OV1 – Overview of risk-weighted assets and capital requirements | |||||||||
Risk-weighted assets |
Capital requirement |
1 | |||||||
end of | 2Q17 | 1Q17 | 4Q16 | 2Q17 | |||||
CHF million | |||||||||
Credit risk (excluding counterparty credit risk) | 119,398 | 119,130 | 117,325 | 9,552 | |||||
of which standardized approach | 10,854 | 10,670 | 11,916 | 868 | |||||
of which internal rating-based approach | 108,544 | 108,460 | 105,409 | 8,684 | |||||
Counterparty credit risk | 25,721 | 28,006 | 31,859 | 2,058 | |||||
of which standardized approach for counterparty credit risk 2 | 2,869 | 3,016 | 3,214 | 3 | 230 | ||||
of which internal model method 4 | 22,852 | 24,990 | 28,645 | 3 | 1,828 | ||||
of which derivatives and SFTs | 13,945 | 14,249 | 14,871 | 1,116 | |||||
Equity positions in the banking book | 9,581 | 10,414 | 11,183 | 766 | |||||
Settlement risk | 188 | 169 | 279 | 15 | |||||
Securitization exposures in the banking book | 10,515 | 10,833 | 10,089 | 841 | |||||
of which ratings-based approach | 1,680 | 1,615 | 1,500 | 134 | |||||
of which supervisory formula approach | 4,760 | 4,852 | 5,087 | 381 | |||||
of which standardized approach/simplified supervisory formula approach | 4,075 | 4,366 | 3,502 | 326 | |||||
Amounts below the thresholds for deduction (subject to 250% risk weight) | 11,483 | 10,856 | 11,334 | 919 | |||||
Total credit risk | 176,886 | 179,408 | 182,069 | 14,151 | |||||
Total market risk | 18,049 | 19,894 | 23,248 | 1,444 | |||||
of which standardized approach | 3,597 | 3,425 | 3,965 | 288 | |||||
of which internal model approach | 14,452 | 16,469 | 19,283 | 1,156 | |||||
Total operational risk | 65,983 | 66,045 | 66,055 | 5,279 | |||||
of which advanced measurement approach | 65,983 | 66,045 | 66,055 | 5,279 | |||||
Floor adjustment 5 | 0 | 0 | 0 | 0 | |||||
Total | 260,918 | 265,347 | 271,372 | 20,873 | |||||
1
Calculated as 8% of risk-weighted assets based on BIS total capital minimum requirements excluding capital conservation buffer and G-SIB buffer requirements.
|
|||||||||
2
Reported under the current exposure method.
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3
Prior period has been corrected.
|
|||||||||
4
Includes RWA relating to advanced credit valuation adjustment and central counterparties of CHF 8,796 million, CHF 10,740 million and CHF 13,717 million as of the end of 2Q17, 1Q17 and 4Q16, respectively.
|
|||||||||
5
Credit Suisse is not subject to a floor adjustment because current capital requirements and deductions exceed 80% of those under Basel I.
|
CR1 – Credit quality of assets | |||||||||||
end of |
Defaulted exposures |
Non- defaulted exposures |
Gross exposures |
Allowances/ impairments |
Net exposures |
||||||
2Q17 (CHF million) | |||||||||||
Loans | 2,674 | 284,112 | 286,786 | (1,325) | 285,461 | ||||||
Debt securities | 3 | 14,131 | 14,134 | 0 | 14,134 | ||||||
Off-balance sheet exposures 1 | 162 | 144,594 | 144,756 | (84) | 144,672 | ||||||
Total | 2,839 | 442,837 | 445,676 | (1,409) | 444,267 | ||||||
4Q16 (CHF million) | |||||||||||
Loans | 3,269 | 292,243 | 295,512 | (1,536) | 293,976 | ||||||
Debt securities | 6 | 11,217 | 11,223 | 0 | 11,223 | ||||||
Off-balance sheet exposures 1, 2 | 155 | 133,877 | 134,032 | (84) | 133,948 | ||||||
Total 2 | 3,430 | 437,337 | 440,767 | (1,620) | 439,147 | ||||||
1
Revocable loan commitments which are excluded from the disclosed exposures can attract risk-weighted assets.
|
|||||||||||
2
Prior period has been corrected.
|
CR2 – Changes in stock of defaulted exposures | |||
6M17 | |||
CHF million | |||
Defaulted exposures at beginning of period | 3,430 | ||
Exposures that have defaulted since the last reporting period | 559 | ||
Returned to non-defaulted status | (617) | ||
Amounts written-off | (26) | ||
Other changes | (507) | ||
Defaulted exposures at end of period | 2,839 |
CR3 – Credit risk mitigation techniques | |||||||||||||
Net exposures | Exposures secured by | ||||||||||||
end of |
Unsecured |
Partially or fully secured |
Total |
Collateral |
Financial guarantees |
Credit derivatives |
|||||||
2Q17 (CHF million) | |||||||||||||
Loans | 44,245 | 241,216 | 285,461 | 194,420 | 9,437 | 126 | |||||||
Debt securities | 9,419 | 4,715 | 14,134 | 232 | 0 | 17 | |||||||
Total | 53,664 | 245,931 | 299,595 | 194,652 | 9,437 | 143 | |||||||
of which defaulted | 1,187 | 1,384 | 2,571 | 927 | 99 | 0 | |||||||
4Q16 (CHF million) 1 | |||||||||||||
Loans | 48,208 | 245,768 | 293,976 | 194,054 | 8,994 | 527 | |||||||
Debt securities | 6,553 | 4,670 | 11,223 | 291 | 0 | 152 | |||||||
Total | 54,761 | 250,438 | 305,199 | 194,345 | 8,994 | 679 | |||||||
of which defaulted | 1,755 | 1,520 | 3,275 | 1,057 | 44 | 0 | |||||||
1
Prior period has been corrected.
|
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 |
|||||||||
2Q17 (CHF million, except where indicated) | |||||||||||||||||
Sovereigns | 15,030 | 0 | 15,030 | 15,030 | 0 | 15,030 | 316 | 2% | |||||||||
Institutions - Banks and securities dealer | 75 | 572 | 647 | 75 | 286 | 361 | 96 | 27% | |||||||||
Institutions - Other institutions | 58 | 0 | 58 | 58 | 0 | 58 | 12 | 20% | |||||||||
Retail | 247 | 131 | 378 | 247 | 131 | 378 | 378 | 100% | |||||||||
Other exposures | 11,366 | 1,655 | 13,021 | 11,356 | 1,655 | 13,011 | 10,052 | 77% | |||||||||
of which non-counterparty related assets | 5,173 | 0 | 5,173 | 5,173 | 0 | 5,173 | 5,173 | 100% | |||||||||
Total | 26,776 | 2,358 | 29,134 | 26,766 | 2,072 | 28,838 | 10,854 | 38% | |||||||||
4Q16 (CHF million, except where indicated) | |||||||||||||||||
Sovereigns | 16,031 | 0 | 16,031 | 16,031 | 0 | 16,031 | 404 | 3% | |||||||||
Institutions - Banks and securities dealer | 1 | 572 | 573 | 1 | 286 | 287 | 58 | 20% | |||||||||
Institutions - Other institutions | 59 | 0 | 59 | 59 | 0 | 59 | 12 | 20% | |||||||||
Retail | 77 | 0 | 77 | 77 | 0 | 77 | 77 | 100% | |||||||||
Other exposures | 12,942 | 1,583 | 14,525 | 12,932 | 1,583 | 14,515 | 11,365 | 78% | |||||||||
of which non-counterparty related assets | 5,369 | 0 | 5,369 | 5,369 | 0 | 5,369 | 5,369 | 100% | |||||||||
Total | 29,110 | 2,155 | 31,265 | 29,100 | 1,869 | 30,969 | 11,916 | 38% |
CR5 – Exposures by asset classes and risk weights | |||||||||||||||||||||
Risk weight | |||||||||||||||||||||
end of |
0% |
10% |
20% |
35% |
50% |
75% |
100% |
150% |
Others |
Exposures post-CCF and CRM |
|||||||||||
2Q17 (CHF million) | |||||||||||||||||||||
Sovereigns | 13,449 | 804 | 513 | 0 | 262 | 0 | 2 | 0 | 0 | 15,030 | |||||||||||
Institutions - Banks and securities dealer | 1 | 0 | 286 | 0 | 71 | 0 | 3 | 0 | 0 | 361 | |||||||||||
Institutions - Other institutions | 0 | 0 | 58 | 0 | 0 | 0 | 0 | 0 | 0 | 58 | |||||||||||
Retail | 0 | 0 | 0 | 0 | 0 | 0 | 378 | 0 | 0 | 378 | |||||||||||
Other exposures | 2,977 | 0 | 3 | 0 | 0 | 0 | 10,024 | 0 | 7 | 13,011 | |||||||||||
of which non-counterparty related assets | 0 | 0 | 0 | 0 | 0 | 0 | 5,173 | 0 | 0 | 5,173 | |||||||||||
Total | 16,427 | 804 | 860 | 0 | 333 | 0 | 10,407 | 0 | 7 | 28,838 | |||||||||||
4Q16 (CHF million) | |||||||||||||||||||||
Sovereigns | 13,506 | 1,753 | 524 | 0 | 248 | 0 | 0 | 0 | 0 | 16,031 | |||||||||||
Institutions - Banks and securities dealer | 0 | 0 | 286 | 0 | 0 | 0 | 1 | 0 | 0 | 287 | |||||||||||
Institutions - Other institutions | 0 | 0 | 59 | 0 | 0 | 0 | 0 | 0 | 0 | 59 | |||||||||||
Retail | 0 | 0 | 0 | 0 | 0 | 0 | 77 | 0 | 0 | 77 | |||||||||||
Other exposures | 3,175 | 0 | 1 | 0 | 0 | 0 | 11,330 | 0 | 9 | 14,515 | |||||||||||
of which non-counterparty related assets | 0 | 0 | 0 | 0 | 0 | 0 | 5,369 | 0 | 0 | 5,369 | |||||||||||
Total | 16,681 | 1,753 | 870 | 0 | 248 | 0 | 11,408 | 0 | 9 | 30,969 |
CR6 – Credit risk exposures by portfolio and PD range | |||||||||||||||||||||||||||
end of 2Q17 |
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 |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 95,216 | 584 | 95,800 | 86% | 95,876 | 0.03% | 66 | 2% | 1.2 | 640 | 1% | 0 | – | ||||||||||||||
0.15% to <0.25% | 276 | 86 | 362 | 0% | 54 | 0.22% | 8 | 46% | 2.3 | 26 | 48% | 0 | – | ||||||||||||||
0.25% to <0.50% | 98 | 0 | 98 | 100% | 98 | 0.37% | 17 | 44% | 1.2 | 45 | 45% | 0 | – | ||||||||||||||
0.50% to <0.75% | 93 | 0 | 93 | 0% | 3 | 0.63% | 18 | 46% | 4.5 | 3 | 107% | 0 | – | ||||||||||||||
0.75% to <2.50% | 512 | 22 | 534 | 100% | 563 | 1.10% | 20 | 44% | 3.0 | 585 | 104% | 3 | – | ||||||||||||||
2.50% to <10.00% | 2,006 | 6 | 2,012 | 61% | 325 | 6.79% | 25 | 42% | 3.0 | 517 | 159% | 9 | – | ||||||||||||||
10.00% to <100.00% | 74 | 0 | 74 | 0% | 3 | 16.44% | 1 | 41% | 2.5 | 6 | 222% | 0 | – | ||||||||||||||
100.00% (Default) | 174 | 0 | 174 | 0% | 173 | 100.00% | 1 | 44% | 3.7 | 184 | 106% | 0 | – | ||||||||||||||
Sub-total | 98,449 | 698 | 99,147 | 85% | 97,095 | 0.24% | 156 | 3% | 1.2 | 2,006 | 2% | 12 | 0 | ||||||||||||||
Institutions - Banks and securities dealer | |||||||||||||||||||||||||||
0.00% to <0.15% | 7,137 | 1,441 | 8,578 | 71% | 12,878 | 0.06% | 617 | 50% | 1.6 | 1,614 | 13% | 4 | – | ||||||||||||||
0.15% to <0.25% | 303 | 163 | 466 | 51% | 543 | 0.22% | 83 | 49% | 0.8 | 231 | 43% | 1 | – | ||||||||||||||
0.25% to <0.50% | 602 | 252 | 854 | 34% | 680 | 0.37% | 149 | 53% | 1.8 | 437 | 64% | 1 | – | ||||||||||||||
0.50% to <0.75% | 188 | 51 | 239 | 24% | 205 | 0.60% | 118 | 72% | 0.8 | 245 | 119% | 1 | – | ||||||||||||||
0.75% to <2.50% | 956 | 186 | 1,142 | 50% | 816 | 1.20% | 233 | 51% | 1.7 | 934 | 115% | 5 | – | ||||||||||||||
