0 0 1,521
Interest-bearing deposits with banks 741 1,167 1,167 0 0 0 0
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 106,997 106,997 25 106,972 0 98,244 0
Securities received as collateral, at fair value 40,219 40,219 0 40,219 0 40,190 0
Trading assets, at fair value 1 153,797 147,302 8,883 56,012 2,3 1,718 150,080 0
Investment securities 1,006 1,006 990 0 16 0 0
Other investments 5,666 5,848 3,086 0 382 464 1,916
Net loans 296,779 297,095 267,741 3 208 27,806 3 1,586 0 3
Goodwill 4,663 4,668 0 0 0 0 4,668
Other intangible assets 291 291 0 0 0 0 291
Brokerage receivables 35,648 35,648 2,245 28,159 0 0 5,249
Other assets 39,609 38,917 18,502 5,137 1,551 6,386 7,380
Total assets  787,295 780,645 402,595 3 236,717 3 31,473 3 296,950 21,025 3
Liabilities (CHF million)   
Due to banks 16,744 17,139 0 0 0 0 17,139
Customer deposits 383,783 383,793 0 0 0 0 383,793
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 27,533 32,597 0 32,573 0 20,988 24
Obligation to return securities received as collateral, at fair value 40,219 40,219 0 40,219 0 40,190 0
Trading liabilities, at fair value 1 38,186 38,252 12 14,577 0 56,746 478
Short-term borrowings 28,385 23,370 0 0 0 5,628 17,742
Long-term debt 152,005 150,364 0 0 0 50,966 99,398
Brokerage payables 25,683 25,683 0 20,413 0 0 5,270
Other liabilities 31,043 25,402 418 8,563 0 639 15,810
Total liabilities  743,581 736,819 430 116,345 0 175,157 539,654
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
1
Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
2
Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.
3
Prior period has been corrected.
For financial reporting purposes, our consolidation principles comply with US GAAP. For capital adequacy reporting purposes, however, entities that are not active in banking and finance are not subject to consolidation (i.e. insurance, commercial and certain real estate companies). Also, FINMA does not require consolidating private equity and other fund type vehicles for capital adequacy reporting. Further differences in consolidation principles between US GAAP and capital adequacy reporting relate to special purpose entities (SPEs) that are consolidated under a control-based approach for US GAAP but are assessed under a risk-based approach for capital adequacy reporting. In addition, FINMA requires us to consolidate companies which form an economic unit with Credit Suisse or if Credit Suisse is obliged to provide compulsory financial support to a company. The investments into such entities, which are not material to the Group, are treated in accordance with the regulatory rules and are either subject to a risk-weighted capital requirement or a deduction from regulatory capital.
All significant equity method investments represent investments in the capital of banking, financial and insurance entities and are subject to a threshold calculation in accordance with the Basel framework and the Swiss Capital Adequacy Ordinance.
> Refer to “Note 41 – Significant subsidiaries and equity method investments” (pages 411 to 414) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for a list of significant subsidiaries and associated entities.
9
In addition to the differences between accounting and regulatory scopes of consolidation as shown in table LI1 there are further main sources of differences between the financial statements’ carrying value amounts and the exposure amounts used for regulatory purposes.
LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements
   Items subject to:

end of

Credit
risk
frame-
work		 Counter-
party
credit
risk
frame-
work		 1

Securiti-
zation
frame-
work

Market
risk
frame-
work
4Q20 (CHF million)   
Asset carrying value amount under regulatory scope of consolidation 433,679 237,814 30,110 281,561
Liabilities carrying value amount under regulatory scope of consolidation 401 121,874 0 206,789
Total net amount under regulatory scope of consolidation 433,278 115,940 30,110 74,772
Off-balance sheet amounts 65,796 0 29,269 0
Differences due to consideration of provisions 556 0 82 0
Derivatives: Differences due to application of internal models (IMM) and SA-CCR 0 34,204 0 0
SFT: Differences due to the application of internal models (VaR) 0 (60,778) 0 0
Other differences not classified above (2,668) 4,065 (2,717) 0
Exposure amounts considered for regulatory purposes  496,962 93,431 56,744 – 2
4Q19 (CHF million)   3
Asset carrying value amount under regulatory scope of consolidation 402,595 236,717 31,473 296,950
Liabilities carrying value amount under regulatory scope of consolidation 430 116,345 0 175,157
Total net amount under regulatory scope of consolidation 402,165 120,372 31,473 121,793
Off-balance sheet amounts 67,994 0 28,902 0
Differences due to consideration of provisions 229 0 5 0
Derivatives: Differences due to application of internal models (IMM) and SA-CCR 4 0 44,004 0 0
SFT: Differences due to the application of internal models (VaR) 0 (82,273) 0 0
Other differences not classified above 1,075 2,113 (2,858) 0
Exposure amounts considered for regulatory purposes  471,463 84,216 57,522 – 2
The funded portion of the default funds for clearing houses are recorded as a brokerage receivable in accounting. For these positions there is no exposure amount considered for regulatory purposes.
1
Counterparty credit risk includes client cleared exposures, whereas such agency exposures are not reported in the financial statements. Additionally, the column counterparty credit risk and the column market risk take into account the impact of collateral pledges received in SFTs.
2
The concept of “exposure amounts considered for regulatory purposes” is not applicable for market risk as for example for the VaR model.
3
Prior period has been corrected.
4
Calculated under the current exposure method.
> Refer to “Comparison of the standardized and internal model approaches” (pages 19 to 23) in Credit risk – Credit risk under the standardized approach for further information on the origins of differences between carrying values and amounts considered for regulatory purposes shown in the table above.
10
Valuation process
The Basel capital adequacy framework and the Swiss regulation provide guidance for systems and controls, valuation methodologies and valuation adjustments and reserves to provide prudent and reliable valuation estimates.
Financial instruments in the trading book are carried at fair value. The fair value of the majority of these financial instruments is marked to market based on quoted prices in active markets or observable inputs. Additionally, the Group holds financial instruments which are marked to models where the determination of fair values requires subjective assessment and varying degrees of judgment depending on liquidity, concentration, pricing assumptions and the risks affecting the specific instrument.
Control processes are applied to ensure that the reported fair values of the financial instruments, including those derived from pricing models, are appropriate and determined on a reasonable basis. These control processes include approval of new instruments, timely review of profit and loss, risk monitoring, price verification procedures and validation of models used to estimate the fair value. These functions are managed by senior management and personnel with relevant expertise, independent of the trading and investment functions.
In particular, the price verification function is performed by Product Control, independent from the trading and investment functions, reporting directly to the Chief Financial Officer (CFO), a member of the Executive Board.
The valuation process is governed by separate policies and procedures. To arrive at fair values, the following type of valuation adjustments are typically considered and regularly assessed for appropriateness: model, parameter, credit and exit-risk-related adjustments.
Management believes it complies with the relevant valuation guidance and that the estimates and assumptions used in valuation of financial instruments are prudent, reasonable and consistently applied.
> Refer to “Fair valuations” (page 73) in II – Operating and financial review – Credit Suisse – Other information, to “Fair value” (page 106) in II – Operating and financial review – Critical accounting estimates and to “Note 36 – Financial instruments” (pages 370 to 396) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on fair value.
11
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 44 to 53) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 54 to 61) 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 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.
Risk management objectives and policies for credit risk
> Refer to “Credit risk” (pages 150 to 153) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for information on risk management objectives and policies for credit risk, including our credit risk profile, the setting of credit risk limits, the structure and organization of credit risk management.
Credit risk reporting
Credit risk is subject to daily monitoring and reporting, and is governed by internal policies & procedures and a framework of limits and controls. The Group’s credit risk exposure is subject to formal monthly reporting through the Group Risk Report which provides summary information in relation to the credit risk portfolio composition, rating profile, and the largest single name loans and commitments. The Group Risk Report also provides qualitative commentary on key credit risk matters and developments, and is discussed at Board of Directors Risk Committee and distributed to the Board of Directors and Executive Board members.
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 tables present a breakdown of exposures by geographical areas, industry and residual maturity.
CRB - Geographic concentration of gross credit exposures

end of
Switzerland
Americas		 Asia
Pacific
EMEA
Total
4Q20 (CHF million)   
Loans and debt securities 225,614 55,529 39,504 107,178 427,825
Off-balance sheet exposures 1 16,154 45,995 5,005 28,534 95,688
Total  241,768 101,524 44,509 135,712 523,513
4Q19 (CHF million)   
Loans and debt securities 207,888 56,330 45,228 86,644 396,090
Off-balance sheet exposures 1 17,842 55,521 5,191 26,024 104,578
Total  225,730 111,851 50,419 112,668 500,668
The geographic distribution is based on the domicile of the counterparty, shown pre-substitution.
1
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
12
CRB - Industry concentration of gross credit exposures

end of		 Financial
institutions		 1
Commercial
Consumer		 Public
authorities
Total
4Q20 (CHF million)   
Loans and debt securities 200,311 84,318 138,984 4,212 427,825
Off-balance sheet exposures 2 27,839 65,921 843 1,085 95,688
Total  228,150 150,239 139,827 5,297 523,513
4Q19 (CHF million)   
Loans and debt securities 164,034 86,141 140,687 5,228 396,090
Off-balance sheet exposures 2 31,064 72,445 888 181 104,578
Total  195,098 158,586 141,575 5,409 500,668
Exposures are shown pre-substitution.
1
Includes exposures to central banks of CHF 125.2 billion and CHF 89.1 billion as of the end of 4Q20 and 4Q19, respectively.
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
CRB - Remaining contractual maturity of gross credit exposures

end of		 within
1 year		 1 within
1-5 years
Thereafter
Total
4Q20 (CHF million)   
Loans and debt securities 188,838 179,972 59,015 427,825
Off-balance sheet exposures 2 33,267 55,057 7,364 95,688
Total  222,105 235,029 66,379 523,513
4Q19 (CHF million)   
Loans and debt securities 170,769 169,680 55,641 396,090
Off-balance sheet exposures 2 41,778 56,880 5,920 104,578
Total  212,547 226,560 61,561 500,668
1
Includes positions without agreed residual contractual maturity.
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
13
The following tables show the amounts of impaired exposures and related allowances and write-offs, broken down by geographical areas and industry.
CRB - Geographic concentration of allowances, impaired loans and write-offs

end of

Allowances
individually
evaluated

Allowances
collectively
evaluated


Total
allowances
Impaired
loans with
specific
allowances		 Impaired
loans
without
specific
allowances

Total
impaired
loans

Gross
write-
offs
4Q20 (CHF million)   
Switzerland 572 402 974 1,251 316 1,567 184
EMEA 46 63 109 320 173 493 13
Americas 101 167 268 465 0 465 94
Asia Pacific 147 40 187 675 0 675 39
Total  866 672 1,538 2,711 489 3,200 330
4Q19 (CHF million)   
Switzerland 511 182 693 1,301 335 1,636 152
EMEA 26 29 55 177 68 245 60
Americas 57 83 140 150 13 163 20
Asia Pacific 14 49 63 87 0 87 75
Total  608 343 951 1,715 416 2,131 307
CRB - Industry concentration of allowances, impaired loans and write-offs

end of

Allowances
individually
evaluated

Allowances
collectively
evaluated


Total
allowances
Impaired
loans with
specific
allowances		 Impaired
loans
without
specific
allowances

Total
impaired
loans

Gross
write-
offs
4Q20 (CHF million)   
Financial institutions 36 70 106 91 24 115 0
Commercial 600 509 1,109 1,841 326 2,167 238
Consumer 230 90 320 779 129 908 92
Public authorities 0 3 3 0 10 10 0
Total  866 672 1,538 2,711 489 3,200 330
4Q19 (CHF million)   
Financial institutions 37 25 62 48 0 48 0
Commercial 426 272 698 1,059 335 1,394 213
Consumer 145 46 191 608 81 689 94
Total  608 343 951 1,715 416 2,131 307
14
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
4Q20 (CHF million)   
Loans 1 3,761 413,915 417,676 (1,334) (76) 0 (492) 416,342
Debt securities 75 10,074 10,149 0 0 0 0 10,149
Off-balance sheet exposures 2 396 95,292 95,688 (273) (35) 0 (222) 95,415
Total  4,232 519,281 523,513 (1,607) (111) 0 (714) 521,906
2Q20 (CHF million)   
Loans 1 4,356 407,468 411,824 (1,537) (57) 0 (686) 410,287
Debt securities 71 10,377 10,448 0 0 0 0 10,448
Off-balance sheet exposures 2 204 85,937 86,141 (279) (14) 0 (201) 85,862
Total  4,631 503,782 508,413 (1,816) (71) 0 (887) 506,597
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
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” (pages 283 to 285) and “Note 20 – Financial instruments measured at amortized cost and credit losses” (pages 304 to 316) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the new CECL model under US GAAP, the classification of CECL-related provisions and the credit quality of loans, including past due and impaired loans.
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
2H20
CHF million   
Defaulted exposures at beginning of period  4,631
Exposures that have defaulted since the last reporting period 1,101
Returned to non-defaulted status (433)
Amounts written-off (312)
Other changes (755)
Defaulted exposures at end of period  4,232
15
The following table shows the aging analysis of accounting past-due exposures.
CRB - Aging analysis of accounting past-due exposures 
   Current Past due

end of
Up to
30 days		 31–60
days		 61–90
days		 More than
90 days
Total
Total
4Q20 (CHF million)   
Financial institutions 14,315 42 15 72 46 175 14,490
Commercial 97,161 684 57 148 759 1,648 98,809
Consumer 167,035 275 141 82 635 1,133 168,168
Public authorities 969 37 4 0 0 41 1,010
Gross loans held at amortized cost  279,480 1,038 217 302 1,440 2,997 282,477
Gross loans held at fair value 11,409
Gross loans  293,886
4Q19 (CHF million)   
Financial institutions 15,315 88 1 3 47 139 15,454
Commercial 108,805 642 74 73 728 1,517 110,322
Consumer 157,676 504 83 57 493 1,137 158,813
Public authorities 1,208 26 0 0 0 26 1,234
Gross loans held at amortized cost  283,004 1,260 158 133 1,268 2,819 285,823
Gross loans held at fair value 12,662
Gross loans  298,485
Troubled debt restructurings, also referred to as restructured loans, are considered impaired credit exposures in line with the Group’s policies and subject to individual assessment and provisioning for expected credit losses by the Group’s recovery functions. Restructured loans that defaulted again within 12 months from the last restructuring remain impaired or are impaired if they were considered non-impaired at the time of the subsequent default. As of December 31, 2020, CHF 260 million were reported as restructured loans.
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” (pages 304 to 316) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on restructured exposure.
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.
Netting
> Refer to “Derivative instruments” (pages 170 to 172) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis and to “Note 1 – Summary of significant accounting policies” (pages 281 to 282) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for information on policies and procedures for on- and off-balance sheet netting.
> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” (pages 326 to 329) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the offsetting of derivatives, reverse repurchase and repurchase agreements, and securities lending and borrowing transactions.
Collateral valuation and management
The policies and processes for collateral valuation and management are driven by:
■ a legal document framework that is bilaterally agreed with our clients;
■ a collateral management risk framework enforcing transparency through self-assessment and management reporting; and
■ any prevailing regulatory terms which must be complied with.
For exposures collateralized by financial collateral (e.g. marketable securities), collateral valuations are performed on a daily basis and any requirement for additional collateral (e.g. frequency and process for margin calls) is governed by the legal documentation. The market prices used for daily collateral valuation are a combination of internal pricing sources, as well as market prices sourced from trading platforms and external service providers where appropriate.
For exposures collateralized by non-financial collateral (e.g. real estate, ships, aircraft), valuations are performed at the time of credit approval and periodically thereafter depending on the type of collateral and the loan-to-value (LTV) ratio in accordance with documented internal policies and controls. Valuations are based on a combination of internal and external reference price sources.
16
Primary types of collateral
The primary types of collateral are described below.
Collateral securing foreign exchange transactions and over-the-counter (OTC) trading activities primarily includes:
■ Cash and US Treasury instruments;
■ G-10 government securities; and
■ Other assets that are eligible as per the uncleared margin rules (including supranationals and equities).
Collateral securing loan transactions primarily includes:
■ Financial collateral pledged against loans collateralized by securities of clients of the private, corporate and institutional banking businesses (primarily cash, marketable securities and unlisted securities);
■ Real estate property for mortgages, mainly residential, but also multi-family buildings, offices and commercial properties; and
■ Other types of lending collateral, such as accounts receivable, inventory, plant and equipment.
Concentrations within risk mitigation
Credit Suisse, primarily through its Global Markets division, is an active participant in the credit derivatives market and trades with a variety of market participants, principally commercial and investment banks. Credit derivatives are primarily used to mitigate investment grade credit exposures. Where required or practicable, these trades are cleared through central counterparties (CCP), reducing the potential risk against individual CRM providers.
As a result of a strong domestic franchise, Credit Suisse has a significant volume of residential mortgage lending in Switzerland and a resultant concentration of residential real estate collateral. Credit Suisse has clear underwriting standards with regard to mortgage lending and ensures that the composition of the real estate portfolio is subject to ongoing monitoring, periodic revaluation, and assessment of the geographical and borrower composition of the portfolio.
Credit Suisse provides loan facilities to private clients against financial collateral such as cash and marketable securities (e.g. equities, bonds, or funds). The financial collateral portfolio within risk mitigation is generally diversified and the portfolio is subject to ongoing monitoring and reporting to identify any concentrations, which may result in lower LTV ratios or other mitigating actions.
> Refer to “Credit risk” (pages 165 to 174) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis in the Credit Suisse Annual Report 2020 for further information on credit derivatives, including a breakdown by rating class.
CRM techniques – overview
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
4Q20 (CHF million)      
Loans 1 184,053 232,289 416,342 191,146 8,170 66
Debt securities 9,854 295 10,149 225 44 0
Total  193,907 232,584 426,491 191,371 8,214 66
   of which defaulted  1,137 1,934 3,071 1,645 135 0
2Q20 (CHF million)   
Loans 1 176,736 233,551 410,287 191,131 8,098 28
Debt securities 10,033 415 10,448 329 47 0
Total  186,769 233,966 420,735 191,460 8,145 28
   of which defaulted  1,090 2,759 3,849 2,429 142 0
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
17
Credit risk under the standardized approach
General
Under the standardized approach, risk weights are determined either according to credit ratings provided by recognized external credit assessment institutions (ECAI) or, for unrated exposures, by using the applicable regulatory risk weights.
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
4Q20 (CHF million)   
Sovereigns 84,804 54 84,858 84,804 14 84,818 164 0%
Institutions - Banks and securities dealer 2,258 728 2,986 2,258 358 2,616 892 34%
Institutions - Other institutions 593 2,242 2,835 592 287 879 604 69%
Corporates 9,238 8,662 17,900 8,225 2,297 10,522 9,100 87%
Retail 1,802 1,465 3,267 1,516 301 1,817 1,508 83%
Other exposures 16,417 1,190 17,607 16,159 1,148 17,307 13,969 81%
   of which non-counterparty related assets  7,300 0 7,300 7,300 0 7,300 7,300 100%
Total  115,112 14,341 129,453 113,554 4,405 117,959 26,237 22%
2Q20 (CHF million)   
Sovereigns 94,724 47 94,771 94,525 6 94,531 233 0%
Institutions - Banks and securities dealer 2,784 747 3,531 2,689 370 3,059 954 31%
Institutions - Other institutions 488 2,037 2,525 488 151 639 439 69%
Corporates 9,963 7,938 17,901 9,146 2,057 11,203 9,403 84%
Retail 1,874 1,581 3,455 1,573 461 2,034 1,714 84%
Other exposures 16,155 1,149 17,304 15,968 1,117 17,085 14,644 86%
   of which non-counterparty related assets  7,575 0 7,575 7,575 0 7,575 7,575 100%
Total  125,988 13,499 139,487 124,389 4,162 128,551 27,387 21%
Exposures by asset class and risk weight
The following table presents the breakdown of credit exposures by asset class and risk weight, which correspond to the riskiness attributed to the exposure according to the standardized approach.
18
CR5 – Exposures by asset class and risk weight
   Risk weight

