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

Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 30, 2017
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)

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






Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
 
CREDIT SUISSE GROUP AG
 (Registrant)
 
 
Date: August 30, 2017
By:
/s/ Joachim Oechslin
Joachim Oechslin
Chief Risk 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 2Q17
Credit Suisse Group AG

Introduction
General
Other regulatory disclosures
Risk-weighted assets
Credit risk
General
Credit quality of assets
Credit risk mitigation
Credit risk under the standardized approach
Counterparty credit risk
General
Details of counterparty credit risk exposures
Securitization
Securitization exposures in the banking book
Securitization exposures in the trading book
Market risk
General
Market risk under standardized approach
Market risk under internal model approach
Reconciliation requirements
Balance sheet
Composition of BIS regulatory capital
Additional regulatory disclosures
Swiss capital requirements
Leverage metrics
Liquidity coverage ratio
Minimum disclosures for large banks
List of abbreviations






Introduction
General
This report as of June 30, 2017 for the Group is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA). The FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervisions (BCBS) in January 2015. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016 and 1Q17, the Credit Suisse Annual Report 2016 and the Credit Suisse 2Q17 Financial Report, 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.
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.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The information in this report is subject to the same level of internal control processes as the information provided by the Group for its financial reporting. This report has not been audited by the Group’s external auditors.
> Refer to “Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016” under www.credit-suisse.com/regulatorydisclosures for the annual qualitative disclosures required by the FINMA circular.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
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 and terms and conditions of regulatory capital instruments that form part of the eligible capital base, 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 www.credit-suisse.com/regulatorydisclosures for additional information.
2

Risk-weighted assets
The following table provides an overview of total risk-weighted assets (RWA) forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent parts of this report.
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.
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.
RWA movements in 2Q17
RWA decreased 2% to CHF 260.9 billion as of the end of 2Q17 compared to CHF 265.3 billion as of the end of 1Q17, primarily driven by a foreign exchange impact, mainly in credit risk, and movements in risk levels, mainly in market risk. These decreases were partially offset by increased resulting from methodology and policy changes in credit risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 60 to 62) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse 2Q17 Financial Report for further information on risk-weighted assets movements in 2Q17.
3

Credit risk
General
This section covers credit risk as defined by the Basel framework. Counterparty credit risk, including those that are included 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 19 to 26) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 27 to 29) 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 majority of our credit risk is with institutional counterparties (sovereigns, other institutions, banks and corporates) and arises from lending and trading activity in the investment banking businesses and the private, corporate and institutional banking businesses. The remaining credit risk is with retail counterparties and mostly arises in the private, corporate and institutional banking businesses from residential mortgage loans and other secured lending, including loans collateralized by securities.
Credit quality of assets
The following table provides a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
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.
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 “Loans” in “Note 1 – Summary of significant accounting policies” (pages 263 to 265), “Note 19 – Loans, allowance for loan losses and credit quality” (pages 286 to 292) in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 and “Note 16 – Loans, allowance for loan losses and credit quality” (pages 107 to 111) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse 2Q17 Financial Report for further information on the credit quality of loans including past due and impaired loans.
4

The following table presents the changes in the Group’s stock of defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.
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
Credit risk mitigation
We actively mitigate our credit exposure utilizing a variety of techniques including netting and securing positions through collateral, financial guarantees and credit derivatives, primarily through credit default swaps (CDS). Recognizing credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness. We additionally monitor the exposure to credit mitigation providers as part of our overall credit risk exposure monitoring framework.
The following table presents the extent of use of CRM techniques.
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.
5

Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table illustrates the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on 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
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%
6

Exposures by asset classes and risk weights
The following table presents the breakdown of credit exposures under the standardized approach by asset class and risk weight (RW), which correspond to the riskiness attributed to the exposure according to the standardized approach.
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
7

Credit risk under internal risk-based approaches
Credit risk exposures by portfolio and PD range
The following table shows the main parameters used for the calculation of capital requirements for IRB models.
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.
2
Reflects risk-weighted assets post CCF.
Total exposures decreased CHF 15.9 billion compared to the end of 4Q16, primarily reflecting decreases in sovereigns and banks and securities dealer, partially offset by an increase in residential mortgages.
8 / 9