2.50% to <10.00% | 387 | 258 | 645 | 44% | 190 | 7.89% | 93 | 39% | 1.8 | 299 | 158% | 6 | – | ||||||||||||||
10.00% to <100.00% | 1 | 24 | 25 | 54% | 13 | 26.85% | 7 | 45% | 1.3 | 35 | 272% | 2 | – | ||||||||||||||
100.00% (Default) | 248 | 1 | 249 | 47% | 248 | 100.00% | 11 | 51% | 1.9 | 263 | 106% | 89 | – | ||||||||||||||
Sub-total | 9,822 | 2,376 | 12,198 | 70% | 15,573 | 1.86% | 1,311 | 50% | 1.6 | 4,058 | 26% | 109 | 91 | ||||||||||||||
Institutions - Other institutions | |||||||||||||||||||||||||||
0.00% to <0.15% | 675 | 1,730 | 2,405 | 100% | 1,037 | 0.05% | 342 | 38% | 2.8 | 160 | 15% | 1 | – | ||||||||||||||
0.15% to <0.25% | 45 | 173 | 218 | 100% | 90 | 0.19% | 117 | 41% | 1.7 | 31 | 35% | 0 | – | ||||||||||||||
0.25% to <0.50% | 28 | 56 | 84 | 99% | 11 | 0.37% | 23 | 45% | 1.2 | 6 | 51% | 0 | – | ||||||||||||||
0.50% to <0.75% | 1 | 4 | 5 | 100% | 3 | 0.58% | 82 | 47% | 0.8 | 2 | 66% | 0 | – | ||||||||||||||
0.75% to <2.50% | 23 | 12 | 35 | 100% | 29 | 2.05% | 30 | 13% | 4.7 | 11 | 39% | 0 | – | ||||||||||||||
2.50% to <10.00% | 0 | 38 | 38 | 100% | 17 | 5.17% | 3 | 7% | 1.0 | 4 | 21% | 0 | – | ||||||||||||||
10.00% to <100.00% | 0 | 0 | 0 | 0% | 0 | 0.00% | 0 | 0% | 0.0 | 0 | 0% | 0 | – | ||||||||||||||
100.00% (Default) | 5 | 0 | 5 | 100% | 5 | 100.00% | 1 | 44% | 1.0 | 6 | 106% | 0 | – | ||||||||||||||
Sub-total | 777 | 2,013 | 2,790 | 100% | 1,192 | 0.64% | 598 | 38% | 2.7 | 220 | 18% | 1 | 0 | ||||||||||||||
Corporates - Specialized lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 8,443 | 2,227 | 10,670 | 100% | 9,448 | 0.06% | 807 | 29% | 2.2 | 1,634 | 17% | 2 | – | ||||||||||||||
0.15% to <0.25% | 8,159 | 1,649 | 9,808 | 89% | 8,892 | 0.20% | 814 | 31% | 2.4 | 3,108 | 35% | 5 | – | ||||||||||||||
0.25% to <0.50% | 4,461 | 1,340 | 5,801 | 91% | 5,031 | 0.37% | 535 | 26% | 2.3 | 1,950 | 39% | 5 | – | ||||||||||||||
0.50% to <0.75% | 4,631 | 2,728 | 7,359 | 68% | 5,458 | 0.58% | 441 | 25% | 2.1 | 2,190 | 40% | 8 | – | ||||||||||||||
0.75% to <2.50% | 9,908 | 2,626 | 12,534 | 77% | 10,784 | 1.27% | 804 | 19% | 3.0 | 4,867 | 45% | 27 | – | ||||||||||||||
2.50% to <10.00% | 1,275 | 67 | 1,342 | 91% | 1,300 | 3.90% | 79 | 9% | 3.8 | 413 | 32% | 5 | – | ||||||||||||||
10.00% to <100.00% | 41 | 5 | 46 | 20% | 42 | 15.77% | 4 | 34% | 1.6 | 67 | 161% | 2 | – | ||||||||||||||
100.00% (Default) | 601 | 21 | 622 | 100% | 610 | 100.00% | 43 | 18% | 2.2 | 647 | 106% | 154 | – | ||||||||||||||
Sub-total | 37,519 | 10,663 | 48,182 | 85% | 41,565 | 2.11% | 3,527 | 25% | 2.5 | 14,876 | 36% | 208 | 154 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
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2
Reflects risk-weighted assets post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range (continued) | |||||||||||||||||||||||||||
end of 2Q17 |
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 |
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% | 14,130 | 49,153 | 63,283 | 58% | 38,449 | 0.07% | 2,696 | 43% | 2.4 | 9,315 | 24% | 10 | – | ||||||||||||||
0.15% to <0.25% | 6,023 | 10,911 | 16,934 | 67% | 10,021 | 0.21% | 1,595 | 39% | 2.3 | 3,839 | 38% | 8 | – | ||||||||||||||
0.25% to <0.50% | 5,343 | 8,327 | 13,670 | 57% | 8,410 | 0.37% | 1,248 | 37% | 2.4 | 4,187 | 50% | 11 | – | ||||||||||||||
0.50% to <0.75% | 4,563 | 5,674 | 10,237 | 63% | 6,842 | 0.61% | 1,405 | 41% | 2.5 | 5,015 | 73% | 18 | – | ||||||||||||||
0.75% to <2.50% | 12,629 | 7,727 | 20,356 | 67% | 16,281 | 1.42% | 2,817 | 41% | 2.3 | 15,502 | 95% | 95 | – | ||||||||||||||
2.50% to <10.00% | 5,695 | 17,058 | 22,753 | 48% | 11,170 | 5.35% | 1,723 | 36% | 2.6 | 17,827 | 160% | 220 | – | ||||||||||||||
10.00% to <100.00% | 1,560 | 809 | 2,369 | 65% | 1,798 | 24.01% | 101 | 11% | 2.4 | 1,422 | 79% | 39 | – | ||||||||||||||
100.00% (Default) | 1,087 | 178 | 1,265 | 48% | 1,154 | 100.00% | 219 | 39% | 1.8 | 1,223 | 106% | 555 | – | ||||||||||||||
Sub-total | 51,030 | 99,837 | 150,867 | 58% | 94,125 | 2.69% | 11,804 | 40% | 2.4 | 58,330 | 62% | 956 | 571 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 30,364 | 1,774 | 32,138 | 100% | 31,103 | 0.08% | 42,657 | 15% | 2.9 | 1,778 | 6% | 4 | – | ||||||||||||||
0.15% to <0.25% | 47,539 | 2,612 | 50,151 | 100% | 48,659 | 0.20% | 69,318 | 15% | 3.0 | 5,786 | 12% | 14 | – | ||||||||||||||
0.25% to <0.50% | 17,443 | 1,183 | 18,626 | 100% | 17,983 | 0.35% | 20,761 | 17% | 2.9 | 3,443 | 19% | 11 | – | ||||||||||||||
0.50% to <0.75% | 5,760 | 914 | 6,674 | 100% | 5,938 | 0.58% | 8,197 | 17% | 2.7 | 1,673 | 28% | 6 | – | ||||||||||||||
0.75% to <2.50% | 4,806 | 334 | 5,140 | 100% | 4,950 | 1.21% | 7,793 | 17% | 2.6 | 2,293 | 46% | 10 | – | ||||||||||||||
2.50% to <10.00% | 547 | 13 | 560 | 100% | 555 | 4.58% | 813 | 15% | 2.3 | 516 | 93% | 4 | – | ||||||||||||||
10.00% to <100.00% | 41 | 0 | 41 | 100% | 41 | 17.37% | 72 | 15% | 1.9 | 67 | 163% | 1 | – | ||||||||||||||
100.00% (Default) | 368 | 5 | 373 | 100% | 372 | 100.00% | 294 | 17% | 1.8 | 395 | 106% | 38 | – | ||||||||||||||
Sub-total | 106,868 | 6,835 | 113,703 | 100% | 109,601 | 0.62% | 149,905 | 16% | 2.9 | 15,951 | 15% | 88 | 38 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 390 | 5,628 | 6,018 | 0% | 410 | 1.30% | 776,968 | 50% | 1.0 | 102 | 25% | 3 | – | ||||||||||||||
10.00% to <100.00% | 107 | 0 | 107 | 50% | 108 | 45.00% | 88,958 | 20% | 0.2 | 69 | 64% | 10 | – | ||||||||||||||
100.00% (Default) | 1 | 0 | 1 | 0% | 1 | 100.00% | 211 | 21% | 0.2 | 1 | 106% | 9 | – | ||||||||||||||
Sub-total | 498 | 5,628 | 6,126 | 50% | 519 | 10.58% | 866,137 | 44% | 0.8 | 172 | 33% | 22 | 9 | ||||||||||||||
Other retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 51,756 | 105,834 | 157,590 | 96% | 59,319 | 0.04% | 50,348 | 63% | 1.4 | 4,932 | 8% | 16 | – | ||||||||||||||
0.15% to <0.25% | 2,885 | 8,229 | 11,114 | 90% | 3,724 | 0.19% | 4,974 | 44% | 1.5 | 673 | 18% | 3 | – | ||||||||||||||
0.25% to <0.50% | 2,020 | 3,702 | 5,722 | 89% | 1,690 | 0.37% | 4,439 | 31% | 1.5 | 343 | 20% | 2 | – | ||||||||||||||
0.50% to <0.75% | 575 | 772 | 1,347 | 82% | 692 | 0.58% | 12,116 | 31% | 1.0 | 179 | 26% | 1 | – | ||||||||||||||
0.75% to <2.50% | 3,443 | 1,484 | 4,927 | 93% | 4,412 | 1.55% | 80,620 | 47% | 1.6 | 2,462 | 56% | 29 | – | ||||||||||||||
2.50% to <10.00% | 2,529 | 1,002 | 3,531 | 99% | 2,785 | 5.06% | 86,240 | 39% | 3.0 | 1,714 | 62% | 56 | – | ||||||||||||||
10.00% to <100.00% | 138 | 16 | 154 | 95% | 151 | 13.31% | 272 | 47% | 1.3 | 141 | 94% | 10 | – | ||||||||||||||
100.00% (Default) | 251 | 21 | 272 | 86% | 195 | 100.00% | 6,130 | 76% | 1.6 | 207 | 106% | 148 | – | ||||||||||||||
Sub-total | 63,597 | 121,060 | 184,657 | 95% | 72,968 | 0.64% | 245,139 | 59% | 1.5 | 10,651 | 15% | 265 | 149 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 207,721 | 162,743 | 370,464 | 70% | 248,110 | 0.05% | 97,533 | 28% | 1.7 | 20,073 | 8% | 37 | – | ||||||||||||||
0.15% to <0.25% | 65,230 | 23,823 | 89,053 | 78% | 71,983 | 0.20% | 76,909 | 22% | 2.7 | 13,694 | 19% | 31 | – | ||||||||||||||
0.25% to <0.50% | 29,995 | 14,860 | 44,855 | 68% | 33,903 | 0.36% | 27,172 | 25% | 2.6 | 10,411 | 31% | 30 | – | ||||||||||||||
0.50% to <0.75% | 15,811 | 10,143 | 25,954 | 66% | 19,141 | 0.59% | 22,377 | 29% | 2.4 | 9,307 | 49% | 34 | – | ||||||||||||||
0.75% to <2.50% | 32,667 | 18,019 | 50,686 | 72% | 38,245 | 1.36% | 869,285 | 33% | 2.5 | 26,756 | 70% | 172 | – | ||||||||||||||
2.50% to <10.00% | 12,439 | 18,442 | 30,881 | 50% | 16,342 | 5.22% | 88,976 | 34% | 2.8 | 21,290 | 130% | 300 | – | ||||||||||||||
10.00% to <100.00% | 1,962 | 854 | 2,816 | 65% | 2,156 | 24.04% | 89,415 | 15% | 2.2 | 1,807 | 84% | 64 | – | ||||||||||||||
100.00% (Default) | 2,735 | 226 | 2,961 | 61% | 2,758 | 100.00% | 6,910 | 35% | 2.0 | 2,926 | 106% | 993 | – | ||||||||||||||
Sub-total (all portfolios) | 368,560 | 249,110 | 617,670 | 69% | 432,638 | 1.19% | 1,278,577 | 28% | 2.1 | 106,264 | 25% | 1,661 | 1,012 | ||||||||||||||
Alternative treatment | |||||||||||||||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | 40 | – | – | – | – | 31 | – | – | – | ||||||||||||||
IRB - maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 311 | – | – | – | ||||||||||||||
Total (all portfolios and alternative treatment) | |||||||||||||||||||||||||||
Total (all portfolios and alternative treatment) | 368,560 | 249,110 | 617,670 | 69% | 432,678 | 1.19% | 1,278,577 | 28% | 2.1 | 106,606 | 25% | 1,661 | 1,012 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects risk-weighted assets post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range | |||||||||||||||||||||||||||
end of 4Q16 |
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 |
Average LGD |
Average maturity (years) |
RWA |
2 |
RWA density |
Expected loss |
Provisions |
||||||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||||||||||||||
0.00% to <0.15% | 108,204 | 1,556 | 109,760 | 98% | 108,914 | 0.03% | 71 | 2% | 1.3 | 721 | 1% | 1 | – | ||||||||||||||
0.15% to <0.25% | 57 | 661 | 718 | 0% | 57 | 0.22% | 7 | 46% | 2.7 | 30 | 52% | 0 | – | ||||||||||||||
0.25% to <0.50% | 79 | 0 | 79 | 100% | 79 | 0.37% | 14 | 44% | 1.5 | 38 | 48% | 0 | – | ||||||||||||||
0.50% to <0.75% | 1 | 0 | 1 | 0% | 1 | 0.58% | 14 | 54% | 2.4 | 1 | 92% | 0 | – | ||||||||||||||
0.75% to <2.50% | 760 | 54 | 814 | 100% | 808 | 1.10% | 17 | 45% | 2.5 | 807 | 100% | 4 | – | ||||||||||||||
2.50% to <10.00% | 229 | 8 | 237 | 100% | 232 | 6.63% | 23 | 44% | 2.8 | 384 | 165% | 7 | – | ||||||||||||||
10.00% to <100.00% | 4 | 0 | 4 | 0% | 4 | 20.45% | 2 | 44% | 2.2 | 11 | 240% | 0 | – | ||||||||||||||