end of

0%

20%

35%

50%

75%

100%

150%

Others		 Exposures
post-CCF
and CRM
4Q20 (CHF million)   
Sovereigns 84,560 34 0 133 0 91 0 0 84,818
Institutions - Banks and securities dealer 0 1,817 0 601 0 136 62 0 2,616
Institutions - Other institutions 0 0 0 551 0 328 0 0 879
Corporates 0 1,066 26 1,298 1 7,937 194 0 10,522
Retail 0 0 136 0 884 797 0 0 1,817
Other exposures 3,435 0 0 0 0 13,864 0 8 17,307
   of which non-counterparty related assets  0 0 0 0 0 7,300 0 0 7,300
Total  87,995 2,917 162 2,583 885 23,153 256 8 117,959
   of which secured by real estate  0 0 164 0 0 0 0 0 164
   of which past due  0 0 0 0 0 270 87 0 357
2Q20 (CHF million)   
Sovereigns 94,199 25 0 183 0 98 26 0 94,531
Institutions - Banks and securities dealer 0 2,202 0 691 0 162 4 0 3,059
Institutions - Other institutions 0 0 0 400 0 239 0 0 639
Corporates 0 1,144 23 1,934 1 7,907 194 0 11,203
Retail 0 0 161 0 860 1,013 0 0 2,034
Other exposures 2,544 0 0 0 0 14,532 0 9 17,085
   of which non-counterparty related assets  0 0 0 0 0 7,575 0 0 7,575
Total  96,743 3,371 184 3,208 861 23,951 224 9 128,551
   of which secured by real estate  0 0 184 0 0 0 0 0 184
   of which past due  0 0 0 0 0 372 133 0 505
Comparison of the standardized and internal model approaches
Background
We have regulatory approval to use a number of internal models for calculating our Pillar 1 capital charge for credit risk (default risk). These include the advanced-internal ratings-based (A-IRB) approach for risk weights, Internal Models Method (IMM) for derivatives credit exposure, and repo VaR for securities financing transactions (SFT). These modelled based approaches are used for the vast majority of credit risk exposures, with the standardized approaches used for only a relatively small proportion of credit exposures.
Regulators and investors are interested in the differences between capital requirements under modelled and standardized approaches. This is due, in part, to ongoing and future regulatory changes by the BCBS, such as the new standardized approaches for counterparty credit risk (SA-CCR) and credit risk as well as the future restrictions on the use of internal models for certain portfolios. As such, FINMA requires us to disclose information on differences between credit risk RWA computed under internal modelled approaches, and current standardized approaches. FINMA also requires us to disclose the differences between the EAD based on internal modelled approaches and the EAD used in the leverage ratio.
Key methodological differences
The differences between credit risk RWA calculated under the internal modelled approaches and the standardized approaches are driven by the risk weights applied to counterparties and the calculations used for measuring EAD.
Risk weights: Under the A-IRB approach, the maturity of a transaction, and internal estimates of the PD and downturn LGD are used as inputs to the Basel risk-weight formula for calculating RWA. In the standardized approach, risk weights are less granular and are driven by ratings provided by ECAI.
EAD calculations: Under the IMM and repo VaR methods, counterparty exposure is computed using monte-carlo simulation models or VaR models. These models allow for the recognition of netting impacts at exposure and collateral levels for each counterparty portfolio. The standardized approach is based on market values at the balance sheet date plus conservative add-ons to account for potential market movements. This approach gives very limited recognition to netting benefits and portfolio effects.
19
The following table provides a summary of the key conceptual differences between the internal models approach and the current standardized approach.
Key differences between the standardized approach and the internal model approach
Standardized approach Internal model approach Key impact
EAD for
derivatives   		 Current Exposure Method is simplistic
(market value and add-on):
replaced with SA-CCR in 2020.		 Internal Models Method (IMM)
allows Monte-Carlo simulation to
estimate exposure.		 For large diversified derivatives portfolios,
standardized EAD is higher than model EAD.
No differentiation between margined and
unmargined transactions.		 Ability to net and offset risk factors within the
portfolio (i.e. diversification).		 Impact applies across all asset classes.
Differentiates add-ons by five exposure
types and three maturity buckets only.		 Application of multiplier on IMM exposure
estimate.
Limited ability to net.
 Variability in holding period applied to collateralized
transactions, reflecting liquidity risks.
Risk
weighting   		 Reliance on ECAIs: where no rating is
available a 100% risk weight is applied (i.e. for
most small and medium-size enterprises and funds).		 Reliance on internal ratings where each
counterparty/transaction receives a rating.
 Model approach produces lower RWA
for high-quality short-term transactions.
Crude risk weight differentiation with 4 key weights:
20%, 50%, 100%, 150% (and 0% for AAA
sovereigns; 35%, 75% or 100% for mortgages;
75% or 100% for retail).		 Granular risk sensitive risk weights differentiation
via individual PDs and LGDs.

 Standardized approach produces lower RWA
for non-investment grade and long-term
transactions.
No differentiation for transaction features.
 LGD captures transaction quality features
incl. collateralization.		 Impact relevant across all asset classes.
Application of a 1.06 scaling factor.
Risk
mitigation   		 Limited recognition of risk mitigation.

 Risk mitigation recognized via
risk sensitive LGD or EAD.
 Standardized approach RWA
higher than model approach RWA
for most collaterals.
Restricted list of eligible collateral.
 Wider variety of collateral types eligible.
 Impact particularly relevant for lombard
lending and SFTs.
Conservative and crude regulatory haircuts.


 Repo VaR allows use of VaR models to
estimate exposure and collateral for SFTs.
Approach permits full diversification
and netting across all collateral types.


Maturity
in risk
weight   		 No differentiation for maturity of transactions,
except for interbank exposures in a coarse
manner.		 No internal modelling of maturity.

 Model approach produces lower RWA
for high-quality short-term transactions.



Regulatory RWA function considers
maturity: the longer the maturity
the higher the risk weight
(see chart "Risk weight by maturity").


The following chart shows standardized risk weights, and model based (A-IRB) risk weights for loans of varying maturity. The graphs are plotted for a AA-rated corporate senior unsecured loan with a LGD of 45% (consistent with Foundation-IRB, F-IRB), and a AA-rated corporate senior secured loan with a LGD of 36%. The graphs show that standardized risk weights are not sensitive to maturity, whereas A-IRB risk weights are sensitive to maturity. In particular, under A-IRB, lower maturity loans receive lower risk weights reflecting an increased likelihood of repayment for loans with a shorter maturity.
20
Key methodological differences between internally modelled EAD and EAD used in leverage ratio
The exposure measure used in the leverage ratio also differs from the exposure measure used in the internal modelled approach. The main methodological difference is that leverage ratio exposure estimates do not take into account physical or financial collateral, guarantees or other CRM techniques to reduce the credit risk. Leverage ratio exposures also do not fully reflect netting and portfolio diversification. As a result, leverage ratio exposures are typically larger than model based exposures.
The following table shows the internal model-based EAD, along with average risk weight, compared to an estimate of the exposure measure used in the leverage ratio calculation. Estimates are provided at Basel asset class level. As expected, leverage exposure measures exceed internal model-based EAD for banks and corporates where the impacts of netting, diversification and CRM are large.
Leverage exposure estimate
   Internal model approach

EAD		 Risk
weight		 Leverage
exposures		 1
Basel asset class (CHF billion, except where indicated)   
Corporates 172 53% 320
Banks 30 29% 59
Sovereigns 51 7% 26
Retail 198 16% 200
1
The leverage exposure estimates only consider those exposures which are comparable to the credit risk RWA calculation under internal model approach and hence excludes exposures such as trading book, securitization and non-credit exposures. Asset class leverage ratio based exposures are approximate and provided on a best efforts basis.
It should be noted that credit risk capital requirements based on the internal model based approach are not directly comparable to capital requirements under the leverage ratio. The reason for this is that the 3% leverage ratio capital requirement can be met with total tier 1 capital, including capital for market risk and operational risk.
Risk-weighted assets under the standardized and internal model approaches
Credit risk RWA computed under the standardized approach are higher than those based on the internal models for which we have received regulatory approval. Higher risk-weights under the standardized approach rules are a material driver of the higher RWA for all Basel asset classes. The standardized exposure calculations also lead to some higher RWA, with the corporate and bank asset classes being most significantly affected.
Corporate asset class
The table “Leverage exposure estimate” shows that the EAD for corporates computed under the internal model approach is CHF 172 billion. The EAD for corporates under the standardized approach is significantly higher. This difference is driven mainly by the standardized exposure calculations for OTC derivatives and secured financing transactions. For these products, exposures calculated under the standardized approach are higher than the model based exposures because the standardized approach does not fully recognize the benefits of netting, portfolio diversification and collateral. The exposure calculated under the leverage ratio is higher than the EAD computed using internal models. This is because CRM, netting and portfolio diversification are not reflected in the leverage ratio exposure calculation.
Another significant driver of the increase in credit risk RWA under the standardized approach is higher risk weights. The exposure weighted-average risk weight under the internal model approach is 49%. This is significantly lower than the risk weights assigned to corporates under the standardized approach.
The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. For counterparties in the AAA to BB+ range (based on external ratings), higher risk weights (20%, 50% and 100%) are assigned under the standardized approach than under the A-IRB approach. For the corporate asset class, approximately three-quarters of the Group’s exposures are in this range (based on internal ratings), and this is a key driver for the higher RWA under the standardized approach. The different treatments of loan maturity in the model based approach and standardized approach are not a material cause of RWA differences.
The Group’s exposure weighted-average maturity of its corporate portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model-based risk weight curve than shown in the graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.
21
An additional driver of higher risk weights within the corporate asset class are counterparties without an external rating. Under the standardized approach, counterparties without an external rating receive a fixed risk weight of 100%. This applies to a large proportion of the Group’s exposures, among them non-banking financial institutions and specialized lending. This fixed standardized risk weight is typically higher than the model based risk weight with for example, the average model based risk weight of specialized lending being approximately 45%.
> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the corporate asset class.
Bank asset class
The table “Leverage exposure estimate” shows that the EAD for banks under the internal model approach is CHF 30 billion. The EAD for banks calculated under the standardized approach is significantly higher. This is driven predominantly by the exposure calculations for both OTC derivatives and secured financing transactions and, to a lesser extent, the exposure calculations for listed and centrally cleared derivatives. For these products, exposures calculated under the standardized approach are much higher than the model based exposures because the standardized approach does not fully recognize the benefits of netting, portfolio diversification and collateral. The exposures calculated under the leverage ratio are significantly higher than the EAD computed using internal models. This is because CRM, netting and portfolio diversification are not reflected in the leverage ratio exposure calculation.
In addition, there is a significant increase in credit risk RWA under the standardized approach due to higher credit risk-weights. The exposure weighted-average risk-weight under the internal model approach is 27%. This is significantly lower than the risk weights assigned to banks under the standardized approach where a significant amount of the Group’s exposures would attract a risk weight of 50%.
The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. The graph shows that counterparties in the AAA to BBB+ range (based on external ratings) attract higher risk weights (20% and 50%) under the standardized approach than under the A-IRB approach. In excess of three-quarters of the Group’s exposures fall in this range (based on internal ratings) and this leads to higher RWA under the standardized approach for these counterparties. The different treatments of loan maturity in the model based approach and standardized approach are not a material cause of RWA differences.
> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the bank asset class.
The Group’s exposure weighted-average maturity of its bank portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model based risk weight curve than shown in the graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.
Sovereign asset class
The table “Leverage exposure estimate” shows that the EAD for sovereigns under the internal model approach is CHF 51 billion. This is comparable to the EAD calculated under the standardized approach and the leverage ratio exposure. This is because the majority of the sovereign exposure is in the form of uncollateralized loans, i.e. there are no material differences in the exposure calculation.
The impact of employing standardized credit risk weights to the sovereign portfolio is an overall increase in credit risk RWA. The exposure weighted-average risk weight under the internal model approach is less than 4%. This is lower than the risk weights assigned to counterparties under the standardized approach.
The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. The graph shows that counterparties in the AAA to A range (based on external ratings) would attract lower risk weights (0% and 20%) under the standardized approach than under the A-IRB approach. The majority of the Group’s exposures have extremely low risk-weights under the A-IRB approach and would attract risk weights of 0% under the standardized approach. The remaining exposures would receive higher risk weights under the standardized approach (20%, 50% or 100%) than under the A-IRB approach. Overall, this would lead to higher RWA under the standardized approach. The different treatments of loan maturity in the model based approach and standardized approach are not a material cause of RWA differences.
> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the sovereign asset class.
22
The Group’s exposure weighted-average maturity of its sovereign portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model-based risk weight curve than shown in the following graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.
Retail asset class
The EAD of the retail asset class under the internal model approach is CHF 198 billion, which is comparable to the EAD calculated under the standardized approach and the leverage ratio. This is because the majority of retail exposure is on-balance sheet exposure.
The application of the standardized approach would lead to higher credit risk RWA. The exposure weighted-average risk weight is 16% using internal model approach. This is lower than the risk weights assigned to counterparties under the standardized approach. The maturity of the loan has no impact on the modelled risk weights in the retail asset class.
The retail portfolio consists mainly of residential mortgage loans, lombard lending and other retail exposures, and further analysis for each of these portfolios is provided below:
Residential mortgages: Under the standardized approach, fixed risk weights are applied depending on the LTV, i.e. risk weight of 100% for LTV > 80%, risk weight of 75% for 80% > LTV > 67% and risk weight of 35% for LTV < 67%. The internal model-based approach however takes into account borrowers’ ability to service debt more accurately, including mortgage affordability and calibration to large amounts of historic data. The Group’s residential mortgage portfolio is focused on the Swiss market and the Group has robust review processes over borrowers’ ability to repay. This results in the Group’s residential mortgage portfolio having a low average LTV and results in an average risk weight of 17% under the A-IRB approach.
Lombard lending: For lombard lending, the average risk weight using internal models is 12%. RWA under the standardized approach would be higher for these exposures.
Other retail exposures: Other retail exposures are risk-weighted at 75% or 100% under the standardized approach. This yields higher RWA compared to the A-IRB approach where the average risk-weight is 38%.
Conclusion
Overall, the Group’s credit risk RWA would be significantly higher under the standardized approach than under the internal model based approach. For most Basel asset classes, this is due to standardized risk weights being much higher than the IRB risk weights for high quality investment grade lending, which is where the majority of the Group’s exposures are. For certain asset classes, standardized exposure calculations also lead to significantly higher RWA. This is where the standardized exposure methods give limited recognition to economic offsetting and diversification for derivatives and SFTs at a portfolio level.
The credit risk RWA under the standardized approaches described above is not reflective of the capital charges under the new standardized approach for credit risk on which the BCBS published new rules in December 2017. This new standardized approach for credit risk is more risk sensitive and employs a different approach for incorporating external ratings. This regulatory change could potentially lead to very different results to the ones described above.
The credit risk RWA computed under the internal model-based approach provide a more risk-sensitive indication of the credit risk capital requirements and are more reflective of the economic risk of the Group. The use of models produces a strong link between capital requirements and business drivers, and promotes a proactive risk culture at the origination of a transaction and strong capital consciousness within the organization. A rigorous monitoring and control framework also ensures compliance with internal as well as regulatory standards.
23
Credit risk under internal ratings-based approaches
General
Under the IRB approach, risk weights are determined by using internal risk parameters and applying an asset value correlation multiplier uplift where exposures are to financial institutions meeting regulatory defined criteria. We have received approval from FINMA to use, and have fully implemented, the A-IRB approach whereby we provide our own estimates for PD, LGD and EAD.
PD parameters capture the risk of a counterparty defaulting over a one-year time horizon. PD estimates are mainly derived from models tailored to the specific business of the respective obligor. The models are calibrated to the long run average of annual internal or external default rates where applicable. For portfolios with a small number of empirical defaults, low default portfolio techniques are used.
LGD parameters consider seniority, collateral, counterparty industry and in certain cases fair value markdowns. LGD estimates are mainly based on an empirical analysis of historical loss rates. To reflect time value of money, recovered amounts on defaulted obligations are discounted to the time of default and to account for potential adverse outcomes in a downturn environment, final parameters are chosen such as they reflect periods where economic downturns have been observed and/or where increased losses manifested. For portfolios with limited empirical data available conservative values are chosen based on proxy analysis and expert judgement. For much of the private, corporate and institutional banking businesses loan portfolio, the LGD is primarily dependent upon the type and amount of collateral pledged. The credit approval and collateral monitoring processes are based on LTV limits. For mortgages (residential or commercial), recovery rates are differentiated by type of property.
EAD for a non-defaulted facility is an estimate of the expected exposure upon default of the obligor. Estimates are derived based on a CCF approach using default-weighted averages of historical realized conversion factors on defaulted loans by facility type. Estimates are calibrated to capture negative operating environment effects. To comply with regulatory guidance in deriving individual observed CCF values as basis for the estimation are floored at zero, i.e. it is assumed that drawn exposure can never become lower in the run to default.
> Refer to “Credit risk” (pages 150 to 153) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on PD and LGD.
Risk weights are calculated using either the PD/LGD approach or the supervisory risk weights approach for certain types of specialized lending.
Reporting related to credit risk models
> Refer to “Model validation” (pages 25 to 26), “Use of internal ratings” (page 27) and “Credit Risk Review” (page 27) for further information on the scope and main content of the reporting related to credit risk models.
Rating models
The majority of the credit rating models used in Credit Suisse are developed internally by Core Credit Models, a specialized unit within the Quantitative Analysis and Technology area in the risk organization. These models are independently validated by Model Risk Management team prior to use in the Basel III regulatory capital calculation, and thereafter on a regular basis. Credit Suisse also uses models purchased from recognized data and model providers (e.g. credit rating agencies). These models are owned by Core Credit Models and are validated internally following the same governance process as models developed internally.
All new or material changes to rating models are subject to a robust governance process. Post development and validation of a rating model or model change, the model is taken through a number of committees where model developers, validators and users of the models discuss the technical and regulatory aspects of the model. The relevant committees opine on the information provided and decide to either approve or reject the model or model change. The ultimate decision making committee is the Risk Processes & Standards Committee (RPSC). The responsible Executive Board Member for the RPSC is the Chief Risk and Compliance Officer (CRCO). The RPSC sub-group responsible for credit risk models is the Model Approval and Controls Committee (MACC). MACC also reviews and monitors the continued use of existing models on an annual basis.
The following table provides an overview of the main PD and LGD models used by Credit Suisse. It reflects the portfolio segmentation from a credit risk model point of view, showing the RWA, type and number of the most significant models, and the loss period available for model development by portfolio. As the table follows an internal risk segmentation and captures the most significant models only, these figures do not match regulatory asset class or other A-IRB based segmentation.
Some of the portfolios shown in the table sum up multiple rating models. The distinction criteria determining which model applies, differs from portfolio to portfolio. Corporates, banks and non-banking financial institutions are split by turnover and geography. For funds, the distinction criteria is the different form of funds e.g. mutual-, hedge-funds etc., whereas for income producing real estate (IPRE), it is corporate vs. private counterparties.
24
CRE - Main PD and LGD models used by Credit Suisse
   PD    LGD   

Portfolio

Asset class		 RWA (in
CHF billion)
as of 3Q20		 Number
of years
loss data
No. of
models

Model comment
No. of
models

Model comment
Statistical and hybrid models using e.g. industry and counterparty segmentation, collateral types and amounts, seniority and other transaction specific factors with granularity enhancements by public research and expert judgement
Corporates Corporates, retail 54 >15 years 2 Statistical scorecards using e.g. balance sheet, P&L data and qualitative factors 3
Banks and other financial institutions Banks, corporates 10 >30 years 5 Statistical scorecard and constrained expert judgement using e.g. balance sheet, P&L data and qualitative factors
Funds Corporates

 12

 >10 years

 4

 Statistical scorecards using e.g. net
asset value, volatility of returns and
qualitative factors

Statistical model using e.g. counterparty segmentation, collateral types and amounts
Residential mortgages Retail 13 >15 years 1 Statistical scorecard using e.g. LTV, affordability, assets and qualitative factors 1
Income producing real estate Specialized lending, retail 19 >15 years 2 Statistical scorecards using e.g. LTV, debt service coverage and qualitative factors
Commodity
traders		 Corporates,
specialized lending
 2

 >15 years

 1

 Statistical scorecard using e.g.
volume, liquidity and duration of
financed commodity transactions

Sovereign Sovereign,
corporates

 2


 >15 years


 1


 Statistical scorecards using e.g.
GDP, financials and qualitative
factors
 1


 Statistical models using e.g. industry
and counterparty segmentation,
seniority and other transaction
specific factors
Ship
finance		 Specialized
lending

 3


 >15 years


 1


 Statistical scorecard using e.g.
freight rates, ship market values,
operational expenses and group
information		 1


 Statistical model using e.g. LTV
and counterparty attributes
Lombard,
Securities
Borrowing &
Lending		 Retail,
corporates

 12


 >15 years


 1


 Merton type model using e.g.
LTV, collateral volatility and
counterparty attributes
 1


