Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm To the Board of Directors and shareholders of Credit Suisse AG Results of Review of Interim Financial Statements We have reviewed the accompanying consolidated balance sheet of Credit Suisse AG and its subsidiaries (the “Bank”) as of June 30, 2021, and the related consolidated statements of operations, comprehensive income, changes in equity and cash flows for the six-month period ended June 30, 2021 and 2020, including the related notes (collectively referred to as the “interim financial statements”). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America. We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheet of the Bank as of December 31, 2020, and the related consolidated statements of operations, comprehensive income, changes in equity and of cash flows for the year then ended (not presented herein), and in our report dated March 18, 2021, which included a paragraph describing a change in the manner of accounting for credit losses on certain financial instruments in the 2020 financial statements and a paragraph regarding adjustments made to the 2019 and 2018 financial statements to reflect the change in the composition of reportable segments, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated balance sheet as of December 31, 2020, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived. Basis for Review Results These interim financial statements are the responsibility of the Bank’s management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Bank in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion. /s/ PricewaterhouseCoopers AG Zurich, Switzerland July 29, 2021
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Credit Suisse (Bank) Condensed consolidated financial statements – unaudited
Consolidated statements of operations (unaudited)
in | 6M21 | 6M20 | |||
Consolidated statements of operations (CHF million) | |||||
Interest and dividend income | 5,908 | 7,867 | |||
Interest expense | (2,795) | (4,763) | |||
Net interest income | 3,113 | 3,104 | |||
Commissions and fees | 6,926 | 5,816 | |||
Trading revenues | 1,924 | 2,105 | |||
Other revenues | 919 | 990 | |||
Net revenues | 12,882 | 12,015 | |||
Provision for credit losses | 4,373 | 860 | |||
Compensation and benefits | 4,096 | 4,420 | |||
General and administrative expenses | 3,664 | 3,495 | |||
Commission expenses | 654 | 658 | |||
Restructuring expenses | 80 | – | |||
Total other operating expenses | 4,398 | 4,153 | |||
Total operating expenses | 8,494 | 8,573 | |||
Income before taxes | 15 | 2,582 | |||
Income tax expense | 6 | 244 | |||
Net income | 9 | 2,338 | |||
Net income/(loss) attributable to noncontrolling interests | (103) | 4 | |||
Net income attributable to shareholders | 112 | 2,334 |
Consolidated statements of comprehensive income (unaudited)
in | 6M21 | 6M20 | |||
Comprehensive income/(loss) (CHF million) | |||||
Net income | 9 | 2,338 | |||
Gains/(losses) on cash flow hedges | (143) | 243 | |||
Foreign currency translation | 1,510 | (1,010) | |||
Unrealized gains/(losses) on securities | 0 | (20) | |||
Actuarial gains/(losses) | (87) | 6 | |||
Gains/(losses) on liabilities related to credit risk | 72 | 1,614 | |||
Other comprehensive income/(loss), net of tax | 1,352 | 833 | |||
Comprehensive income | 1,361 | 3,171 | |||
Comprehensive income/(loss) attributable to noncontrolling interests | (68) | (9) | |||
Comprehensive income attributable to shareholders | 1,429 | 3,180 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Consolidated balance sheets (unaudited)
end of | 6M21 | 2020 | |||
Assets (CHF million) | |||||
Cash and due from banks | 145,367 | 138,207 | |||
of which reported at fair value | 141 | 525 | |||
of which reported from consolidated VIEs | 247 | 90 | |||
Interest-bearing deposits with banks | 1,245 | 1,230 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 94,645 | 79,133 | |||
of which reported at fair value | 69,465 | 57,994 | |||
Securities received as collateral, at fair value | 38,686 | 50,773 | |||
of which encumbered | 17,349 | 27,614 | |||
Trading assets, at fair value | 130,684 | 157,511 | |||
of which encumbered | 37,709 | 54,990 | |||
of which reported from consolidated VIEs | 1,916 | 2,164 | |||
Investment securities | 792 | 605 | |||
of which reported at fair value | 792 | 605 | |||
Other investments | 4,543 | 5,379 | |||
of which reported at fair value | 2,746 | 3,793 | |||
of which reported from consolidated VIEs | 1,231 | 1,251 | |||
Net loans | 308,159 | 300,341 | |||
of which reported at fair value | 11,101 | 11,408 | |||
of which encumbered | 79 | 179 | |||
of which reported from consolidated VIEs | 686 | 900 | |||
allowance for credit losses | (1,411) | (1,535) | |||
Goodwill | 3,901 | 3,755 | |||
Other intangible assets | 245 | 237 | |||
of which reported at fair value | 189 | 180 | |||
Brokerage receivables | 33,074 | 35,943 | |||
allowance for credit losses | (4,429) | (1) | |||
Other assets | 38,779 | 36,574 | |||
of which reported at fair value | 10,342 | 8,373 | |||
of which encumbered | 17 | 167 | |||
of which reported from consolidated VIEs | 1,454 | 1,858 | |||
of which loans held-for-sale (amortized cost base) | 467 | 650 | |||
Total assets | 800,120 | 809,688 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Consolidated balance sheets (unaudited) (continued)
end of | 6M21 | 2020 | |||
Liabilities and equity (CHF million) | |||||
Due to banks | 20,948 | 16,420 | |||
of which reported at fair value | 330 | 413 | |||
Customer deposits | 398,323 | 392,039 | |||
of which reported at fair value | 3,921 | 4,343 | |||
of which reported from consolidated VIEs | 1 | 1 | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 21,020 | 23,944 | |||
of which reported at fair value | 11,080 | 13,688 | |||
Obligation to return securities received as collateral, at fair value | 38,686 | 50,773 | |||
Trading liabilities, at fair value | 32,971 | 45,871 | |||
of which reported from consolidated VIEs | 9 | 10 | |||
Short-term borrowings | 26,219 | 21,308 | |||
of which reported at fair value | 8,554 | 10,740 | |||
of which reported from consolidated VIEs | 4,729 | 4,178 | |||
Long-term debt | 164,292 | 160,279 | |||
of which reported at fair value | 68,486 | 70,243 | |||
of which reported from consolidated VIEs | 1,319 | 1,746 | |||
Brokerage payables | 20,434 | 21,655 | |||
Other liabilities | 27,935 | 30,340 | |||
of which reported at fair value | 7,891 | 7,756 | |||
of which reported from consolidated VIEs | 231 | 207 | |||
Total liabilities | 750,828 | 762,629 | |||
Common shares | 4,400 | 4,400 | |||
Additional paid-in capital | 47,111 | 46,232 | |||
Retained earnings | 15,973 | 15,871 | |||
Accumulated other comprehensive income/(loss) | (18,922) | (20,239) | |||
Total shareholders' equity | 48,562 | 46,264 | |||
Noncontrolling interests | 730 | 795 | |||
Total equity | 49,292 | 47,059 | |||
Total liabilities and equity | 800,120 | 809,688 |
end of | 6M21 | 2020 | |||
Additional share information | |||||
Par value (CHF) | 1.00 | 1.00 | |||
Issued shares | 4,399,680,200 | 4,399,680,200 | |||
Shares outstanding | 4,399,680,200 | 4,399,680,200 | |||
The Bank's total share capital is fully paid and consists of 4,399,680,200 registered shares as of June 30, 2021. Each share is entitled to one vote. The Bank has no warrants on its own shares outstanding. |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Consolidated statements of changes in equity (unaudited)
Attributable to shareholders | |||||||||||||||||
Common shares | Additional paid-in capital | Retained earnings | Treasury shares, at cost | 1 | AOCI | Total share- holders' equity | Non- controlling interests | Total equity | |||||||||
6M21 (CHF million) | |||||||||||||||||
Balance at beginning of period | 4,400 | 46,232 | 15,871 | 0 | (20,239) | 46,264 | 795 | 47,059 | |||||||||
Purchase of subsidiary shares from non- controlling interests, not changing ownership 2, 3 | – | – | – | – | – | – | (24) | (24) | |||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership 3 | – | – | – | – | – | – | 10 | 10 | |||||||||
Net income/(loss) | – | – | 112 | – | – | 112 | (103) | 9 | |||||||||
Total other comprehensive income/(loss), net of tax | – | – | – | – | 1,317 | 1,317 | 35 | 1,352 | |||||||||
Share-based compensation, net of tax | – | (175) | – | – | – | (175) | – | (175) | |||||||||
Dividends on share-based compensation, net of tax | – | (15) | – | – | – | (15) | – | (15) | |||||||||
Dividends paid | – | – | (10) | – | – | (10) | (1) | (11) | |||||||||
Changes in scope of consolidation, net | – | – | – | – | – | – | 20 | 20 | |||||||||
Other | – | 1,069 | – | – | – | 1,069 | (2) | 1,067 | |||||||||
Balance at end of period | 4,400 | 47,111 | 15,973 | 0 | (18,922) | 48,562 | 730 | 49,292 | |||||||||
6M20 (CHF million) | |||||||||||||||||
Balance at beginning of period | 4,400 | 45,774 | 13,492 | 0 | (17,546) | 46,120 | 643 | 46,763 | |||||||||
Purchase of subsidiary shares from non- controlling interests, not changing ownership | – | – | – | – | – | – | (8) | (8) | |||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | – | – | – | – | – | – | 5 | 5 | |||||||||
Net income/(loss) | – | – | 2,334 | – | – | 2,334 | 4 | 2,338 | |||||||||
Cumulative effect of accounting changes, net of tax | – | – | (132) | – | – | (132) | – | (132) | |||||||||
Total other comprehensive income/(loss), net of tax | – | – | – | – | 846 | 846 | (13) | 833 | |||||||||
Share-based compensation, net of tax | – | (1) | – | – | – | (1) | – | (1) | |||||||||
Dividends on share-based compensation, net of tax | – | (18) | – | – | – | (18) | – | (18) | |||||||||
Dividends paid | – | (10) | – | – | – | (10) | – | (10) | |||||||||
Changes in scope of consolidation, net | – | – | – | – | – | – | 249 | 249 | |||||||||
Other | – | 15 | – | – | – | 15 | 6 | 21 | |||||||||
Balance at end of period | 4,400 | 45,760 | 15,694 | 0 | (16,700) | 49,154 | 886 | 50,040 | |||||||||
1 Reflects Credit Suisse Group shares which are reported as treasury shares. Those shares are held to economically hedge share award obligations. | |||||||||||||||||
2 Distributions to owners in funds include the return of original capital invested and any related dividends. | |||||||||||||||||
3 Transactions with and without ownership changes related to fund activity are all displayed under "not changing ownership". |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Consolidated statements of cash flows (unaudited)
in | 6M21 | 6M20 | |||
Operating activities (CHF million) | |||||
Net income | 9 | 2,338 | |||
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities (CHF million) | |||||
Impairment, depreciation and amortization | 623 | 580 | |||
Provision for credit losses | 4,373 | 860 | |||