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.
10 / 11

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.
12 / 13

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.
14 / 15

Effect of credit derivatives used as CRM techniques on risk-weighted assets
The following table shows the effect of credit derivatives used as CRM techniques on the IRB approach capital requirements’ calculations.
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
For exposures covered by recognized credit derivatives, the substitution approach is applied. Hence, the risk weight of the obligor is substituted with the risk-weight of the protection provider.
RWA flow statements of credit risk exposures under IRB
The following table presents the definitions of the RWA flow statements components for credit risk and CCR.
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
Credit risk RWA movements in 2Q17
The following table presents the 2Q17 flow statement explaining the variations in the credit risk RWA determined under an IRB approach.
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
Credit risk RWA under IRB of CHF 108.5 billion was stable compared to the end of 1Q17, primarily driven by an increase resulting from methodology and policy changes and model and parameter updates, mostly offset by a foreign exchange impact.
16

The increase in methodology and policy changes was mainly related to the phase-in impact from a FINMA requirement to treat share-backed lending without personal guarantees as corporate exposures, which was introduced in 3Q16. The increase in methodology and policy changes was also impacted by an additional phase-in of the multiplier on income producing real estate (IPRE) exposures and an additional phase-in of a multiplier on certain investment banking corporate exposures.
The increase in model updates was mainly due was mainly due to change in the RWA calculation for certain syndicated deals and ship lending exposures.
Specialized lending and equities under the simple risk-weight method
Specialized lending
The following tables show the carrying values, exposure amounts and RWA for the Group’s specialized lending.
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.
17

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.
RWA relating to equities under the simple risk-weight approach decreased CHF 1.6 billion compared to the end of 4Q16, mainly due to a reduction in hedge fund and private equity investments.
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
18

Counterparty credit risk
General
Counterparty credit risk arises from over-the-counter (OTC) and exchange-traded derivatives, repurchase agreements, securities lending and borrowing and other similar products and activities. The subsequent credit risk exposures depend on the value of underlying market factors (e.g., interest rates and foreign exchange rates), which can be volatile and uncertain in nature.
We have received approval from FINMA to use the internal model method for measuring CCR for the majority of our derivative and secured financing exposures.
Details of counterparty credit risk exposures
Analysis of counterparty credit risk exposure by approach
The following table provides 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
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.
Credit valuation adjustment capital charge
The following table shows the credit valuation adjustment (CVA) regulatory calculations with a breakdown by standardized and advanced approaches.
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
RWA decreased CHF 4.9 billion compared to the end of 4Q16, mainly due to a reduction in risk levels resulting from a decrease in exposures and an increase in hedging benefits.
19

CCR exposures by regulatory portfolio and risk weights – standardized approach
The following table shows a breakdown of CCR exposures calculated according to the standardized approach by portfolio (type of counterparties) and by risk weight (riskiness attributed according to standardized approach).
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
20

CCR exposures by portfolio and PD scale – IRB models
The following table provides all relevant parameters used for the calculation of CCR capital requirements for IRB models.
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%
21

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%
EAD post-CRM decreased CHF 5.0 billion compared to the end of 4Q16, reflecting lower OTC derivatives exposures primarily in corporates without specialized lending and sovereigns. This was partially offset by higher OTC derivatives exposures in banks and securities dealers.
22

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%
23

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%
24

Composition of collateral for CCR exposure
The following table shows a breakdown of all types of collateral posted or received by banks to support or reduce the CCR exposures related to derivative transactions or to securities financing transaction (SFTs), including transactions cleared through a central counterparty (CCP).
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
The fair value of collateral received on SFTs decreased CHF 20.3 billion compared to the end of 4Q16 mainly relating to cash – other currencies and other sovereign debt. The fair value of collateral posted for SFTs decreased CHF 27.0 billion compared to the end of 4Q16 mainly related to cash – other currencies. These changes were primarily due to changes in product portfolios.
Credit derivatives exposures
The following table shows the extent of the Group’s exposures to credit derivative transactions broken down between derivatives bought or sold.
Protection bought decreased CHF 41.2 billion compared to the end of 4Q16 and protection sold decreased CHF 28.1 billion compared to the end of 4Q16 primarily relating to index CDS and single-name CDS.
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
25