 Merton type model using e.g.
LTV, collateral volatility and
counterparty attributes
Model development
The techniques to develop models are carefully selected by Core Credit Models to meet industry standards in the banking industry as well as regulatory requirements. The models are developed to exhibit “through-the-cycle” characteristics, reflecting a PD in a 12 month period across the credit cycle.
All models have clearly defined model owners who have primary responsibility for development, enhancement, review, maintenance and documentation. The models have to pass statistical performance tests, where feasible, followed by usability tests by designated Credit Risk Management experts to proceed to formal approval and implementation. The development process of a new model is thoroughly documented and foresees a separate schedule for model updates.
The level of calibration of the models is based on a range of inputs, including internal and external benchmarks where available. Additionally, the calibration process ensures that the estimated calibration level accounts for variations of default rates through the economic cycle and that the underlying data contains a representative mix of economic states. Conservatism is incorporated in the model development process to compensate for any known or suspected limitations and uncertainties.
Model validation
Model validation for risk capital models is performed by the Model Risk Management function. Model governance is subject to clear and objective internal standards as outlined in the Model Risk Management policy and the Model Validation Policy. The governance framework ensures a consistent and meaningful approach for the validation of models in scope across the bank. All models whose outputs fall into the scope of the Basel internal model framework are subject to full independent validation. Externally developed models are subject to the same governance and validation standards as internal models.
The governance process requires each in scope model to be validated and approved before go-live; the same process is followed for material changes to an existing model. Existing models are subject to an ongoing governance process which requires each model to be periodically validated and the performance to be monitored annually. The validation process is a comprehensive quantitative and qualitative assessment with goals that include:
■ to confirm that the model remains conceptually sound and the model design is suitable for its intended purpose;
■ to verify that the assumptions are still valid and weaknesses and limitations are known and mitigated;
■ to determine that the model outputs are accurate compared to realized outcome;
■ to establish whether the model is accepted by the users and used as intended with appropriate data governance;
25
■ to check whether a model is implemented correctly;
■ to ensure that the model is fully transparent and sufficiently documented.
To meet these goals, models are validated against a series of quantitative and qualitative criteria. Quantitative analyses may include a review of model performance (comparison of model output against realized outcome), calibration accuracy against the longest time series available, assessment of a model’s ability to rank order risk and performance against available benchmarks. Qualitative assessment typically includes a review of the appropriateness of the key model assumptions, the identification of the model limitations and their mitigation, and ensuring appropriate model use. The modeling approach is re-assessed in light of developments in the academic literature and industry practice.
Results and conclusions are presented to senior risk management and relevant committees; shortcomings and required improvements identified during validation must be remediated within an agreed deadline. The Model Risk Management function is independent of model developers and users and has the final say on the content of each validation report.
Model governance at Credit Suisse follows the “three lines of defense” principle. Model developers and owners provide the first line of defense, Model Risk Management the second line, and Internal Audit the third line of defense. Organization independence ensures that these functions are able to provide appropriate oversight. For Credit Risk models, the development and validation functions are independent up to the CRCO (Executive Board level). Internal Audit has fully independent reporting into the Chair of the Board of Directors Audit Committee.
Stress testing of parameters
The potential biases in PD estimates in unusual market conditions are accounted for by the use of long run average estimates. For specific models, Credit Suisse additionally uses stress-testing when back-testing PD models. When predefined thresholds are breached during back-testing, a review of the calibration level is undertaken. For LGD/CCF calibration stress testing can be applied in defining Downturn LGD/CCF values, reflecting potentially increased losses during stressed periods.
Descriptions of the rating processes
All counterparties that Credit Suisse is exposed to are assigned an internal credit rating. The rating is assigned at the time of initial credit approval and subsequently reviewed and updated regularly. Where available, Credit Risk Management employs rating models relative to the counterparty type that incorporate qualitative and quantitative factors. Expert judgement may further be applied through a well governed model override process in the assignment of a credit rating or PD, which measures the counterparty’s risk of default over a one-year period.
Corporates (excluding corporates managed on the Swiss platform), banks and sovereigns (primarily in the investment banking businesses)
Where used, rating models are an integral part of the rating process. To ensure all relevant information is considered when rating a counterparty, experienced credit officers complement the outputs from the models with other relevant information not otherwise captured via a robust model-override framework. Other relevant information may include, but is not limited to peer analysis, industry comparisons, external ratings and research and the judgment of credit experts. This analysis emphasizes a forward looking approach, concentrating on economic trends and financial fundamentals.
For structured and asset finance deals, the approach is more quantitative. The focus is on the performance of the underlying assets, which represent the collateral of the deal. The ultimate rating is dependent upon the expected performance of the underlying assets and the level of credit enhancement of the specific transaction. Additionally, a review of the originator and/or servicer is performed. External ratings and research (rating agency and/or fixed income and equity), where available, are incorporated into the rating justification, as is any available market information (e.g., bond spreads, equity performance).
Transaction ratings are based on the analysis and evaluation of both quantitative and qualitative factors. The specific factors analyzed include seniority, industry and collateral.
Corporates managed on the Swiss platform, mortgages and other retail (primarily in the private, corporate and institutional banking businesses)
For corporates managed on the Swiss platform and mortgage lending, the PD is calculated directly by proprietary statistical rating models, which are based on internally compiled data comprising both quantitative factors (primarily LTV ratio and the borrower’s income level for mortgage lending and balance sheet information for corporates) and qualitative factors (e.g., credit histories from credit reporting bureaus, management quality). In this case, an equivalent rating is assigned for reporting purposes, based on the PD band associated with each rating. Collateral loans (margin lending), which form the largest part of “Other retail”, is also following an individual PD and LGD approach. This approach is already rolled out for loans booked on the Swiss platform and for the majority of international locations; the remaining international locations follow a pool PD and pool LGD approach. Both approaches are calibrated to historical loss experience. Most of the collateral loans are loans collateralized by securities.
The internal rating grades are mapped to the Credit Suisse Internal Masterscale. The PDs assigned to each rating grade are reflected in the following table.
26
CRE - Credit Suisse counterparty ratings
Ratings PD bands (%)1 Definition S&P Fitch Moody's Details
AAA 0.000 - 0.021
 Substantially
risk free		 AAA
 AAA
 Aaa
 Extremely low risk, very high long-term
stability, still solvent under extreme conditions
AA+
AA
AA-		 0.021 - 0.027
0.027 - 0.034
0.034 - 0.044		 Minimal risk

 AA+
AA
AA-		 AA+
AA
AA-		 Aa1
Aa2
Aa3		 Very low risk, long-term stability, repayment
sources sufficient under lasting adverse
conditions, extremely high medium-term stability
A+
A
A-		 0.044 - 0.056
0.056 - 0.068
0.068 - 0.097
 Modest risk


 A+
A
A-
 A+
A
A-
 A1
A2
A3
 Low risk, short- and mid-term stability, small adverse
developments can be absorbed long term, short- and
mid-term solvency preserved in the event of serious
difficulties
BBB+
BBB
BBB-		 0.097 - 0.167
0.167 - 0.285
0.285 - 0.487		 Average risk

 BBB+
BBB
BBB-		 BBB+
BBB
BBB-		 Baa1
Baa2
Baa3		 Medium to low risk, high short-term stability, adequate
substance for medium-term survival, very stable short
term
BB+
BB
BB-		 0.487 - 0.839
0.839 - 1.442
1.442 - 2.478
 Acceptable risk


 BB+
BB
BB-
 BB+
BB
BB-
 Ba1
Ba2
Ba3
 Medium risk, only short-term stability, only capable of
absorbing minor adverse developments in the medium term,
stable in the short term, no increased credit risks expected
within the year
B+
B
B-		 2.478 - 4.259
4.259 - 7.311
7.311 - 12.550		 High risk

 B+
B
B-		 B+
B
B-		 B1
B2
B3		 Increasing risk, limited capability to absorb
further unexpected negative developments
CCC+
CCC
CCC-
CC		 12.550 - 21.543
21.543 - 100.00
21.543 - 100.00
21.543 - 100.00		 Very high
risk

 CCC+
CCC
CCC-
CC		 CCC+
CCC
CCC-
CC		 Caa1
Caa2
Caa3
Ca		 High risk, very limited capability to absorb
further unexpected negative developments
C
D1
D2		 100
Risk of default
has materialized
 Imminent or
actual loss

 C
D

 C
D

 C


 Substantial credit risk has materialized, i.e. counterparty
is distressed and/or non-performing. Adequate specific
provisions must be made as further adverse developments
will result directly in credit losses.
Transactions rated C are potential problem loans; those rated D1 are non-performing assets and those rated D2 are non-interest earning.
1
For Ratings AAA to CCC+, the PD bands are exclusive of the left-hand side and inclusive of the right-hand side PD band boundary. For Ratings CCC to CC, the PD bands are exclusive of the left-hand and exclusive of the right-hand side. For Rating C, the PD equals 100%.
Use of internal ratings
Internal ratings play an essential role in the decision-making and the credit approval processes. The portfolio credit quality is set in terms of the proportion of investment and non-investment grade exposures. Investment/non-investment grade is determined by the internal rating assigned to a counterparty.
Internal counterparty ratings (and associated PDs), transaction ratings (and associated LGDs) and CCF for loan commitments are inputs to RWA and ERC calculations. Model outputs are the basis for risk-adjusted-pricing or assignment of credit competency levels.
The internal ratings are also integrated into the risk management reporting infrastructure and are reviewed in senior risk management committees. These committees include the RPSC and the Capital Allocation & Risk Management Committee (CARMC).
Credit Risk Review
Governance and supervisory checks within credit risk management are supplemented by the credit risk review function. The credit risk review function is independent from credit risk management with a direct functional reporting line to the Risk Committee Chair, administratively reporting to the Group CRCO. Credit risk review’s primary responsibility is to provide timely and independent assessments of the Group’s credit exposures and credit risk management processes and practices. Any findings and agreed actions are reported to senior management and, as necessary, to the Risk Committee.
EAD covered by the various approaches
The following table shows the part of EAD covered by the standardized and the A-IRB approach for each of the asset classes. The F-IRB approach is currently not applied.
CRE - EAD covered by the various approaches

end of 4Q20		 Standardized
approach		 A-IRB
approach
EAD (in %)   
Sovereigns 64 36
Institutions - Banks and securities dealer 15 85
Institutions - Other institutions 56 44
Corporates 8 92
Residential mortgages 0 100
Retail 2 98
Other exposures 100 0
Total  24 76
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Credit risk exposures by portfolio and PD range
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 (continued)

end of 4Q20		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 46,913 43 46,956 100% 47,395 0.02% < 0.1 4% 1.2 790 2% 1 –
0.15% to <0.25% 0 0 0 0% – 0.22% < 0.1 56% 2.5 0 63% 0 –
0.25% to <0.50% 119 19 138 100% 127 0.37% < 0.1 52% 2.4 94 74% 0 –
0.50% to <0.75% 23 0 23 0% 23 0.64% < 0.1 58% 2.9 26 113% 0 –
0.75% to <2.50% 91 3 94 45% 92 1.18% < 0.1 45% 2.8 98 106% 0 –
2.50% to <10.00% 342 0 342 50% 176 6.45% < 0.1 47% 2.4 333 189% 6 –
10.00% to <100.00% 200 0 200 0% 29 28.23% < 0.1 61% 4.0 108 375% 5 –
100.00% (Default) 383 0 383 0% 180 100.00% < 0.1 57% 1.5 190 106% 105 –
Sub-total  48,071 65 48,136 98% 48,022 0.44% 0.1 4% 1.2 1,639 3% 117 105
Institutions - Banks and securities dealer   
0.00% to <0.15% 10,208 1,533 11,741 58% 12,416 0.06% 1.6 54% 0.6 1,889 15% 4 –
0.15% to <0.25% 419 217 636 48% 507 0.22% 0.1 54% 1.2 258 51% 1 –
0.25% to <0.50% 787 306 1,093 55% 702 0.37% 0.2 52% 0.6 429 61% 1 –
0.50% to <0.75% 69 85 154 45% 113 0.61% 0.1 24% 0.6 44 39% 0 –
0.75% to <2.50% 369 92 461 46% 359 1.31% 0.1 52% 0.7 392 109% 2 –
2.50% to <10.00% 576 194 770 40% 542 5.16% 0.2 57% 1.2 1,045 193% 16 –
10.00% to <100.00% 1 0 1 50% 1 17.18% < 0.1 53% 0.2 2 254% 0 –
100.00% (Default) 7 0 7 0% 7 100.00% < 0.1 51% 2.5 7 106% 0 –
Sub-total  12,436 2,427 14,863 54% 14,647 0.35% 2.3 54% 0.6 4,066 28% 24 0
Institutions - Other institutions   
0.00% to <0.15% 213 1,420 1,633 11% 444 0.04% 0.4 41% 3.4 98 22% 0 –
0.15% to <0.25% 2 60 62 3% 4 0.20% < 0.1 35% 1.1 1 25% 0 –
0.25% to <0.50% 12 1 13 45% 13 0.37% < 0.1 58% 2.4 10 81% 0 –
2.50% to <10.00% 51 396 447 45% 230 4.77% < 0.1 5% 4.0 43 19% 1 –
Sub-total  278 1,877 2,155 18% 691 1.63% 0.5 29% 3.6 152 22% 1 0
Corporates - Specialized lending   
0.00% to <0.15% 7,076 1,983 9,059 43% 7,924 0.06% 0.8 29% 2.3 1,741 22% 1 –
0.15% to <0.25% 4,280 1,572 5,852 34% 4,814 0.20% 0.7 30% 2.3 1,975 41% 3 –
0.25% to <0.50% 2,335 847 3,182 40% 2,675 0.37% 0.5 33% 1.7 1,542 58% 3 –
0.50% to <0.75% 2,820 2,122 4,942 30% 3,449 0.58% 0.3 28% 1.4 1,585 46% 6 –
0.75% to <2.50% 7,942 2,972 10,914 40% 9,133 1.50% 0.7 18% 2.8 4,498 49% 24 –
2.50% to <10.00% 2,330 30 2,360 52% 2,345 4.43% 0.2 14% 3.2 1,204 51% 15 –
10.00% to <100.00% 46 64 110 45% 75 12.45% < 0.1 4% 4.9 18 25% 0 –
100.00% (Default) 172 7 179 39% 48 100.00% < 0.1 61% 1.1 51 106% 127 –
Sub-total  27,001 9,597 36,598 37% 30,463 1.12% 3.2 25% 2.4 12,614 41% 179 127
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
28 / 29
CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q20		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 13,429 49,738 63,167 40% 35,077 0.07% 2.7 40% 2.3 8,056 23% 10 –
0.15% to <0.25% 5,077 10,170 15,247 37% 8,907 0.21% 1.3 40% 2.1 3,505 39% 7 –
0.25% to <0.50% 5,100 5,126 10,226 37% 6,929 0.37% 1.8 36% 2.5 3,437 50% 9 –
0.50% to <0.75% 3,726 4,697 8,423 41% 5,282 0.62% 1.3 40% 2.6 3,707 70% 13 –
0.75% to <2.50% 9,125 8,369 17,494 41% 11,788 1.50% 2.2 35% 2.8 10,837 92% 64 –
2.50% to <10.00% 10,199 14,670 24,869 48% 16,043 5.70% 1.8 33% 2.8 20,995 131% 286 –
10.00% to <100.00% 895 640 1,535 51% 942 19.34% 0.1 28% 2.6 1,655 176% 53 –
100.00% (Default) 1,842 563 2,405 37% 1,552 100.00% 0.2 53% 1.7 1,621 104% 499 –
Sub-total  49,393 93,973 143,366 41% 86,520 3.39% 11.3 38% 2.5 53,813 62% 941 499
Residential mortgages   
0.00% to <0.15% 29,787 1,711 31,498 40% 30,486 0.09% 44.1 14% 2.9 2,172 7% 4 –
0.15% to <0.25% 32,136 1,942 34,078 40% 32,913 0.18% 38.8 15% 3.0 4,300 13% 9 –
0.25% to <0.50% 39,642 1,994 41,636 44% 40,521 0.30% 52.5 15% 3.1 7,767 19% 19 –
0.50% to <0.75% 4,656 363 5,019 47% 4,821 0.59% 6.5 17% 2.9 1,637 34% 5 –
0.75% to <2.50% 4,536 562 5,098 28% 4,695 1.23% 6.6 18% 2.6 2,692 57% 10 –
2.50% to <10.00% 447 28 475 63% 464 4.17% 0.7 19% 2.1 555 119% 4 –
10.00% to <100.00% 12 0 12 70 12 17.12% < 0.1 13% 2.8 22 188% 0 –
100.00% (Default) 616 7 623 82% 583 100.00% 0.3 18% 1.4 618 106% 39 –
Sub-total  111,832 6,607 118,439 41% 114,495 0.78% 149.3 15% 3.0 19,763 17% 90 39
Qualifying revolving retail   
0.75% to <2.50% 298 5,592 5,890 0% 320 1.30% 767.2 50% 1.0 79 25% 2 –
100.00% (Default) 0 0 0 0% – 100.00% 0.3 50% 1.0 0 106% 0 –
Sub-total  298 5,592 5,890 0% 320 1.30% 767.5 50% 1.0 79 25% 2 0
Other retail   
0.00% to <0.15% 52,803 134,338 187,141 7% 61,094 0.04% 50.9 63% 1.3 4,956 8% 16 –
0.15% to <0.25% 2,377 8,588 10,965 8% 3,086 0.19% 3.9 42% 1.3 527 17% 2 –
0.25% to <0.50% 1,941 2,358 4,299 14% 2,270 0.36% 6.0 31% 1.4 438 19% 3 –
0.50% to <0.75% 714 879 1,593 25% 938 0.62% 10.6 44% 1.8 351 37% 3 –
0.75% to <2.50% 5,169 1,949 7,118 27% 5,698 1.51% 83.2 36% 2.0 2,590 45% 30 –
2.50% to <10.00% 3,750 747 4,497 24% 3,933 5.19% 80.7 39% 2.9 2,389 61% 81 –
10.00% to <100.00% 34 25 59 36% 43 15.79% 1.4 49% 1.4 44 103% 3 –
100.00% (Default) 457 41 498 33% 353 100.00% 5.4 86% 1.8 374 106% 306 –
Sub-total  67,245 148,925 216,170 7% 77,415 0.90% 242.0 58% 1.5 11,669 15% 444 306
Sub-total (all portfolios)   
0.00% to <0.15% 160,429 190,766 351,195 16% 194,836 0.05% 100.5 35% 1.7 19,702 10% 36 –
0.15% to <0.25% 44,291 22,549 66,840 26% 50,231 0.19% 44.8 23% 2.6 10,566 21% 22 –
0.25% to <0.50% 49,936 10,651 60,587 34% 53,237 0.32% 61.0 20% 2.8 13,717 26% 35 –
0.50% to <0.75% 12,008 8,146 20,154 36% 14,626 0.60% 18.8 30% 2.3 7,350 50% 27 –
0.75% to <2.50% 27,530 19,539 47,069 27% 32,085 1.46% 859.9 28% 2.6 21,186 66% 132 –
2.50% to <10.00% 17,695 16,065 33,760 47% 23,733 5.45% 83.5 32% 2.8 26,564 112% 409 –
10.00% to <100.00% 1,188 729 1,917 50% 1,102 18.94% 1.5 28% 2.8 1,849 168% 61 –
100.00% (Default) 3,477 618 4,095 38% 2,723 100.00% 6.2 50% 1.6 2,861 105% 1,076 –
Sub-total (all portfolios)  316,554 269,063 585,617 21% 372,573 1.38% 1,176.2 30% 2.2 103,795 28% 1,798 1,076
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment – – – – 7 – – – – 4 – – –
IRB - maturity and export finance buffer – – – – – – – – – 366 – – –
Total (all portfolios and alternative treatment)  316,554 269,063 585,617 21% 372,580 1.38% 1,176.2 30% 2.2 104,165 28% 1,798 1,076
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
30 / 31
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q20		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 30,138 162 30,300 100% 30,300 0.03% < 0.1 4% 1.2 411 1% 0 –
0.15% to <0.25% 0 0 0 – – 0.22% < 0.1 58% 0.2 0 34% 0 –
0.25% to <0.50% 144 15 159 100% 154 0.37% < 0.1 53% 2.7 121 79% 0 –
0.75% to <2.50% 74 54 128 50% 100 1.64% < 0.1 51% 1.9 117 116% 1 –
2.50% to <10.00% 636 44 680 55% 217 5.83% < 0.1 49% 2.4 405 186% 7 –
10.00% to <100.00% 176 0 176 – 62 28.23% < 0.1 45% 4.0 169 275% 8 –
100.00% (Default) 281 1 282 55% 172 100.00% < 0.1 58% 1.1 182 106% 109 –
Sub-total  31,449 276 31,725 83% 31,005 0.68% 0.1 5% 1.2 1,405 5% 125 109
Institutions - Banks and securities dealer   
0.00% to <0.15% 9,703 1,365 11,068 61% 11,951 0.06% 1.6 53% 0.6 1,890 16% 4 –
0.15% to <0.25% 538 89 628 53% 549 0.22% 0.1 53% 1.1 245 45% 1 –
0.25% to <0.50% 576 224 800 60% 572 0.37% 0.2 52% 0.7 355 62% 1 –
0.50% to <0.75% 93 45 138 50% 125 0.64% 0.1 52% 0.4 95 76% 0 –
0.75% to <2.50% 143 118 261 54% 208 1.51% 0.1 52% 0.9 247 119% 2 –
2.50% to <10.00% 618 284 903 53% 535 4.87% 0.1 51% 1.1 875 163% 13 –
10.00% to <100.00% 4 5 9 50% 4 27.60% < 0.1 51% 0.0 10 271% 1 –
100.00% (Default) 7 0 7 – 7 100.00% < 0.1 51% 1.0 8 106% 0 –
Sub-total  11,683 2,130 13,813 59% 13,951 0.35% 2.2 53% 0.7 3,725 27% 21 0
Institutions - Other institutions   
0.00% to <0.15% 462 1,000 1,462 2% 546 0.04% 0.4 43% 1.9 90 16% 0 –
0.15% to <0.25% 4 247 250 1% 5 0.20% < 0.1 37% 1.2 1 27% 0 –
0.25% to <0.50% 13 1 14 45% 14 0.37% < 0.1 58% 2.4 11 80% 0 –
0.50% to <0.75% 0 0 0 – 0 0.58% < 0.1 52% 0.2 0 57% 0 –
2.50% to <10.00% 30 104 134 45% 81 3.33% < 0.1 8% 4.1 23 28% 0 –
10.00% to <100.00% 9 52 61 45% 33 19.31% < 0.1 2% 5.0 3 10% 0 –
Sub-total  518 1,405 1,922 7% 679 1.37% 0.5 37% 2.3 128 19% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 7,106 1,692 8,799 44% 7,851 0.06% 0.8 29% 2.1 1,615 21% 1 –
0.15% to <0.25% 4,278 1,786 6,064 37% 4,933 0.21% 0.8 26% 2.3 1,864 38% 3 –
0.25% to <0.50% 2,589 1,056 3,645 42% 3,028 0.37% 0.5 30% 1.8 1,500 50% 3 –
0.50% to <0.75% 2,550 2,047 4,597 34% 3,334 0.58% 0.3 32% 1.5 1,700 51% 6 –
0.75% to <2.50% 8,045 2,942 10,987 39% 9,206 1.51% 0.7 17% 2.8 4,318 47% 22 –
2.50% to <10.00% 3,095 52 3,147 37% 3,114 4.02% 0.2 10% 3.3 1,097 35% 13 –
10.00% to <100.00% 69 155 224 45% 139 13.56% < 0.1 6% 4.6 43 31% 1 –
100.00% (Default) 164 5 168 43% 71 100.00% < 0.1 41% 1.8 75 106% 95 –
Sub-total  27,897 9,734 37,631 39% 31,676 1.26% 3.3 24% 2.4 12,212 39% 144 95
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
32 / 33
CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q20		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 14,521 48,016 62,537 40% 36,043 0.07% 3.1 40% 2.4 8,522 24% 10 –
0.15% to <0.25% 4,580 9,862 14,442 37% 8,205 0.21% 1.3 39% 2.3 3,255 40% 7 –
0.25% to <0.50% 4,533 6,846 11,379 36% 6,814 0.37% 1.8 37% 2.3 3,455 51% 9 –
0.50% to <0.75% 4,906 4,564 9,470 42% 6,507 0.62% 1.3 37% 2.6 4,306 66% 15 –
0.75% to <2.50% 9,898 6,696 16,594 42% 12,280 1.47% 2.2 36% 2.9 11,471 93% 65 –
2.50% to <10.00% 10,797 9,535 20,332 48% 13,825 5.66% 1.7 32% 3.1 23,072 167% 239 –
10.00% to <100.00% 1,315 649 1,964 46% 1,333 20.95% 0.1 33% 2.7 3,384 254% 93 –
100.00% (Default) 1,935 460 2,395 31% 1,573 100.00% 0.2 50% 1.7 1,618 103% 486 –
Sub-total  52,485 86,628 139,112 41% 86,581 3.37% 11.7 38% 2.6 59,083 68% 924 486
Residential mortgages   
0.00% to <0.15% 27,915 1,665 29,579 35% 29,526 0.09% 43.8 14% 2.9 2,108 7% 4 –
0.15% to <0.25% 31,422 1,845 33,267 38% 32,120 0.18% 38.4 15% 2.9 4,234 13% 9 –
0.25% to <0.50% 39,615 2,274 41,889 38% 40,475 0.30% 53.0 15% 3.0 7,780 19% 19 –
0.50% to <0.75% 5,945 386 6,331 44% 5,118 0.58% 6.7 17% 2.8 1,740 34% 5 –
0.75% to <2.50% 4,695 579 5,275 32% 4,881 1.22% 6.8 18% 2.6 2,864 59% 11 –
2.50% to <10.00% 471 55 526 8% 475 4.21% 0.7 19% 2.2 569 120% 4 –
10.00% to <100.00% 14 0 14 – 14 16.54% < 0.1 14% 2.4 27 189% 0 –
100.00% (Default) 637 8 645 74% 611 100.00% 0.3 18% 1.5 648 106% 32 –
Sub-total  110,713 6,812 117,525 37% 113,220 0.82% 149.7 15% 2.9 19,969 18% 82 32
Qualifying revolving retail   
0.75% to <2.50% 317 5,702 6,020 0% 340 1.30% 783.7 50% 1.0 84 25% 2 –
10.00% to <100.00% 0 0 0 – 0 0% 91.3 0% 0.0 0 0% 0 –
100.00% (Default) 0 0 0 – 0 100.00% 0.3 50% 1.0 0 106% 0 –
Sub-total  317 5,703 6,020 0% 340 1.30% 875.3 50% 1.0 84 25% 2 0
Other retail   
0.00% to <0.15% 49,373 124,636 174,009 6% 57,345 0.04% 50.5 63% 1.3 4,677 8% 15 –
0.15% to <0.25% 3,056 8,726 11,781 8% 3,792 0.18% 3.9 41% 1.3 626 17% 3 –
0.25% to <0.50% 1,518 2,248 3,766 15% 1,844 0.36% 6.0 40% 1.6 468 25% 3 –
0.50% to <0.75% 645 703 1,347 19% 776 0.64% 13.1 42% 2.0 281 36% 2 –
0.75% to <2.50% 4,428 2,141 6,570 21% 4,889 1.60% 76.7 33% 2.1 2,077 42% 26 –
2.50% to <10.00% 4,061 664 4,724 22% 4,204 5.16% 82.8 39% 2.7 2,592 62% 86 –
10.00% to <100.00% 132 6 138 25% 134 27.89% 1.4 38% 1.6 134 100% 15 –
100.00% (Default) 581 52 632 62% 479 100.00% 5.3 86% 1.7 508 106% 375 –
Sub-total  63,793 139,174 202,967 7% 73,463 1.16% 239.7 58% 1.5 11,362 15% 524 375
Sub-total (all portfolios)   
0.00% to <0.15% 139,217 178,536 317,753 17% 173,563 0.05% 100.3 37% 1.8 19,313 11% 33 –
0.15% to <0.25% 43,877 22,554 66,431 25% 49,604 0.19% 44.4 23% 2.6 10,225 21% 21 –
0.25% to <0.50% 48,988 12,664 61,652 34% 52,900 0.32% 61.4 20% 2.8 13,691 26% 35 –
0.50% to <0.75% 14,139 7,745 21,883 38% 15,861 0.60% 21.6 30% 2.4 8,123 51% 29 –
0.75% to <2.50% 27,601 18,233 45,834 26% 31,905 1.46% 870.3 28% 2.7 21,178 66% 130 –
2.50% to <10.00% 19,708 10,738 30,446 46% 22,451 5.28% 85.5 30% 3.0 28,631 128% 362 –
10.00% to <100.00% 1,720 866 2,586 45% 1,718 21.10% 92.8 31% 2.9 3,770 219% 117 –
100.00% (Default) 3,604 526 4,130 35% 2,913 100.00% 6.1 49% 1.6 3,039 104% 1,097 –
Sub-total (all portfolios)  298,855 251,861 550,716 21% 350,916 1.53% 1,282.4 31% 2.2 107,970 31% 1,823 1,097
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment – – – – 14 – – – – 12 – – –
IRB - maturity and export finance buffer – – – – – – – – – 1,312 – – –
Total (all portfolios and alternative treatment)  298,855 251,861 550,716 21% 350,930 1.53% 1,282.4 31% 2.2 109,294 31% 1,823 1,097
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
34 / 35
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
   4Q20 2Q20