Deferred tax provision/(benefit) | (322) | 110 | |||
Valuation adjustments relating to long-term debt | 2,050 | 441 | |||
Share of net income/(loss) from equity method investments | (72) | (41) | |||
Trading assets and liabilities, net | 20,552 | 377 | |||
(Increase)/decrease in other assets | (517) | (12,052) | |||
Increase/(decrease) in other liabilities | (5,441) | 5,053 | |||
Other, net | (234) | (387) | |||
Total adjustments | 21,012 | (5,059) | |||
Net cash provided by/(used in) operating activities | 21,021 | (2,721) | |||
Investing activities (CHF million) | |||||
(Increase)/decrease in interest-bearing deposits with banks | 9 | (471) | |||
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (11,851) | (899) | |||
Purchase of investment securities | (213) | (259) | |||
Proceeds from sale of investment securities | 0 | 626 | |||
Maturities of investment securities | 25 | 51 | |||
Investments in subsidiaries and other investments | (288) | (71) | |||
Proceeds from sale of other investments | 949 | 413 | |||
(Increase)/decrease in loans | (6,636) | (3,002) | |||
Proceeds from sales of loans | 2,216 | 2,319 | |||
Capital expenditures for premises and equipment and other intangible assets | (550) | (484) | |||
Proceeds from sale of premises and equipment and other intangible assets | 2 | 23 | |||
Other, net | 51 | 88 | |||
Net cash provided by/(used in) investing activities | (16,286) | (1,666) |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Consolidated statements of cash flows (unaudited) (continued)
in | 6M21 | 6M20 | |||
Financing activities (CHF million) | |||||
Increase/(decrease) in due to banks and customer deposits | 3,411 | 9,595 | |||
Increase/(decrease) in short-term borrowings | 3,583 | 401 | |||
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (3,932) | 3,707 | |||
Issuances of long-term debt | 24,155 | 41,092 | |||
Repayments of long-term debt | (27,321) | (19,814) | |||
Dividends paid | (11) | (10) | |||
Other, net | 719 | 459 | |||
Net cash provided by/(used in) financing activities | 604 | 35,430 | |||
Effect of exchange rate changes on cash and due from banks (CHF million) | |||||
Effect of exchange rate changes on cash and due from banks | 1,821 | (795) | |||
Net increase/(decrease) in cash and due from banks (CHF million) | |||||
Net increase/(decrease) in cash and due from banks | 7,160 | 30,248 | |||
Cash and due from banks at beginning of period 1 | 138,207 | 101,044 | |||
Cash and due from banks at end of period 1 | 145,367 | 131,292 | |||
1 Includes restricted cash. |
Supplemental cash flow information (unaudited)
in | 6M21 | 6M20 | |||
Cash paid for income taxes and interest (CHF million) | |||||
Cash paid for income taxes | 417 | 443 | |||
Cash paid for interest | 3,150 | 4,954 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Notes to the condensed consolidated financial statements – unaudited
1 Summary of significant accounting policies
Basis of presentation
The accompanying unaudited condensed consolidated financial statements of Credit Suisse AG (the Bank), the direct bank subsidiary of Credit Suisse Group AG (the Group), are prepared in accordance with accounting principles generally accepted in the US (US GAAP) and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto for the year ended December 31, 2020, included in the Credit Suisse Group AG & Credit Suisse AG Annual Report 2020 (Credit Suisse Annual Report 2020).
In addition, these condensed consolidated financial statements make references to the Group’s condensed consolidated financial statements in its 2Q21 and 1Q21 Financial Reports and the Group’s consolidated financial statements in the Credit Suisse Annual Report 2020.
> Refer to “Note 1 – Summary of significant accounting policies” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for a description of the Bank’s significant accounting policies.
Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The results of operations for interim periods are not indicative of results for the entire year.
In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
2 Recently issued accounting standards
> Refer to “Note 2 – Recently issued accounting standards” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for the most recently adopted accounting standards and standards to be adopted in future periods.
The impact on the Bank’s and Group’s financial condition, results of operations or cash flows was or is expected to be identical.
3 Business developments and subsequent events
> Refer to “Note 3 – Business developments and subsequent events” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information on business developments.
There were no subsequent events since the balance sheet date of the condensed consolidated financial statements.
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4 Segment information
> Refer to “Note 4 – Segment information” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
For the purpose of presentation of reportable segments, the Bank has included accounts of affiliate entities wholly owned by the same parent which are managed together with the operating segments of the Bank.
Net revenues and income/(loss) before taxes
in | 6M21 | 6M20 | |||
Net revenues (CHF million) | |||||
Swiss Universal Bank | 2,926 | 2,928 | |||
International Wealth Management | 1,917 | 1,937 | |||
Asia Pacific | 1,858 | 1,643 | |||
Asset Management | 790 | 806 | |||
Investment Bank | 5,153 | 4,942 | |||
Adjustments 1 | 238 | (241) | |||
Net revenues | 12,882 | 12,015 | |||
Income/(loss) before taxes (CHF million) | |||||
Swiss Universal Bank | 1,390 | 1,187 | |||
International Wealth Management | 748 | 601 | |||
Asia Pacific | 774 | 414 | |||
Asset Management | 219 | 248 | |||
Investment Bank | (2,543) | 995 | |||
Adjustments 1 | (573) | (863) | |||
Income/(loss) before taxes | 15 | 2,582 | |||
1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain revenues and expenses that were not allocated to the segments, including such items relating to the Asset Resolution Unit. |
Total assets
end of | 6M21 | 2020 | |||
Total assets (CHF million) | |||||
Swiss Universal Bank | 265,801 | 261,465 | |||
International Wealth Management | 91,957 | 91,503 | |||
Asia Pacific | 70,569 | 67,356 | |||
Asset Management | 3,591 | 3,703 | |||
Investment Bank | 248,775 | 270,488 | |||
Adjustments 1 | 119,427 | 115,173 | |||
Total assets | 800,120 | 809,688 | |||
1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain revenues and expenses that were not allocated to the segments, including such items relating to the Asset Resolution Unit. |
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5 Net interest income
in | 6M21 | 6M20 | |||
Net interest income (CHF million) | |||||
Loans | 2,514 | 3,113 | |||
Investment securities | 0 | 3 | |||
Trading assets | 2,424 | 3,231 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 652 | 936 | |||
Other | 318 | 584 | |||
Interest and dividend income | 5,908 | 7,867 | |||
Deposits | (84) | (857) | |||
Short-term borrowings | 1 | (155) | |||
Trading liabilities | (921) | (1,473) | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (485) | (505) | |||
Long-term debt | (1,182) | (1,522) | |||
Other | (124) | (251) | |||
Interest expense | (2,795) | (4,763) | |||
Net interest income | 3,113 | 3,104 |
6 Commissions and fees
in | 6M21 | 6M20 | |||
Commissions and fees (CHF million) | |||||
Lending business | 997 | 786 | |||
Investment and portfolio management | 1,699 | 1,508 | |||
Other securities business | 29 | 40 | |||
Fiduciary business | 1,728 | 1,548 | |||
Underwriting | 1,664 | 981 | |||
Brokerage | 1,624 | 1,774 | |||
Underwriting and brokerage | 3,288 | 2,755 | |||
Other services | 913 | 727 | |||
Commissions and fees | 6,926 | 5,816 |
7 Trading revenues
in | 6M21 | 6M20 | |||
Trading revenues (CHF million) | |||||
Interest rate products | 893 | (921) | |||
Foreign exchange products | 497 | 1,113 | |||
Equity/index-related products | 868 | (88) | |||
Credit products | (304) | 1,217 | |||
Commodity and energy products | 2 | 97 | |||
Other products | (32) | 687 | |||
Trading revenues | 1,924 | 2,105 | |||
Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types. |
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8 Other revenues
in | 6M21 | 6M20 | |||
Other revenues (CHF million) | |||||
Loans held-for-sale | (99) | (16) | |||
Long-lived assets held-for-sale | 1 | 10 | |||
Equity method investments | 84 | 58 | |||
Other investments | 332 | 451 | |||
Other | 601 | 487 | |||
Other revenues | 919 | 990 |
9 Provision for credit losses
in | 6M21 | 6M20 | |||
Provision for credit losses (CHF million) | |||||
Loans held at amortized cost | (52) | 691 | |||
Other financial assets held at amortized cost | 4,494 | 1 | 32 | ||
Off-balance sheet credit exposures | (69) | 137 | |||
Provision for credit losses | 4,373 | 860 | |||
1 Primarily reflects a provision for credit losses of CHF 4,500 million related to the failure of Archegos to meet its margin commitments. |
10 Compensation and benefits
in | 6M21 | 6M20 | |||
Compensation and benefits (CHF million) | |||||
Salaries and variable compensation | 3,449 | 3,711 | |||
Social security | 278 | 293 | |||
Other 1 | 369 | 416 | |||
Compensation and benefits | 4,096 | 4,420 | |||
1 Includes pension-related expenses of CHF 250 million and CHF 272 million in 6M21 and 6M20, respectively, relating to service costs for defined benefit pension plans and employer contributions for defined contribution pension plans. |
11 General and administrative expenses
in | 6M21 | 6M20 | |||
General and administrative expenses (CHF million) | |||||
Occupancy expenses | 449 | 415 | |||
IT, machinery and equipment | 597 | 561 | |||
Provisions and losses | 330 | 203 | |||
Travel and entertainment | 52 | 85 | |||
Professional services | 1,609 | 1,481 | |||
Amortization and impairment of other intangible assets | 4 | 3 | |||
Other 1 | 623 | 747 | |||
General and administrative expenses | 3,664 | 3,495 | |||
1 Includes pension-related expenses/(credits) of CHF (10) million and CHF 1 million in 6M21 and 6M20, respectively, relating to certain components of net periodic benefit costs for defined benefit plans. |
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12 Restructuring expenses
In connection with the key strategic growth initiatives announced in July 2020, restructuring expenses of CHF 80 million were recognized in 6M21. Restructuring expenses may include severance expenses, expenses in connection with the acceleration of certain deferred compensation awards, pension expenses and contract termination costs. The Bank completed the one-year restructuring plan in connection with the implementation of the key strategic growth initiatives by the end of June 2021.