100.00% (Default) | 183 | 0 | 183 | 0% | 183 | 100.00% | 2 | 44% | 4.3 | 194 | 106% | 0 | – | ||||||||||||||
Sub-total | 109,517 | 2,279 | 111,796 | 98% | 110,278 | 0.21% | 150 | 2% | 1.3 | 2,186 | 2% | 12 | 0 | ||||||||||||||
Institutions - Banks and securities dealer | |||||||||||||||||||||||||||
0.00% to <0.15% | 5,928 | 9,617 | 15,545 | 73% | 11,951 | 0.06% | 586 | 49% | 2.0 | 1,759 | 15% | 3 | – | ||||||||||||||
0.15% to <0.25% | 209 | 311 | 520 | 59% | 345 | 0.22% | 72 | 47% | 1.7 | 188 | 54% | 0 | – | ||||||||||||||
0.25% to <0.50% | 1,114 | 118 | 1,232 | 26% | 1,144 | 0.37% | 163 | 33% | 2.8 | 483 | 42% | 1 | – | ||||||||||||||
0.50% to <0.75% | 276 | 55 | 331 | 26% | 288 | 0.60% | 140 | 69% | 0.7 | 319 | 110% | 1 | – | ||||||||||||||
0.75% to <2.50% | 908 | 176 | 1,084 | 45% | 958 | 1.31% | 246 | 51% | 1.4 | 957 | 100% | 5 | – | ||||||||||||||
2.50% to <10.00% | 106 | 220 | 326 | 38% | 172 | 7.32% | 73 | 41% | 2.2 | 294 | 171% | 5 | – | ||||||||||||||
10.00% to <100.00% | 2 | 12 | 14 | 29% | 5 | 21.50% | 7 | 30% | 0.3 | 7 | 143% | 0 | – | ||||||||||||||
100.00% (Default) | 38 | 34 | 72 | 55% | 56 | 100.00% | 9 | 27% | 1.1 | 60 | 106% | 2 | – | ||||||||||||||
Sub-total | 8,581 | 10,543 | 19,124 | 72% | 14,919 | 0.65% | 1,296 | 48% | 2.0 | 4,067 | 27% | 17 | 2 | ||||||||||||||
Institutions - Other institutions | |||||||||||||||||||||||||||
0.00% to <0.15% | 697 | 1,815 | 2,512 | 100% | 1,053 | 0.05% | 357 | 38% | 3.0 | 165 | 16% | 0 | – | ||||||||||||||
0.15% to <0.25% | 83 | 193 | 276 | 100% | 138 | 0.17% | 120 | 45% | 1.5 | 50 | 37% | 0 | – | ||||||||||||||
0.25% to <0.50% | 11 | 42 | 53 | 94% | 11 | 0.37% | 21 | 44% | 1.8 | 7 | 63% | 0 | – | ||||||||||||||
0.50% to <0.75% | 1 | 6 | 7 | 100% | 4 | 0.58% | 88 | 44% | 1.1 | 2 | 59% | 0 | – | ||||||||||||||
0.75% to <2.50% | 21 | 17 | 38 | 100% | 28 | 2.05% | 30 | 24% | 4.7 | 22 | 77% | 0 | – | ||||||||||||||
2.50% to <10.00% | 0 | 4 | 4 | 0% | 0 | 3.25% | 3 | 44% | 0.3 | 0 | 107% | 0 | – | ||||||||||||||
10.00% to <100.00% | 0 | 0 | 0 | 0% | 0 | 0.00% | 0 | 0% | 0.0 | 0 | 0% | 0 | – | ||||||||||||||
100.00% (Default) | 14 | 0 | 14 | 100% | 14 | 100.00% | 1 | 44% | 1.0 | 15 | 106% | 0 | – | ||||||||||||||
Sub-total | 827 | 2,077 | 2,904 | 100% | 1,248 | 1.21% | 620 | 38% | 2.8 | 261 | 21% | 0 | 0 | ||||||||||||||
Corporates - Specialized lending | |||||||||||||||||||||||||||
0.00% to <0.15% | 7,878 | 2,319 | 10,197 | 100% | 8,907 | 0.06% | 790 | 29% | 2.3 | 1,547 | 17% | 2 | – | ||||||||||||||
0.15% to <0.25% | 8,790 | 1,938 | 10,728 | 87% | 9,646 | 0.20% | 855 | 31% | 2.3 | 3,224 | 33% | 6 | – | ||||||||||||||
0.25% to <0.50% | 5,558 | 1,308 | 6,866 | 87% | 6,068 | 0.37% | 544 | 26% | 2.5 | 2,072 | 34% | 6 | – | ||||||||||||||
0.50% to <0.75% | 5,122 | 2,327 | 7,449 | 82% | 5,982 | 0.58% | 450 | 24% | 2.4 | 2,388 | 40% | 8 | – | ||||||||||||||
0.75% to <2.50% | 11,190 | 3,617 | 14,807 | 78% | 12,445 | 1.23% | 886 | 18% | 3.0 | 4,900 | 39% | 29 | – | ||||||||||||||
2.50% to <10.00% | 957 | 111 | 1,068 | 91% | 1,002 | 4.34% | 83 | 17% | 3.7 | 559 | 56% | 8 | – | ||||||||||||||
10.00% to <100.00% | 5 | 1 | 6 | 20% | 5 | 14.47% | 2 | 30% | 2.1 | 8 | 162% | 0 | – | ||||||||||||||
100.00% (Default) | 655 | 7 | 662 | 100% | 658 | 100.00% | 39 | 18% | 2.5 | 698 | 106% | 148 | – | ||||||||||||||
Sub-total | 40,155 | 11,628 | 51,783 | 86% | 44,713 | 2.10% | 3,649 | 25% | 2.5 | 15,396 | 34% | 207 | 148 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects risk-weighted assets post CCF.
|
CR6 – Credit risk exposures by portfolio and PD range (continued) | |||||||||||||||||||||||||||
end of 4Q16 |
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 |
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% | 13,643 | 56,782 | 70,425 | 55% | 40,480 | 0.07% | 2,601 | 43% | 2.5 | 9,731 | 24% | 11 | – | ||||||||||||||
0.15% to <0.25% | 3,661 | 8,797 | 12,458 | 68% | 7,103 | 0.21% | 1,570 | 37% | 2.4 | 2,629 | 37% | 5 | – | ||||||||||||||
0.25% to <0.50% | 4,918 | 7,231 | 12,149 | 56% | 7,952 | 0.37% | 1,219 | 36% | 2.5 | 4,015 | 50% | 10 | – | ||||||||||||||
0.50% to <0.75% | 4,280 | 4,328 | 8,608 | 65% | 5,892 | 0.61% | 1,362 | 37% | 2.5 | 3,915 | 66% | 13 | – | ||||||||||||||
0.75% to <2.50% | 12,574 | 9,000 | 21,574 | 65% | 16,266 | 1.40% | 2,481 | 38% | 2.6 | 13,963 | 86% | 82 | – | ||||||||||||||
2.50% to <10.00% | 5,740 | 12,258 | 17,998 | 50% | 11,482 | 5.02% | 1,404 | 28% | 2.9 | 14,194 | 124% | 167 | – | ||||||||||||||
10.00% to <100.00% | 1,785 | 605 | 2,390 | 61% | 2,138 | 24.50% | 99 | 12% | 2.4 | 1,652 | 77% | 49 | – | ||||||||||||||
100.00% (Default) | 1,773 | 149 | 1,922 | 74% | 1,836 | 100.00% | 214 | 37% | 1.7 | 1,947 | 106% | 584 | – | ||||||||||||||
Sub-total | 48,374 | 99,150 | 147,524 | 57% | 93,149 | 3.51% | 10,950 | 38% | 2.5 | 52,046 | 56% | 921 | 595 | ||||||||||||||
Residential mortgages | |||||||||||||||||||||||||||
0.00% to <0.15% | 29,503 | 1,910 | 31,413 | 100% | 30,288 | 0.08% | 42,544 | 15% | 2.9 | 1,590 | 5% | 4 | – | ||||||||||||||
0.15% to <0.25% | 47,068 | 2,438 | 49,506 | 100% | 48,217 | 0.20% | 68,926 | 15% | 3.0 | 5,241 | 11% | 14 | – | ||||||||||||||
0.25% to <0.50% | 14,009 | 666 | 14,675 | 100% | 14,336 | 0.37% | 19,951 | 16% | 2.8 | 2,600 | 18% | 9 | – | ||||||||||||||
0.50% to <0.75% | 5,920 | 947 | 6,867 | 100% | 6,103 | 0.58% | 8,510 | 17% | 2.7 | 1,591 | 26% | 6 | – | ||||||||||||||
0.75% to <2.50% | 5,087 | 485 | 5,572 | 100% | 5,220 | 1.21% | 8,177 | 18% | 2.6 | 2,231 | 43% | 11 | – | ||||||||||||||
2.50% to <10.00% | 574 | 33 | 607 | 100% | 583 | 4.58% | 857 | 15% | 2.5 | 498 | 85% | 4 | – | ||||||||||||||
10.00% to <100.00% | 46 | 0 | 46 | 100% | 46 | 17.22% | 79 | 17% | 1.9 | 76 | 164% | 1 | – | ||||||||||||||
100.00% (Default) | 244 | 4 | 248 | 100% | 247 | 100.00% | 275 | 16% | 1.6 | 262 | 106% | 22 | – | ||||||||||||||
Sub-total | 102,451 | 6,483 | 108,934 | 100% | 105,040 | 0.53% | 149,319 | 15% | 2.9 | 14,089 | 13% | 71 | 26 | ||||||||||||||
Qualifying revolving retail | |||||||||||||||||||||||||||
0.75% to <2.50% | 460 | 5,573 | 6,033 | 0% | 484 | 1.30% | 767,143 | 50% | 1.0 | 120 | 25% | 3 | – | ||||||||||||||
10.00% to <100.00% | 101 | 0 | 101 | 71% | 101 | 45.00% | 96,875 | 20% | 0.2 | 65 | 64% | 9 | – | ||||||||||||||
100.00% (Default) | 1 | 0 | 1 | 0% | 1 | 100.00% | 189 | 20% | 0.2 | 1 | 106% | 8 | – | ||||||||||||||
Sub-total | 562 | 5,573 | 6,135 | 71% | 586 | 9.01% | 864,207 | 45% | 0.9 | 186 | 32% | 20 | 8 | ||||||||||||||
Other retail | |||||||||||||||||||||||||||
0.00% to <0.15% | 51,388 | 99,504 | 150,892 | 89% | 54,387 | 0.04% | 50,538 | 63% | 1.4 | 4,652 | 9% | 15 | – | ||||||||||||||
0.15% to <0.25% | 4,153 | 7,223 | 11,376 | 73% | 4,614 | 0.21% | 4,886 | 52% | 1.5 | 1,084 | 23% | 5 | – | ||||||||||||||
0.25% to <0.50% | 6,934 | 3,703 | 10,637 | 93% | 7,686 | 0.31% | 8,467 | 23% | 2.3 | 1,379 | 18% | 6 | – | ||||||||||||||
0.50% to <0.75% | 1,235 | 921 | 2,156 | 93% | 1,448 | 0.58% | 12,037 | 47% | 1.6 | 560 | 39% | 4 | – | ||||||||||||||
0.75% to <2.50% | 4,571 | 1,333 | 5,904 | 94% | 4,764 | 1.63% | 80,689 | 48% | 1.8 | 2,890 | 61% | 37 | – | ||||||||||||||
2.50% to <10.00% | 2,974 | 576 | 3,550 | 96% | 3,077 | 5.28% | 85,739 | 48% | 2.7 | 2,324 | 76% | 78 | – | ||||||||||||||
10.00% to <100.00% | 317 | 26 | 343 | 91% | 322 | 12.64% | 261 | 57% | 1.0 | 354 | 110% | 23 | – | ||||||||||||||
100.00% (Default) | 440 | 25 | 465 | 84% | 381 | 100.00% | 6,227 | 75% | 1.4 | 404 | 106% | 168 | – | ||||||||||||||
Sub-total | 72,012 | 113,311 | 185,323 | 88% | 76,679 | 0.95% | 248,844 | 57% | 1.6 | 13,647 | 18% | 336 | 168 | ||||||||||||||
Sub-total (all portfolios) | |||||||||||||||||||||||||||
0.00% to <0.15% | 217,241 | 173,503 | 390,744 | 64% | 255,980 | 0.05% | 97,487 | 26% | 1.8 | 20,165 | 8% | 36 | – | ||||||||||||||
0.15% to <0.25% | 64,021 | 21,561 | 85,582 | 77% | 70,120 | 0.20% | 76,436 | 22% | 2.7 | 12,446 | 18% | 30 | – | ||||||||||||||
0.25% to <0.50% | 32,623 | 13,068 | 45,691 | 67% | 37,276 | 0.36% | 30,379 | 24% | 2.6 | 10,594 | 28% | 32 | – | ||||||||||||||
0.50% to <0.75% | 16,835 | 8,584 | 25,419 | 74% | 19,718 | 0.59% | 22,601 | 28% | 2.4 | 8,776 | 45% | 32 | – | ||||||||||||||
0.75% to <2.50% | 35,571 | 20,255 | 55,826 | 70% | 40,973 | 1.34% | 859,669 | 31% | 2.6 | 25,890 | 63% | 171 | – | ||||||||||||||
2.50% to <10.00% | 10,580 | 13,210 | 23,790 | 51% | 16,548 | 5.06% | 88,182 | 31% | 2.9 | 18,253 | 110% | 269 | – | ||||||||||||||
10.00% to <100.00% | 2,260 | 644 | 2,904 | 61% | 2,621 | 23.68% | 97,325 | 18% | 2.1 | 2,173 | 83% | 82 | – | ||||||||||||||
100.00% (Default) | 3,348 | 219 | 3,567 | 72% | 3,376 | 100.00% | 6,956 | 36% | 1.9 | 3,581 | 106% | 932 | – | ||||||||||||||
Sub-total (all portfolios) | 382,479 | 251,044 | 633,523 | 65% | 446,612 | 1.32% | 1,279,035 | 26% | 2.1 | 101,878 | 23% | 1,584 | 947 | ||||||||||||||
Alternative treatment | |||||||||||||||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | 48 | – | – | – | – | 23 | – | – | – | ||||||||||||||
IRB - maturity and export finance buffer | – | – | – | – | – | – | – | – | – | 2,135 | – | – | – | ||||||||||||||
Total (all portfolios and alternative treatment) | |||||||||||||||||||||||||||
Total (all portfolios and alternative treatment) | 382,479 | 251,044 | 633,523 | 65% | 446,660 | 1.32% | 1,279,035 | 26% | 2.1 | 104,036 | 23% | 1,584 | 947 | ||||||||||||||
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
|
|||||||||||||||||||||||||||
2
Reflects risk-weighted assets post CCF.