end of		 Pre-credit
derivatives
RWA
Actual
RWA		 Pre-credit
derivatives
RWA
Actual
RWA
CHF million   
Sovereigns - A-IRB 1,639 1,639 1,405 1,405
Institutions - Banks and securities dealers - A-IRB 4,158 4,066 3,822 3,728
Institutions - Other institutions - A-IRB 152 152 128 128
Corporates - Specialized lending - A-IRB 16,860 16,860 16,508 16,508
Corporates without specialized lending - A-IRB 53,893 53,817 59,148 59,092
Residential mortgages 19,763 19,763 19,969 19,969
Qualifying revolving retail 79 79 84 84
Other retail 11,669 11,669 11,362 11,362
Maturity and export finance buffer - IRB 366 366 1,312 1,312
Total  108,579 108,411 113,739 113,589
Includes RWA related to the A-IRB approach and supervisory slotting approach.
RWA flow statements of credit risk exposures under IRB
The following table presents the 4Q20 flow statement explaining the variations in the credit risk RWA determined under the IRB approach.
Credit risk RWA under IRB decreased CHF 1.1 billion to CHF 108.4 billion compared to the end of 3Q20, primarily driven by a negative foreign exchange impact and decreases related to model and parameter updates, partially offset by increases related to movements in risk levels primarily attributable to asset size. The decreases related to model and parameter updates were mainly driven by the phase-out of a multiplier on certain corporate exposures accompanied by the corresponding progressive implementation of a new model for corporate clients.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB
4Q20
CHF million   
Risk-weighted assets at beginning of period  109,475
Asset size 3,021
Asset quality (585)
Model and parameter updates (1,479)
Foreign exchange impact (2,021)
Risk-weighted assets at end of period  108,411
Includes RWA related to the A-IRB approach and supervisory slotting approach.
36
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
Model performance
The A-IRB models are subject to a comprehensive backtesting process to demonstrate that model performance can be confirmed annually during the entire lifecycle of each model. As evidenced during model development and confirmed via annual performance monitoring, typically discriminatory power of credit models is well above industry standard and calibration targets are set conservatively.
The following table provides backtesting data to validate the reliability of PD calculations. The estimated PDs are compared with the actual default rates by PD ranges within each exposure class. The estimated PDs are forward-looking average PDs at the beginning of the twelve-month period, which started at the end of December 2018. The estimated PDs are compared with the simple average of historical default rates covering a period starting at the earliest in 2001 and ending at the end of 2019.
37
CR9 - Backtesting of PD per portfolio
      Number of obligors
(thousands)




Master scale
from CRM S&P



Master scale
from CRM Fitch



Master scale
from CRM Moody



Weighted
average PD

Arithmetic
average
PD by
obligors		 1


End of
previous
year



End of
the year


Defaulted
obligors in
the year		 2 of which:
new
defaulted
obligors
in the
year		 2
Average
historical
annual
default
rate		 2
Sovereigns   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.02% 0.03% 0.1 < 0.1 0 0 0.04%
0.15% to <0.25% BBB BBB Baa2 0.22% 0.21% < 0.1 < 0.1 0 0 0.00%
0.25% to <0.50% BBB- BBB- Baa3 0.37% 0.37% < 0.1 < 0.1 0 0 0.00%
0.50% to <0.75% BB+ BB+ Ba1 0.64% 0.59% < 0.1 < 0.1 0 0 0.00%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.40% 1.49% < 0.1 < 0.1 0 0 0.00%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 6.45% 6.61% < 0.1 < 0.1 0 0 1.02%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca – – – < 0.1 – – –
Institutions - Banks and securities dealer   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.06% 0.07% 0.7 1.6 0 0 0.03%
0.15% to <0.25% BBB BBB Baa2 0.22% 0.22% 0.1 0.1 0 0 0.15%
0.25% to <0.50% BBB- BBB- Baa3 0.37% 0.37% 0.2 0.2 0 0 0.29%
0.50% to <0.75% BB+ BB+ Ba1 0.60% 0.60% 0.1 0.1 0 0 0.19%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.25% 1.24% 0.2 0.1 0 0 0.13%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 4.92% 5.20% 0.1 0.1 0 0 0.62%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 16.44% 18.41% < 0.1 < 0.1 0 0 2.48%
Institutions - Other institutions   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.04% 0.05% 0.4 0.4 0 0 0.00%
0.15% to <0.25% BBB BBB Baa2 0.21% 0.20% < 0.1 < 0.1 0 0 0.00%
0.25% to <0.50% BBB- BBB- Baa3 0.36% 0.37% < 0.1 < 0.1 0 0 0.00%
0.50% to <0.75% BB+ BB+ Ba1 0.58% 0.58% 0.1 < 0.1 0 0 0.08%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.03% 1.32% < 0.1 < 0.1 0 0 0.00%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 5.08% 4.46% < 0.1 < 0.1 – – –
Corporates - Specialized lending   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.06% 0.07% 0.9 0.8 0 0 0.01%
0.15% to <0.25% BBB BBB Baa2 0.22% 0.20% 0.7 0.7 0 0 0.03%
0.25% to <0.50% BBB- BBB- Baa3 0.37% 0.37% 0.6 0.5 0 0 0.04%
0.50% to <0.75% BB+ BB+ Ba1 0.58% 0.60% 0.4 0.3 1 0 0.17%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.33% 1.33% 0.8 0.8 1 0 0.39%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 4.59% 4.18% 0.1 0.2 6 1 4.53%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 14.08% 14.94% < 0.1 < 0.1 0 0 18.81%
1
The number of obligors used in the calculation is based on the transactional-based approach.
2
Reflects risk data where prudential portfolios are not captured. Accordingly for these columns approximations are required. For the qualifying revolving retail portfolio - CR7 (PD range 10.00% to <100.00%), no results are reported as portfolio in that scope has moved to standardized approach in 2020. Further, fast defaults are in tendency understated since capturing of fast defaults is not available for all clients in risk data. Underlying default rates are determined on client level, i.e. a client can have more than one transaction/credit.
38 / 39
CR9 - Backtesting of PD per portfolio (continued)
      Number of obligors
(thousands)




Master scale
from CRM S&P



Master scale
from CRM Fitch



Master scale
from CRM Moody



Weighted
average PD

Arithmetic
average
PD by
obligors		 1


End of
previous
year



End of
the year


Defaulted
obligors in
the year		 2 of which:
new
defaulted
obligors
in the
year		 2
Average
historical
annual
default
rate		 2
Corporates without specialized lending   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.07% 0.07% 2.9 2.7 0 0 0.03%
0.15% to <0.25% BBB BBB Baa2 0.21% 0.20% 1.3 1.2 0 0 0.10%
0.25% to <0.50% BBB- BBB- Baa3 0.37% 0.37% 1.8 1.7 1 0 0.11%
0.50% to <0.75% BB+ BB+ Ba1 0.62% 0.63% 1.4 1.3 5 0 0.25%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.51% 1.29% 3.0 1.9 16 1 0.76%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 5.54% 4.65% 2.4 1.6 42 1 1.93%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 17.41% 19.75% 0.1 0.1 9 1 12.77%
Residential mortgages   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.08% 0.08% 46.4 43.5 5 0 0.02%
0.15% to <0.25% BBB BBB Baa2 0.18% 0.18% 40.1 38.2 13 0 0.04%
0.25% to <0.50% BBB- BBB- Baa3 0.31% 0.31% 48.3 52.9 19 0 0.06%
0.50% to <0.75% BB+ BB+ Ba1 0.59% 0.60% 6.8 6.9 12 0 0.14%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.24% 1.29% 6.8 7.0 24 1 0.27%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 4.42% 4.45% 0.8 0.8 16 0 3.85%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 17.83% 17.54% 0.1 < 0.1 11 1 18.27%
Qualifying revolving retail   
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.30% 1.30% 808.3 794.4 5,571 0 1.03%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 25.00% 25.00% 93.3 96.0 – – –
Other retail   
0.00% to <0.15% AAA to BBB+ AAA to BBB+ Aaa to Baa1 0.04% 0.04% 49.9 50.1 7 1 0.05%
0.15% to <0.25% BBB BBB Baa2 0.19% 0.19% 3.6 3.6 0 0 0.25%
0.25% to <0.50% BBB- BBB- Baa3 0.36% 0.36% 5.6 5.8 36 0 0.82%
0.50% to <0.75% BB+ BB+ Ba1 0.61% 0.60% 11.6 11.8 0 0 0.14%
0.75% to <2.50% BB to BB- BB to BB- Ba2 to Ba3 1.62% 1.68% 80.6 84.3 1,251 140 1.00%
2.50% to <10.00% B+ to B- B+ to B- B1 to B3 5.19% 5.43% 85.0 84.2 2,945 295 3.51%
10.00% to <100.00% CCC+ to CC CCC+ to CC Caa1 to Ca 14.02% 18.07% 0.3 0.4 1 0 0.00%
1
The number of obligors used in the calculation is based on the transactional-based approach.
2
Reflects risk data where prudential portfolios are not captured. Accordingly for these columns approximations are required. For the qualifying revolving retail portfolio - CR7 (PD range 10.00% to <100.00%), no results are reported as portfolio in that scope has moved to standardized approach in 2020. Further, fast defaults are in tendency understated since capturing of fast defaults is not available for all clients in risk data. Underlying default rates are determined on client level, i.e. a client can have more than one transaction/credit.
40 / 41
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
4Q20 (CHF million, except where indicated)      
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 195 745 50% 604 320 0
Equal to or more than 2.5 years 539 426 70% 776 576 3
Good Less than 2.5 years 704 142 70% 782 580 3
Equal to or more than 2.5 years 946 336 90% 1,122 1,070 9
Satisfactory 852 51 115% 2 881 1,074 25
Weak 51 59 250% 84 222 7
Default 56 0 – 56 0 28
Total  3,343 1,759 – 4,305 3,842 75
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Good Equal to or more than 2.5 years 3 11 120% 9 11 0
Satisfactory 38 0 140% 38 56 1
Weak 90 67 250% 127 337 10
Default 0 2 – 2 0 1
Total  131 80 – 176 404 12
2Q20 (CHF million, except where indicated)      
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 190 445 50% 434 230 0
Equal to or more than 2.5 years 580 444 70% 825 612 3
Good Less than 2.5 years 436 218 70% 556 412 2
Equal to or more than 2.5 years 758 168 90% 850 811 7
Satisfactory 1,122 75 115% 2 1,163 1,417 33
Weak 124 44 250% 148 393 12
Default 32 0 – 32 0 16
Total  3,240 1,394 – 4,008 3,876 73
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Equal to or more than 2.5 years 41 48 95% 67 67 0
Good Equal to or more than 2.5 years 23 13 120% 31 40 0
Satisfactory 36 0 140% 36 54 1
Weak 98 0 250% 98 258 8
Default 11 2 – 13 0 6
Total  208 64 – 244 419 15
1
Exposure amounts in connection with IPRE.
2
For a portion of the exposure, a risk weight of 120% is applied.
42
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
4Q20 (CHF million)   
Exchange-traded equity exposures 54 0 300% 54 173
Other equity exposures 1,003 0 400% 1,003 4,254
Total  1,057 0 – 1,057 4,427
2Q20 (CHF million)   
Exchange-traded equity exposures 52 0 300% 52 165
Other equity exposures 1,435 0 400% 1,435 6,085
Total  1,487 0 – 1,487 6,250
Equity investments in funds exposures of CHF 885 million are not included in the above table.
43
Counterparty credit risk
General
Counterparty exposure
CCR arises from over-the-counter (OTC) and exchange-traded derivatives, as well securities 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 VaR model for SFTs.
> Refer to “Credit risk” (pages 150 to 153) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on counterparty credit risk, including transaction rating, credit approval process and provisioning.
> Refer to “Credit risk reporting” (page 12) in Credit risk – General for information on our counterparty risk reporting.
Credit limits
All credit exposure is approved, either through approval of an individual transaction/facility (e.g., lending facilities), or under a system of credit limits (e.g., OTC derivatives). Credit exposure is monitored daily to ensure it does not exceed the approved credit limit. Credit limits are set either on a potential exposure basis or on a notional exposure basis. Moreover, these limits are ultimately governed by the Group Risk Appetite Framework. Potential exposure means the possible future value that would be lost upon default of the counterparty on a particular future date, and is taken as a high percentile of a distribution of possible exposures computed by the internal exposure models. Secondary debt inventory positions are subject to separate limits that are set at the issuer level.
> Refer to “Credit risk” (pages 150 to 153) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on credit limits.
Central counterparties risk
The Basel III framework provides specific requirements for exposures the Group has to CCPs arising from OTC derivatives, exchange-traded derivative transactions and SFTs. Exposures to CCPs which are considered to be qualifying CCPs by the regulator will receive a preferential capital treatment compared to exposures to non-qualifying CCPs.
The Group can incur exposure to CCPs as either a clearing member, or clearing through another member. Qualifying CCPs are expected to be subject to best-practice risk management, and sound regulation and oversight to ensure that they reduce risk, both for their participants and for the financial system. Most CCPs are benchmarked against standards issued by the Committee on Payment and Settlement Systems and the Technical Committee of the International Organization of Securities Commissions, herein collectively referred to as “CPSS-IOSCO”.
The exposures to CCP (represented as “Central counterparties (CCP) risks”) consist of trade exposure, default fund exposure and contingent exposure based on trade replacement due to a clearing member default. Trade exposure represents the current and potential future exposure of the clearing member (or a client) to a CCP arising from the underlying transaction and the initial margin posted to the CCP. Default fund exposure represents existing and potential future additional contributions to a CCPs default fund. Credit Risk Management performs credit assessment and annual review of the risk profile of CCPs as counterparties including an assessment of qualitative and quantitative factors. As part of its assessment, Credit Risk Management conducts periodic due diligence and in conjunction with General Counsel will make a determination whether (i) the CCP is a qualifying CCP and (ii) the collateral posted is considered bankruptcy remote. The determinations are subject to Credit Risk Management guidelines and include a review of collateral bankruptcy remoteness and verification that CCP collateral positions are held in custody with entities that employ account segregation and safekeeping procedures with internal controls that fully protect these securities. The determination is made in the context of “Authorization of CCP” (European Market Infrastructure Regulation (EMIR), Article 14) and “Third Countries” (EMIR, Article 25). This information will be appropriately reflected in the risk weightings within the capital calculations.
The Group monitors its daily exposure to the CCP as part of its ongoing limit and exposure monitoring process.
> Refer to “Risk management objectives and policies for credit risk” (page 12) in Credit risk – General for further information.
Credit valuation adjustment risk
Credit valuation adjustment (CVA) is a regulatory capital charge designed to capture the risk associated with potential mark-to-market losses associated with the deterioration in the creditworthiness of a counterparty.
Under Basel III, banks are required to calculate capital charges for CVA under either the Standardized CVA approach or the Advanced CVA approach (ACVA). The CVA rules stipulate that where banks have permission to use market risk VaR and counterparty risk IMM, they are to use the ACVA unless their regulator decides otherwise. FINMA has confirmed that the ACVA should be used for both IMM and non-IMM exposures.
The regulatory CVA capital charge applies to all counterparty exposures arising from OTC derivatives, excluding those with CCP. Exposures arising from SFTs are not required to be included in the CVA charge unless they could give rise to a material loss. FINMA has confirmed that Credit Suisse can exclude these exposures from the regulatory capital charge.
Guarantees and other risk mitigants
> Refer to “Credit risk mitigation” (pages 16 to 17) in Credit risk for further information on policies relating to guarantees and other risk mitigants.
44
Wrong-way exposure
Wrong-way risk arises when Credit Suisse enters into a financial transaction in which exposure is adversely correlated to the creditworthiness of the counterparty. In a wrong-way situation, the exposure to the counterparty increases while the counterparty’s financial condition and its ability to pay on the transaction diminishes.
Exposure adjusted risk calculation
Regulatory guidance distinguishes two types of wrong-way risk, general and specific:
■ General wrong-way risk arises when the probability of default of counterparties is positively correlated with general market risk factors.
■ Specific wrong-way risk arises when the exposure to a particular counterparty is positively correlated with the probability of default of the counterparty due to the nature of the transactions with the counterparty.
Capturing wrong-way risk requires checking if there is a legal relationship or a correlation between the trade/collateral and the counterparty.
The management of wrong-way risk is integrated within Credit Suisse’s overall credit risk assessment approach and is subject to a framework for identification and treatment of wrong-way risk, which includes multiple processes, methodologies, governance, reporting, review and escalation. A conservative treatment for the purpose of calculating exposure profiles is applied to material trades with wrong-way risk features. The wrong-way risk framework applies to OTC, SFTs, loans and centrally cleared trades.
In instances where a material wrong-way risk has been identified, limit utilization and default capital are accordingly adjusted through more conservative exposure calculations. These adjustments cover both transactions and collateral and form part of the daily credit exposure calculation process, resulting in a higher utilization of the counterparty credit limit.
Regular reporting of wrong-way risk at both the individual trade and portfolio level allows wrong-way risk to be identified and corrective actions taken by Credit Risk Management. The Front Office is responsible as a first line of defense for identifying and escalating trades that could potentially give rise to wrong-way risk. Any material wrong-way risk at portfolio or trade level would be escalated to senior Credit Risk Management executives and risk committees.
Effect of a credit rating downgrade
On a daily basis, we monitor the level of incremental collateral that would be required by derivative counterparties in the event of a Credit Suisse ratings downgrade. Collateral triggers are maintained by our collateral management department and vary by counterparty.
> Refer to “Credit ratings” (pages 120 to 121) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management – Funding management in the Credit Suisse Annual Report 2020 for further information on the effect of a one, two or three notch downgrade as of December 31, 2020.
The impact of downgrades in the Bank’s long-term debt ratings are considered in the stress assumptions used to determine the conservative funding profile of our balance sheet and would not be material to our liquidity and funding needs.
45
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
4Q20 (CHF million, except where indicated)   
SA-CCR (for derivatives) 2,939 5,098 – 1.4 11,251 4,120
IMM (for derivatives) – – 19,764 1.6 1 31,410 10,950
Comprehensive Approach for CRM (for SFTs) – – – – 0 0
VaR for SFTs – – – – 34,467 5,499
Total  – – – – 77,128 20,569
2Q20 (CHF million, except where indicated)   
SA-CCR (for derivatives) 2,782 4,815 – 1.4 10,636 3,669
IMM (for derivatives) – – 22,226 1.6 1 35,401 9,601
Comprehensive Approach for CRM (for SFTs) – – – – 2 1
VaR for SFTs – – – – 51,201 9,334
Total  – – – – 97,240 22,605
1
Alpha factor is set equal to 1.0 in case of wrong way risk.
CVA capital charge
The following table presents the CVA regulatory calculations by advanced and standardized approaches.
RWA decreased CHF 6.8 billion to CHF 8.5 billion compared to the end of 2Q20, mainly reflecting reductions in derivative exposures, the credit spread tightening across multiple counterparties and an increase in hedging benefits. These decreases were partially offset by methodology and policy changes related to the phase-in of SA-CCR for derivatives.
CCR2 – CVA capital charge
   4Q20 2Q20