Restructuring expenses by type
in | 6M21 | 6M20 | |||
Restructuring expenses by type (CHF million) | |||||
Compensation and benefits-related expenses | 14 | – | |||
of which severance expenses | 7 | – | |||
of which accelerated deferred compensation | 7 | – | |||
General and administrative-related expenses | 66 | – | |||
of which pension expenses | 4 | – | |||
Total restructuring expenses | 80 | – |
Restructuring liabilities
6M21 | 6M20 | ||||||||||||
in | Compen- sation and benefits | General and administrative expenses | Total | Compen- sation and benefits | General and administrative expenses | Total | |||||||
Restructuring liabilities (CHF million) | |||||||||||||
Balance at beginning of period | 47 | 2 | 49 | – | – | – | |||||||
Net additional charges 1 | 7 | 30 | 37 | – | – | – | |||||||
Reclassifications | – | – | – | – | – | – | |||||||
Utilization | (32) | (29) | (61) | – | – | – | |||||||
Balance at end of period | 22 | 3 | 25 | – | – | – | |||||||
1 The following items for which expense accretion was accelerated in 6M21 due to the restructuring of the Bank are not included in the restructuring provision: unsettled share-based compensation of CHF 2 million; unsettled pension obligation related to restructuring of CHF 4 million, which remain classified as pension liabilities; unsettled cash-based deferred compensation of CHF 5 million, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 32 million, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. |
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13 Revenue from contracts with customers
> Refer to “Note 14 – Revenue from contracts with customers” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
Contracts with customers and disaggregation of revenues
in | 6M21 | 6M20 | |||
Contracts with customers (CHF million) | |||||
Investment and portfolio management | 1,699 | 1,508 | |||
Other securities business | 29 | 40 | |||
Underwriting | 1,664 | 981 | |||
Brokerage | 1,623 | 1,772 | |||
Other services | 937 | 774 | |||
Total revenues from contracts with customers | 5,952 | 5,075 |
The table above differs from “Note 6 – Commissions and fees” as it includes only those contracts with customers that are in scope of ASC Topic 606 – Revenue from Contracts with Customers.
Contract balances
end of | 2Q21 | 1Q21 | 4Q20 | ||||
Contract balances (CHF million) | |||||||
Contract receivables | 1,032 | 1,123 | 993 | ||||
Contract liabilities | 52 | 65 | 48 | ||||
Revenue recognized in the reporting period included in the contract liabilities balance at the beginning of period | 18 | 8 | 7 |
There were no material net impairment losses on contract receivables in 6M21 and 6M20. The Bank’s contract terms are generally such that they do not result in any contract assets.
The Bank did not recognize any revenues in the reporting period from performance obligations satisfied in previous periods.
Remaining performance obligations
ASC Topic 606’s practical expedient allows the Bank to exclude from its remaining performance obligations disclosure any performance obligations which are part of a contract with an original expected duration of one year or less. Additionally any variable consideration, for which it is probable that a significant reversal in the amount of cumulative revenue recognized will occur when the uncertainty associated with the variable consideration is subsequently resolved, is not subject to the remaining performance obligations disclosure because such variable consideration is not included in the transaction price (e.g., investment management fees). The Bank determined that no material remaining performance obligations are in scope of the remaining performance obligations disclosure.
> Refer to “Note 13 – Revenue from contracts with customers” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
14
14 Trading assets and liabilities
end of | 6M21 | 2020 | |||
Trading assets (CHF million) | |||||
Debt securities | 57,739 | 64,532 | |||
Equity securities | 44,287 | 63,273 | |||
Derivative instruments 1 | 24,155 | 25,531 | |||
Other | 4,503 | 4,175 | |||
Trading assets | 130,684 | 157,511 | |||
Trading liabilities (CHF million) | |||||
Short positions | 20,369 | 28,126 | |||
Derivative instruments 1 | 12,602 | 17,745 | |||
Trading liabilities | 32,971 | 45,871 | |||
1 Amounts shown after counterparty and cash collateral netting. |
Cash collateral on derivative instruments
end of | 6M21 | 2020 | |||
Cash collateral on derivative instruments – netted (CHF million) 1 | |||||
Cash collateral paid | 21,162 | 26,885 | |||
Cash collateral received | 13,865 | 16,795 | |||
Cash collateral on derivative instruments – not netted (CHF million) 2 | |||||
Cash collateral paid | 7,664 | 7,741 | |||
Cash collateral received | 7,209 | 7,831 | |||
1 Recorded as cash collateral netting on derivative instruments in Note 23 – Offsetting of financial assets and financial liabilities. | |||||
2 Recorded as cash collateral on derivative instruments in Note 20 – Other assets and other liabilities. |
15
15 Investment securities
end of | 6M21 | 2020 | |||
Investment securities (CHF million) | |||||
Debt securities available-for-sale | 792 | 605 | |||
Total investment securities | 792 | 605 |
Investment securities by type
6M21 | 2020 | ||||||||||||||||
end of | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | |||||||||
Investment securities by type (CHF million) | |||||||||||||||||
Swiss federal, cantonal or local government entities | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 1 | |||||||||
Foreign governments | 32 | 0 | 0 | 32 | 0 | 0 | 0 | 0 | |||||||||
Corporate debt securities | 757 | 4 | 1 | 760 | 594 | 10 | 0 | 604 | |||||||||
Debt securities available-for-sale | 789 | 4 | 1 | 792 | 595 | 10 | 0 | 605 |
Proceeds from sales, realized gains and realized losses from debt securities available-for-sale
in | 6M21 | 6M20 | |||
Sales of debt securities available-for-sale (CHF million) | |||||
Proceeds from sales | 0 | 626 | |||
Realized gains | 0 | 42 |
Amortized cost, fair value and average yield of debt securities
end of 6M21 | Amortized cost | Fair value | Average yield (in %) | ||||
Due within 1 year | 174 | 174 | 0.03 | ||||
Due from 5 to 10 years | 615 | 618 | 0.02 | ||||
Debt securities available-for-sale | 789 | 792 | 0.02 |
Allowance for credit losses on debt securities available-for-sale
> Refer to “Note 16 – Investment securities” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information on allowance for credit losses on debt securities available for sale.
As of the end of 6M21 and 6M20, the Bank had no allowance for credit losses on debt securities available-for-sale.
16
16 Other investments
> Refer to “Note 17 – Other investments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
end of | 6M21 | 2020 | |||
Other investments (CHF million) | |||||
Equity method investments | 1,750 | 2,624 | |||
Equity securities (without a readily determinable fair value) 1 | 1,864 | 1,776 | |||
of which at net asset value | 122 | 111 | |||
of which at measurement alternative | 353 | 357 | |||
of which at fair value | 1,342 | 1,278 | |||
of which at cost less impairment | 47 | 30 | |||
Real estate held-for-investment 2 | 52 | 59 | |||
Life finance instruments 3 | 877 | 920 | |||
Total other investments | 4,543 | 5,379 | |||
1 Includes private equity, hedge funds and restricted stock investments as well as certain investments in non-marketable mutual funds for which the Bank has neither significant influence nor control over the investee. | |||||
2 As of the end of 6M21 and 2020, real estate held for investment included foreclosed or repossessed real estate of CHF 10 million and CHF 16 million, respectively, of which CHF 8 million and CHF 13 million, respectively, were related to residential real estate. | |||||
3 Includes single premium immediate annuity contracts. |
Equity securities at measurement alternative – impairments and adjustments
in / end of | 6M21 | Cumulative | 6M20 | ||||
Impairments and adjustments (CHF million) | |||||||
Impairments and downward adjustments | (5) | (30) | (3) | ||||
Upward adjustments | 0 | 137 | 137 |
> Refer to “Note 30 – Financial instruments” for further information on equity securities without a readily determinable fair value.
Accumulated depreciation related to real estate held-for-investment amounted to CHF 28 million and CHF 31 million for 6M21 and 2020, respectively.
No impairments were recorded on real estate held-for-investments in 6M21, while an impairment of CHF 1 million was recorded on real estate held-for-investments in 6M20.
17
17 Loans
> Refer to “Note 18 – Loans” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q21 for further information.