|
CR7 – Effect on risk-weighted assets of credit derivatives used as CRM techniques | |||||||||
2Q17 | 4Q16 | ||||||||
end of |
Pre-credit derivatives RWA |
Actual RWA |
Pre-credit derivatives RWA |
Actual RWA |
|||||
CHF million | |||||||||
Sovereigns - A-IRB | 2,439 | 1,892 | 2,312 | 2,062 | |||||
Institutions - Banks and securities dealers - A-IRB | 6,557 | 3,830 | 8,687 | 3,843 | |||||
Institutions - Other institutions - A-IRB | 211 | 207 | 251 | 246 | |||||
Corporates - Specialized lending - A-IRB | 15,968 | 15,970 | 15,898 | 15,898 | |||||
Corporates without specialized lending - A-IRB | 53,701 | 55,057 | 50,082 | 49,116 | |||||
Residential mortgages | 15,135 | 15,048 | 13,291 | 13,291 | |||||
Qualifying revolving retail | 159 | 162 | 166 | 175 | |||||
Other retail | 10,454 | 10,049 | 15,995 | 12,874 | |||||
Total | 104,624 | 102,215 | 106,682 | 97,505 |
Definition of risk-weighted assets movement components related to credit risk and CCR | |||
Description | Definition | ||
Asset size | Represents changes arising in the ordinary course of business (including new businesses) | ||
Asset quality/Credit quality of counterparties | Represents changes in average risk weighting across credit risk classes | ||
Model and parameter updates | Represents movements arising from updates to models and recalibrations of parameters | ||
Methodology and policy changes |
Represents movements due to methodology changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations |
||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB | |||
2Q17 | RWA | ||
CHF million | |||
Risk-weighted assets at beginning of period | 108,460 | ||
Asset size | 179 | ||
Asset quality | (383) | ||
Model and parameter updates | 817 | ||
Methodology and policy changes | 1,911 | ||
Foreign exchange impact | (2,440) | ||
Risk-weighted assets at end of period | 108,544 |
CR10 – Specialized lending | |||||||||||||||
end of 2Q17 |
Remaining maturity |
On- balance sheet amount |
Off- balance sheet amount |
Risk weight |
Exposure amount |
1 |
RWA |
Expected losses |
|||||||
Other than high-volatility commercial real estate (CHF million) | |||||||||||||||
Regulatory categories | |||||||||||||||
Strong | Less than 2.5 years | 401 | 746 | 50% | 855 | 427 | 0 | ||||||||
Equal to or more than 2.5 years | 180 | 481 | 70% | 445 | 311 | 2 | |||||||||
Good | Less than 2.5 years | 105 | 126 | 70% | 198 | 139 | 1 | ||||||||
Equal to or more than 2.5 years | 445 | 284 | 90% | 604 | 544 | 5 | |||||||||
Satisfactory | 238 | 343 | 115% | 2 | 424 | 494 | 8 | ||||||||
Weak | 26 | 1 | 250% | 9 | 23 | 1 | |||||||||
Default | 173 | 0 | – | 0 | – | 86 | |||||||||
Total | 1,568 | 1,981 | – | 2,535 | 1,938 | 103 | |||||||||
High-volatility commercial real estate (CHF million) | |||||||||||||||
Regulatory categories | |||||||||||||||
Default | 12 | 0 | – | 12 | 0 | 6 | |||||||||
Total | 12 | 0 | – | 12 | 0 | 6 | |||||||||
end of 4Q16 | |||||||||||||||
Other than high-volatility commercial real estate (CHF million) | |||||||||||||||
Regulatory categories | |||||||||||||||
Strong | Less than 2.5 years | 365 | 745 | 50% | 738 | 370 | 0 | ||||||||
Equal to or more than 2.5 years | 132 | 248 | 70% | 269 | 188 | 1 | |||||||||
Good | Less than 2.5 years | 162 | 256 | 70% | 296 | 207 | 4 | ||||||||
Equal to or more than 2.5 years | 39 | 558 | 90% | 389 | 350 | 3 | |||||||||
Satisfactory | 149 | 185 | 115% | 215 | 247 | 6 | |||||||||
Weak | 27 | 4 | 250% | 5 | 11 | 0 | |||||||||
Default | 177 | 0 | – | 125 | – | 88 | |||||||||
Total | 1,051 | 1,996 | – | 2,037 | 1,373 | 102 | |||||||||
High-volatility commercial real estate (CHF million) | |||||||||||||||
Regulatory categories | |||||||||||||||
Default | 12 | 0 | – | 12 | 0 | 6 | |||||||||
Total | 12 | 0 | – | 12 | 0 | 6 | |||||||||
1
Includes project finance, object finance, commodities finance and IPRE.
|
|||||||||||||||
2
For a portion of the exposure, a risk weight of 120% is applied.
|
CR10 – Equity positions in the banking book under the simple risk-weight approach | |||||||||||
end of |
On-balance sheet amount |
Off-balance sheet amount |
Risk weight |
Exposure amount |
RWA |
||||||
2Q17 (CHF million, except where indicated) | |||||||||||
Exchange-traded equity exposures | 9 | 0 | 300% | 9 | 28 | ||||||
Other equity exposures | 2,389 | 0 | 400% | 2,389 | 9,553 | ||||||
Total | 2,398 | 0 | – | 2,398 | 9,581 | ||||||
4Q16 (CHF million, except where indicated) | |||||||||||
Exchange-traded equity exposures | 4 | 0 | 300% | 4 | 13 | ||||||
Other equity exposures | 2,793 | 0 | 400% | 2,793 | 11,170 | ||||||
Total | 2,797 | 0 | – | 2,797 | 11,183 |
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 |
|||||||
2Q17 (CHF million, except where indicated) | |||||||||||||
SA-CCR (for derivatives) 1 | 5,147 | 3,453 | – | 1.0 | 8,923 | 2,869 | |||||||
Internal Model Method (for derivatives and SFTs) | – | – | 24,572 | 1.4 | 2 | 34,400 | 9,305 | ||||||
Simple Approach for credit risk mitigation (for SFTs) | – | – | – | – | 27 | 0 | |||||||
VaR for SFTs | – | – | – | – | 29,731 | 4,640 | |||||||
Total | – | – | – | – | 73,081 | 16,814 | |||||||
4Q16 (CHF million, except where indicated) | |||||||||||||
SA-CCR (for derivatives) 1 | 13,736 | 4,645 | – | 1.0 | 18,380 | 3,214 | 3 | ||||||
Internal Model Method (for derivatives and SFTs) | – | – | 21,834 | 1.4 | 2 | 30,568 | 10,647 | 3 | |||||
Simple Approach for credit risk mitigation (for SFTs) | – | – | – | – | 69 | 0 | |||||||
VaR for SFTs | – | – | – | – | 26,309 | 3 | 4,224 | ||||||
Total | – | – | – | – | 75,326 | 18,085 | |||||||
1
Reported under CEM.
|
|||||||||||||
2
For a smaller portion of the derivative exposure, an alpha of 1.6 is applied.
|
|||||||||||||
3
Prior period has been corrected.