end of		 EAD
post-CRM
RWA		 EAD
post-CRM
RWA
CHF million   
Total portfolios subject to the advanced CVA capital charge 39,771 8,368 44,355 15,078
   of which VaR component (including the 3 x multiplier)  – 2,112 – 7,582
   of which stressed VaR component (including the 3 x multiplier)  – 6,256 – 7,496
All portfolios subject to the standardized CVA capital charge 110 130 165 265
Total subject to the CVA capital charge  39,881 8,498 44,520 15,343
EAD post-CRM is disclosed as of the end of the period (end of day), whereas the RWA is an average as of the last 12 weeks.
46
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
4Q20 (CHF million)   
Sovereigns 451 0 0 0 0 0 451
Institutions - Banks and securities dealer 0 243 485 0 1 3 732
Institutions - Other institutions 0 0 274 0 0 0 274
Corporates 0 138 8 0 1,254 40 1,440
Retail 0 0 0 55 324 0 379
Other exposures 0 0 0 0 248 0 248
Total  451 381 767 55 1,827 43 3,524
2Q20 (CHF million)   
Sovereigns 689 0 0 0 2 0 691
Institutions - Banks and securities dealer 0 369 495 0 1 41 906
Institutions - Other institutions 0 0 296 0 1 0 297
Corporates 0 199 11 0 1,591 26 1,827
Retail 0 0 0 57 231 0 288
Other exposures 0 0 0 0 672 0 672
Total  689 568 802 57 2,498 67 4,681
47
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 for further information on key models used at the group-wide level, explanation 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 4Q20		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 2,253 0.03% < 0.1 49% 0.5 144 6%
0.15% to <0.25% 0 0.22% < 0.1 58% 1.0 0 44%
0.25% to <0.50% 122 0.37% < 0.1 41% 1.0 52 42%
2.50% to <10.00% 199 3.25% < 0.1 41% 1.0 217 109%
Sub-total  2,574 0.29% < 0.1 48% 0.6 413 16%
Institutions - Banks and securities dealer   
0.00% to <0.15% 13,757 0.06% 0.4 58% 0.7 2,739 20%
0.15% to <0.25% 522 0.22% 0.1 59% 0.9 271 52%
0.25% to <0.50% 525 0.37% 0.1 58% 0.6 335 64%
0.50% to <0.75% 122 0.64% < 0.1 51% 0.3 83 68%
0.75% to <2.50% 236 1.56% 0.1 54% 0.4 267 113%
2.50% to <10.00% 163 5.07% 0.1 53% 0.8 268 164%
10.00% to <100.00% 22 27.35% < 0.1 58% 1.0 71 322%
Sub-total  15,347 0.20% 0.8 58% 0.7 4,034 26%
Institutions - Other institutions   
0.00% to <0.15% 96 0.04% < 0.1 11% 0.7 3 3%
Sub-total  96 0.04% < 0.1 11% 0.7 3 3%
Corporates - Specialized lending   
0.50% to <0.75% 4 0.58% < 0.1 50% 1.0 2 66%
0.75% to <2.50% 23 2.03% < 0.1 50% 1.0 26 113%
2.50% to <10.00% 14 3.91% < 0.1 50% 1.0 19 140%
Sub-total  41 2.55% < 0.1 50% 1.0 47 118%
48
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 4Q20		 EAD
post-
CRM
Average
PD		 Number
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 42,043 0.05% 9.2 48% 0.5 4,745 11%
0.15% to <0.25% 1,988 0.21% 0.7 49% 0.9 748 38%
0.25% to <0.50% 1,337 0.37% 0.7 54% 0.9 780 58%
0.50% to <0.75% 587 0.63% 0.3 71% 0.8 654 111%
0.75% to <2.50% 2,205 1.50% 1.1 65% 0.8 3,202 145%
2.50% to <10.00% 1,287 5.92% 0.6 44% 1.0 2,563 199%
10.00% to <100.00% 26 16.44% < 0.1 42% 1.0 70 269%
100.00% (Default) 18 100.00% < 0.1 39% 1.0 19 106%
Sub-total  49,491 0.33% 12.6 49% 0.5 12,781 26%
Other retail   
0.00% to <0.15% 5,058 0.06% 6.1 67% 1.6 628 12%
0.15% to <0.25% 497 0.17% 0.5 21% 1.2 41 8%
0.25% to <0.50% 194 0.28% 0.3 60% 1.2 63 32%
0.50% to <0.75% 14 0.56% 0.3 29% 2.2 3 23%
0.75% to <2.50% 103 1.79% 0.1 12% 3.6 15 14%
2.50% to <10.00% 133 5.43% < 0.1 56% 1.8 117 88%
10.00% to <100.00% 0 15.86% < 0.1 35% 0.6 0 67%
100.00% (Default) 4 100.00% < 0.1 31% 1.0 4 106%
Sub-total  6,003 0.29% 7.4 62% 1.6 871 15%
Total (all portfolios)   
0.00% to <0.15% 63,207 0.05% 15.8 52% 0.6 8,259 13%
0.15% to <0.25% 3,007 0.20% 1.3 46% 1.0 1,060 35%
0.25% to <0.50% 2,178 0.36% 1.1 55% 0.9 1,230 56%
0.50% to <0.75% 727 0.63% 0.7 66% 0.8 742 102%
0.75% to <2.50% 2,567 1.52% 1.3 62% 0.9 3,510 137%
2.50% to <10.00% 1,796 5.50% 0.7 46% 1.0 3,184 177%
10.00% to <100.00% 48 21.40% < 0.1 49% 1.0 141 292%
100.00% (Default) 22 100.00% < 0.1 38% 1.0 23 106%
Total (all portfolios)  73,552 0.30% 20.9 52% 0.6 18,149 25%
SA-CCR phase-in relief 1 – – – – – –
Total (all portfolios including SA-CCR phase-in relief)  73,552 0.30% 20.9 52% 0.6 18,149 25%
1
In response to the COVID-19 pandemic, FINMA has advised the Group that it may phase in the impact that arises from certain Basel III revisions to the capital requirements equally throughout 2020.
EAD post-CRM decreased CHF 18.9 billion to CHF 73.6 billion, compared to the end of 2Q20, primarily reflecting decreases in corporates without specialized lending and institutions – banks and securities dealer.
49
CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 2Q20		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 2,742 0.03% < 0.1 48% 0.3 121 4%
0.15% to <0.25% 0 0.22% < 0.1 58% 1.0 0 44%
0.25% to <0.50% 164 0.37% < 0.1 44% 0.8 71 44%
0.75% to <2.50% 0 1.10% < 0.1 42% 1.0 0 75%
2.50% to <10.00% 250 3.75% < 0.1 44% 0.8 299 120%
Sub-total  3,156 0.34% < 0.1 47% 0.4 492 16%
Institutions - Banks and securities dealer   
0.00% to <0.15% 16,130 0.06% 0.4 58% 0.6 3,104 19%
0.15% to <0.25% 498 0.22% < 0.1 60% 0.8 238 48%
0.25% to <0.50% 723 0.37% < 0.1 58% 0.7 473 65%
0.50% to <0.75% 198 0.64% < 0.1 50% 0.4 133 67%
0.75% to <2.50% 378 1.78% < 0.1 54% 0.3 449 119%
2.50% to <10.00% 227 4.30% < 0.1 53% 0.4 339 149%
10.00% to <100.00% 23 27.24% < 0.1 58% 0.9 73 321%
Sub-total  18,177 0.21% 0.8 58% 0.6 4,808 26%
Institutions - Other institutions   
0.00% to <0.15% 139 0.04% < 0.1 28% 0.8 11 8%
0.15% to <0.25% 6 0.16% < 0.1 0% 0.2 0 0%
Sub-total  145 0.04% < 0.1 27% 0.8 11 8%
Corporates - Specialized lending   
0.75% to <2.50% 38 1.84% < 0.1 50% 1.0 40 107%
2.50% to <10.00% 17 3.71% < 0.1 50% 1.0 23 139%
Sub-total  55 2.42% < 0.1 50% 1.0 64 117%
50
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 2Q20		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 57,570 0.05% 10.1 49% 0.4 6,179 11%
0.15% to <0.25% 2,275 0.21% 1.0 48% 1.0 831 37%
0.25% to <0.50% 1,571 0.37% 0.9 60% 0.9 1,058 67%
0.50% to <0.75% 841 0.64% 0.8 69% 0.7 919 109%
0.75% to <2.50% 2,619 1.48% 1.4 73% 0.7 4,239 162%
2.50% to <10.00% 1,365 5.56% 0.7 43% 1.0 3,107 228%
10.00% to <100.00% 36 18.78% < 0.1 39% 1.0 105 290%
100.00% (Default) 6 100.00% < 0.1 50% 1.0 6 106%
Sub-total  66,283 0.26% 15.0 50% 0.5 16,445 25%
Other retail   
0.00% to <0.15% 3,707 0.06% 5.0 64% 1.5 445 12%
0.15% to <0.25% 585 0.17% 0.5 27% 1.3 65 11%
0.25% to <0.50% 205 0.32% 1.0 75% 1.0 86 42%
0.50% to <0.75% 24 0.57% 4.7 41% 1.7 8 34%
0.75% to <2.50% 55 1.19% 0.6 48% 1.1 30 54%
2.50% to <10.00% 89 4.48% 0.2 52% 1.0 71 80%
10.00% to <100.00% 0 12.46% < 0.1 65% 1.0 0 125%
100.00% (Default) 4 100.00% < 0.1 31% 1.0 4 106%
Sub-total  4,669 0.27% 12.0 59% 1.4 709 15%
Total (all portfolios)   
0.00% to <0.15% 80,288 0.05% 15.7 52% 0.5 9,860 12%
0.15% to <0.25% 3,364 0.21% 1.6 46% 1.0 1,133 34%
0.25% to <0.50% 2,663 0.37% 2.0 59% 0.8 1,688 63%
0.50% to <0.75% 1,063 0.64% 5.6 65% 0.7 1,061 100%
0.75% to <2.50% 3,090 1.51% 2.2 70% 0.7 4,758 154%
2.50% to <10.00% 1,948 5.12% 1.0 45% 0.9 3,840 197%
10.00% to <100.00% 59 22.05% < 0.1 46% 1.0 178 302%
100.00% (Default) 10 100.00% < 0.1 42% 1.0 10 106%
Total (all portfolios)  92,485 0.25% 28.0 52% 0.5 22,529 24%
SA-CCR phase-in relief 1 – – – – – (3,129) –
Total (all portfolios including SA-CCR phase-in relief)  92,485 0.25% 28.0 52% 0.5 19,400 21%
1
In response to the COVID-19 pandemic, FINMA has advised the Group that it may phase in the impact that arises from certain Basel III revisions to the capital requirements equally throughout 2020.
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 a CCP. For disclosure purposes, the collateral values are presented as the market value of the collateral without any adjustments for haircuts.
51
CCR5 – Composition of collateral for CCR exposure
   Collateral used in derivative transactions Collateral used in SFTs
        

Fair value of collateral received

Fair value of posted collateral		 Fair value of
collateral
received		 Fair value
of posted
collateral
end of Segregated Unsegregated Total Segregated Unsegregated Total
4Q20 (CHF million)   
Cash - domestic currency 0 7,181 7,181 0 2,511 2,511 304 3,944
Cash - other currencies 0 54,962 54,962 608 50,834 51,442 94,558 94,005
Domestic sovereign debt 0 56 56 0 0 0 2,314 143
Other sovereign debt 0 21,959 21,959 4,575 15,531 20,106 144,882 82,427
Government agency debt 0 88 88 0 7 7 1,314 3,390
Corporate bonds 0 9,677 9,677 0 317 317 60,355 29,459
Equity securities 0 30,725 30,725 1,216 1,218 2,434 232,220 1 157,929 1
Other collateral 0 4,044 4,044 5 44 49 27,244 13,098
Total  0 128,692 128,692 6,404 70,462 76,866 563,191 384,395
2Q20 (CHF million)   
Cash - domestic currency 0 7,001 7,001 0 2,957 2,957 389 5,661
Cash - other currencies 0 58,136 58,136 639 54,608 55,247 104,158 130,398
Domestic sovereign debt 0 96 96 0 33 33 3,560 259
Other sovereign debt 0 22,577 22,577 2,770 14,306 17,076 174,723 121,987
Government agency debt 0 177 177 0 9 9 1,442 4,168
Corporate bonds 0 10,187 10,187 0 279 279 70,047 27,186
Equity securities 0 18,741 18,741 3,657 636 4,293 194,224 1 109,851 1
Other collateral 0 4,733 4,733 3 18 21 28,808 12,889
Total  0 121,648 2 121,648 7,069 72,846 2 79,915 577,351 2 412,399 2
1
The Equity Prime Brokerage business consists of clients acquiring long and short positions in the market in a Credit Suisse account along with the appropriate margins. In the case of a counterparty default, Credit Suisse gains control over the long positions and are free to sell them to cover the exposure and the long positions are thus considered as "collateral received". On the other hand, the short positions are considered as "trades" and are not reported in the disclosure as "posted collateral".
2
Reflects an update of the dataset, primarily related to revised reporting of agency lending transactions, as well as an enhanced collateral allocation for derivatives. Prior period has been corrected.
Credit derivatives exposures
We enter into derivative contracts in the normal course of business for market making, positioning and arbitrage purposes, as well as for our own risk management needs, including mitigation of interest rate, foreign currency and credit risk. Derivative exposure also includes economic hedges where the Group enters into derivative contracts for its own risk management purposes, but where the contracts do not qualify for hedge accounting under US GAAP. Derivative exposures are calculated according to regulatory methods, using either the current exposures method or approved IMM. These regulatory methods take into account potential future movements and as a result generate risk exposures that are greater than the net replacement values disclosed for US GAAP.
As of the end of 4Q20, no credit derivatives were utilized that qualify for hedge accounting under US GAAP.
> Refer to “Derivative instruments” (pages 170 to 172) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis in the Credit Suisse Annual Report 2020 for further information on derivative instruments, including counterparties and their creditworthiness.
> Refer to “Note 33 – Derivatives and hedging activities” (pages 351 to 357) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the fair value of derivative instruments and the distribution of current credit exposures by types of credit exposures.
> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” (pages 326 to 329) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on netting benefits, netted current credit exposures, collateral held and net derivatives credit exposure.
The following table presents the extent of the Group’s exposures to credit derivative transactions as protection bought or sold.
CCR6 – Credit derivatives exposures
   4Q20 2Q20

end of		 Protection
bought		 Protection
sold		 Protection
bought		 Protection
sold
Notionals (CHF billion)   
Single-name CDS 104.8 88.0 111.9 91.7
Index CDS 170.1 149.4 202.6 171.3
Total return swaps 7.4 7.0 8.5 7.3
Credit options 0.5 0.0 0.5 0.0
Other credit derivatives 33.1 22.1 51.9 30.2
   of which credit default swaptions  33.1 22.1 51.9 30.2
Total notionals  315.9 266.5 375.4 300.5
Fair values (CHF billion)   
Positive fair value (asset) 2.5 4.0 4.6 2.3
Negative fair value (liability) 5.8 2.1 3.8 3.7
Includes the client leg of cleared credit derivatives.
52
RWA flow statements of CCR exposures under IMM
The following table presents the 4Q20 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
4Q20
CHF million   
Risk-weighted assets at beginning of period  17,888
Asset size (2,694)
Credit quality of counterparties 443
Model and parameter updates 362
Methodology and policy changes 1,316
Foreign exchange impact (726)
Risk-weighted assets at end of period  16,589
> Refer to “RWA flow statements of credit risk exposures under IRB” (pages 36 to 37) in Credit risk for definitions of the RWA flow statements components.
CCR RWA under IMM decreased CHF 1.3 billion to CHF 16.6 billion compared to the end of 3Q20, primarily driven by decreases relating to movements in risk levels attributable to asset size and a negative foreign exchange impact, partially offset by methodology and policy changes. The decreases in risk levels attributable to asset size were primarily driven by decreased secured financing exposures. The movement in methodology and policy changes reflected the phase-in of certain Basel III revisions for counterparty credit risk pertaining to SA-CCR for derivatives.
Exposures to central counterparties
The following table presents a comprehensive picture of the Group’s exposure to CCPs.
CCR8 – Exposures to central counterparties
   4Q20 2Q20