Loans
end of | 6M21 | 2020 | |||
Loans (CHF million) | |||||
Mortgages | 112,223 | 111,270 | |||
Loans collateralized by securities | 54,573 | 51,789 | |||
Consumer finance | 6,567 | 4,888 | |||
Consumer | 173,363 | 167,947 | |||
Real estate | 29,464 | 29,045 | |||
Commercial and industrial loans | 74,570 | 74,700 | |||
Financial institutions | 28,683 | 26,901 | |||
Governments and public institutions | 3,584 | 3,378 | |||
Corporate & institutional | 136,301 | 134,024 | |||
Gross loans | 309,664 | 301,971 | |||
of which held at amortized cost | 298,563 | 290,563 | |||
of which held at fair value | 11,101 | 11,408 | |||
Net (unearned income)/deferred expenses | (94) | (95) | |||
Allowance for credit losses | (1,411) | (1,535) | |||
Net loans | 308,159 | 300,341 | |||
Gross loans by location | |||||
Switzerland | 178,458 | 176,312 | |||
Foreign | 131,206 | 125,659 | |||
Gross loans | 309,664 | 301,971 | |||
Impaired loans | |||||
Non-performing loans | 1,896 | 1,666 | |||
Non-interest-earning loans | 371 | 363 | |||
Non-accrual loans | 2,267 | 2,029 | |||
Restructured loans | 471 | 313 | |||
Potential problem loans | 406 | 843 | |||
Other impaired loans | 877 | 1,156 | |||
Gross impaired loans 1 | 3,144 | 3,185 | |||
1 As of the end of 6M21 and 2020, CHF 181 million and CHF 180 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process. |
> Refer to “Loans” in Note 1 – Summary of significant accounting policies in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on categories of impaired loans.
> Refer to “Note 18– Financial instruments measured at amortized cost and credit losses” for further information on loans held at amortized cost.
18
18 Financial instruments measured at amortized cost and credit losses
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q21 for further information.
Overview of financial instruments measured at amortized cost – by balance sheet position
6M21 | 2020 | ||||||||||||
end of | Amortized cost basis | 1 | Allowance for credit losses | Net carrying value | Amortized cost basis | 1 | Allowance for credit losses | Net carrying value | |||||
Cash and due from banks | 145,226 | 0 | 145,226 | 137,683 | (1) | 137,682 | |||||||
Interest-bearing deposits with banks | 1,245 | 2 | 0 | 1,245 | 1,235 | 4 | (5) | 1,230 | |||||
Securities purchased under resale agreements and securities borrowing transactions | 25,180 | 2 | 0 | 25,180 | 21,139 | 0 | 21,139 | ||||||
Loans | 298,469 | 2,3 | (1,411) | 297,058 | 290,468 | 4,5 | (1,535) | 288,933 | |||||
Brokerage receivables | 37,503 | 2 | (4,429) | 33,074 | 35,944 | 4 | (1) | 35,943 | |||||
Other assets | 14,245 | (39) | 14,206 | 15,540 | (41) | 15,499 | |||||||
Total | 521,868 | (5,879) | 515,989 | 502,009 | (1,583) | 500,426 | |||||||
1 Net of unearned income/deferred expenses, as applicable. | |||||||||||||
2 Excludes accrued interest for credit losses in the total amount of CHF 380 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 363 million to loans and CHF 15 million to brokerage receivables. These accrued interest balances are reported in other assets. | |||||||||||||
3 Includes endangered interest of CHF 88 million on non-accrual loans which are reported as part of the loans' amortized cost balance. | |||||||||||||
4 Excludes accrued interest for credit losses in the total amount of CHF 351 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 334 million to loans and CHF 16 million to brokerage receivables. These accrued interest balances are reported in other assets. | |||||||||||||
5 Includes endangered interest of CHF 87 million on non-accrual loans which are reported as part of the loans' amortized cost balance. |
Allowance for credit losses
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q21 and 1Q21 for further information on estimating expected credit losses in 6M21.
Loans held at amortized cost
Allowance for credit losses – loans held at amortized cost
6M21 | 6M20 | ||||||||||||
Consumer | Corporate & institutional | Total | Consumer | Corporate & institutional | Total | ||||||||
Allowance for credit losses (CHF million) | |||||||||||||
Balance at beginning of period | 318 | 1,217 | 1,535 | 241 | 807 | 1,048 | |||||||
Current-period provision for expected credit losses | 43 | (79) | (36) | 183 | 533 | 716 | |||||||
of which provisions for interest 1 | 8 | 8 | 16 | 21 | 4 | 25 | |||||||
Gross write-offs | (27) | (101) | (128) | (24) | (59) | (83) | |||||||
Recoveries | 4 | 0 | 4 | 5 | 2 | 7 | |||||||
Net write-offs | (23) | (101) | (124) | (19) | (57) | (76) | |||||||
Foreign currency translation impact and other adjustments, net | 7 | 29 | 36 | (6) | (14) | (20) | |||||||
Balance at end of period | 345 | 1,066 | 1,411 | 399 | 1,269 | 1,668 | |||||||
of which individually evaluated | 255 | 613 | 868 | 313 | 585 | 898 | |||||||
of which collectively evaluated | 90 | 453 | 543 | 86 | 684 | 770 | |||||||
1 Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income. |
19
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q21 and 1Q21 for further information on the Bank’s gross write-offs in 6M21.
Purchases, reclassifications and sales – loans held at amortized cost
6M21 | 6M20 | ||||||||||||
in | Consumer | Corporate & institutional | Total | Consumer | Corporate & institutional | Total | |||||||
Loans held at amortized cost (CHF million) | |||||||||||||
Purchases 1 | 17 | 1,969 | 1,986 | 21 | 1,328 | 1,349 | |||||||
Reclassifications from loans held-for-sale 2 | 0 | 13 | 13 | 0 | 4 | 4 | |||||||
Reclassifications to loans held-for-sale 3 | 0 | 2,120 | 2,120 | 0 | 988 | 988 | |||||||
Sales 3 | 0 | 2,007 | 2,007 | 0 | 980 | 980 | |||||||
1 Includes drawdowns under purchased loan commitments. | |||||||||||||
2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. | |||||||||||||
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. |
Other financial assets
Allowance for credit losses – other financial assets held at amortized cost
6M21 | 6M20 | ||||
CHF million | |||||
Balance at beginning of period | 48 | 43 | |||
Current-period provision for expected credit losses | 4,494 | 32 | |||
Gross write-offs | (4) | (9) | |||
Recoveries | 0 | 1 | |||
Net write-offs | (4) | (8) | |||
Foreign currency translation impact and other adjustments, net | (70) | (4) | |||
Balance at end of period | 4,468 | 63 | |||
of which individually evaluated | 4,448 | 19 | |||
of which collectively evaluated | 20 | 44 |
The current-period provision for expected credit losses on other financial assets held at amortized cost in 6M21 includes a total amount of CHF 4,500 million related to the failure of Archegos to meet its margin commitments. As of the end of 6M21, the related allowance is reported in brokerage receivables.
20
Credit quality information
Credit quality of loans held at amortized cost
The following table presents the Bank’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.
Consumer loans held at amortized cost by internal counterparty rating
6M21 | 2020 | ||||||||||||||||
Investment grade | Non-investment grade | Investment grade | Non-investment grade | ||||||||||||||
end of | AAA to BBB | BB to C | D | Total | AAA to BBB | BB to C | D | Total | |||||||||
Mortgages | |||||||||||||||||
2021 / 2020 | 13,021 | 1,153 | 6 | 14,180 | 18,765 | 1,664 | 3 | 20,432 | |||||||||
2020 / 2019 | 17,518 | 1,701 | 17 | 19,236 | 14,072 | 1,511 | 26 | 15,609 | |||||||||
2019 / 2018 | 12,435 | 1,554 | 50 | 14,039 | 10,242 | 932 | 58 | 11,232 | |||||||||
2018 / 2017 | 8,711 | 1,031 | 80 | 9,822 | 7,087 | 857 | 44 | 7,988 | |||||||||
2017 / 2016 | 5,992 | 821 | 126 | 6,939 | 10,951 | 914 | 76 | 11,941 | |||||||||
Prior years | 43,362 | 3,091 | 342 | 46,795 | 39,918 | 2,854 | 216 | 42,988 | |||||||||
Total term loans | 101,039 | 9,351 | 621 | 111,011 | 101,035 | 8,732 | 423 | 110,190 | |||||||||
Revolving loans | 319 | 893 | 0 | 1,212 | 528 | 548 | 4 | 1,080 | |||||||||
Total | 101,358 | 10,244 | 621 | 112,223 | 101,563 | 9,280 | 427 | 111,270 | |||||||||
Loans collateralized by securities | |||||||||||||||||