|
CCR2 – Credit valuation adjustment capital charge | |||||||||
2Q17 | 4Q16 | ||||||||
end of |
EAD post-CRM |
RWA |
EAD post-CRM |
RWA |
|||||
CHF million | |||||||||
Total portfolios subject to the advanced CVA capital charge | 30,574 | 7,229 | 34,192 | 12,125 | |||||
of which VaR component (including the 3 x multiplier) | – | 2,206 | – | 4,437 | |||||
of which stressed VaR component (including the 3 x multiplier) | – | 5,023 | – | 7,688 | |||||
All portfolios subject to the standardized CVA capital charge | 65 | 111 | 70 | 58 | |||||
Total subject to the CVA capital charge | 30,639 | 7,340 | 34,262 | 12,183 |
CCR3 – CCR exposures by regulatory portfolio and risk weights - standardized approach | |||||||||||||||||||
Risk weight | |||||||||||||||||||
end of |
0% |
10% |
20% |
50% |
75% |
100% |
150% |
Others |
Exposures post- CCF and CRM |
||||||||||
2Q17 (CHF million) | |||||||||||||||||||
Retail | 0 | 0 | 0 | 0 | 0 | 16 | 0 | 0 | 16 | ||||||||||
Other exposures | 27 | 0 | 0 | 0 | 0 | 185 | 0 | 0 | 212 | ||||||||||
Total | 27 | 0 | 0 | 0 | 0 | 201 | 0 | 0 | 228 | ||||||||||
4Q16 (CHF million) | |||||||||||||||||||
Other exposures | 69 | 0 | 0 | 0 | 0 | 77 | 0 | 0 | 146 | ||||||||||
Total | 69 | 0 | 0 | 0 | 0 | 77 | 0 | 0 | 146 |
CCR4 – CCR exposures by portfolio and PD scale - IRB models | |||||||||||||||
end of 2Q17 |
EAD post- CRM |
Average PD |
Number of obligors |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 2,613 | 0.03% | 70 | 51% | 0.7 | 175 | 7% | ||||||||
0.15% to <0.25% | 652 | 0.22% | 3 | 44% | 1.0 | 206 | 32% | ||||||||
0.25% to <0.50% | 80 | 0.37% | 3 | 31% | 1.0 | 26 | 32% | ||||||||
0.50% to <0.75% | 0 | 0.63% | 2 | 45% | 1.0 | 0 | 26% | ||||||||
0.75% to <2.50% | 130 | 1.10% | 2 | 52% | 0.1 | 103 | 80% | ||||||||
2.50% to <10.00% | 0 | 5.58% | 1 | 52% | 1.0 | 0 | 201% | ||||||||
10.00% to <100.00% | 0 | 28.23% | 1 | 42% | 1.0 | 0 | 233% | ||||||||
Sub-total | 3,475 | 0.11% | 82 | 49% | 0.7 | 510 | 15% | ||||||||
Institutions - Banks and securities dealer | |||||||||||||||
0.00% to <0.15% | 18,383 | 0.06% | 484 | 55% | 0.8 | 2,730 | 15% | ||||||||
0.15% to <0.25% | 1,202 | 0.22% | 115 | 54% | 0.5 | 492 | 41% | ||||||||
0.25% to <0.50% | 281 | 0.37% | 95 | 46% | 1.1 | 137 | 49% | ||||||||
0.50% to <0.75% | 166 | 0.64% | 64 | 55% | 0.3 | 116 | 70% | ||||||||
0.75% to <2.50% | 451 | 1.18% | 125 | 54% | 0.6 | 440 | 98% | ||||||||
2.50% to <10.00% | 98 | 5.65% | 148 | 50% | 0.8 | 154 | 157% | ||||||||
10.00% to <100.00% | 3 | 17.35% | 4 | 41% | 1.0 | 6 | 207% | ||||||||
100.00% (Default) | 0 | 100.00% | 3 | 52% | 1.0 | 0 | 106% | ||||||||
Sub-total | 20,584 | 0.13% | 1,038 | 55% | 0.8 | 4,075 | 20% | ||||||||
Institutions - Other institutions | |||||||||||||||
0.00% to <0.15% | 614 | 0.04% | 41 | 45% | 1.5 | 85 | 14% | ||||||||
0.15% to <0.25% | 20 | 0.20% | 9 | 41% | 3.8 | 10 | 50% | ||||||||
0.25% to <0.50% | 6 | 0.37% | 2 | 49% | 1.4 | 4 | 70% | ||||||||
0.50% to <0.75% | 39 | 0.58% | 3 | 44% | 5.1 | 42 | 108% | ||||||||
0.75% to <2.50% | 0 | 1.21% | 2 | 44% | 4.7 | 1 | 130% | ||||||||
2.50% to <10.00% | 0 | 3.25% | 1 | 52% | 1.0 | 0 | 168% | ||||||||
10.00% to <100.00% | 0 | 28.23% | 1 | 52% | 1.0 | 0 | 322% | ||||||||
Sub-total | 679 | 0.08% | 59 | 45% | 1.8 | 142 | 21% | ||||||||
Corporates - Specialized lending | |||||||||||||||
0.00% to <0.15% | 148 | 0.09% | 13 | 72% | 4.5 | 111 | 75% | ||||||||
0.15% to <0.25% | 31 | 0.22% | 32 | 32% | 4.7 | 13 | 41% | ||||||||
0.25% to <0.50% | 2 | 0.37% | 11 | 32% | 3.8 | 1 | 52% | ||||||||
0.50% to <0.75% | 18 | 0.58% | 10 | 34% | 5.1 | 14 | 75% | ||||||||
0.75% to <2.50% | 9 | 1.06% | 22 | 28% | 4.3 | 6 | 63% | ||||||||
2.50% to <10.00% | 0 | 5.18% | 3 | 37% | 1.7 | 0 | 94% | ||||||||
Sub-total | 208 | 0.20% | 91 | 60% | 4.5 | 145 | 69% |
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued) | |||||||||||||||
end of 2Q17 |
EAD post- CRM |
Average PD |
Number of obligors |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 33,818 | 0.05% | 10,904 | 53% | 0.6 | 4,240 | 13% | ||||||||
0.15% to <0.25% | 1,890 | 0.21% | 1,370 | 47% | 2.0 | 882 | 47% | ||||||||
0.25% to <0.50% | 1,373 | 0.37% | 630 | 53% | 1.1 | 817 | 60% | ||||||||
0.50% to <0.75% | 480 | 0.62% | 526 | 51% | 2.1 | 419 | 87% | ||||||||
0.75% to <2.50% | 1,797 | 1.50% | 7,721 | 61% | 1.0 | 2,401 | 134% | ||||||||
2.50% to <10.00% | 1,110 | 4.50% | 2,710 | 54% | 0.9 | 2,414 | 218% | ||||||||
10.00% to <100.00% | 46 | 27.75% | 17 | 23% | 1.9 | 80 | 173% | ||||||||
100.00% (Default) | 39 | 100.00% | 13 | 45% | 1.1 | 41 | 106% | ||||||||
Sub-total | 40,553 | 0.39% | 23,891 | 53% | 0.7 | 11,294 | 28% | ||||||||
Other retail | |||||||||||||||
0.00% to <0.15% | 2,834 | 0.06% | 3,095 | 59% | 1.0 | 306 | 11% | ||||||||
0.15% to <0.25% | 188 | 0.19% | 396 | 31% | 2.7 | 25 | 13% | ||||||||
0.25% to <0.50% | 68 | 0.37% | 293 | 18% | 1.5 | 8 | 12% | ||||||||
0.50% to <0.75% | 24 | 0.58% | 977 | 27% | 2.2 | 5 | 22% | ||||||||
0.75% to <2.50% | 42 | 1.77% | 112 | 45% | 1.1 | 25 | 60% | ||||||||
2.50% to <10.00% | 3 | 5.89% | 36 | 53% | 1.5 | 3 | 85% | ||||||||
10.00% to <100.00% | 5 | 12.70% | 6 | 14% | 1.0 | 1 | 27% | ||||||||
100.00% (Default) | 4 | 100.00% | 1 | 100% | 5.1 | 4 | 106% | ||||||||
Sub-total | 3,168 | 0.24% | 4,916 | 56% | 1.1 | 377 | 12% | ||||||||
Sub-total (all portfolios) | |||||||||||||||
0.00% to <0.15% | 58,410 | 0.05% | 14,607 | 54% | 0.7 | 7,647 | 13% | ||||||||
0.15% to <0.25% | 3,983 | 0.22% | 1,925 | 48% | 1.5 | 1,628 | 41% | ||||||||
0.25% to <0.50% | 1,810 | 0.37% | 1,034 | 49% | 1.2 | 993 | 55% | ||||||||
0.50% to <0.75% | 727 | 0.62% | 1,582 | 50% | 1.9 | 596 | 82% | ||||||||
0.75% to <2.50% | 2,429 | 1.42% | 7,984 | 59% | 1.0 | 2,976 | 123% | ||||||||
2.50% to <10.00% | 1,211 | 4.60% | 2,899 | 54% | 0.9 | 2,571 | 212% | ||||||||
10.00% to <100.00% | 54 | 25.92% | 29 | 23% | 1.8 | 87 | 162% | ||||||||
100.00% (Default) | 43 | 100.00% | 17 | 49% | 1.5 | 45 | 106% | ||||||||
Sub-total (all portfolios) | 68,667 | 0.29% | 30,077 | 53% | 0.8 | 16,543 | 24% | ||||||||
Alternative treatment | |||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | – | 0 | – | ||||||||
Total (all portfolios and alternative treatment) | |||||||||||||||
Total (all portfolios and alternative treatment) | 68,667 | 0.29% | 30,077 | 53% | 0.8 | 16,543 | 24% |
CCR4 – CCR exposures by portfolio and PD scale - IRB models | |||||||||||||||
end of 4Q16 |
EAD post- CRM |
Average PD |
Number of obligors |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Sovereigns (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 5,339 | 0.04% | 66 | 51% | 0.9 | 262 | 5% | ||||||||
0.15% to <0.25% | 62 | 0.22% | 3 | 44% | 1.1 | 4 | 7% | ||||||||
0.25% to <0.50% | 520 | 0.37% | 4 | 29% | 1.0 | 157 | 30% | ||||||||
0.50% to <0.75% | 0 | 0.58% | 1 | 53% | 1.0 | 0 | 70% | ||||||||
0.75% to <2.50% | 139 | 1.12% | 3 | 52% | 0.2 | 111 | 80% | ||||||||
2.50% to <10.00% | 0 | 4.13% | 2 | 46% | 1.0 | 0 | 145% | ||||||||
Sub-total | 6,060 | 0.09% | 79 | 49% | 0.9 | 534 | 9% | ||||||||
Institutions - Banks and securities dealer | |||||||||||||||
0.00% to <0.15% | 16,802 | 0.06% | 506 | 56% | 0.7 | 3,136 | 19% | ||||||||
0.15% to <0.25% | 771 | 0.22% | 110 | 54% | 0.8 | 354 | 46% | ||||||||
0.25% to <0.50% | 374 | 0.37% | 95 | 50% | 1.2 | 219 | 58% | ||||||||
0.50% to <0.75% | 178 | 0.64% | 67 | 55% | 0.3 | 126 | 71% | ||||||||
0.75% to <2.50% | 534 | 1.19% | 127 | 51% | 0.6 | 492 | 92% | ||||||||
2.50% to <10.00% | 113 | 5.43% | 128 | 49% | 0.8 | 183 | 161% | ||||||||
10.00% to <100.00% | 14 | 16.81% | 4 | 52% | 1.0 | 37 | 265% | ||||||||
100.00% (Default) | 0 | 100.00% | 1 | 60% | 1.0 | 0 | 0% | ||||||||
Sub-total | 18,786 | 0.16% | 1,038 | 55% | 0.7 | 4,547 | 24% | ||||||||
Institutions - Other institutions | |||||||||||||||
0.00% to <0.15% | 719 | 0.04% | 46 | 46% | 1.5 | 101 | 14% | ||||||||
0.15% to <0.25% | 45 | 0.21% | 9 | 46% | 2.4 | 20 | 45% | ||||||||
0.25% to <0.50% | 5 | 0.37% | 2 | 49% | 1.1 | 4 | 68% | ||||||||
0.50% to <0.75% | 43 | 0.58% | 5 | 44% | 5.1 | 46 | 108% | ||||||||
0.75% to <2.50% | 0 | 1.39% | 1 | 44% | 5.1 | 1 | 140% | ||||||||
2.50% to <10.00% | 0 | 3.25% | 2 | 47% | 1.0 | 0 | 138% | ||||||||
Sub-total | 812 | 0.08% | 65 | 46% | 1.8 | 172 | 21% | ||||||||
Corporates - Specialized lending | |||||||||||||||
0.00% to <0.15% | 10 | 0.09% | 13 | 17% | 5.0 | 2 | 15% | ||||||||
0.15% to <0.25% | 162 | 0.17% | 34 | 70% | 5.0 | 160 | 99% | ||||||||
0.25% to <0.50% | 10 | 0.37% | 14 | 32% | 4.9 | 6 | 57% | ||||||||
0.50% to <0.75% | 13 | 0.58% | 13 | 34% | 4.8 | 9 | 69% | ||||||||
0.75% to <2.50% | 19 | 1.03% | 28 | 27% | 3.9 | 11 | 58% | ||||||||
2.50% to <10.00% | 0 | 3.44% | 3 | 47% | 2.5 | 1 | 132% | ||||||||
Sub-total | 214 | 0.28% | 105 | 60% | 4.9 | 189 | 87% |
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued) | |||||||||||||||
end of 4Q16 |
EAD post- CRM |
Average PD |
Number of obligors |
Average LGD |
Average maturity (years) |
RWA |
RWA density |
||||||||
Corporates without specialized lending (CHF million, except where indicated) | |||||||||||||||
0.00% to <0.15% | 36,271 | 0.05% | 10,899 | 50% | 0.7 | 4,562 | 13% | ||||||||
0.15% to <0.25% | 2,098 | 0.21% | 1,321 | 47% | 2.1 | 994 | 47% | ||||||||
0.25% to <0.50% | 1,883 | 0.37% | 652 | 55% | 1.1 | 1,150 | 61% | ||||||||
0.50% to <0.75% | 455 | 0.62% | 550 | 49% | 2.1 | 387 | 85% | ||||||||
0.75% to <2.50% | 1,884 | 1.42% | 1,644 | 64% | 1.1 | 2,768 | 147% | ||||||||
2.50% to <10.00% | 1,119 | 4.56% | 1,773 | 50% | 1.0 | 2,194 | 196% | ||||||||
10.00% to <100.00% | 39 | 28.13% | 12 | 39% | 1.0 | 106 | 275% | ||||||||
100.00% (Default) | 17 | 100.00% | 11 | 46% | 0.9 | 18 | 106% | ||||||||
Sub-total | 43,766 | 0.32% | 16,862 | 51% | 0.8 | 12,179 | 28% | ||||||||
Other retail | |||||||||||||||
0.00% to <0.15% | 2,619 | 0.04% | 2,864 | 39% | 1.1 | 116 | 4% | ||||||||
0.15% to <0.25% | 241 | 0.19% | 364 | 24% | 2.3 | 25 | 10% | ||||||||
0.25% to <0.50% | 1,083 | 0.31% | 390 | 20% | 1.0 | 179 | 17% | ||||||||
0.50% to <0.75% | 35 | 0.58% | 781 | 37% | 3.2 | 11 | 31% | ||||||||
0.75% to <2.50% | 26 | 1.47% | 146 | 47% | 2.1 | 15 | 58% | ||||||||
2.50% to <10.00% | 3 | 3.54% | 27 | 57% | 0.8 | 2 | 85% | ||||||||
10.00% to <100.00% | 0 | 19.31% | 4 | 65% | 3.8 | 1 | 151% | ||||||||
100.00% (Default) | 14 | 100.00% | 8 | 66% | 5.1 | 15 | 106% | ||||||||
Sub-total | 4,021 | 0.49% | 4,584 | 33% | 1.2 | 364 | 9% | ||||||||
Sub-total (all portfolios) | |||||||||||||||
0.00% to <0.15% | 61,760 | 0.05% | 14,394 | 51% | 0.7 | 8,179 | 13% | ||||||||
0.15% to <0.25% | 3,379 | 0.21% | 1,841 | 48% | 2.0 | 1,557 | 46% | ||||||||
0.25% to <0.50% | 3,875 | 0.35% | 1,157 | 41% | 1.1 | 1,715 | 44% | ||||||||
0.50% to <0.75% | 724 | 0.62% | 1,417 | 50% | 1.9 | 579 | 80% | ||||||||
0.75% to <2.50% | 2,602 | 1.35% | 1,949 | 60% | 1.0 | 3,398 | 131% | ||||||||
2.50% to <10.00% | 1,235 | 4.64% | 1,935 | 50% | 1.0 | 2,380 | 192% | ||||||||
10.00% to <100.00% | 53 | 25.06% | 20 | 43% | 1.0 | 144 | 271% | ||||||||
100.00% (Default) | 31 | 100.00% | 20 | 55% | 2.8 | 33 | 106% | ||||||||
Sub-total (all portfolios) | 73,659 | 0.26% | 22,733 | 51% | 0.8 | 17,985 | 24% | ||||||||
Alternative treatment | |||||||||||||||
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment | – | – | – | – | – | 0 | – | ||||||||
Total (all portfolios and alternative treatment) | |||||||||||||||