RWA flow statements of CCR exposures under IMM
The following table presents the 2Q17 flow statement explaining changes in CCR RWA determined under the Internal Model Method (IMM) for CCR (derivatives and SFTs).
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
CCR RWA decreased slightly in 2Q17, primarily driven by decreases relating to a foreign exchange impact and model and parameter updates, partially offset by increases relating to asset size. The decrease relating to model and parameter updates was mainly due to implementation of a new model for listed derivatives. The increase relating to asset size was primarily due to a reduction in hedge benefit from securitization.
> Refer to “RWA flow statements of credit risk exposures under IRB” (page 16) in Credit risk for the definitions of the RWA flow statements components.
Exposures to central counterparties
The following table provides a comprehensive picture of the Group’s exposure to CCPs.
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
26

Securitization
Securitization exposures in the banking book
The following table shows the Group’s securitization exposures in its banking book.
Securitization exposures in the banking book where the Group acts as investor decreased CHF 12.7 billion compared to the end of 4Q16, primarily relating to the closure of certain CDO/CLO securitizations.
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
Securitization exposures in the trading book
The following table shows the Group’s securitization exposures in its 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
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
27

Calculation of capital requirements
The following tables show the securitization exposures in the banking book and the associated regulatory capital requirements.
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
28 / 29

Market risk
General
We use the advanced approach for calculating the market risk capital requirements for the majority of our market risk exposures. The percentage of RWA covered by internal models as of June 30, 2017 was 80%. In line with regulatory requirements, the standardized measurement method is used for the specific risk of securitization exposures. Aside from securitization exposures the standardized approach is used to determine market risk capital for the remainder of positions of our market risk exposure.
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 2Q17 4Q16
Risk-weighted assets (CHF million)   
Options 
Securitization 3,597 3,965
Total risk-weighted assets  3,597 3,965
Market risk under internal model approach
RWA flow statements of market risk exposures under an IMA
The following table presents the 2Q17 flow statement explaining variations in the market risk RWA determined under an internal model approach.
Market risk RWA decreased CHF 2.0 billion in 2Q17, primarily due movement in risk levels, partially offset by increases relating to model and parameter updates and a foreign exchange impact.
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
30

Internal model approach values for trading portfolios
The following table shows the values (maximum, minimum, average and period ending for the reporting period) 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 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
During 6M17, stressed VaR decreased, primarily driven by defensive equity positioning and methodology improvements for more complex products. IRC decreases were mainly driven by increased credit protection and methodology improvements in capturing migration risk.
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.
The key difference between hypothetical P&L and actual P&L is that actual P&L takes into account the P&L from intraday activity while hypothetical P&L does not. The dispersion of trading revenues indicates the day-to-day volatility in our trading activities.
In the 6-month period through ending June 30, 2017, we had no backtesting exceptions in our regulatory VaR model calculated using the subset of actual daily trading revenues.
Since there were fewer than five backtesting exceptions in the rolling 12-month period through the end of 2Q17, in line with Bank for International Settlements (BIS) industry guidelines, the VaR model is deemed to be statistically valid. Reserves are included within the backtesting process, while fees and commissions are excluded from actual P&L.
For capital purposes, FINMA, in line with BIS requirements, uses a multiplier to impose an increase in market risk capital for every regulatory VaR backtesting exception over four in the prior rolling 12-month period calculated using the subset of the actual daily trading revenues.
31

Reconciliation requirements
Balance sheet
The following table shows the balance sheet as published in the consolidated financial statements of the Group and the balance sheet under the regulatory scope of consolidation. The reference indicates how such assets and liabilities are considered in the composition of regulatory capital.
> Refer to “Principles of consolidation” (page 8) in Linkages between financial statements and regulatory disclosures – Differences between accounting and regulatory scopes of consolidation in the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016 for information on key differences between the accounting and the regulatory scope of consolidation.
> Refer to “Note 3 – Business developments” (page 97) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse 2Q17 Financial Report for information on changes in the scope of consolidation.
> Refer to “Note 40 – Significant subsidiaries and equity method investments” (pages 383 to 385) in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for a list of significant subsidiaries and associated entities.
> Refer to “Liquidity and funding management” (pages 108 to 113) in III – Treasury, Risk, Balance sheet and Off-balance sheet and “Note 37 – Capital adequacy” (page 372) in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for information on restrictions on transfer of funds or regulatory capital.
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
32