2021 / 2020 | 2,061 | 371 | 0 | 2,432 | 1,682 | 1,547 | 149 | 3,378 | |||||||||
2020 / 2019 | 1,273 | 1,170 | 0 | 2,443 | 1,019 | 324 | 0 | 1,343 | |||||||||
2019 / 2018 | 562 | 210 | 0 | 772 | 499 | 64 | 0 | 563 | |||||||||
2018 / 2017 | 49 | 25 | 113 | 187 | 61 | 41 | 0 | 102 | |||||||||
2017 / 2016 | 96 | 15 | 0 | 111 | 200 | 127 | 0 | 327 | |||||||||
Prior years | 1,135 | 697 | 0 | 1,832 | 563 | 622 | 0 | 1,185 | |||||||||
Total term loans | 5,176 | 2,488 | 113 | 7,777 | 4,024 | 2,725 | 149 | 6,898 | |||||||||
Revolving loans 1 | 43,499 | 3,154 | 143 | 46,796 | 41,749 | 3,038 | 104 | 44,891 | |||||||||
Total | 48,675 | 5,642 | 256 | 54,573 | 45,773 | 5,763 | 253 | 51,789 | |||||||||
Consumer finance | |||||||||||||||||
2021 / 2020 | 1,494 | 737 | 1 | 2,232 | 1,297 | 903 | 5 | 2,205 | |||||||||
2020 / 2019 | 733 | 548 | 10 | 1,291 | 519 | 505 | 22 | 1,046 | |||||||||
2019 / 2018 | 450 | 413 | 19 | 882 | 279 | 237 | 23 | 539 | |||||||||
2018 / 2017 | 419 | 221 | 18 | 658 | 81 | 154 | 17 | 252 | |||||||||
2017 / 2016 | 50 | 116 | 15 | 181 | 16 | 57 | 10 | 83 | |||||||||
Prior years | 397 | 107 | 44 | 548 | 48 | 92 | 41 | 181 | |||||||||
Total term loans | 3,543 | 2,142 | 107 | 5,792 | 2,240 | 1,948 | 118 | 4,306 | |||||||||
Revolving loans | 493 | 75 | 90 | 658 | 328 | 88 | 81 | 497 | |||||||||
Total | 4,036 | 2,217 | 197 | 6,450 | 2,568 | 2,036 | 199 | 4,803 | |||||||||
Consumer – total | |||||||||||||||||
2021 / 2020 | 16,576 | 2,261 | 7 | 18,844 | 21,744 | 4,114 | 157 | 26,015 | |||||||||
2020 / 2019 | 19,524 | 3,419 | 27 | 22,970 | 15,610 | 2,340 | 48 | 17,998 | |||||||||
2019 / 2018 | 13,447 | 2,177 | 69 | 15,693 | 11,020 | 1,233 | 81 | 12,334 | |||||||||
2018 / 2017 | 9,179 | 1,277 | 211 | 10,667 | 7,229 | 1,052 | 61 | 8,342 | |||||||||
2017 / 2016 | 6,138 | 952 | 141 | 7,231 | 11,167 | 1,098 | 86 | 12,351 | |||||||||
Prior years | 44,894 | 3,895 | 386 | 49,175 | 40,529 | 3,568 | 257 | 44,354 | |||||||||
Total term loans | 109,758 | 13,981 | 841 | 124,580 | 107,299 | 13,405 | 690 | 121,394 | |||||||||
Revolving loans | 44,311 | 4,122 | 233 | 48,666 | 42,605 | 3,674 | 189 | 46,468 | |||||||||
Total | 154,069 | 18,103 | 1,074 | 173,246 | 149,904 | 17,079 | 879 | 167,862 | |||||||||
1 Lombard loans are generally classified as revolving loans. |
21
Corporate & institutional loans held at amortized cost by internal counterparty rating
6M21 | 2020 | ||||||||||||||||
Investment grade | Non-investment grade | Investment grade | Non-investment grade | ||||||||||||||
end of | AAA to BBB | BB to C | D | Total | AAA to BBB | BB to C | D | Total | |||||||||
Real estate | |||||||||||||||||
2021 / 2020 | 5,254 | 2,724 | 2 | 7,980 | 6,054 | 2,792 | 106 | 8,952 | |||||||||
2020 / 2019 | 4,614 | 2,443 | 6 | 7,063 | 2,902 | 1,611 | 0 | 4,513 | |||||||||
2019 / 2018 | 2,429 | 1,129 | 2 | 3,560 | 1,849 | 1,133 | 24 | 3,006 | |||||||||
2018 / 2017 | 1,350 | 661 | 1 | 2,012 | 1,033 | 346 | 72 | 1,451 | |||||||||
2017 / 2016 | 778 | 178 | 2 | 958 | 1,591 | 285 | 25 | 1,901 | |||||||||
Prior years | 4,710 | 888 | 31 | 5,629 | 5,982 | 1,105 | 33 | 7,120 | |||||||||
Total term loans | 19,135 | 8,023 | 44 | 27,202 | 19,411 | 7,272 | 260 | 26,943 | |||||||||
Revolving loans | 884 | 338 | 138 | 1,360 | 1,027 | 172 | 69 | 1,268 | |||||||||
Total | 20,019 | 8,361 | 182 | 28,562 | 20,438 | 7,444 | 329 | 28,211 | |||||||||
Commercial and industrial loans | |||||||||||||||||
2021 / 2020 | 5,353 | 8,965 | 94 | 14,412 | 7,724 | 11,621 | 310 | 19,655 | |||||||||
2020 / 2019 | 4,225 | 6,802 | 108 | 11,135 | 3,851 | 6,411 | 133 | 10,395 | |||||||||
2019 / 2018 | 3,177 | 5,027 | 157 | 8,361 | 1,781 | 4,321 | 247 | 6,349 | |||||||||
2018 / 2017 | 1,309 | 3,403 | 170 | 4,882 | 964 | 1,981 | 60 | 3,005 | |||||||||
2017 / 2016 | 831 | 1,480 | 37 | 2,348 | 809 | 1,248 | 22 | 2,079 | |||||||||
Prior years | 2,666 | 3,810 | 108 | 6,584 | 2,830 | 3,837 | 116 | 6,783 | |||||||||
Total term loans | 17,561 | 29,487 | 674 | 47,722 | 17,959 | 29,419 | 888 | 48,266 | |||||||||
Revolving loans | 14,311 | 8,278 | 475 | 23,064 | 12,913 | 8,908 | 464 | 22,285 | |||||||||
Total | 31,872 | 37,765 | 1,149 | 70,786 | 30,872 | 38,327 | 1,352 | 70,551 | |||||||||
Financial institutions | |||||||||||||||||
2021 / 2020 | 2,829 | 1,055 | 40 | 3,924 | 3,386 | 697 | 43 | 4,126 | |||||||||
2020 / 2019 | 2,249 | 271 | 44 | 2,564 | 1,973 | 132 | 39 | 2,144 | |||||||||
2019 / 2018 | 745 | 142 | 1 | 888 | 960 | 432 | 9 | 1,401 | |||||||||
2018 / 2017 | 684 | 377 | 9 | 1,070 | 97 | 92 | 0 | 189 | |||||||||
2017 / 2016 | 69 | 38 | 0 | 107 | 37 | 102 | 20 | 159 | |||||||||
Prior years | 254 | 136 | 15 | 405 | 288 | 38 | 2 | 328 | |||||||||
Total term loans | 6,830 | 2,019 | 109 | 8,958 | 6,741 | 1,493 | 113 | 8,347 | |||||||||
Revolving loans | 7,093 | 364 | 1 | 7,458 | 5,718 | 419 | 1 | 6,138 | |||||||||
Total | 13,923 | 2,383 | 110 | 16,416 | 12,459 | 1,912 | 114 | 14,485 | |||||||||
Governments and public institutions | |||||||||||||||||
2021 / 2020 | 427 | 38 | 0 | 465 | 174 | 33 | 0 | 207 | |||||||||
2020 / 2019 | 178 | 58 | 0 | 236 | 135 | 20 | 10 | 165 | |||||||||
2019 / 2018 | 99 | 20 | 20 | 139 | 80 | 0 | 0 | 80 | |||||||||
2018 / 2017 | 57 | 11 | 0 | 68 | 35 | 0 | 0 | 35 | |||||||||
2017 / 2016 | 30 | 0 | 0 | 30 | 74 | 1 | 0 | 75 | |||||||||
Prior years | 252 | 22 | 0 | 274 | 388 | 41 | 0 | 429 | |||||||||
Total term loans | 1,043 | 149 | 20 | 1,212 | 886 | 95 | 10 | 991 | |||||||||
Revolving loans | 15 | 0 | 0 | 15 | 19 | 0 | 0 | 19 | |||||||||
Total | 1,058 | 149 | 20 | 1,227 | 905 | 95 | 10 | 1,010 | |||||||||
Corporate & institutional – total | |||||||||||||||||
2021 / 2020 | 13,863 | 12,782 | 136 | 26,781 | 17,338 | 15,143 | 459 | 32,940 | |||||||||
2020 / 2019 | 11,266 | 9,574 | 158 | 20,998 | 8,861 | 8,174 | 182 | 17,217 | |||||||||
2019 / 2018 | 6,450 | 6,318 | 180 | 12,948 | 4,670 | 5,886 | 280 | 10,836 | |||||||||
2018 / 2017 | 3,400 | 4,452 | 180 | 8,032 | 2,129 | 2,419 | 132 | 4,680 | |||||||||
2017 / 2016 | 1,708 | 1,696 | 39 | 3,443 | 2,511 | 1,636 | 67 | 4,214 | |||||||||
Prior years | 7,882 | 4,856 | 154 | 12,892 | 9,488 | 5,021 | 151 | 14,660 | |||||||||
Total term loans | 44,569 | 39,678 | 847 | 85,094 | 44,997 | 38,279 | 1,271 | 84,547 | |||||||||
Revolving loans | 22,303 | 8,980 | 614 | 31,897 | 19,677 | 9,499 | 534 | 29,710 | |||||||||
Total | 66,872 | 48,658 | 1,461 | 116,991 | 64,674 | 47,778 | 1,805 | 114,257 |
22
Total loans held at amortized cost by internal counterparty rating
6M21 | 2020 | ||||||||||||||||
Investment grade | Non-investment grade | Investment grade | Non-investment grade | ||||||||||||||
end of | AAA to BBB | BB to C | D | Total | AAA to BBB | BB to C | D | Total | |||||||||
Loans held at amortized cost – total | |||||||||||||||||
2021 / 2020 | 30,439 | 15,043 | 143 | 45,625 | 39,082 | 19,257 | 616 | 58,955 | |||||||||
2020 / 2019 | 30,790 | 12,993 | 185 | 43,968 | 24,471 | 10,514 | 230 | 35,215 | |||||||||
2019 / 2018 | 19,897 | 8,495 | 249 | 28,641 | 15,690 | 7,119 | 361 | 23,170 | |||||||||
2018 / 2017 | 12,579 | 5,729 | 391 | 18,699 | 9,358 | 3,471 | 193 | 13,022 | |||||||||
2017 / 2016 | 7,846 | 2,648 | 180 | 10,674 | 13,678 | 2,734 | 153 | 16,565 | |||||||||
Prior years | 52,776 | 8,751 | 540 | 62,067 | 50,017 | 8,589 | 408 | 59,014 | |||||||||
Total term loans | 154,327 | 53,659 | 1,688 | 209,674 | 152,296 | 51,684 | 1,961 | 205,941 | |||||||||
Revolving loans | 66,614 | 13,102 | 847 | 80,563 | 62,282 | 13,173 | 723 | 76,178 | |||||||||
Total loans to third parties | 220,941 | 66,761 | 2,535 | 290,237 | 214,578 | 64,857 | 2,684 | 282,119 | |||||||||
Total loans to entities under common control | 8,324 | 2 | 0 | 8,326 | 8,444 | 0 | 0 | 8,444 | |||||||||
Total | 229,265 | 66,763 | 2,535 | 298,563 | 223,022 | 64,857 | 2,684 | 290,563 | 1 | ||||||||
1 Excludes accrued interest on loans held at amortized cost of CHF 363 million and CHF 334 million as of the end of 6M21 and 2020, respectively. |
Credit quality of other financial assets held at amortized cost
The following table presents the Bank’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.