end of		 EAD
(post-CRM)
RWA		 EAD
(post-CRM)
RWA
CHF million   
QCCPs 
Exposures for trades at QCCPs 16,282 343 22,205 464
   of which OTC derivatives  10,593 229 12,696 274
   of which exchange-traded derivatives    5,206 104 8,670 173
   of which SFTs  483 10 839 17
Segregated initial margin 4,132 – 2,844 –
Non-segregated initial margin 1 – – – –
Pre-funded default fund contributions 3,685 1,560 3,700 788
Total exposures to QCCPs  – 1,903 – 1,252
Non-QCCPs 
Exposures for trades at non-QCCPs 21 21 36 36
   of which SFTs  21 21 36 36
Pre-funded default fund contributions 7 84 1 12
Total exposures to non-QCCPs  – 105 – 48
1
Exposures associated with initial margin, where the exposures are measured under the IMM/SA-CCR, have been included within the exposures for trades.
53
Securitization
General
The following disclosures, which also considers the “Industry good practice guidelines on Pillar 3 disclosure requirements for securitization”, refer to traditional and synthetic securitizations held in the banking and trading book and regulatory capital on these exposures calculated according to the Basel framework for securitizations.
> Refer to “Note 35 – Transfers of financial assets and variable interest entities” (pages 361 to 370) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on securitization, the various roles, the use of SPEs, the involvement of the Group in consolidated and non-consolidated SPEs, the accounting policies for securitization activities and methods and key assumptions applied in valuing positions retained/purchased and gains/losses relating to RMBS and CMBS securitization activity in 2020.
A traditional securitization is a structure where an underlying pool of assets is sold to an SPE which pays for the assets by issuing tranched securities collateralized by the underlying asset pool. A synthetic securitization is a tranched structure where the credit risk of an underlying pool of assets is transferred, in whole or in part, through the use of credit derivatives or guarantees that may serve to hedge the credit risk of the portfolio. Many synthetic securitizations are not accounted for as securitizations under US GAAP. In both traditional and synthetic securitizations, risk is dependent on the seniority of the retained interest and the performance of the underlying asset pool.
Roles and activities in connection with securitization
Securitization in the banking book
The Group is active in various roles in connection with securitization, including originator, investor and sponsor. As originator, the Group creates or purchases financial assets (e.g., commercial mortgages or corporate loans) and then securitizes them in a traditional or synthetic transaction that achieves significant risk transfer to third party investors. The Group acts as liquidity provider to Alpine Securitization Ltd. (Alpine), a multi-seller commercial paper conduit administered by Credit Suisse and also provides liquidity to a couple of Asset Backed Commercial Paper programs managed by third party administrators.
In addition, the Group invests in securitization-related products created by third parties.
The Group has both securitization and re-securitization transactions in the trading and banking book referencing different types of underlying assets including real estate loans (commercial and residential).
Securitization in the trading book
Within its mortgage business there are four key roles that the Group undertakes within securitization markets: issuer, underwriter, market maker and financing counterparty. The Group holds one of the top trading franchises in market making in all major securitized product types and is a top issuer and underwriter in the re-securitization market in the US as well as being one of the top underwriters in asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) securitization in the US. Since the last quarter of 2019, the Group has not held eligible correlation trading positions.
The Group’s key objective in relation to trading book securitization is to meet clients’ investment and divestment needs by making markets in securitized products across all major collateral types, including residential mortgages, commercial mortgages, asset finance (i.e. auto loans, credit card receivables, etc.) and corporate loans. The Group focuses on opportunities to intermediate transfers of risk between sellers and buyers.
The Group is also active in new issue securitization and re-securitization. The Group’s Securitized Products Finance team provides short-term secured warehouse financing to clients who originate credit card, auto loan, and other receivables, and the Group sells asset-backed securities collateralized by these receivables to provide its clients long-term financing that matches the lives of their assets.
At times, the Group purchases loans and bonds for the purpose of securitization and sells these assets to SPEs which in turn issue new securities. Re-securitizations of previously issued mortgage-backed securities (typically RMBS) securities occur when certificates issued out of an existing securitization vehicle are sold into a newly created and separate securitization vehicle.
Risks assumed and retained
Key risks retained while securities or loans remain in inventory are related to the performance of the underlying assets (residential real estate loans, commercial loans, credit card loans, etc.) and to movements in spreads. These risks are summarized in the securitization pool level attributes: PD of underlying loans (default rate), the severity of loss and prepayment speeds. The transactions may also be exposed to general market risk, credit spread and counterparty credit risk.
The Group maintains models for both government-guaranteed and private label mortgage products. These models project the above risk drivers based on market interest rates and volatility as well as macro-economic variables such as housing price index, projected GDP and inflation, unemployment etc.
In its role as a market maker, the Group actively trades in and out of positions. Both Front Office and Risk Management continuously monitor liquidity risk as reflected in trading spreads and trading volumes. To address liquidity concerns a specific set of limits on the size of aged positions are in place for the securitized positions we hold.
The Group classifies securities within the transactions by the nature of the collateral (residential, commercial, ABS, CLOs, etc.) and the seniority each security has in the capital structure (i.e. senior, mezzanine, subordinate etc.), which in turn will be reflected in the transaction risk assessment. Risk Management
54
monitors portfolio composition by capital structure and collateral type on a daily basis with subordinate exposure and each collateral type subject to separate risk limits and risk flags. In addition, the Group’s internal risk methodology is designed such that risk charges are based on the place the particular security holds in the capital structure, the less senior the bond the higher the risk charges.
For re-securitization risk, the Group’s risk management models take a ‘look through’ approach where they model the behavior of the underlying securities or constituent counterparties based on their own particular collateral and then transmit that to the re-securitized position. No additional risk factors are considered within the re-securitization portfolios in addition to those identified and measured within securitization risk.
With respect to both the wind-down corporate correlation trading portfolio and the on-going transactions the key risks that need to be managed includes default risk, counterparty credit risk, correlation risk and cross effects between spread and correlation. The impacts of liquidity risk for securitization products is embedded within the firm’s historical simulation model through the incorporation of market data from stressed periods, and in the scenario framework through the calibration of price shocks to the same period.
Both correlation and first-to-default are valued using a correlation model which uses the market implied correlation and detailed market data such as constituent spread term structure and constituent recovery. The risks embedded in securitization and re-securitizations are similar and include spread risk, recovery risk, default risk and correlation risk. The risks for different seniority of tranches will be reflected in the tranche price sensitivities to each constituent in the pools. The complexity of the correlation portfolio’s risk lies in the level of convexity and cross risk inherent, for example, the risks to large spread moves and the risks to spread and correlation moving together. The risk limit framework is carefully designed to address the key risks for the correlation trading portfolio.
Monitoring of changes in credit and market risk of securitization exposures
The Group has in place a comprehensive risk management process whereby the Front Office and Risk Management work together to monitor positions and position changes, portfolio structure and trading activity and calculate a set of risk measures on a daily basis using risk sensitivities and exposures.
For the mortgage business the Group also uses monthly remittance reports (available from public sources) to get up to date information on collateral performance (delinquencies, defaults, pre-payment etc.). Monthly or quarterly reports (sourced directly from the originator or sponsor of the securitization) are used to monitor performance of most banking book securitizations.
Risk Management has also put in place a set of key risk limits for the purpose of managing the Group’s risk appetite framework in relation to securitizations/re-securitizations. These limits will cover exposure measures, risk sensitivities, VaR and capital measures with the majority monitored on a daily basis. In addition within the Group’s risk management framework an extensive scenario analysis framework is in place whereby all underlying risk factors are stressed to determine portfolio sensitivity.
Re-securitized products in the mortgage business go through the same risk management process but looking through the structures with the focus on the risk of the underlying securities or constituent names.
Retained banking book exposures for mortgage, ABS, commercial mortgage-backed securities (CMBS) and collateralized debt obligation (CDO) transactions are risk managed on the same basis as similar trading book transactions.
Risk mitigation
In addition to the strict exposure limits noted above, the Group uses a number of different risk mitigation approaches to manage risk appetite for securitization and re-securitization exposures. Where true counterparty credit risk exposure is identified for a particular transaction, there is a requirement for it to be approved through normal credit risk management processes with collateral taken as required. The Group also may use various proxies including corporate single name and index hedges and equity hedges to mitigate the price and spread risks to which it is exposed. Hedging decisions are made by the trading desk based on current market conditions and will be made in consultation with Risk Management. Trades that are unusual and material trades are required to be reviewed and approved under the Group’s Pre-Trade Approval governance process. International investment banks are the main counterparties to the hedges that are used across these business areas.
Affiliated entities
In the normal course of business it is possible for the Group’s managed separate account portfolios and the Group’s controlled investment entities, such as mutual funds, fund of funds, private equity funds and other fund linked products to invest in the securities issued by other vehicles sponsored by the Group engaged in securitization and re-securitization activities. To address potential conflicts, standards governing investments in affiliated products and funds have been adopted.
55
Regulatory capital treatment of securitization structures
Banking book securitization
For banking book securitizations, the regulatory capital requirements are calculated since January 2018 with the following approaches: the Securitization Internal Ratings-Based Approach (SEC-IRBA), the Securitization External Ratings-Based Approach (SEC-ERBA), or the Securitization Standardized Approach (SEC-SA). External ratings used in regulatory capital calculations for securitization risk exposures in the banking book are obtained from Fitch, Moody’s, Standard & Poor’s or Dominion Bond Rating Service.
Trading book securitization
We use the standardized measurement method (SMM) which is based on the ratings-based approach and the supervisory formula approach for securitization purposes and other supervisory approaches for trading book securitization positions covering the approach for nth-to-default products and portfolios covered by the weighted average risk weight approach.
Securitization exposures in the banking book
Securitization exposures presented in the following table represent the EAD.
Securitization exposures in the banking book where the Group acts as originator decreased CHF 2.1 billion compared to the end of 2Q20, primarily reflecting a negative foreign exchange impact and updates in trades in wholesale exposures.
Securitization exposures in the banking book where the Group acts as investor decreased CHF 1.5 billion compared to the end of 2Q20, primarily relating to reductions in exposures for residential mortgages.
SEC1 – Securitization exposures in the banking book
   Bank acts as originator Bank acts as sponsor Bank acts as investor
end of Traditional Synthetic Total Traditional Synthetic Total Traditional Synthetic Total
4Q20 (CHF million)   
Residential mortgages 134 1,246 1,380 0 0 0 1,387 233 1,620
Credit card 0 0 0 205 0 205 1,445 0 1,445
Other retail exposures 195 456 651 3,148 0 3,148 2,704 190 2,894
Re-securitization 17 0 17 0 0 0 145 1 146
Total retail  346 1,702 2,048 3,353 0 3,353 5,681 424 6,105
Loans to corporates 0 24,187 24,187 652 0 652 2,179 0 2,179
Commercial mortgages 49 12,091 12,140 0 0 0 1,003 3 1,006
Lease and receivables 0 0 0 1,263 0 1,263 643 0 643
Other wholesale 834 0 834 1,127 0 1,127 1,173 34 1,207
Re-securitization 0 0 0 0 0 0 0 0 0
Total wholesale  883 36,278 37,161 3,042 0 3,042 4,998 37 5,035
Total  1,229 37,980 39,209 6,395 0 6,395 10,679 461 11,140
2Q20 (CHF million)   
Residential mortgages 140 1,145 1,285 0 0 0 2,935 254 3,189
Credit card 0 0 0 340 0 340 1,558 0 1,558
Other retail exposures 124 439 563 2,803 0 2,803 2,405 161 2,566
Re-securitization 19 0 19 0 0 0 179 1 180
Total retail  283 1,584 1,867 3,143 0 3,143 7,077 416 7,493
Loans to corporates 0 26,122 26,122 499 0 499 2,338 0 2,338
Commercial mortgages 48 11,836 11,884 1,159 0 1,159 569 4 573
Lease and receivables 0 0 0 1,383 0 1,383 826 0 826
Other wholesale 1,396 0 1,396 600 0 600 1,261 134 1,395
Total wholesale  1,444 37,958 39,402 3,641 0 3,641 4,994 138 5,132
Total  1,727 39,542 41,269 6,784 0 6,784 12,071 554 12,625
56
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
4Q20 (CHF million)   
Residential mortgages 4 0 4 0 0 0 1,790 32 1,822
Credit card 0 0 0 0 0 0 34 33 67
Other retail exposures 0 0 0 0 0 0 57 42 99
Re-securitization 13 0 13 0 0 0 42 1 43
Total retail  17 0 17 0 0 0 1,923 108 2,031
Loans to corporates 0 0 0 0 0 0 156 109 265
Commercial mortgages 62 0 62 0 0 0 757 84 841
Lease and receivables 0 0 0 0 0 0 188 51 239
Total wholesale  62 0 62 0 0 0 1,101 244 1,345
Total  79 0 79 0 0 0 3,024 352 3,376
2Q20 (CHF million)   
Residential mortgages 103 0 103 0 0 0 2,956 21 2,977
Credit card 0 0 0 0 0 0 21 8 29
Other retail exposures 0 0 0 0 0 0 107 56 163
Re-securitization 17 0 17 0 0 0 75 2 77
Total retail  120 0 120 0 0 0 3,159 87 3,246
Loans to corporates 0 0 0 0 0 0 234 20 254
Commercial mortgages 90 0 90 0 0 0 675 24 699
Lease and receivables 0 0 0 0 0 0 105 4 109
Total wholesale  90 0 90 0 0 0 1,014 48 1,062
Total  210 0 210 0 0 0 4,173 135 4,308
57
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 62) 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
4Q20 (CHF million)   
Total exposures  41,145 3,175 1,016 211 57 38,473 742 6,332 57 7,187 803 1,889 711 542 59 143 57
Traditional securitization 4,372 2,106 949 162 36 834 742 6,013 36 523 803 1,767 447 24 59 133 36
   of which securitization  4,372 2,106 949 162 19 834 742 6,013 19 523 803 1,767 231 24 59 133 19
      of which retail underlying  2,779 733 150 15 7 0 506 3,170 7 0 330 654 84 0 21 44 7
      of which wholesale  1,593 1,373 799 147 12 834 236 2,843 12 523 473 1,113 147 24 38 89 12
   of which re-securitization  0 0 0 0 17 0 0 0 17 0 0 0 216 0 0 0 17
      of which senior  0 0 0 0 12 0 0 0 12 0 0 0 155 0 0 0 12
      of which non-senior  0 0 0 0 5 0 0 0 5 0 0 0 61 0 0 0 5
Synthetic securitization 36,773 1,069 67 49 21 37,639 0 319 21 6,664 0 122 264 518 0 10 21
   of which securitization  36,773 1,069 67 49 21 37,639 0 319 21 6,664 0 122 264 518 0 10 21
      of which retail underlying  1,573 119 0 4 5 1,697 0 0 5 338 0 0 65 27 0 0 5
      of which wholesale  35,200 950 67 45 16 35,942 0 319 16 6,326 0 122 199 491 0 10 16
2Q20 (CHF million)   
Total exposures  39,882 6,416 1,061 635 59 40,733 707 6,554 59 8,017 772 1,558 738 603 56 125 59
Traditional securitization 5,136 1,759 993 587 36 1,396 707 6,372 36 861 772 1,489 450 31 56 119 36
   of which securitization  5,136 1,759 993 587 17 1,396 707 6,372 17 861 772 1,489 216 31 56 119 17
      of which retail underlying  2,565 533 282 16 12 0 483 2,913 12 0 342 571 150 0 22 46 12
      of which wholesale  2,571 1,226 711 571 5 1,396 224 3,459 5 861 430 918 66 31 34 73 5
   of which re-securitization  0 0 0 0 19 0 0 0 19 0 0 0 234 0 0 0 19
      of which senior  0 0 0 0 15 0 0 0 15 0 0 0 192 0 0 0 15
      of which non-senior  0 0 0 0 4 0 0 0 4 0 0 0 42 0 0 0 4
Synthetic securitization 34,746 4,657 68 48 23 39,337 0 182 23 7,156 0 69 288 572 0 6 23
   of which securitization  34,746 4,657 68 48 23 39,337 0 182 23 7,156 0 69 288 572 0 6 23
      of which retail underlying  1,498 77 0 4 4 1,580 0 0 4 328 0 0 52 26 0 0 4
      of which wholesale  33,248 4,580 68 44 19 37,757 0 182 19 6,828 0 69 236 546 0 6 19
58 / 59
SEC4 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as investor
   Exposure value (by RW band) Exposure value (by regulatory approach) RWA (by regulatory approach) Capital charge after cap