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.
33

Composition of BIS regulatory capital
The following tables provide details on the composition of BIS regulatory capital and details on common equity tier 1 (CET1) capital adjustments subject to phase-in as well as details on additional tier 1 capital and tier 2 capital.
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%.
34

The following tables provide details on CET1 capital adjustments subject to phase-in and details on additional tier 1 capital and tier 2 capital. The column “Transition amount” represents the amounts that have been recognized in eligible capital as of June 30, 2017. The column “Amount to be phased in” represents those amounts that are still to be phased in as CET1 capital adjustments through year-end 2018.
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.
35

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.
36

Additional regulatory disclosures
Swiss capital requirements
The FINMA circular requires certain additional disclosures for systemically relevant financial institutions and stand-alone banks. The following tables show the capital requirements based on capital ratios and leverage ratio.
> Refer to “Swiss requirements” (pages 55 to 57) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 2Q17 Financial Report for further information on Swiss capital requirements.
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.
37

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.
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 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.
38

Leverage metrics
Beginning in 1Q15, Credit Suisse adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 128) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2016 and “Leverage metrics” (page 63) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 2Q17 Financial Report for further information on leverage metrics.
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
39

Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio is prescribed by FINMA. For disclosure purposes our LCR is calculated using a three-month average which, beginning in 1Q17, is measured using daily calculations during the quarter rather than the month-end metrics used before. This change in the LCR averaging methodology resulted from updated FINMA requirements that became effective January 1, 2017.
> Refer to “Liquidity metrics” (pages 110 to 111) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2016 and “Liquidity metrics” (pages 51 to 52) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 2Q17 Financial Report for further information on the Group’s liquidity management including high quality liquid assets, liquidity pool and liquidity coverage ratio.
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.
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.
40

Minimum disclosures for large banks
The following table shows the Group’s minimum disclosure requirements for large banks prepared in accordance with Swiss Capital Adequacy Ordinance (CAO) for non-systemically relevant financial institutions.
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.
41

List of abbreviations
  
ABS Asset-backed securities
A-IRB Advanced-Internal Ratings-Based Approach
  
BCBS Basel Committee on Banking Supervision
BFI Banking, financial and insurance
BIS Bank for International Settlements
  
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
  
EAD Exposure at default
EEPE Effective Expected Positive Exposure
  
FINMA Swiss Financial Market Supervisory Authority FINMA
  
G-SIB Global systemically important banks
  
IMM Internal Models Method
IPRE Income producing real estate
IRB Internal Ratings-Based Approach
IRC Incremental Risk Charge
  
LCR Liquidity coverage ratio
LGD Loss given default
LRD Leverage ratio denominator
     
OTC Over-the-counter
     
PD Probability of default
PFE Potential future exposure
     
QCCP Qualifying central counterparty
     
RBA Ratings-Based Approach
RW Risk weight
RWA Risk-weighted assets
     
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
     
TLAC Total loss absorbing capacity
     
US GAAP Accounting principles generally accepted in the US
     
VaR Value-at-Risk
42

Cautionary statement regarding forward-looking information
This report 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, objectives 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 except as may be required by applicable securities laws.
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, objectives, expectations, estimates and intentions expressed in such forward-looking statements. 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;
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 continued slow economic recovery or downturn in the US or other developed countries or in emerging markets in 2017 and beyond;
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 sovereign issuers, structured credit products or other credit-related exposures;
the ability to achieve our strategic objectives, including cost efficiency, net new asset, pre-tax income/(loss), capital ratios and return on regulatory capital, leverage exposure threshold, risk-weighted assets threshold, and other targets and ambitions;
the ability of counterparties to meet their obligations to us;
the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies, as well as currency fluctuations;
political and social developments, including war, civil unrest or terrorist activity;
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 cyberattacks on our business or operations;
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 policies or practices in countries in which we conduct our operations;
the potential effects of proposed changes in our legal entity structure;
competition 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;
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;
the adverse resolution of litigation, regulatory proceedings, and other contingencies; 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 2016.
43