Other financial assets held at amortized cost by internal counterparty rating
6M21 | 2020 | ||||||||||||||||
Investment grade | Non-investment grade | Investment grade | Non-investment grade | ||||||||||||||
end of | AAA to BBB | BB to C | D | Total | AAA to BBB | BB to C | D | Total | |||||||||
6M21 (CHF million) | |||||||||||||||||
Other financial assets held at amortized cost | |||||||||||||||||
2019 | 0 | 0 | 0 | 0 | 0 | 70 | 0 | 70 | |||||||||
2018 | 0 | 70 | 0 | 70 | 0 | 2 | 0 | 2 | |||||||||
2017 | 0 | 1 | 0 | 1 | 0 | 4 | 0 | 4 | |||||||||
Prior years | 0 | 3 | 0 | 3 | 0 | 0 | 0 | 0 | |||||||||
Total term positions | 0 | 74 | 0 | 74 | 0 | 76 | 0 | 76 | |||||||||
Revolving positions | 0 | 814 | 0 | 814 | 0 | 934 | 0 | 934 | |||||||||
Total | 0 | 888 | 0 | 888 | 0 | 1,010 | 0 | 1,010 | |||||||||
Includes primarily mortgage servicing advances and failed purchases. |
23
Past due financial assets
Loans held at amortized cost – past due
Current | Past due | ||||||||||||||
end of | Up to 30 days | 31–60 days | 61–90 days | More than 90 days | Total | Total | |||||||||
6M21 (CHF million) | |||||||||||||||
Mortgages | 111,521 | 167 | 45 | 27 | 463 | 702 | 112,223 | ||||||||
Loans collateralized by securities | 54,411 | 5 | 38 | 1 | 118 | 162 | 54,573 | ||||||||
Consumer finance | 5,750 | 476 | 15 | 48 | 161 | 700 | 6,450 | ||||||||
Consumer | 171,682 | 648 | 98 | 76 | 742 | 1,564 | 173,246 | ||||||||
Real estate | 28,161 | 91 | 122 | 4 | 184 | 401 | 28,562 | ||||||||
Commercial and industrial loans | 69,390 | 388 | 236 | 49 | 723 | 1,396 | 70,786 | ||||||||
Financial institutions | 16,278 | 72 | 0 | 0 | 66 | 138 | 16,416 | ||||||||
Governments and public institutions | 1,192 | 15 | 0 | 0 | 20 | 35 | 1,227 | ||||||||
Corporate & institutional | 115,021 | 566 | 358 | 53 | 993 | 1,970 | 116,991 | ||||||||
Total loans to third parties | 286,703 | 1,214 | 456 | 129 | 1,735 | 3,534 | 290,237 | ||||||||
Total loans to entities under common control | 8,326 | 0 | 0 | 0 | 0 | 0 | 8,326 | ||||||||
Total loans held at amortized cost | 295,029 | 1,214 | 456 | 129 | 1,735 | 3,534 | 298,563 | 1 | |||||||
2020 (CHF million) | |||||||||||||||
Mortgages | 110,747 | 63 | 68 | 34 | 358 | 523 | 111,270 | ||||||||
Loans collateralized by securities | 51,668 | 17 | 0 | 0 | 104 | 121 | 51,789 | ||||||||
Consumer finance | 4,361 | 156 | 68 | 47 | 171 | 442 | 4,803 | ||||||||
Consumer | 166,776 | 236 | 136 | 81 | 633 | 1,086 | 167,862 | ||||||||
Real estate | 28,070 | 50 | 3 | 11 | 77 | 141 | 28,211 | ||||||||
Commercial and industrial loans | 69,060 | 630 | 54 | 137 | 670 | 1,491 | 70,551 | ||||||||
Financial institutions | 14,311 | 41 | 15 | 72 | 46 | 174 | 14,485 | ||||||||
Governments and public institutions | 969 | 37 | 4 | 0 | 0 | 41 | 1,010 | ||||||||
Corporate & institutional | 112,410 | 758 | 76 | 220 | 793 | 1,847 | 114,257 | ||||||||
Total loans to third parties | 279,186 | 994 | 212 | 301 | 1,426 | 2,933 | 282,119 | 1 | |||||||
Total loans to entities under common control | 8,444 | 0 | 0 | 0 | 0 | 0 | 8,444 | ||||||||
Total loans held at amortized cost | 287,630 | 994 | 212 | 301 | 1,426 | 2,933 | 290,563 | 1 | |||||||
1 Excludes accrued interest on loans held at amortized cost of CHF 363 million and CHF 334 million as of the end of 6M21 and 2020, respectively. |
As of the end of 6M21, the Bank did not have any loans that were past due more than 90 days and still accruing interest. Also, the Bank did not have any other financial assets held at amortized cost that were past due.
24
Non-accrual financial assets
Non-accrual loans held at amortized cost
6M21 | 6M20 | ||||||||||||||||
Amortized cost of non-accrual assets at beginning of period | Amortized cost of non-accrual assets at end of period | Interest income recognized | Amortized cost of non-accrual assets with no specific allowance at end of period | Amortized cost of non-accrual assets at beginning of period | Amortized cost of non-accrual assets at end of period | Interest income recognized | Amortized cost of non-accrual assets with no specific allowance at end of period | ||||||||||
CHF million | |||||||||||||||||
Mortgages | 418 | 615 | 2 | 167 | 337 | 380 | 1 | 20 | |||||||||
Loans collateralized by securities | 105 | 298 | 3 | 0 | 122 | 377 | 3 | 75 | |||||||||
Consumer finance | 201 | 200 | 1 | 1 | 168 | 204 | 0 | 4 | |||||||||
Consumer | 724 | 1,113 | 6 | 168 | 627 | 961 | 4 | 99 | |||||||||
Real estate | 324 | 293 | 6 | 46 | 155 | 270 | 3 | 37 | |||||||||
Commercial and industrial loans | 913 | 778 | 8 | 30 | 670 | 966 | 21 | 41 | |||||||||
Financial institutions | 68 | 63 | 0 | 0 | 46 | 65 | 0 | 8 | |||||||||
Governments and public institutions | 0 | 20 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||
Corporate & institutional | 1,305 | 1,154 | 14 | 76 | 871 | 1,301 | 24 | 86 | |||||||||
Total loans held at amortized cost | 2,029 | 2,267 | 20 | 244 | 1,498 | 2,262 | 28 | 185 |
Collateral-dependent financial assets
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q21 and 1Q21 for further information on the Bank’s collateral-dependent financial assets.
Troubled debt restructurings and modifications
Restructured financing receivables held at amortized cost
6M21 | 6M20 | ||||||||||||
in | Number of contracts | Recorded investment – pre- modification | Recorded investment – post- modification | Number of contracts | Recorded investment – pre- modification | Recorded investment – post- modification | |||||||
CHF million, except where indicated | |||||||||||||
Loans collateralized by securities | 0 | 0 | 0 | 2 | 116 | 116 | |||||||
Real estate | 1 | 2 | 2 | 0 | 0 | 0 | |||||||
Commercial and industrial loans | 14 | 390 | 382 | 7 | 32 | 15 | |||||||
Financial institutions | 1 | 44 | 44 | 0 | 0 | 0 | |||||||
Total loans | 16 | 436 | 428 | 9 | 148 | 131 |
Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring
6M21 | 6M20 | ||||||||
in | Number of contracts | Recorded investment | Number of contracts | Recorded investment | |||||
CHF million, except where indicated | |||||||||
Loans collateralized by securities | 3 | 156 | 0 | 0 | |||||
Commercial and industrial loans | 0 | 0 | 3 | 12 | |||||
Total loans | 3 | 156 | 3 | 12 |
In 6M21, the loan modifications of the Bank included the increase of credit facilities, extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, waivers of principal and interest and changes in covenants.