end of
<=20% RW		 >20% to
50% RW		 >50% to
100% RW		 >100% to
<1250% RW
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
4Q20 (CHF million)   
Total exposures  8,224 1,594 922 396 4 1,896 858 8,382 4 284 365 2,624 46 22 29 181 4
Traditional securitization 8,049 1,396 845 384 4 1,896 581 8,197 4 284 219 2,576 46 22 18 178 4
   of which securitization  8,049 1,396 845 239 4 1,896 581 8,053 4 284 219 2,384 46 22 18 163 4
      of which retail underlying  4,188 1,011 292 45 0 0 114 5,422 0 0 62 1,108 0 0 5 89 0
      of which wholesale  3,861 385 553 194 4 1,896 467 2,631 4 284 157 1,276 46 22 13 74 4
   of which re-securitization  0 0 0 145 0 0 0 144 0 0 0 192 0 0 0 15 0
      of which senior  0 0 0 145 0 0 0 144 0 0 0 192 0 0 0 15 0
Synthetic securitization 175 198 77 12 0 0 277 185 0 0 146 48 0 0 11 3 0
   of which securitization  175 198 77 11 0 0 277 184 0 0 146 46 0 0 11 3 0
      of which retail underlying  138 198 77 11 0 0 274 150 0 0 144 41 0 0 11 3 0
      of which wholesale  37 0 0 0 0 0 3 34 0 0 2 5 0 0 0 0 0
   of which re-securitization  0 0 0 1 0 0 0 1 0 0 0 2 0 0 0 0 0
      of which senior  0 0 0 1 0 0 1 0 0 2 0 0 0 0 0
2Q20 (CHF million)   
Total exposures  8,970 2,544 788 322 1 2,172 978 9,474 1 326 444 3,299 12 26 35 193 1
Traditional securitization 8,739 2,316 706 311 0 2,172 659 9,240 0 326 292 3,255 0 26 23 190 0
   of which securitization  8,739 2,316 706 132 0 2,172 659 9,061 0 326 292 3,008 0 26 23 170 0
      of which retail underlying  5,002 1,497 345 55 0 0 158 6,740 0 0 84 1,676 0 0 7 114 0
      of which wholesale  3,737 819 361 77 0 2,172 501 2,321 0 326 208 1,332 0 26 16 56 0
   of which re-securitization  0 0 0 179 0 0 0 179 0 0 0 247 0 0 0 20 0
      of which non-senior  0 0 0 179 0 0 0 179 0 0 0 247 0 0 0 20 0
Synthetic securitization 231 228 82 11 1 0 319 234 1 0 152 44 12 0 12 3 1
   of which securitization  231 228 82 11 0 0 319 234 0 0 152 44 0 0 12 3 0
      of which retail underlying  93 228 82 11 0 0 315 100 0 0 151 24 0 0 12 2 0
      of which wholesale  138 0 0 0 0 0 4 134 0 0 1 20 0 0 0 1 0
   of which re-securitization  0 0 0 0 1 0 0 0 1 0 0 0 12 0 0 0 1
      of which senior  0 0 0 0 1 0 0 0 1 0 0 0 12 0 0 0 1
60 / 61
Market risk
General
We use the advanced approach for calculating the market risk capital requirements for the majority of our market risk exposures. As of December 31, 2020, 92% of our market risk RWA are computed using internal models. In line with regulatory requirements, the SMM is used for the specific risk of securitized exposures.
> Refer to “Regulatory capital treatment of securitization structures” (page 56) in Securitization – General for further information on the standardized measurement method and other supervisory approaches.
Risk management objectives and policies for market risk
> Refer to “Market risk” (pages 153 to 157) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for information on our risk management objectives and policies for market risk.
> Refer to “Note 1 – Summary of significant accounting policies” (pages 281 to 282) and “Note 33 – Derivatives and hedging activities” (pages 351 to 357) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on policies for hedging risk and strategies/processes for monitoring the continuing effectiveness of hedges.
Market risk reporting
Market risk reporting is performed on a daily, weekly and monthly basis across various levels of the organization, including the Group, its legal entities and the business divisions. The audience of these reports includes senior management within CRCO, the Front Office and the Board of Directors.
Market risk under standardized approach
The following table shows the components of the capital requirement under the standardized approach for market risk.
MR1 – Market risk under standardized approach
end of 4Q20 2Q20
Risk-weighted assets (CHF million)   
Securitization 1,478 1,792
Total risk-weighted assets  1,478 1,792
Market risk under internal model approach
General
The market risk internal model approach (IMA) framework includes regulatory VaR, stressed VaR, risks not in VaR (RNIV) and Incremental Risk Charge (IRC). RNIV includes certain stressed RNIV. In 2014, Comprehensive Risk Measure was discontinued due to the small size of the correlation trading portfolio. Since the last quarter of 2019, the Group has not held eligible correlation trading positions.
The following table shows the main characteristics of the different models.
MRB - Internal model approach - overview
Regulatory VaR Stressed VaR IRC
Method applied   Historical simulation
 Historical simulation
 Portfolio loss
simulation
Data set  2 years 1 Year –
Holding period  10 days (overlapping) 10 days (overlapping) One-year liquidity horizon
Confidence level  99% equivalent 99% equivalent 99.9%
Population      Regulatory trading book
(where applicable, foreign
exchange and commodity
risks in the regulatory
banking book are added)		 Regulatory trading book
(where applicable, foreign
exchange and commodity
risks in the regulatory
banking book are added)		 Regulatory trading book
subject to issuer default
and migration risk
(excl. securitizations and
correlation trades)
62
The following table shows a breakdown of RWA covered by each of the models.
MRB - IMA - Risk-weighted assets
end of 4Q20 CHF billion in %
Risk-weighted assets   
Regulatory VaR 3.9 23
Stressed VaR 5.7 33
RNIV 5.0 30
IRC 2.3 14
Total risk-weighted assets  16.8 100
Regulatory VaR, stressed VaR and risks not in VaR
The regulatory VaR and stressed VaR models primarily cover the activities of Credit Suisse’s business units that are held within trading books. The models are predominantly based on the industry standard historical simulation approach. They include risk types covering equity, currency, interest rate, commodity and credit spread risks. The models are also used to capture foreign exchange and commodity risk within banking books where required by the regulator.
The objective of Credit Suisse is to ensure the greatest consistency possible between the model used for the Group and the one used for subsidiaries and other legal entities. The model used in all instances is based on the same historical simulation approach but precise configuration and inclusion of risk types may differ for a variety of reasons. These include timing differences in receiving the necessary regulatory approvals (in which case the differences may be temporary) or different supervisory requirements or interpretations (in which case the differences may be expected to remain).
The Group model is used for Credit Suisse AG (consolidated and parent company), Credit Suisse (Schweiz) AG and Credit Suisse (Hong Kong) Ltd. The model used for Credit Suisse Holdings (USA), Credit Suisse Capital LLC, Credit Suisse International and Credit Suisse Securities (Europe) Limited is similar but is based on a one-tailed percentile rather than expected shortfall.
The market data in the model is updated on an at least weekly basis (some current rates/spreads required by the model are updated on a daily basis). Expected shortfall is the preferred tail measure where permitted and is calibrated to be equivalent to a 99% confidence level.
The risk management VaR model for the Group is similar to the regulatory VaR model with a few differences. Certain positions excluded from regulatory and stressed VaR can be included for risk management purposes, such as specific risk from securitization positions and certain banking book exposures. The holding period for risk management VaR is 1 day. The tail measure for risk management is calibrated to be equivalent to a 98% confidence level rather than the regulatory 99%.
The regulatory VaR model for the Group and its entities uses a two-year lookback window and an exponential weighting scheme with a time decay factor of 0.994. The weighting is calibrated to ensure a balance between responsiveness to shifts in market regime changes and regulatory requirements. The requirement to have a 10-day holding period is met by using actual 10-day overlapping historical scenarios, it does not scale 1-day historical scenarios. The methods used to simulate the potential movements, i.e. the historical scenarios, in risk factors are primarily dependent on the risk types. For risk types pertaining to equity prices, foreign exchange rates and volatilities, the scenarios are modelled as a function of proportional historical moves. For certain spread risks, the scenarios are modelled as a function of absolute historical moves. For some risk types, such as swap spreads and emerging markets credit spreads, a mixed approach is used. The P&L vectors are generated by applying the historical scenarios to a variety of exposure measures; Taylor Series approximations, partial revaluation ladders and grids as well as full revaluation, depending on the complexity and linearity of the underlying risks.
The stressed VaR model for the Group and its entities uses 10 day historical scenarios calculated within a 1 year historical stressed observation period with no exponential weighting applied, except for Credit Suisse Holdings (USA) where stressed VaR uses regulatory VaR time weighting parameters. The underlying risk types are simulated using the same approaches as for regulatory VaR. The 1-year period of stress is assessed on a monthly basis by calculating stressed VaR for a range of alternative 1-year periods taking into account recent portfolio compositions.
The Group has IMA permission for modelling both general market and specific risk of debt and equity instruments. There are two approaches used to model general and specific risk:
■ Full simulation approach: This approach uses an individual risk factor for each security. Therefore, for each security, this approach incorporates both specific risk and general risk within the same risk factor.
■ Regression approach: This approach uses a common risk factor across related securities in conjunction with additional specific risk add-ons for each security. This modelling approach segregates historical price variations into general and specific risk components.
Under the full simulation approach, scenario P&Ls incorporating both specific and general risk are aggregated in the historical simulation VaR via individual risk factor time series. Under the regression approach, scenario P&Ls corresponding to general risk are aggregated in the historical simulation VaR, while for each specific risk, a VaR is calculated by applying either a 1st or a 99th percentile historical move (depending on the direction of the position). Specific risk VaR components are then aggregated with historical simulation VaR under a zero correlation assumption (square root sum of squares).
63
In addition to the regulatory VaR and stressed VaR models Credit Suisse operates a RNIV framework. This is applied to the same activities as the VaR/stressed VaR model but covers risk types that are not included in the internal model due, for example, to a lack of historical data or other model constraints. The purpose of the RNIV framework is to ensure that capital is held to meet all risks which are not captured, or not captured adequately, by the firm’s VaR and stressed VaR models. These include, but are not limited to risk factors such as cross-risks and higher-order risks.
The performance of our internal models is regularly monitored and discussed at internal risk governance committees which review the regulatory backtesting results in addition to internal metrics of model performance. Position information flowing into the VaR model is reviewed daily, historical market data is reviewed before going live on a weekly basis, and model parameters are reviewed regularly.
Stress testing analysis is performed on a periodic basis to ensure model stability and robustness against an adverse market environment. For this purpose, impacts from large changes in inputs and parameters are simulated and assessed against expected model outputs under different stress scenarios.
> Refer to “Market risk” (pages 153 to 157) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on VaR, including VaR limitations, VaR backtesting, stress testing, VaR governance and differences between the model used for risk management purposes and the model used for regulatory purposes.
Incremental Risk Charge
The IRC capitalizes issuer default and migration risk in the trading book, arising from positions such as bonds or CDS, but excluding securitizations and the correlation trading portfolio. Credit Suisse has received approval from FINMA, as well as from regulators of several of our subsidiaries, to use our IRC model.
The IRC model assesses risk at 99.9% confidence level over a one-year time horizon assuming the Constant Position Assumption, i.e. a single liquidity horizon of one year. This corresponds to the most conservative assumption on liquidity that is available under IRC regulatory rules.
The IRC portfolio model is a Merton-type portfolio model designed to calculate the cumulative loss at the 99.9% confidence level. The model’s design is based on the same principles as industry standard credit portfolio models including the Basel II A-IRB model. Systematic risks are captured in the IRC model by employing a multi-factor asset correlation framework that enables the capture of sectorial and regional concentrations.
As part of the exposure aggregation model, stochastic recovery rates are used to capture recovery rate uncertainty, including the case of basis risks on default, where different instruments issued by the same issuer can experience different recovery rates.
To achieve the IRB soundness standard, Credit Suisse uses IRC parameters that typically are either based on the A-IRB reference data sets (migration matrices including PDs, LGDs, LGD correlation and volatility), or parameters based on other internal or external data covering more than ten years of history and including periods of stress.
RWA flow statements of market risk exposures under an IMA
The following table presents the 4Q20 flow statement explaining variations in the market risk RWA determined under an internal model approach (IMA).
Market risk RWA under an IMA increased 10% to CHF 16.8 billion compared to the end of 3Q20, primarily due to an increase in stressed VaR, reflecting an increase in average risk levels.
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA

4Q20		 Regulatory
VaR		 Stressed
VaR
IRC
Other		 1
Total
CHF million   
Risk-weighted assets at beginning of period  3,453 4,731 1,934 5,178 15,296
Regulatory adjustment 182 932 0 (80) 1,034
Risk-weighted assets at beginning of period (end of day)  3,635 5,663 1,934 5,098 16,330
Movement in risk levels 1,191 954 492 290 2,927
Model and parameter updates (52) 0 0 146 94
Foreign exchange impact (162) (236) (92) (224) (714)
Risk-weighted assets at end of period (end of day)  4,612 6,381 2,334 5,310 18,637
Regulatory adjustment (755) (715) 0 (328) (1,798)
Risk-weighted assets at end of period  3,857 5,666 2,334 4,982 16,839
1
Risks not in VaR (RNIV).
64
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
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 charge at the Group level, before any additional capital charge is applied.
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge
in / end of 2H20 1H20
CHF million   
Regulatory VaR (10 day 99%) 
   Maximum value  123 267
   Average value  98 112
   Minimum value  81 60
   Period end  123 94
Stressed VaR (10 day 99%) 
   Maximum value  179 282
   Average value  141 169
   Minimum value  102 96
   Period end  170 168
IRC (99.9%) 
   Maximum value  208 160
   Average value  152 109
   Minimum value  112 76
   Period end  187 113
During 2H20, the increases in period end regulatory VaR and IRC were primarily driven by the model enhancements related to credit products and increased traded credit exposures.
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.
65
In April 2020, FINMA allowed a temporary freeze on backtesting exceptions impacting the capital multiplier, expiring on July 1, 2020. In June 2020, FINMA confirmed that (i) all recent exceptions that are proven by the institution as not attributable to a lack of precision of the risk aggregation model can be disregarded; and (ii) the exemption will be fundamentally incorporated into future supervisory practice.
In 2H20, we had no backtesting exception in our regulatory VaR model. Since there were fewer than five backtesting exceptions in the rolling 12-month period through the end of 4Q20, in line with BIS industry guidelines, the bank is in the “green zone”.
66
Interest rate risk in the banking book
Risk management objectives and policies
Overview
The Group manages interest rate risk in the banking book (IRRBB) both in terms of risk to earnings as well as risk to the economic value of the asset and liability position, arising from changes in interest rates.
The Group monitors IRRBB through established systems, processes and controls. Risk measures are provided to estimate the impact of changes in interest rates, which is one of the primary ways in which IRRBB is assessed for risk management purposes.
The Group does not have a regulatory requirement to hold capital against IRRBB. The economic impacts of adverse shifts in interest rates from FINMA-defined scenarios are significantly below 15% of tier 1 capital the threshold used by the regulator to identify banks that potentially run excessive levels of interest rate risk at group and legal entity levels.
Major sources of interest rate risk in the banking book
We assume interest rate risks in our banking book through lending and deposit-taking, money market and funding activities, and the deployment of our consolidated equity, as well as other activities involving banking book positions at the divisional level. Non-maturing products, such as savings accounts, have no contractual maturity date or direct market-linked interest rate and are risk-managed on a pooled basis using replication portfolios on behalf of the business divisions. Replicating portfolios transform non-maturing products into a series of fixed-term products that approximate the re-pricing and volume behavior of the pooled client transactions.
Risk management and control governance
The Group’s overarching objective is to manage the risk of banking book positions in an efficient and controlled manner, across both regulatory constraints and the Group’s risk appetite frameworks. The Group applies the three lines of defense model to IRRBB with clear segregation between the CFO and the businesses (first line), the CRCO (second line) and Internal Audit (third line).
Oversight of business strategies, new initiatives, risk measures and risk appetite is provided by a set of governance committees. The CARMC is the main governance committee for the Group’s funding, liquidity and capital management. The CARMC is responsible for the Group’s IRRBB risk control framework and escalation of risk constraint breaches.
The Group’s RPSC and associated sub-committees are responsible for the oversight and approval of IRRBB-related risk models, global policies, manuals, guidelines and procedures. Divisional and legal entity risk management committees review IRRBB-related matters specific to their local entities and jurisdictions.
Independent model validation is performed by the model risk management function, a CRCO unit independent from model developers, which follows specific quality standards and procedures, such as minimum revalidation cycles. The validation outcome is presented to management and to the RPSC for model approval, in accordance with model development policies.
IRRBB is integrated into the Group’s risk appetite framework and is considered by risk constraints formulated by the Group’s Board of Directors for both earnings- and economic value-based risk measures. The Group’s IRRBB risk appetite level – in terms of the change in net present values, also referred to as “delta economic value of equity (∆EVE)” – is primarily driven by the available capital and is allocated to the Group’s material legal entities.
Additionally, the crisis response framework can be triggered by management, for example, due to changing market conditions, and requires IRRBB to be quantitatively assessed in response to a specific crisis event. Since crisis reporting can be triggered anytime, the risk measures may need to be generated on an ad hoc basis, outside the recurring production cycles, to provide management with timely reports focused on the identified driver.
Internal Audit regularly assesses the design and operating effectiveness of our interest rate risk management processes and controls, according to the annual audit plan. Internal Audit is independent from the departments involved in the measurement and management of IRRBB and directly reports to the Group’s Board of Directors.
Hedging
The Group assumes a conservative IRRBB risk strategy, which aims to keep a low exposure profile to economic value risks while maintaining high earnings’ stability. This is achieved mainly by systematic hedging of issued debt and open interest rate risk arising from loans and deposit maturity mismatches in the private banking business.
The main instruments used for hedging are interest rate swaps. Most of these swaps qualify for hedge accounting treatment under US GAAP, which allows for the reduction of economic risks without increasing accounting volatility.
67
Key risk measures
We monitor the change in net interest income, also referred to as “delta net interest income (∆NII)” on a monthly basis at both the Group and the divisional levels. This is performed by running internal interest rate stress test scenarios on a proprietary model, which follows the Group’s business logic and the expected client behavior. The regulatory ∆NII uses the modelling and parameter assumptions summarized below.
From an economic value perspective, key risk measures are the ∆EVE, representing the change in economic value based on shocked interest rate curves, and the interest rate sensitivity of a one basis point parallel increase in yield curves (DV01). Both are available to management on a daily basis. For internal risk management purposes, we monitor a ∆EVE measure, which covers all banking book positions. For the regulatory ∆EVE measure, we exclude bonds issued as additional tier 1 capital; this is in line with FINMA guidance. Additional ∆EVE modelling and parameter assumptions are summarized below. The regulatory ∆EVE measure is used for both the IRRBB outlier test and for the Pillar 3 disclosures. We monitor this regulatory risk measure on a monthly basis.
Risk measure scenarios
The Group has implemented the FINMA-mandated scenarios on the regulatory ∆EVE and ∆NII risk measures. Beyond the regulatory scenarios, we have also defined a comprehensive set of internal stress test scenarios. The scenarios are reviewed periodically in terms of both scenario selection and calibration of the shocks applied, reflecting changes in macroeconomic conditions and specific interest rate environments.
Key modelling and parametric assumptions
The following list summarizes the key modelling and parameter assumptions used in the IRRBBA1 and IRRBB1 tables:
Regulatory ∆EVE:
■ ∆EVE is measured by excluding client margins and applying risk-free discounting.
■ Following the internal approach for ∆EVE, the aggregation logic for each of the six prescribed regulatory scenarios allows for diversification between the different currencies.
■ Additional tier 1 capital is excluded from the regulatory ∆EVE measure.
■ ∆EVE is calculated using a sensitivity-based approach.
Regulatory ∆NII:
■ The regulatory constant balance sheet assumptions prescribe using both constant volumes and constant margins throughout the one-year horizon.
■ Volumes are kept constant, both in balance sheet size and product composition.
■ Margins are kept at a constant level for the new positions, in line with the maturing positions.
■ In accordance with regulatory guidance, cash positions held at central banks are excluded.
■ Under the regulatory banking book definition, the Group’s banking book contains more liabilities than assets. This is mainly due to trading book assets, which are funded out of banking books. The funding costs out of the banking book are included, while trading book revenues are excluded from the reporting. As a result, the banking book ∆NII disclosed does not include a material source of income.
■ ∆NII is measured including additional tier 1 capital instruments.
■ As of the reporting date, there are no material exposures to customer loans with prepayment optionality.
Additional assumptions and internal approach:
■ All the above-mentioned risk measures are generated based on granular position data and reflect the individual contractual details, while utilizing the latest available market data.
■ The non-maturing deposits’ average repricing maturity has been calculated based on the internal term-replication strategy.
■ The regulatory ∆EVE disclosure results are higher than the internal ∆EVE. This is due to the previously noted exclusion of additional tier 1 capital instruments in the regulatory ∆EVE.
■ The Group manages risks to NII considering internal models that differ from the regulatory ∆NII definition by including dynamic adjustments to client margins and volumes, benefits to or costs from holding cash at central banks and interest received from internal funding of assets by excess banking book liabilities. Under these assumptions, the NII results for the regulatory interest rate scenarios are more stable.
68
Quantitative disclosures
The following table presents the exposure’s structure and repricing period.
IRRBBA1 - Quantitative information on the exposure's structure and repricing period
              



Volume		 1


Average repricing
period (years)		 Maximum repricing
period for exposures
with modelled
(not determined)
repricing date (years)