Total (all portfolios and alternative treatment) | 73,659 | 0.26% | 22,733 | 51% | 0.8 | 17,985 | 24% |
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 | |||||||||||
2Q17 (CHF million) | |||||||||||||||||
Cash - domestic currency | 1 | 2,463 | 2,464 | 0 | 2,298 | 2,298 | 1,355 | 5,816 | |||||||||
Cash - other currencies | 1,508 | 44,789 | 46,297 | 735 | 45,245 | 45,980 | 251,554 | 344,796 | |||||||||
Domestic sovereign debt | 13 | 7 | 20 | 0 | 0 | 0 | 3,942 | 921 | |||||||||
Other sovereign debt | 7,043 | 7,520 | 14,563 | 7,153 | 2,811 | 9,964 | 309,618 | 214,975 | |||||||||
Government agency debt | 96 | 48 | 144 | 0 | 0 | 0 | 3,068 | 6,426 | |||||||||
Corporate bonds | 1,382 | 1,781 | 3,163 | 109 | 1,300 | 1,409 | 79,955 | 32,364 | |||||||||
Equity securities | 1,604 | 47 | 1,651 | 0 | 1,171 | 1,171 | 251,753 | 62,744 | |||||||||
Other collateral | 7,330 | 865 | 8,195 | 0 | 0 | 0 | 23,328 | 31,453 | |||||||||
Total | 18,977 | 57,520 | 76,497 | 7,997 | 52,825 | 60,822 | 924,573 | 699,495 | |||||||||
4Q16 (CHF million) | |||||||||||||||||
Cash - domestic currency | 1 | 2,965 | 2,966 | 0 | 1,322 | 1,322 | 917 | 5,057 | |||||||||
Cash - other currencies | 1,299 | 42,166 | 43,465 | 1,359 | 45,839 | 47,198 | 272,621 | 366,533 | |||||||||
Domestic sovereign debt | 927 | 2,203 | 3,130 | 157 | 795 | 952 | 4,590 | 1,089 | |||||||||
Other sovereign debt | 2 | 7 | 9 | 1,596 | 216 | 1,812 | 325,827 | 218,278 | |||||||||
Government agency debt | 2,527 | 289 | 2,816 | 0 | 632 | 632 | 1,437 | 4,510 | |||||||||
Corporate bonds | 178 | 146 | 324 | 0 | 0 | 0 | 73,059 | 30,429 | |||||||||
Equity securities | 7,788 | 913 | 8,701 | 1,606 | 0 | 1,606 | 238,634 | 65,022 | |||||||||
Other collateral | 2,503 | 7,973 | 10,476 | 1,055 | 3,023 | 4,078 | 27,759 | 35,582 | |||||||||
Total | 15,225 | 56,662 | 71,887 | 5,773 | 51,827 | 57,600 | 944,844 | 726,500 |
CCR6 – Credit derivatives exposures | |||||||||
2Q17 | 4Q16 | ||||||||
end of |
Protection bought |
Protection sold |
Protection bought |
Protection sold |
|||||
Notionals (CHF billion) | |||||||||
Single-name credit default swaps | 112.8 | 93.4 | 124.6 | 102.4 | |||||
Index credit default swaps | 105.6 | 97.0 | 134.3 | 123.4 | |||||
Total return swaps | 4.8 | 2.6 | 6.7 | 1.1 | |||||
Credit options | 1.1 | 0.3 | 1.6 | 1.1 | |||||
Other credit derivatives | 53.7 | 18.0 | 52.1 | 11.4 | |||||
of which credit default swaptions | 51.2 | 15.4 | 52.1 | 11.4 | |||||
of which other credit instruments | 2.4 | 2.6 | 0.0 | 0.0 | |||||
Total notionals | 278.0 | 211.3 | 319.3 | 239.4 | |||||
Fair values (CHF billion) | |||||||||
Positive fair value (asset) | 4.1 | 3.9 | 4.5 | 3.6 | |||||
Negative fair value (liability) | 5.7 | 3.3 | 5.5 | 3.7 |
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM | |||
2Q17 | RWA | ||
CHF million | |||
Risk-weighted assets at beginning of period | 14,249 | ||
Asset size | 792 | ||
Credit quality of counterparties | 8 | ||
Model and parameter updates | (382) | ||
Methodology and policy changess | 45 | ||
Foreign exchange impact | (767) | ||
Risk-weighted assets at end of period | 13,945 |
CCR8 – Exposures to central counterparties | |||||
end of 2Q17 |
EAD (post-CRM) |
RWA |
|||
CHF million | |||||
Exposures to QCCPs (total) | – | 1,478 | |||
Exposures for trades at QCCPs | 17,298 | 594 | |||
of which OTC derivatives | 3,723 | 74 | |||
of which exchange-traded derivatives | 13,575 | 516 | |||
Segregated initial margin | 162 | – | |||
Non-segregated initial margin | 70 | 32 | |||
Pre-funded default fund contributions | 0 | 852 | |||
Exposures to non-QCCPs (total) | – | 89 | |||
Exposures for trades at non-QCCPs | 65 | 70 | |||
of which exchange-traded derivatives | 65 | 70 | |||
Pre-funded default fund contributions | 0 | 19 |
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 | ||||||||||
2Q17 (CHF million) | |||||||||||||||||||
Commercial mortgages | 455 | 0 | 455 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||
CDO/CLO | 4,155 | 36,691 | 40,846 | 1,818 | 0 | 1,818 | 4,218 | 0 | 4,218 | ||||||||||
Other ABS | 7,267 | 319 | 7,586 | 0 | 0 | 0 | 9,534 | 0 | 9,534 | ||||||||||
Total | 11,877 | 37,010 | 48,887 | 1,818 | 0 | 1,818 | 13,752 | 0 | 13,752 | ||||||||||
of which retained interests | – | – | 31,135 | – | – | 109 | – | – | 12,447 | ||||||||||
4Q16 (CHF million) | |||||||||||||||||||
Commercial mortgages | 462 | 0 | 462 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||
CDO/CLO | 3,221 | 40,640 | 43,861 | 1,823 | 0 | 1,823 | 16,766 | 0 | 16,766 | ||||||||||
Other ABS | 6,197 | 451 | 6,648 | 0 | 0 | 0 | 9,723 | 0 | 9,723 | ||||||||||
Total | 9,880 | 41,091 | 50,971 | 1,823 | 0 | 1,823 | 26,489 | 0 | 26,489 | ||||||||||
of which retained interests | – | – | 31,802 | – | – | 108 | – | – | 16,123 |
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 | ||||||||||
2Q17 (CHF million) | |||||||||||||||||||
Commercial mortgages | 47 | 326 | 373 | 0 | 0 | 0 | 1,148 | 96 | 1,244 | ||||||||||
Residential mortgages | 180 | 3 | 183 | 0 | 0 | 0 | 2,955 | 7 | 2,962 | ||||||||||
Other ABS | 0 | 0 | 0 | 0 | 0 | 0 | 480 | 0 | 480 | ||||||||||
CDO/CLO | 0 | 10 | 10 | 0 | 0 | 0 | 257 | 10 | 267 | ||||||||||
Nth-to-default | 0 | 616 | 616 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||
Total | 227 | 955 | 1,182 | 0 | 0 | 0 | 4,840 | 113 | 4,953 | ||||||||||
4Q16 (CHF million) | |||||||||||||||||||
Commercial mortgages | 48 | 294 | 342 | 0 | 0 | 0 | 921 | 136 | 1,057 | ||||||||||
Residential mortgages | 118 | 33 | 151 | 0 | 0 | 0 | 3,025 | 70 | 3,095 | ||||||||||
Other ABS | 0 | 0 | 0 | 0 | 0 | 0 | 509 | 0 | 509 | ||||||||||
CDO/CLO | 0 | 11 | 11 | 0 | 0 | 0 | 203 | 0 | 203 | ||||||||||
Nth-to-default | 0 | 640 | 640 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||
Total | 166 | 978 | 1,144 | 0 | 0 | 0 | 4,658 | 206 | 4,864 |
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 |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
||||||||||||||||||
2Q17 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 30,757 | 73 | 120 | 157 | 137 | 414 | 30,693 | 0 | 137 | 197 | 3,640 | 0 | 1,709 | 16 | 291 | 0 | 137 | ||||||||||||||||||
Traditional securitization | 4,189 | 73 | 50 | 127 | 62 | 414 | 4,025 | 0 | 62 | 197 | 551 | 0 | 772 | 16 | 44 | 0 | 62 | ||||||||||||||||||
of which securitization | 4,189 | 73 | 50 | 127 | 62 | 414 | 4,025 | 0 | 62 | 197 | 551 | 0 | 772 | 16 | 44 | 0 | 62 | ||||||||||||||||||
of which retail underlying | 287 | 0 | 17 | 15 | 48 | 319 | 0 | 0 | 48 | 150 | 0 | 0 | 603 | 12 | 0 | 0 | 48 | ||||||||||||||||||
of which wholesale | 3,902 | 73 | 33 | 112 | 14 | 95 | 4,025 | 0 | 14 | 47 | 551 | 0 | 169 | 4 | 44 | 0 | 14 | ||||||||||||||||||
Synthetic securitization | 26,568 | 0 | 70 | 30 | 75 | 0 | 26,668 | 0 | 75 | 0 | 3,089 | 0 | 937 | 0 | 247 | 0 | 75 | ||||||||||||||||||
of which securitization | 26,568 | 0 | 70 | 30 | 75 | 0 | 26,668 | 0 | 75 | 0 | 3,089 | 0 | 937 | 0 | 247 | 0 | 75 | ||||||||||||||||||
of which retail underlying | 224 | 0 | 0 | 2 | 0 | 0 | 226 | 0 | 0 | 0 | 71 | 0 | 0 | 0 | 6 | 0 | 0 | ||||||||||||||||||
of which wholesale | 26,344 | 0 | 70 | 28 | 75 | 0 | 26,442 | 0 | 75 | 0 | 3,018 | 0 | 937 | 0 | 241 | 0 | 75 | ||||||||||||||||||
4Q16 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 31,406 | 68 | 32 | 305 | 99 | 108 | 31,703 | 0 | 99 | 330 | 3,769 | 0 | 1,241 | 27 | 302 | 0 | 99 | ||||||||||||||||||
Traditional securitization | 3,174 | 0 | 32 | 109 | 38 | 108 | 3,206 | 0 | 38 | 330 | 297 | 0 | 474 | 27 | 24 | 0 | 38 | ||||||||||||||||||
of which securitization | 3,174 | 0 | 32 | 109 | 38 | 108 | 3,206 | 0 | 38 | 330 | 297 | 0 | 474 | 27 | 24 | 0 | 38 | ||||||||||||||||||
of which retail underlying | 0 | 0 | 0 | 0 | 38 | 0 | 0 | 0 | 38 | 123 | 0 | 0 | 474 | 10 | 0 | 0 | 38 | ||||||||||||||||||
of which wholesale | 3,174 | 0 | 32 | 109 | 0 | 108 | 3,206 | 0 | 0 | 207 | 297 | 0 | 0 | 17 | 24 | 0 | 0 | ||||||||||||||||||
Synthetic securitization | 28,232 | 68 | 0 | 196 | 61 | 0 | 28,497 | 0 | 61 | 0 | 3,472 | 0 | 767 | 0 | 278 | 0 | 61 | ||||||||||||||||||
of which securitization | 28,232 | 68 | 0 | 196 | 61 | 0 | 28,497 | 0 | 61 | 0 | 3,472 | 0 | 767 | 0 | 278 | 0 | 61 | ||||||||||||||||||
of which retail underlying | 348 | 0 | 0 | 2 | 0 | 0 | 351 | 0 | 0 | 0 | 90 | 0 | 0 | 0 | 7 | 0 | 0 | ||||||||||||||||||
of which wholesale | 27,884 | 68 | 0 | 194 | 61 | 0 | 28,146 | 0 | 61 | 0 | 3,382 | 0 | 767 | 0 | 271 | 0 | 61 |
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 |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
IRB RBA |
IRB SFA |
SA/SSFA |
1250% RW |
||||||||||||||||||
2Q17 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 7,080 | 2,277 | 2,848 | 239 | 3 | 3,086 | 2,282 | 7,076 | 3 | 632 | 227 | 4,075 | 35 | 50 | 18 | 326 | 3 | ||||||||||||||||||
Traditional securitization | 7,080 | 2,277 | 2,848 | 239 | 3 | 3,086 | 2,282 | 7,076 | 3 | 632 | 227 | 4,075 | 35 | 50 | 18 | 326 | 3 | ||||||||||||||||||
of which securitization | 7,080 | 2,277 | 2,848 | 239 | 3 | 3,086 | 2,282 | 7,076 | 3 | 632 | 227 | 4,075 | 35 | 50 | 18 | 326 | 3 | ||||||||||||||||||
of which retail underlying | 4,422 | 2,045 | 2,848 | 220 | 0 | 2,459 | 0 | 7,076 | 0 | 483 | 0 | 4,075 | 0 | 38 | 0 | 326 | 0 | ||||||||||||||||||
of which wholesale | 2,658 | 232 | 0 | 19 | 3 | 627 | 2,282 | 0 | 3 | 149 | 227 | 0 | 35 | 12 | 18 | 0 | 3 | ||||||||||||||||||
4Q16 (CHF million) | |||||||||||||||||||||||||||||||||||
Total exposures | 11,898 | 1,962 | 1,929 | 330 | 4 | 3,718 | 5,443 | 6,958 | 4 | 604 | 587 | 3,502 | 56 | 48 | 47 | 280 | 4 | ||||||||||||||||||
Traditional securitization | 11,898 | 1,962 | 1,929 | 330 | 4 | 3,718 | 5,443 | 6,958 | 4 | 604 | 587 | 3,502 | 56 | 48 | 47 | 280 | 4 | ||||||||||||||||||
of which securitization | 11,898 | 1,962 | 1,929 | 330 | 4 | 3,718 | 5,443 | 6,958 | 4 | 604 | 587 | 3,502 | 56 | 48 | 47 | 280 | 4 | ||||||||||||||||||
of which retail underlying | 5,662 | 1,938 | 1,919 | 206 | 0 | 2,766 | 0 | 6,958 | 0 | 455 | 0 | 3,502 | 0 | 36 | 0 | 280 | 0 | ||||||||||||||||||
of which wholesale | 6,236 | 24 | 10 | 124 | 4 | 952 | 5,443 | 0 | 4 | 149 | 587 | 0 | 56 | 12 | 47 | 0 | 4 |
MR1 – Market risk under standardized approach | |||||
end of | 2Q17 | 4Q16 | |||
Risk-weighted assets (CHF million) | |||||
Options | |||||
Securitization | 3,597 | 3,965 | |||
Total risk-weighted assets | 3,597 | 3,965 |
MR2 – Risk-weighted assets flow statements of market risk exposures under an internal model approach | |||||||||||
2Q17 |
Regulatory VaR |
Stressed VaR |
IRC |
Other |
1 |
Total RWA |
|||||
CHF million | |||||||||||
Risk-weighted assets at beginning of period | 2,133 | 4,867 | 2,549 | 6,920 | 16,469 | ||||||
Regulatory adjustment | 1,656 | (285) | (103) | 0 | 1,268 | ||||||
Risk-weighted assets at beginning of period (end of day) | 3,789 | 4,582 | 2,446 | 6,920 | 17,737 | ||||||
Movement in risk levels | (2,261) | (461) | (456) | (567) | (3,745) | ||||||
Model and parameter updates | 858 | 64 | 0 | 0 | 922 | ||||||
Methodology and policy changes | (24) | (24) | (278) | (108) | (434) | ||||||
Foreign exchange impact | (71) | (140) | (73) | (209) | (493) | ||||||
Risk-weighted assets at end of period (end of day) | 2,291 | 4,021 | 1,639 | 6,036 | 13,987 | ||||||
Regulatory adjustment | (109) | 208 | 337 | 29 | 465 | ||||||
Risk-weighted assets at end of period | 2,182 | 4,229 | 1,976 | 6,065 | 14,452 | ||||||
1
Risks not in VaR.