25
19 Goodwill
6M21 | Swiss Universal Bank | International Wealth Management | Asia Pacific | Asset Management | Investment Bank | Bank | 1 | ||||||
Gross amount of goodwill (CHF million) | |||||||||||||
Balance at beginning of period | 557 | 276 | 1,005 | 1,062 | 4,734 | 7,646 | |||||||
Foreign currency translation impact | 15 | 6 | 34 | 54 | 37 | 146 | |||||||
Balance at end of period | 572 | 282 | 1,039 | 1,116 | 4,771 | 7,792 | |||||||
Accumulated impairment (CHF million) | |||||||||||||
Balance at beginning of period | 0 | 0 | 0 | 0 | 3,879 | 3,891 | |||||||
Balance at end of period | 0 | 0 | 0 | 0 | 3,879 | 3,891 | |||||||
Net book value (CHF million) | |||||||||||||
Net book value | 572 | 282 | 1,039 | 1,116 | 892 | 3,901 | |||||||
1 Gross amount of goodwill and accumulated impairment include goodwill of CHF 12 million related to legacy business transferred to the former Strategic Resolution Unit in 4Q15 and fully written off at the time of transfer, in addition to the divisions disclosed. |
> Refer to “Note 20– Goodwill” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
26
20 Other assets and other liabilities
end of | 6M21 | 2020 | |||
Other assets (CHF million) | |||||
Cash collateral on derivative instruments | 7,664 | 7,741 | |||
Cash collateral on non-derivative transactions | 416 | 635 | |||
Derivative instruments used for hedging | 457 | 131 | |||
Assets held-for-sale | 8,169 | 7,077 | |||
of which loans 1 | 8,136 | 7,046 | |||
allowance for loans held-for-sale | (51) | (48) | |||
of which real estate 2 | 31 | 27 | |||
of which long-lived assets | 2 | 4 | |||
Premises, equipment and right-of-use assets | 6,263 | 6,213 | |||
Assets held for separate accounts | 107 | 102 | |||
Interest and fees receivable | 4,225 | 4,397 | |||
Deferred tax assets | 4,155 | 3,630 | |||
Prepaid expenses | 570 | 367 | |||
of which cloud computing arrangement implementation costs | 39 | 32 | |||
Failed purchases | 1,793 | 1,451 | |||
Defined benefit pension and post-retirement plan assets | 910 | 975 | |||
Other | 4,050 | 3,855 | |||
Other assets | 38,779 | 36,574 | |||
Other liabilities (CHF million) | |||||
Cash collateral on derivative instruments | 7,209 | 7,831 | |||
Cash collateral on non-derivative transactions | 215 | 174 | |||
Derivative instruments used for hedging | 12 | 45 | |||
Operating leases liabilities | 1,896 | 1,981 | |||
Provisions | 1,244 | 2,067 | |||
of which expected credit losses on off-balance sheet credit exposures | 260 | 311 | |||
Restructuring liabilities | 25 | 49 | |||
Liabilities held for separate accounts | 107 | 102 | |||
Interest and fees payable | 4,068 | 4,397 | |||
Current tax liabilities | 612 | 542 | |||
Deferred tax liabilities | 164 | 157 | |||
Failed sales | 1,437 | 1,120 | |||
Defined benefit pension and post-retirement plan liabilities | 406 | 403 | |||
Other | 10,540 | 11,472 | |||
Other liabilities | 27,935 | 30,340 | |||
1 Included as of the end of 6M21 and 2020 were CHF 363 million and CHF 262 million, respectively, in restricted loans, which represented collateral on secured borrowings. | |||||
2 As of the end of 6M21 and 2020, real estate held-for-sale included foreclosed or repossessed real estate of CHF 8 million and CHF 8 million, respectively, of which CHF 8 million and CHF 8 million, respectively, were related to residential real estate. |
21 Long-term debt
Long-term debt
end of | 6M21 | 2020 | |||
Long-term debt (CHF million) | |||||
Senior | 96,726 | 94,768 | |||
Subordinated | 66,247 | 63,765 | |||
Non-recourse liabilities from consolidated VIEs | 1,319 | 1,746 | |||
Long-term debt | 164,292 | 160,279 | |||
of which reported at fair value | 68,486 | 70,243 | |||
of which structured notes | 45,030 | 47,039 |
Structured notes by product
end of | 6M21 | 2020 | |||
Structured notes by product (CHF million) | |||||
Equity | 29,473 | 29,907 | |||
Fixed income | 12,465 | 13,882 | |||
Credit | 2,700 | 2,881 | |||
Other | 392 | 369 | |||
Total structured notes | 45,030 | 47,039 |
27
22 Accumulated other comprehensive income
Accumulated other comprehensive income/(loss)
Gains/ (losses) on cash flow hedges | Cumulative translation adjustments | Unrealized gains/ (losses) on securities | 1 | Actuarial gains/ (losses) | Net prior service credit/ (cost) | Gains/ (losses) on liabilities relating to credit risk | AOCI | ||||||||
6M21 (CHF million) | |||||||||||||||
Balance at beginning of period | 205 | (17,517) | 13 | (460) | (11) | (2,469) | (20,239) | ||||||||
Increase/(decrease) | (109) | 1,473 | 0 | (85) | (1) | (5) | 1,273 | ||||||||
Reclassification adjustments, included in net income/(loss) | (34) | 0 | 0 | 0 | 1 | 77 | 44 | ||||||||
Total increase/(decrease) | (143) | 1,473 | 0 | (85) | 0 | 72 | 1,317 | ||||||||
Balance at end of period | 62 | (16,044) | 13 | (545) | (11) | (2,397) | (18,922) | ||||||||
6M20 (CHF million) | |||||||||||||||
Balance at beginning of period | 28 | (14,560) | 30 | (417) | (7) | (2,620) | (17,546) | ||||||||
Increase/(decrease) | 168 | (1,015) | (52) | 0 | 0 | 1,515 | 616 | ||||||||
Reclassification adjustments, included in net income/(loss) | 75 | 17 | 32 | 7 | 0 | 99 | 230 | ||||||||
Total increase/(decrease) | 243 | (998) | (20) | 7 | 0 | 1,614 | 846 | ||||||||
Balance at end of period | 271 | (15,558) | 10 | (410) | (7) | (1,006) | (16,700) | ||||||||
1 No impairments on available-for-sale debt securities were recognized in net income/(loss) in 6M21 and 6M20. |
Details on significant reclassification adjustments
in | 6M21 | 6M20 | |||
Reclassification adjustments, included in net income/(loss) (CHF million) | |||||
Cumulative translation adjustments | |||||
Reclassification adjustments | 0 | 17 | |||
Actuarial gains/(losses) | |||||
Amortization of recognized actuarial losses 1 | (2) | 7 | |||
Tax expense/(benefit) | 2 | 0 | |||
Net of tax | 0 | 7 | |||
1 These components are included in the computation of total benefit costs. Refer to "Note 26 – Pension and other post-retirement benefits" for further information. |
28
23 Offsetting of financial assets and financial liabilities
> Refer to “Note 24 – Offsetting of financial assets and financial liabilities” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
Offsetting of derivatives
6M21 | 2020 | ||||||||
end of | Derivative assets | Derivative liabilities | Derivative assets | Derivative liabilities | |||||
Gross derivatives subject to enforceable master netting agreements (CHF billion) | |||||||||
OTC-cleared | 5.1 | 3.7 | 6.1 | 4.6 | |||||
OTC | 52.2 | 48.6 | 68.2 | 65.7 | |||||
Exchange-traded | 0.1 | 0.1 | 0.5 | 0.6 | |||||
Interest rate products | 57.4 | 52.4 | 74.8 | 70.9 | |||||
OTC-cleared | 0.2 | 0.2 | 0.2 | 0.2 | |||||
OTC | 19.1 | 20.4 | 23.1 | 27.7 | |||||
Foreign exchange products | 19.3 | 20.6 | 23.3 | 27.9 | |||||
OTC | 9.3 | 14.1 | 10.7 | 15.1 | |||||
Exchange-traded | 23.2 | 22.1 | 19.9 | 20.4 | |||||
Equity/index-related products | 32.5 | 36.2 | 30.6 | 35.5 | |||||
OTC-cleared | 1.1 | 1.2 | 0.7 | 0.7 | |||||
OTC | 3.7 | 4.7 | 3.9 | 4.9 | |||||
Credit derivatives | 4.8 | 5.9 | 4.6 | 5.6 | |||||
OTC | 1.5 | 0.9 | 1.6 | 0.8 | |||||
Exchange-traded | 0.0 | 0.0 | 0.1 | 0.1 | |||||
Other products 1 | 1.5 | 0.9 | 1.7 | 0.9 | |||||
OTC-cleared | 6.4 | 5.1 | 7.0 | 5.5 | |||||
OTC | 85.8 | 88.7 | 107.5 | 114.2 | |||||
Exchange-traded | 23.3 | 22.2 | 20.5 | 21.1 | |||||
Total gross derivatives subject to enforceable master netting agreements | 115.5 | 116.0 | 135.0 | 140.8 | |||||
Offsetting (CHF billion) | |||||||||
OTC-cleared | (5.7) | (5.0) | (6.2) | (5.4) | |||||
OTC | (74.7) | (82.4) | (94.4) | (104.4) | |||||
Exchange-traded | (21.4) | (21.5) | (20.0) | (20.3) | |||||
Offsetting | (101.8) | (108.9) | (120.6) | (130.1) | |||||
of which counterparty netting | (87.8) | (87.8) | (103.2) | (103.2) | |||||
of which cash collateral netting | (14.0) | (21.1) | (17.4) | (26.9) | |||||
Net derivatives presented in the consolidated balance sheets (CHF billion) | |||||||||
OTC-cleared | 0.7 | 0.1 | 0.8 | 0.1 | |||||
OTC | 11.1 | 6.3 | 13.1 | 9.8 | |||||
Exchange-traded | 1.9 | 0.7 | 0.5 | 0.8 | |||||
Total net derivatives subject to enforceable master netting agreements | 13.7 | 7.1 | 14.4 | 10.7 | |||||
Total derivatives not subject to enforceable master netting agreements 2 | 10.8 | 5.2 | 11.2 | 6.8 | |||||
Total net derivatives presented in the consolidated balance sheets | 24.5 | 12.3 | 25.6 | 17.5 | |||||
of which recorded in trading assets and trading liabilities | 24.1 | 12.3 | 25.5 | 17.5 | |||||
of which recorded in other assets and other liabilities | 0.4 | 0.0 | 0.1 | 0.0 | |||||
1 Primarily precious metals, commodity and energy products. | |||||||||
2 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. |
29
Offsetting of securities purchased under resale agreements and securities borrowing transactions
6M21 | 2020 | ||||||||||||
end of | Gross | Offsetting | Net book value | Gross | Offsetting | Net book value | |||||||
Securities purchased under resale agreements and securities borrowing transactions (CHF billion) | |||||||||||||
Securities purchased under resale agreements | 74.9 | (14.1) | 60.8 | 55.8 | (7.5) | 48.3 | |||||||
Securities borrowing transactions | 9.5 | (0.5) | 9.0 | 11.9 | (0.4) | 11.5 | |||||||
Total subject to enforceable master netting agreements | 84.4 | (14.6) | 69.8 | 67.7 | (7.9) | 59.8 | |||||||
Total not subject to enforceable master netting agreements 1 | 24.8 | – | 24.8 | 19.3 | – | 19.3 | |||||||
Total | 109.2 | (14.6) | 94.6 | 2 | 87.0 | (7.9) | 79.1 | 2 | |||||
1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. | |||||||||||||
2 CHF 69,465 million and CHF 57,994 million of the total net amount as of the end of 6M21 and 2020, respectively, are reported at fair value. |
Offsetting of securities sold under repurchase agreements and securities lending transactions
6M21 | 2020 | ||||||||||||