end of 4Q20
Total		 of which
CHF		 of which
USD		 of which
EUR
Total		 of which
CHF
Total		 of which
CHF
CHF million, except where indicated   
Definite repricing date 2
Due from banks 114,776 3,604 67,912 12,385 0.1 0.0 – –
Due from customers 137,465 24,048 70,803 25,922 0.6 1.0 – –
Money market mortgages 38,373 38,373 0 0 0.3 0.3 – –
Fixed-rate mortgages 97,656 97,656 0 0 4.7 4.7 – –
Financial investments 3,154 139 123 0 0.3 0.1 – –
Other receivables 154 154 0 0 0.1 0.1 – –
Receivables from interest rate derivatives 3 1,266,402 211,047 809,186 146,684 1.0 1.2 – –
Due to banks (49,104) (5,888) (34,560) (1,191) 0.1 0.1 – –
Customer deposits (98,526) (13,173) (50,096) (12,601) 0.2 0.3 – –
Cash bonds (195) (195) 0 0 2.0 2.0 – –
Bonds issues and central mortgage institution loans (125,990) (15,637) (70,413) (27,393) 3.3 8.0 – –
Other payables (46,745) (2,741) (28,266) (11,285) 0.2 0.2 – –
Payables to interest rate derivatives 3 (1,263,498) (291,511) (750,585) (129,366) 0.8 1.2 – –
Indefinite repricing date 
Variable mortgages 1,175 1,175 0 0 0.1 0.1 – –
Other receivables on demand 2,048 734 698 530 0.1 0.1 – –
Payables on demand from personal accounts and current accounts (191,389) (91,049) (55,254) (33,191) 1.4 2.2 – –
Other payables on demand 0 0 0 0 0.1 0.1 – –
Payables arising from client deposits, terminable but not transferable (savings) (37,014) (37,014) 0 0 2.6 2.6 – –
Total  – – – – – – 8.0 8.0
1
Volume figures may differ from the respective accounting values under US GAAP, due to the impact of effective interest rate calculations and the treatment of loan loss provisions.
2
Additional Tier 1 capital is excluded.
3
Receivables and payables from interest rate derivatives are shown as gross figures, including intercompany transactions.
69
The following table presents information on the exposure’s regulatory ∆EVE and regulatory ∆NII.
IRRBB1 - Quantitative information on the regulatory ∆EVE and regulatory ∆NII
   ΔEVE 1 ΔNII 2
end of 4Q20 4Q19 4Q20 4Q19
Interest rate shock scenarios (CHF million)   3
Parallel up (1,955) (1,629) (3,103) (3,506)
Parallel down 2,585 1,939 3,812 4,277
Steepener shock (428) (129) – –
Flattener shock 90 (260) – –
Rise in short-term interest rates (755) (953) – –
Fall in short-term interest rates 1,075 918 – –
Maximum  (1,955) (1,629) (3,103) (3,506)
1
Reflects changes in the net present value.
2
Reflects changes in the earnings value.
3
All scenarios are in line with FINMA circular 2019/2.
IRRBB1 - Tier 1 capital
end of 4Q20 4Q19
Tier 1 capital (CHF million)   
Swiss CET1 capital and additional tier 1 capital 1 51,192 52,691
1
Excludes tier 1 capital, which is used to fulfill gone concern requirements.
The change in ∆EVE was due to DV01 exposure movements on our banking book positions in 2020. The main drivers are related to regular management of banking book activities and net interest income hedging activities, partially offset by the appreciation of the Swiss franc against the US dollar. The results are inflated due to the required exclusion of additional tier 1 capital instruments while the respective hedges have to be included in the ∆EVE. In 2020 additional tier 1 capital instrument issuances occurred.
Regarding ∆NII, changes are mainly driven by a decreased volume gap between assets and liabilities falling under the regulatory scope for the risk measure. This banking book liability excess is primarily arising from trading book assets being funded out of banking books as well as from the exclusion of cash at central banks and shareholders’ equity from the regulatory scope of ∆NII.
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Additional regulatory disclosures
Composition of capital
Credit Suisse is a systemically important financial institution.
> Refer to “Swiss capital requirements” (pages 4 to 5) 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 4Q20 Amounts Reference 1
Swiss CET1 capital (CHF million)
1 Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus 33,421 1
2 Retained earnings 32,789 2
3 Accumulated other comprehensive income (and other reserves) 2 (23,534) 3
6 CET1 capital before regulatory adjustments 42,676
8 Goodwill, net of tax (4,681) 4
9 Other intangible assets (excluding mortgage servicing rights), net of tax (271) 5
10 Deferred tax assets that rely on future profitability (excluding temporary differences), net of tax (1,070) 6
11 Cash flow hedge reserve (214)
12 Shortfall of provisions to expected losses (176)
14 Gains/(losses) due to changes in own credit on fair-valued liabilities 2,466
15 Defined benefit pension plan assets (2,249) 7
16 Investments in own shares (397)
21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of tax) 0 8
26b National specific regulatory adjustments (733)
28 Total regulatory adjustments to CET1 capital (7,325)
29 CET1 capital 35,351
30 Directly issued qualifying additional tier 1 instruments plus related stock surplus 3 15,888
32   of which classified as liabilities under applicable accounting standards 15,888 9
36 Additional tier 1 capital before regulatory adjustments 15,888
37 Investments in own additional tier 1 instruments (47)
43 Total regulatory adjustments to additional tier 1 capital (47)
44 Additional tier 1 capital 15,841
Swiss tier 1 capital (CHF million)
45 Tier 1 capital 51,192
Swiss tier 2 capital (CHF million)
46 Directly issued qualifying tier 2 instruments plus related stock surplus 4 961 10
47 Directly issued capital instruments subject to phase-out from tier 2 capital 273 11
58 Tier 2 capital 1,234
Swiss eligible capital (CHF million)
59 Total eligible capital 52,426
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
2
Includes treasury shares.
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 11.4 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.4 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
4
Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%.
71
CC1 - Composition of regulatory capital (continued)
end of 4Q20 Amounts Reference 1
Swiss risk-weighted assets (CHF million)   
60 Risk-weighted assets 275,576
Swiss risk-based capital ratios as a percentage of risk-weighted assets (%)   
61 CET1 capital ratio 12.8
62 Tier 1 capital ratio 18.6
63 Total capital ratio 19.0
BIS CET1 buffer requirements (%)   2      
64 Total BIS CET buffer requirement 3.522
65   of which capital conservation buffer 3 2.5
66   of which extended countercyclical buffer 0.022
67   of which progressive buffer for G-SIB and/or D-SIB 3 1.0
68 CET1 capital ratio available after meeting the bank's minimum capital requirements 4 8.3
Amounts below the thresholds for deduction (before risk weighting) (CHF million)   
72 Non-significant investments in the capital and other TLAC liabilities of other financial entities 2,572
73 Significant investments in the common stock of financial entities 1,653
74 Mortgage servicing rights, net of tax 155
75 Deferred tax assets arising from temporary differences, net of tax 2,859
Applicable caps on the inclusion of provisions in tier 2 (CHF million)   
77 Cap on inclusion of provisions in tier 2 under standardized approach 297
79 Cap for inclusion of provisions in tier 2 under internal ratings-based approach 784
Capital instruments subject to phase-out arrangements (CHF million)
84 Current cap on tier 2 instruments subject to phase-out arrangements 273
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
2
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
3
Reflects the phase-in requirement.
4
Reflects the Swiss CET1 capital ratio of 12.8%, less the BIS minimum CET1 ratio requirement of 4.5%.
72
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 4Q20
Financial
statements		 Regulatory
scope of
consolidation		 Reference to
composition
of capital
Assets (CHF million)   
Cash and due from banks 139,112 138,641
Interest-bearing deposits with banks 1,298 1,737
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 79,133 79,133
Securities received as collateral, at fair value 50,773 50,773
Trading assets, at fair value 157,338 151,391
Investment securities 607 607
Other investments 5,412 5,593
Net loans 291,908 291,534
Goodwill 4,426 4,430 4
Other intangible assets 237 237
   of which other intangible assets (excluding mortgage servicing rights)  57 57 5
Brokerage receivables 35,941 35,941
Other assets 39,637 38,347
   of which deferred tax assets related to net operating losses  1,070 1,070 6
   of which deferred tax assets from temporary differences  2,597 2,103 8
   of which defined benefit pension plan assets  2,872 2,872 7
Total assets  805,822 798,364
Liabilities and equity (CHF million)   
Due to banks 16,423 16,765
Customer deposits 390,921 390,765
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 23,851 27,805
Obligation to return securities received as collateral, at fair value 50,773 50,773
Trading liabilities, at fair value 45,871 45,905
Short-term borrowings 20,868 16,608
Long-term debt 161,087 159,341
Brokerage payables 21,653 21,653
Other liabilities 31,434 25,746
Total liabilities  762,881 755,361
   of which additional tier 1 instruments, fully eligible  16,615 14,335 9
   of which tier 2 instruments, fully eligible  2,404 2,919 10
   of which tier 2 instruments subject to phase-out  372 297 11
Common shares 98 107 1
Additional paid-in capital 33,323 33,314 1
Retained earnings 32,834 32,789 2
Treasury shares, at cost (428) (424) 3
Accumulated other comprehensive income/(loss) (23,150) (23,110) 3
Total shareholders' equity 1 42,677 42,676
Noncontrolling interests 2 264 327
Total equity  42,941 43,003
Total liabilities and equity  805,822 798,364
1
Eligible as CET1 capital, prior to regulatory adjustments.
2
The difference between the accounting and regulatory scope of consolidation primarily represents private equity and other fund type vehicles, which FINMA does not require to consolidate for capital adequacy reporting.
73
Composition of TLAC
The following table presents the composition of our TLAC.
TLAC1 - TLAC composition for G-SIBs
end of 4Q20
TLAC (CHF million)      
CET1 capital 35,351
Additional tier 1 instruments eligible under TLAC framework 15,841
Tier 2 capital before TLAC adjustments 1,234
TLAC adjustments 1,514
   of which amortized portion of tier 2 instruments where remaining maturity > 1 year  1,514
Tier 2 instruments eligible under TLAC framework 2,748
TLAC arising from regulatory capital  53,940
External TLAC instruments issued directly by Credit Suisse Group AG and subordinated to excluded liabilities 38,246
External TLAC instruments issued by funding vehicles prior to January 1, 2022 7,402
TLAC arising from non-regulatory capital instruments before adjustments  45,648
TLAC before deductions  99,588
Deduction of investment in own other TLAC liabilities 93
Other adjustments to TLAC 6,105
TLAC  93,390
Risk-weighted assets and leverage exposure (CHF million)      
Swiss risk-weighted assets 275,576
Leverage exposure 799,853
TLAC ratios and buffers (%)      
TLAC ratio 33.9
TLAC leverage ratio 11.7
CET1 capital ratio available after meeting the resolution group’s minimum capital and TLAC requirements 8.3
Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) 3.522
   of which capital conservation buffer requirement  2.5
   of which bank specific countercyclical buffer requirement  0.022
   of which higher loss absorbency requirement  1.0
74
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 4Q20


Shareholders'
equity		 1 Subordinated
debt
instruments
Additional
tier 1		 Bail-in debt
instruments
and pari
passu
liabilities		 2



Total
CHF million   
Total capital and liabilities net of credit risk mitigation 44,506 15,413 37,446 97,365
Excluded liabilities – – 416 416
Total capital and liabilities less excluded liabilities 44,506 15,413 37,030 96,949
   of which potentially eligible as TLAC 3 44,506 15,176 36,657 96,339
      of which residual maturity between 1 to 2 years  – – 53 53
      of which residual maturity between 2 to 5 years  – – 16,126 16,126
      of which residual maturity between 5 to 10 years  – – 14,133 14,133
      of which residual maturity greater than 10 years, excluding perpetual securities  – – 6,345 6,345
      of which perpetual securities  44,506 15,176 – 59,682
Presented for Credit Suisse Group AG at the legal entity level and therefore instruments issued by subsidiaries and special purpose entities are excluded. Effective November 3, 2020, Credit Suisse Group AG and Credit Suisse Group Funding (Guernsey) Limited exercised the voluntary issuer substitution clause included in the terms of senior unsecured notes issued by Credit Suisse Group Funding (Guernsey) Limited with a maturity date post December 31, 2022. The issuer of these notes, which qualify as TLAC, has migrated from Credit Suisse Group Funding (Guernsey) Limited to Credit Suisse Group AG. Amounts are prepared in accordance with the provisions of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations).
1
Includes nominal share capital of CHF 98 million.
2
Amount does not include CHF 6,853 million of intercompany liabilities, which are pari passu to the external bail-in debt instruments and are not considered to be excluded liabilities.
3
Accrued but not yet paid interest on TLAC instruments is not eligible as TLAC, but can be bailed in by FINMA.
75
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 4Q20 3Q20 2Q20 1Q20 4Q19
Capital (CHF million)                  
Swiss CET1 capital 35,351 37,076 37,339 36,305 36,740
Fully loaded CECL accounting model Swiss CET1 capital 1 35,297 37,076 37,339 36,305 –
Swiss tier 1 capital 51,192 52,317 51,674 50,798 49,757
Fully loaded CECL accounting model Swiss tier 1 capital 1 51,139 52,317 51,674 50,798 –
Swiss total eligible capital 52,426 53,618 54,890 54,036 53,005
Fully loaded CECL accounting model Swiss total eligible capital 1 52,373 53,618 54,890 54,036 –
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 22,046 22,869 23,991 24,096 23,303
Risk-weighted assets (CHF million)                  
Swiss risk-weighted assets 275,576 285,857 299,893 301,200 291,282
Risk-based capital ratios as a percentage of risk-weighted assets (%)                  
Swiss CET1 capital ratio 12.8 13.0 12.5 12.1 12.6
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 12.8 13.0 12.5 12.1 –
Swiss tier 1 capital ratio 18.6 18.3 17.2 16.9 17.1
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 18.6 18.3 17.2 16.9 –
Swiss total capital ratio 19.0 18.8 18.3 17.9 18.2
Fully loaded CECL accounting model Swiss total capital ratio 1 19.0 18.8 18.3 17.9 –
BIS CET1 buffer requirements (%)   3               
Capital conservation buffer 2.5 2.5 2.5 2.5 2.5
Extended countercyclical buffer 0.022 0.022 0.026 0.04 0.104
Progressive buffer for G-SIB and/or D-SIB 1.0 1.0 1.0 1.0 1.0
Total BIS CET1 buffer requirement 3.522 3.522 3.526 3.54 3.604
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 8.3 8.5 8.0 7.6 8.1
Basel III leverage ratio (CHF million)                  
Leverage exposure 799,853 5 824,420 5 836,755 5 869,706 909,994
Basel III leverage ratio (%) 6.4 6.3 6.2 5.8 5.5
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 6.4 6.3 6.2 5.8 –
Liquidity coverage ratio (CHF million)   6               
Numerator: total high-quality liquid assets 203,536 210,526 202,998 161,668 164,503
Denominator: net cash outflows 107,376 110,882 103,743 88,783 83,255
Liquidity coverage ratio (%) 190 190 196 182 198
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
2
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding the BIS CET1 buffer requirements.
3
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
4
Reflects the Swiss CET1 capital ratio of 12.8%, less the BIS minimum CET1 ratio requirement of 4.5%.
5
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
6
Calculated using a three-month average, which is calculated on a daily basis.
> Refer to “Swiss capital requirements” (pages 4 to 5) for the systemically important financial institution view.
> Refer to “Swiss metrics” (pages 132 to 133) and “Risk-weighted assets” (pages 129 to 131) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for further information on movements in capital, capital ratios, risk-weighted assets and leverage ratios.
> Refer to “Liquidity coverage ratio” (pages 116 to 117) in III –Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management – Liquidity management in the Credit Suisse Annual Report 2020 for further information on movements in liquidity coverage ratio.
> Refer to “Swiss requirements” (pages 123 to 125) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Annual Report 2020 for further information on additional CET1 buffer requirements.
76
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 4Q20 3Q20 2Q20 1Q20 4Q19
CHF million                  
TLAC 93,390 96,820 98,757 93,298 91,267
Fully loaded CECL accounting model TLAC 1 93,336 96,820 98,757 93,298 –
Swiss risk-weighted assets 275,576 285,857 299,893 301,200 291,282
TLAC ratio (%) 33.9 33.9 32.9 31.0 31.3
Fully loaded CECL accounting model TLAC ratio 1 33.9 33.9 32.9 31.0 –
Leverage exposure 799,853 2 824,420 2 836,755 2 869,706 909,994
TLAC leverage ratio (%) 11.7 11.7 11.8 10.7 10.0
Fully loaded CECL accounting model TLAC leverage ratio 1 11.7 11.7 11.8 10.7 –
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
2
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
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
4Q20 (CHF million)   
Hong Kong 1.000 2,604 – –
Sweden 0.000 699 – –
UK 0.000 7,347 – –
France 0.000 2,613 – –
Luxembourg 0.250 5,067 – –
Germany 0.000 4,439 – –
Subtotal  – 22,769 – –
Other countries 0.0 153,840 – –
Total 1 – 176,609 0.022 60
2Q20 (CHF million)   
Hong Kong 1.000 3,638 – –
Sweden 0.000 877 – –
UK 0.000 10,299 – –
France 0.000 3,086 – –
Luxembourg 0.250 5,490 – –
Germany 0.000 4,272 – –
Subtotal  – 27,662 – –
Other countries 0.0 165,349 – –
Total 1 – 193,011 0.026 78
1
Reflects the total of RWA for private sector credit exposures across all jurisdictions to which the Group is exposed, including jurisdictions with no CCyB rate or with a CCyB rate set at zero, and value of the Group specific CCyB rate and resulting CCyB amount.
77
Leverage metrics
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 132) and “Swiss metrics” (pages 132 to 133) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 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 4Q20
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Total consolidated assets as per published financial statements 805,822
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation   1 (16,681)
Adjustments for derivatives financial instruments 68,577
Adjustments for SFTs (i.e. repos and similar secured lending) (39,009)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 88,944
Other adjustments 2 (107,800)
Leverage exposure  799,853
1
Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation and tier 1 capital deductions related to balance sheet assets.
2
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure of CHF 110,677 million, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
78
LR2 - Leverage ratio common disclosure template
end of 4Q20 3Q20
Reconciliation of consolidated assets to leverage exposure (CHF million)   
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 1 511,058 519,495
Asset amounts deducted from Basel III tier 1 capital (9,164) (9,674)
Total on-balance sheet exposures  501,894 509,821
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 31,851 32,582
Add-on amounts for PFE associated with all derivatives transactions 65,545 71,212
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 26,815 26,620
Deductions of receivables assets for cash variation margin provided in derivatives transactions (24,352) (25,449)
Exempted CCP leg of client-cleared trade exposures (11,484) (10,194)
Adjusted effective notional amount of all written credit derivatives 189,693 275,045
Adjusted effective notional offsets and add-on deductions for written credit derivatives (183,831) (268,075)
Derivative Exposures  94,237 101,741
Securities financing transaction exposures (CHF million)   
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 110,947 124,883
Netted amounts of cash payables and cash receivables of gross SFT assets (7,932) (10,176)
Counterparty credit risk exposure for SFT assets 11,763 11,954
Agent transaction exposures 0 0
Securities financing transaction exposures  114,778 126,661
Other off-balance sheet exposures (CHF million)   
Off-balance sheet exposure at gross notional amount 276,387 267,892
Adjustments for conversion to credit equivalent amounts (187,443) (181,695)
Other off-balance sheet exposures  88,944 86,197
Swiss tier 1 capital (CHF million)   
Swiss tier 1 capital  51,192 52,317
Leverage exposure (CHF million)   
Leverage exposure  799,853 824,420
Leverage ratio (%)   
Basel III leverage ratio  6.4 6.3
1
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
79
Liquidity
Liquidity risk management framework
Our liquidity and funding policy is designed to ensure that funding is available to meet all obligations in times of stress, whether caused by market events or issues specific to Credit Suisse.
> Refer to “Liquidity and funding management” (pages 114 to 121) in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2020 for further information on our liquidity risk management framework including governance, stress testing, liquidity metrics, funding sources and uses and contractual maturity of assets and liabilities.
Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio (LCR) is prescribed by FINMA. For disclosure purposes our LCR is calculated using a three-month average which, is measured using daily calculations during the quarter.
> Refer to “Liquidity metrics” (pages 116 to 117) and “Funding sources” (page 118) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2020 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 4Q20		 Unweighted
value		 1 Weighted
value		 2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 – 203,536
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 161,262 19,825
   of which less stable deposits  161,262 19,825
Unsecured wholesale funding 235,302 89,758
   of which operational deposits (all counterparties) and deposits in networks of cooperative banks  51,117 12,779
   of which non-operational deposits (all counterparties)  117,924 63,050
   of which unsecured debt  13,542 13,542
Secured wholesale funding – 44,979
Additional requirements 175,292 35,989
   of which outflows related to derivative exposures and other collateral requirements  69,070 15,166
   of which outflows related to loss of funding on debt products  800 800
   of which credit and liquidity facilities  105,422 20,023
Other contractual funding obligations 56,751 56,751
Other contingent funding obligations 214,181 5,574
Total cash outflows  – 252,876
Cash inflows (CHF million)
Secured lending 124,593 59,090
Inflows from fully performing exposures 62,541 28,081
Other cash inflows 58,329 58,329
Total cash inflows  245,463 145,500
Liquidity cover ratio (CHF million)
High-quality liquid assets – 203,536
Net cash outflows – 107,376
Liquidity coverage ratio (%)  – 190
Calculated based on an average of 66 data points in 4Q20.
1
Calculated as outstanding balances maturing or callable within 30 days.
2
Calculated after the application of haircuts for high-quality liquid assets or inflow and outflow rates.
3
Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation view.
80
List of abbreviations
A   
ABS Asset-backed securities
ACVA Advanced credit valuation adjustment approach
A-IRB Advanced-Internal Ratings-Based Approach
AMA Advanced Measurement Approach
B   
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
C   
CAO Capital Adequacy Ordinance
CARMC Capital Allocation & Risk Management Committee
CCF Credit Conversion Factor
CCO Chief Credit Officer
CCP Central counterparties
CCR Counterparty credit risk
CCyB Countercyclical buffer
CDO Collateralized debt obligation
CDS Credit default swap
CECL Current expected credit loss
CET1 Common equity tier 1
CFO Chief Financial Officer
CLO Collateralized loan obligation
CMBS Commercial mortgage-backed securities
CMSC Credit Model Steering Committee
CRCO Chief Risk and Compliance Officer
CRM Credit Risk Mitigation
CVA Credit valuation adjustment
D   
D-SIB Domestic systemically important banks
E   
EAD Exposure at default
ECAI External credit assessment institutions
EEPE Effective Expected Positive Exposure
EMIR European Market Infrastructure Regulation
ERC Economic Risk Capital
F   
FINMA Swiss Financial Market Supervisory Authority FINMA
FSB Financial Stability Board
G   
GDP Gross Domestic Product
G-SIB Global systemically important banks
I   
IAA Internal Assessment Approach
IMA Internal Models Approach
IMM Internal Models Method
IPRE Income producing real estate
IRB Internal Ratings-Based Approach
IRRBB Interest rate risk in the banking book
IRC Incremental Risk Charge
L      
LCR Liquidity coverage ratio
LGD Loss given default
LRD Leverage ratio denominator
LTV Loan-to-value
N      
NII Net interest income
O      
OTC Over-the-counter
P      
P&L Profits and losses
PD Probability of default
PFE Potential future exposure
Q      
QCCP Qualifying central counterparty
R      
RMBS Residential mortgage-backed securities
RNIV Risks not in value-at-risk
RPSC Risk Processes & Standards Committee
RW Risk weight
RWA Risk-weighted assets
S      
SA Standardized Approach
SA-CCR Standardized Approach - counterparty credit risk
SEC-ERBA Securitization External Ratings-Based Approach
SEC-IRBA Securitization Internal Ratings-Based Approach
SEC-SA Securitization Standardized Approach
SFT Securities financing transactions
SMM Standardized Measurement Method
SPE Special purpose entity
T      
TLAC Total loss-absorbing capacity
U      
US GAAP Accounting principles generally accepted in the US
V      
VaR Value-at-Risk
∆      
∆EVE Delta economic value of equity
∆NII Delta net interest income
81
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 and that the COVID-19 pandemic creates significantly greater uncertainty about forward-looking statements in addition to the factors that generally affect our business. These factors include:
■ the ability to maintain sufficient liquidity and access capital markets;
■ market volatility and interest rate fluctuations and developments affecting interest rate levels, including the persistence of a low or negative interest rate environment;
■ 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 the risk of negative impacts of COVID-19 on the global economy and financial markets and the risk of continued slow economic recovery or downturn in the EU, the US or other developed countries or in emerging markets in 2021 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 goals, including those related to our targets, ambitions and financial goals;
■ 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;
■ political, social and environmental developments, including war, civil unrest or terrorist activity and 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 expected 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 maintain 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 2020.
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