|
Definitions of risk-weighted assets movement components related to market risk | |||
Description | Definition | ||
RWA as of the end of the previous and 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 and 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 figure 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 updates to model parameters and model changes | ||
Methodology and policy changes |
Represents movements due to methodology changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations |
||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge | |||||
in / end of | 6M17 | 2016 | |||
CHF million | |||||
Regulatory VaR (10 day 99%) | |||||
Maximum value | 104 | 190 | |||
Average value | 58 | 79 | |||
Minimum value | 37 | 47 | |||
Period end | 61 | 59 | |||
Stressed VaR (10 day 99%) | |||||
Maximum value | 205 | 336 | |||
Average value | 120 | 171 | |||
Minimum value | 86 | 119 | |||
Period end | 107 | 144 | |||
IRC (99.9%) | |||||
Maximum value | 272 | 357 | |||
Average value | 177 | 212 | |||
Minimum value | 131 | 65 | |||
Period end | 131 | 188 |
Balance sheet | |||||||
Balance sheet | |||||||
end of 2Q17 |
Financial statements |
Regulatory scope of consolidation |
Reference to composition of capital |
||||
Assets (CHF million) | |||||||
Cash and due from banks | 110,332 | 109,836 | |||||
Interest-bearing deposits with banks | 641 | 1,035 | |||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 123,472 | |||||
Securities received as collateral, at fair value | 33,385 | 33,385 | |||||
Trading assets, at fair value | 140,981 | 135,900 | |||||
Investment securities | 2,281 | 1,902 | |||||
Other investments | 6,633 | 6,426 | |||||
Net loans | 273,865 | 274,398 | |||||
Premises and equipment | 4,525 | 4,592 | |||||
Goodwill | 4,673 | 4,673 | a | ||||
Other intangible assets | 195 | 195 | |||||
of which other intangible assets (excluding mortgage servicing rights) | 67 | 67 | b | ||||
Brokerage receivables | 40,279 | 40,245 | |||||
Other assets | 36,274 | 35,017 | |||||
of which deferred tax assets related to net operating losses | 2,787 | 2,787 | c | ||||
of which deferred tax assets from temporary differences | 4,755 | 4,592 | d | ||||
of which defined-benefit pension fund net assets | 1,412 | 1,412 | e | ||||
Total assets | 783,411 | 771,076 |
Balance sheet (continued) | |||||||
Balance sheet | |||||||
end of 2Q17 |
Financial statements |
Regulatory scope of consolidation |
Reference to composition of capital |
||||
Liabilities and equity (CHF million) | |||||||
Due to banks | 17,654 | 18,354 | |||||
Customer deposits | 356,674 | 356,781 | |||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 30,711 | |||||
Obligation to return securities received as collateral, at fair value | 33,385 | 33,385 | |||||
Trading liabilities, at fair value | 43,535 | 43,573 | |||||
Short-term borrowings | 17,237 | 11,408 | |||||
Long-term debt | 176,700 | 175,348 | |||||
Brokerage payables | 33,545 | 33,544 | |||||
Other liabilities | 30,134 | 24,255 | |||||
Total liabilities | 739,575 | 727,359 | |||||
of which additional tier 1 instruments, fully eligible | 12,796 | 12,796 | g | ||||
of which additional tier 1 instruments subject to phase-out | 2,631 | 2,631 | h | ||||
of which tier 2 instruments, fully eligible | 4,034 | 4,034 | i | ||||
of which tier 2 instruments subject to phase-out | 3,934 | 3,934 | j | ||||
Common shares | 102 | 103 | |||||
Additional paid-in capital | 35,465 | 35,465 | |||||
Retained earnings | 26,855 | 26,818 | |||||
Treasury shares, at cost | (40) | (36) | |||||
Accumulated other comprehensive income/(loss) | (18,889) | (18,858) | |||||
Total shareholders' equity 1 | 43,493 | 43,492 | |||||
Noncontrolling interests 2 | 343 | 225 | |||||
Total equity | 43,836 | 43,717 | |||||
Total liabilities and equity | 783,411 | 771,076 | |||||
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.
|
Composition of BIS regulatory capital | |||
end of | 2Q17 | ||
Eligible capital (CHF million) | |||
Total shareholders' equity (US GAAP) | 43,493 | ||
Regulatory adjustments | (372) | 1 | |
Adjustments subject to phase-in | (6,110) | 2 | |
CET1 capital | 37,011 | ||
Additional tier 1 instruments | 12,220 | 3 | |
Additional tier 1 instruments subject to phase-out | 2,631 | 4 | |
Deductions from additional tier 1 capital | (602) | 5 | |
Additional tier 1 capital | 14,249 | ||
Tier 1 capital | 51,260 | ||
Tier 2 instruments | 4,034 | 6 | |
Tier 2 instruments subject to phase-out | 1,281 | ||
Deductions from tier 2 capital | (49) | ||
Tier 2 capital | 5,266 | ||
Total eligible capital | 56,526 | ||
1
Includes regulatory adjustments not subject to phase-in, including a cumulative dividend accrual.
|
|||
2
Reflects 80% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets, and 20% of an adjustment primarily for the accounting treatment of pension plans pursuant to phase-in requirements.
|
|||
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 7.4 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.8 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
|
|||
4
Includes hybrid capital instruments that are subject to phase-out.
|
|||
5
Includes 20% of goodwill and other intangible assets (CHF 1.0 billion) and other capital deductions, including the regulatory reversal of gains/(losses) due to changes in own credit risk on fair-valued financial liabilities, which will be deducted from CET1 once Basel III is fully implemented.
|
|||
6
Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%.
|
Details on CET1 capital adjustments subject to phase-in | |||||||||||||
end of 2Q17 |
Balance sheet |
Reference to balance sheet |
1 |
Regulatory adjustments |
Total |
Transition amount |
2 |
Amount to be phased in |
|||||
CET1 capital adjustments subject to phase-in (CHF million) | |||||||||||||
Accounting treatment of defined benefit pension plans | – | – | – | 600 | (600) | ||||||||
Common share capital issued by subsidiaries and held by third parties | – | – | – | 45 | (45) | ||||||||
Goodwill | 4,673 | a | (20) | 3 | 4,653 | (3,722) | (931) | 4 | |||||
Other intangible assets (excluding mortgage-servicing rights) | 67 | b | (5) | 5 | 62 | (49) | (12) | 4 | |||||
Deferred tax assets that rely on future profitability (excluding temporary differences) | 2,787 | c | – | 2,787 | (2,230) | (557) | 6 | ||||||
Shortfall of provisions to expected losses | – | 496 | 496 | (396) | (99) | 7 | |||||||
Gains/(losses) due to changes in own credit on fair-valued liabilities | – | (1,853) | (1,853) | 1,483 | 371 | 8 | |||||||
Defined-benefit pension assets | 1,412 | e | (337) | 5 | 1,075 | (860) | (215) | 6 | |||||
Investments in own shares | – | 5 | 5 | (4) | (1) | 4 | |||||||
Other adjustments 9 | – | (13) | (13) | 10 | 3 | 4 | |||||||
Amounts above 10% threshold | 4,592 | (3,356) | 1,236 | (987) | (249) | ||||||||
of which deferred tax assets from temporary differences | 4,592 | d | (3,356) | 10 | 1,236 | (987) | (249) | 6 | |||||
Adjustments subject to phase-in to CET1 capital | (6,110) | (2,335) | |||||||||||
Rounding differences may occur.
|
|||||||||||||
1
Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet.
|
|||||||||||||
2
Reflects 80% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets, and 20% of an adjustment primarily for the accounting treatment of pension plans pursuant to phase-in requirements.
|
|||||||||||||
3
Represents related deferred tax liability and goodwill on equity method investments.
|
|||||||||||||
4
Deducted from additional tier 1 capital.
|
|||||||||||||
5
Represents related deferred tax liability.
|
|||||||||||||
6
Risk-weighted.
|
|||||||||||||
7
50% deducted from additional tier 1 capital and 50% from tier 2 capital.
|
|||||||||||||
8
Includes CHF 388 million related to debt instruments deducted from additional tier 1 capital.
|
|||||||||||||
9
Includes cash flow hedge reserve.
|
|||||||||||||
10
Includes threshold adjustments of CHF (3,800) million and an aggregate of CHF 442 million related to the add-back of deferred tax liabilities on goodwill, other intangible assets, mortgage servicing rights and pension assets that are netted against deferred tax assets under US GAAP.
|
Details on additional tier 1 capital and tier 2 capital | |||||||||||
end of 2Q17 |
Balance sheet |
Reference to balance sheet |
1 |
Regulatory adjustments |
Total |
Transition amount |
|||||
Additional tier 1 capital (CHF million) | |||||||||||
Additional tier 1 instruments 2 | 12,796 | g | (576) | 3 | 12,220 | 12,220 | |||||
Additional tier 1 instruments subject to phase-out 2 | 2,631 | h | 0 | 2,631 | 2,631 | ||||||
Total additional tier 1 instruments | 14,851 | ||||||||||
Deductions from additional tier 1 capital | |||||||||||
Goodwill | (931) | 4 | |||||||||
Other intangible assets (excluding mortgage-servicing rights) | (12) | 4 | |||||||||
Shortfall of provisions to expected losses | (49) | ||||||||||
Gains/(losses) due to changes in own credit on fair-valued financial liabilities | 388 | ||||||||||
Investments in own shares | (1) | ||||||||||
Other deductions | 3 | ||||||||||
Deductions from additional tier 1 capital | (602) | ||||||||||
Additional tier 1 capital | 14,249 | ||||||||||
Tier 2 capital (CHF million) | |||||||||||
Tier 2 instruments | 4,034 | i | – | 4,034 | 4,034 | ||||||
Tier 2 instruments subject to phase-out | 3,934 | j | (2,653) | 5 | 1,281 | 1,281 | |||||
Total tier 2 instruments | 5,315 | ||||||||||
Deductions from tier 2 capital | |||||||||||
Shortfall of provisions to expected losses | (49) | ||||||||||
Deductions from tier 2 capital | (49) | ||||||||||
Tier 2 capital | 5,266 | ||||||||||
1
Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet.
|
|||||||||||
2
Classified as liabilities under US GAAP.
|
|||||||||||
3
Includes the reversal of gains/(losses) due to changes in own credit spreads on fair valued capital instruments.
|
|||||||||||
4
Net of related deferred tax liability.
|
|||||||||||
5
Primarily includes the impact of the prescribed amortization requirements as instruments move closer to their maturity.
|
Additional information | |||
end of | 2Q17 | ||
Risk-weighted assets related to amounts subject to phase-in (CHF million) | |||
Adjustment for accounting treatment of pension plans | 763 | ||
Defined-benefit pension assets | 215 | ||
Deferred tax assets | 80 | ||
Risk-weighted assets related to amounts subject to phase-in | 1,058 | ||
Amounts below the thresholds for deduction (before risk weighting) (CHF million) | |||
Non-significant investments in BFI entities | 3,365 | ||
Significant investments in BFI entities | 695 | ||
Mortgage servicing rights | 98 | 1 | |
Deferred tax assets arising from temporary differences | 3,800 | 1 | |
Applicable caps on the inclusion of provisions in tier 2 (CHF million) | |||
Cap on inclusion of provisions in tier 2 under standardized approach | 101 | ||
Cap for inclusion of provisions in tier 2 under internal ratings-based approach | 845 | ||
1
Net of related deferred tax liability.
|
Swiss capital requirements and metrics | |||||||||
Phase-in | Look-through | ||||||||
end of 2Q17 |
CHF million |
in % of RWA |
CHF million |
in % of RWA |
|||||
Swiss risk-weighted assets | |||||||||
Swiss risk-weighted assets | 261,580 | – | 259,999 | – | |||||
Risk-based capital requirements (going-concern) based on Swiss capital ratios | |||||||||
Total | 31,870 | 12.184 | 37,660 | 14.485 | |||||
of which CET1: minimum | 15,172 | 5.8 | 11,700 | 4.5 | |||||
of which CET1: buffer | 8,371 | 3.2 | 14,300 | 5.5 | |||||
of which CET1: countercyclical buffer | 481 | 0.184 | 480 | 0.185 | |||||
of which additional tier 1: minimum | 5,755 | 2.2 | 9,100 | 3.5 | |||||
of which additional tier 1: buffer | 2,093 | 0.8 | 2,080 | 0.8 | |||||
Swiss eligible capital (going-concern) | |||||||||
Swiss CET1 capital and additional tier 1 capital 1 | 53,118 | 20.3 | 46,538 | 17.9 | |||||
of which CET1 capital 2 | 36,865 | 14.1 | 34,319 | 13.2 | |||||
of which additional tier 1 high-trigger capital instruments | 7,417 | 2.8 | 7,417 | 2.9 | |||||
of which additional tier 1 low-trigger capital instruments 3 | 4,802 | 1.8 | 4,802 | 1.8 | |||||
of which tier 2 low-trigger capital instruments 4 | 4,034 | 1.5 | 0 | 0.0 | |||||
Risk-based requirement for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios | |||||||||
Total | 14,921 | 5 | 5.704 | 5 | 32,183 | 12.378 | |||
Eligible additional total loss-absorbing capacity (gone-concern) | |||||||||
Total | 29,487 | 6 | 11.3 | 29,065 | 11.2 | ||||
of which bail-in instruments | 25,031 | 9.6 | 25,031 | 9.6 | |||||
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
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules.
|
|||||||||
5
The total loss-absorbing capacity (gone concern) requirement of 6.2% was reduced by 0.496%, or CHF 1,297 million, reflecting rebates in accordance with article 133 of the CAO.
|
|||||||||
6
Includes CHF 4,456 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital.
|
Swiss leverage requirements and metrics | |||||||||
Phase-in | Look-through | ||||||||
end of 2Q17 |
CHF million |
in % of LRD |
CHF million |
in % of LRD |
|||||
Leverage exposure | |||||||||
Leverage ratio denominator | 909,219 | – | 906,194 | – | |||||
Unweighted capital requirements (going-concern) based on Swiss leverage ratio | |||||||||
Total | 31,823 | 3.5 | 45,310 | 5.0 | |||||
of which CET1: minimum | 19,094 | 2.1 | 13,593 | 1.5 | |||||
of which CET1: buffer | 4,546 | 0.5 | 18,124 | 2.0 | |||||
of which additional tier 1: minimum | 8,183 | 0.9 | 13,593 | 1.5 | |||||
Swiss eligible capital (going-concern) | |||||||||
Swiss CET1 capital and additional tier 1 capital 1 | 53,118 | 5.8 | 46,538 | 5.1 | |||||
of which CET1 capital 2 | 36,865 | 4.1 | 34,319 | 3.8 | |||||
of which additional tier 1 high-trigger capital instruments | 7,417 | 0.8 | 7,417 | 0.8 | |||||
of which additional tier 1 low-trigger capital instruments 3 | 4,802 | 0.5 | 4,802 | 0.5 | |||||
of which tier 2 low-trigger capital instruments 4 | 4,034 | 0.4 | 0 | 0.0 | |||||
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss leverage ratio | |||||||||
Total | 16,730 | 5 | 1.84 | 5 | 39,692 | 4.38 | |||
Eligible additional total loss-absorbing capacity (gone-concern) | |||||||||
Total | 29,487 | 6 | 3.2 | 29,065 | 3.2 | ||||
of which bail-in instruments | 25,031 | 2.8 | 25,031 | 2.8 | |||||
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.
|
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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
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules.
|
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5
The total loss-absorbing capacity (gone concern) requirement of 2.0% was reduced by 0.16%, or CHF 1,455 million, reflecting rebates in accordance with article 133 of the CAO.
|
|||||||||
6
Includes CHF 4,456 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital.
|
Reconciliation of consolidated assets to leverage exposure – Phase-in | |||
end of | 2Q17 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Total consolidated assets as per published financial statements | 783,411 | ||
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation 1 | (12,210) | ||
Adjustments for derivatives financial instruments | 87,106 | ||
Adjustments for SFTs (i.e. repos and similar secured lending) | (23,788) | ||
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 74,700 | ||
Total leverage exposure | 909,219 | ||
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.
|
BIS leverage ratio common disclosure template – Phase-in | |||
end of | 2Q17 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
On-balance sheet items (excluding derivatives and SFTs, but including collateral) | 574,214 | ||
Asset amounts deducted from Basel III tier 1 capital | (8,403) | ||
Total on-balance sheet exposures | 565,811 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 24,313 | ||
Add-on amounts for PFE associated with all derivatives transactions | 87,461 | ||
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 24,833 | ||
Deductions of receivables assets for cash variation margin provided in derivatives transactions | (22,819) | ||
Exempted CCP leg of client-cleared trade exposures | (13,223) | ||
Adjusted effective notional amount of all written credit derivatives | 193,236 | ||
Adjusted effective notional offsets and add-on deductions for written credit derivatives | (185,651) | ||
Derivative Exposures | 108,150 | ||
Securities financing transaction exposures (CHF million) | |||
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 182,203 | ||
Netted amounts of cash payables and cash receivables of gross SFT assets | (31,241) | ||
Counterparty credit risk exposure for SFT assets | 9,596 | ||
Agent transaction exposures | 0 | ||
Securities financing transaction exposures | 160,558 | ||
Other off-balance sheet exposures (CHF million) | |||
Off-balance sheet exposure at gross notional amount | 234,946 | ||
Adjustments for conversion to credit equivalent amounts | (160,246) | ||
Other off-balance sheet exposures | 74,700 | ||
Tier 1 capital (CHF million) | |||
Tier 1 capital | 51,260 | ||
Leverage exposure (CHF million) | |||
Total leverage exposure | 909,219 | ||
Leverage ratio (%) | |||
Basel III leverage ratio | 5.6 |
Liquidity coverage ratio | |||||
end of 2Q17 |
Unweighted value |
1 |
Weighted value |
2 | |
High Quality Liquid Assets (CHF million) | |||||
High quality liquid assets | 159,624 | 158,797 | |||
Cash outflows (CHF million) | |||||
Retail deposits and deposits from small business customers | 151,856 | 19,053 | |||
of which less stable deposits | 151,856 | 19,053 | |||
Unsecured wholesale funding | 211,249 | 83,985 | |||
of which operational deposits (all counterparties) and deposits in networks of cooperative banks | 32,093 | 8,023 | |||
of which non-operational deposits (all counterparties) | 103,267 | 61,921 | |||
of which unsecured debt | 12,833 | 12,833 | |||
Secured wholesale funding | – | 70,155 | |||
Additional requirements | 181,427 | 40,321 | |||
of which outflows related to derivative exposures and other collateral requirements | 78,286 | 19,013 | |||
of which outflows related to loss of funding on debt products | 1,718 | 1,718 | |||
of which credit and liquidity facilities | 101,423 | 19,590 | |||
Other contractual funding obligations | 77,177 | 77,177 | |||
Other contingent funding obligations | 238,491 | 6,863 | |||
Total cash outflows | – | 297,554 | |||
Cash inflows (CHF million) | |||||
Secured lending | 140,628 | 90,958 | |||
Inflows from fully performing exposures | 61,248 | 31,216 | |||
Other cash inflows | 79,132 | 79,132 | |||
Total cash inflows | – | 201,306 | |||
Liquidity cover ratio | |||||
High quality liquid assets (CHF million) | – | 158,797 | |||
Net cash outflows (CHF million) | – | 96,248 | |||
Liquidity coverage ratio (%) | – | 165 | |||
Calculated using a three-month average, which is calculated on a daily basis.
|
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1
Calculated as outstanding balances maturing or callable within 30 days.
|
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2
Calculated after the application of haircuts for high quality liquid assets or inflow and outflow rates.
|
Key metrics for non-systemically relevant financial institutions | |||
end of 2Q17 | Phase-in | ||
CHF million, except where indicated | |||
Minimum required capital (8% of risk-weighted assets) | 20,926 | ||
Swiss total eligible capital | 56,380 | ||
of which Swiss CET1 capital | 36,865 | ||
of which Swiss tier 1 capital | 51,114 | ||
Swiss risk-weighted assets | 261,580 | ||
Swiss CET1 ratio (%) | 14.1 | ||
Swiss tier 1 ratio (%) | 19.5 | ||
Swiss total capital ratio (%) | 21.6 | ||
Countercyclical buffer (%) | 0.184 | ||
Swiss CET1 ratio requirement (%) 1 | 8.384 | ||
Swiss tier 1 ratio requirement (%) 1 | 10.384 | ||
Swiss total capital ratio requirement (%) 1 | 12.984 | ||
Swiss leverage ratio based on tier 1 capital (%) | 5.6 | ||
Leverage exposure | 909,219 | ||
Liquidity coverage ratio (%) 2 | 165 | ||
Numerator: total high quality liquid assets | 158,797 | ||
Denominator: net cash outflows | 96,248 | ||
Reflects the view as if the Group was not a Swiss SIFI. Refer to "Swiss capital requirements and metrics" and "Swiss leverage requirements and metrics" tables for the Swiss SIFI view.
|
|||
1
The capital requirements are in accordance with Appendix 8 of the CAO, plus the countercyclical buffer.
|
|||
2
Calculated using a three-month average, which is calculated on a daily basis.
|
A | ||
ABS | Asset-backed securities | |
A-IRB | Advanced-Internal Ratings-Based Approach | |
B | ||
BCBS | Basel Committee on Banking Supervision | |
BFI | Banking, financial and insurance | |
BIS | Bank for International Settlements | |
C | ||
CAO | Capital Adequacy Ordinance | |
CCF | Credit Conversion Factor | |
CCP | Central counterparties | |
CCR | Counterparty credit risk | |
CDO | Collateralized debt obligation | |
CDS | Credit default swap | |
CEM | Current exposure method | |
CET1 | Common equity tier 1 | |
CLO | Collateralized loan obligation | |
CRM | Credit Risk Mitigation | |
CVA | Credit valuation adjustment | |
E | ||
EAD | Exposure at default | |
EEPE | Effective Expected Positive Exposure | |
F | ||
FINMA | Swiss Financial Market Supervisory Authority FINMA | |
G | ||
G-SIB | Global systemically important banks | |
I | ||
IMM | Internal Models Method | |
IPRE | Income producing real estate | |
IRB | Internal Ratings-Based Approach | |
IRC | Incremental Risk Charge | |
L | ||
LCR | Liquidity coverage ratio | |
LGD | Loss given default | |
LRD | Leverage ratio denominator |
O | |||
OTC | Over-the-counter | ||
P | |||
PD | Probability of default | ||
PFE | Potential future exposure | ||
Q | |||
QCCP | Qualifying central counterparty | ||
R | |||
RBA | Ratings-Based Approach | ||
RW | Risk weight | ||
RWA | Risk-weighted assets | ||
S | |||
SA | Standardized Approach | ||
SA-CCR | Standardized Approach - counterparty credit risk | ||
SFA | Supervisory Formula Approach | ||
SFT | Securities Financing Transactions | ||
SIFI | Systemically Important Financial Institution | ||
SSFA | Simplified Supervisory Formula Approach | ||
T | |||
TLAC | Total loss absorbing capacity | ||
U | |||
US GAAP | Accounting principles generally accepted in the US | ||
V | |||
VaR | Value-at-Risk |