end of | Gross | Offsetting | Net book value | Gross | Offsetting | Net book value | |||||||
Securities sold under repurchase agreements and securities lending transactions (CHF billion) | |||||||||||||
Securities sold under repurchase agreements | 29.6 | (14.6) | 15.0 | 26.1 | (7.9) | 18.2 | |||||||
Securities lending transactions | 3.0 | 0.0 | 3.0 | 3.5 | 0.0 | 3.5 | |||||||
Obligation to return securities received as collateral, at fair value | 37.7 | 0.0 | 37.7 | 49.9 | 0.0 | 49.9 | |||||||
Total subject to enforceable master netting agreements | 70.3 | (14.6) | 55.7 | 79.5 | (7.9) | 71.6 | |||||||
Total not subject to enforceable master netting agreements 1 | 4.0 | – | 4.0 | 3.1 | – | 3.1 | |||||||
Total | 74.3 | (14.6) | 59.7 | 82.6 | (7.9) | 74.7 | |||||||
of which securities sold under repurchase agreements and securities lending transactions | 35.6 | (14.6) | 21.0 | 2 | 31.8 | (7.9) | 23.9 | 2 | |||||
of which obligation to return securities received as collateral, at fair value | 38.7 | 0.0 | 38.7 | 50.8 | 0.0 | 50.8 | |||||||
1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. | |||||||||||||
2 CHF 11,080 million and CHF 13,688 million of the total net amount as of the end of 6M21 and 2020, respectively, are reported at fair value. |
Amounts not offset in the consolidated balance sheets
6M21 | 2020 | ||||||||||||||||
end of | Net | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure | Net | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure | |||||
Financial assets subject to enforceable master netting agreements (CHF billion) | |||||||||||||||||
Derivatives | 13.7 | 5.1 | 0.0 | 8.6 | 14.4 | 5.5 | 0.1 | 8.8 | |||||||||
Securities purchased under resale agreements | 60.8 | 60.8 | 0.0 | 0.0 | 48.3 | 48.3 | 0.0 | 0.0 | |||||||||
Securities borrowing transactions | 9.0 | 8.8 | 0.0 | 0.2 | 11.5 | 11.1 | 0.0 | 0.4 | |||||||||
Total financial assets subject to enforceable master netting agreements | 83.5 | 74.7 | 0.0 | 8.8 | 74.2 | 64.9 | 0.1 | 9.2 | |||||||||
Financial liabilities subject to enforceable master netting agreements (CHF billion) | |||||||||||||||||
Derivatives | 7.1 | 1.4 | 0.0 | 5.7 | 10.7 | 2.2 | 0.0 | 8.5 | |||||||||
Securities sold under repurchase agreements | 15.0 | 15.0 | 0.0 | 0.0 | 18.2 | 18.2 | 0.0 | 0.0 | |||||||||
Securities lending transactions | 3.0 | 2.6 | 0.0 | 0.4 | 3.5 | 3.2 | 0.0 | 0.3 | |||||||||
Obligation to return securities received as collateral, at fair value | 37.7 | 32.4 | 0.0 | 5.3 | 49.9 | 43.4 | 0.0 | 6.5 | |||||||||
Total financial liabilities subject to enforceable master netting agreements | 62.8 | 51.4 | 0.0 | 11.4 | 82.3 | 67.0 | 0.0 | 15.3 | |||||||||
1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included. |
30
24 Tax
The 6M21 income tax expense of CHF 6 million, resulting in an effective tax rate of 40.0% for 6M21, included the impact of the estimated annual effective tax rate, as applied to the 6M21 results, as well as the impact of items that needed to be recorded in the specific interim period in which they occurred. This primarily reflected the loss related to Archegos, for which only a partial tax benefit was recognized, and the application of a valuation allowance for the remainder of the loss. Other key drivers of the full year estimated effective tax rate were the impact of the geographical mix of results, the non-deductible funding costs and an additional valuation allowance in the Bank’s operating entities in the UK. The details of the 6M21 tax rate reconciliation resulting from applying the estimated effective tax rate for the full year to the 6M21 results are outlined below.
Net deferred tax assets related to net operating losses (NOL), net deferred tax assets on temporary differences and net deferred tax liabilities are presented in the following manner. Nettable gross deferred tax liabilities are allocated on a pro-rata basis to gross deferred tax assets on NOL and gross deferred tax assets on temporary differences. This approach is aligned with the underlying treatment of netting gross deferred tax assets and liabilities under the Basel III framework. Valuation allowances have been allocated against such deferred tax assets on NOL first, with any remainder allocated to such deferred tax assets on temporary differences. This presentation is considered the most appropriate disclosure given the underlying nature of the gross deferred tax balances.
As of June 30, 2021, the Bank had accumulated undistributed earnings from foreign subsidiaries of CHF 19.0 billion which are considered indefinitely reinvested. The Bank would need to accrue and pay taxes on these undistributed earnings if such earnings were repatriated. No deferred tax liability was recorded in respect of those amounts, as these earnings are considered indefinitely reinvested. It is not practicable to estimate the amount of unrecognized deferred tax liabilities for these undistributed foreign earnings.
The Bank is currently subject to ongoing tax audits, inquiries and litigation with the tax authorities in a number of jurisdictions, including Brazil, the Netherlands, Germany, the US, the UK and Switzerland. Although the timing of completion is uncertain, it is reasonably possible that some of these will be resolved within 12 months of the reporting date. It is reasonably possible that there will be a decrease between zero and CHF 60 million in unrecognized tax benefits within 12 months of the reporting date.
The Bank remains open to examination from federal, state, provincial or similar local jurisdictions from the following years onward in these major countries: Brazil – 2016; Switzerland – 2015 (federal and Zurich cantonal level); the UK – 2012; the Netherlands – 2011, and the US – 2010.
Effective tax rate
in | 6M21 | 6M20 | |||
Effective tax rate (%) | 40.0 | 9.5 |
Tax expense reconciliation
in | 6M21 | ||
Income tax expense computed at the Swiss statutory tax rate of 18.5% (CHF million) | 3 | ||
Increase/(decrease) in income taxes resulting from | |||
Foreign tax rate differential | (50) | ||
Changes in tax law and rates | (27) | ||
Other non-deductible expenses | 49 | ||
Changes in deferred tax valuation allowance | 49 | ||
Lower taxed income | (7) | ||
Income taxable to noncontrolling interests | 2 | ||
(Windfall tax benefits)/shortfall tax charges on share-based compensation | 29 | ||
Other | (42) | ||
Income tax expense | 6 |
Foreign tax rate differential
6M21 included a foreign tax impact of CHF 50 million, mainly driven by the estimated current year earnings mix.
Changes in tax law and rates
6M21 included the impact of CHF 27 million related to the tax rate change in the UK.
Other non-deductible expenses
6M21 included the impact of CHF 49 million relating to non-deductible interest expenses, the UK bank levy and other non-deductible costs.
Changes in deferred tax valuation allowance
6M21 included the impact of the estimated current year earnings, resulting in an increase in the valuation allowance of CHF 54 million, mainly in respect of the Bank’s operating entities in the UK. This was partially offset by a decrease in the valuation allowance of CHF 5 million, mainly in respect of one of the Bank’s operating entities in Switzerland.
Lower taxed income
6M21 primarily included the impacts of CHF 4 million related to non-taxable life insurance income and CHF 3 million related to non-taxable dividend income. The remaining balance included various smaller items.
Other
6M21 included a tax benefit of CHF 42 million, which mainly reflected the tax impact of CHF 44 million relating to prior years’ adjustments and CHF 10 million relating to tax contingency
31
accruals. This was partially offset by CHF 5 million relating to withholding taxes, CHF 4 million relating to an accounting standard implementation transition adjustment for own credit movements and CHF 1 million relating to the current year base erosion and anti-abuse tax (BEAT) provision. The remaining balance included various smaller items.
Net deferred tax assets
end of | 6M21 | 2020 | |||
Net deferred tax assets (CHF million) | |||||
Deferred tax assets | 4,155 | 3,630 | |||
of which net operating losses | 1,371 | 1,064 | |||
of which deductible temporary differences | 2,784 | 2,566 | |||
Deferred tax liabilities | (164) | (157) | |||
Net deferred tax assets | 3,991 | 3,473 |
25 Employee deferred compensation
> Refer to “Note 26 – Employee deferred compensation” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and “Note 29 – Employee deferred compensation” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
Deferred compensation expense
in | 6M21 | 6M20 | |||
Deferred compensation expense (CHF million) | |||||
Share awards | 266 | 289 | |||
Performance share awards | 213 | 220 | |||
Contingent Capital Awards | 140 | 83 | |||
Deferred cash awards | 169 | 143 | |||
Retention awards | 39 | 19 | |||
Total deferred compensation expense | 827 | 754 |
Estimated unrecognized deferred compensation
end of | 6M21 | ||
Estimated unrecognized compensation expense (CHF million) | |||
Share awards | 652 | ||
Performance share awards | 378 | ||
Contingent Capital Awards | 265 | ||
Deferred cash awards | 331 | ||
Retention awards | 307 | ||
Total | 1,933 | ||
Aggregate remaining weighted-average requisite service period (years) | |||
Aggregate remaining weighted-average requisite service period | 1.3 |
6M21 activity
In 6M21, the Bank granted share awards, performance share awards, Contingent Capital Awards (CCA) and upfront cash awards as part of the 2020 deferred variable compensation. Expense recognition for these awards began in 6M21 and will continue over the remaining service or vesting period of each respective award.
Share awards
In 6M21, the Bank granted 76.5 million share awards at a weighted-average share price of CHF 11.52. Each share award granted entitles the holder of the award to receive one Group share, subject to service conditions. Share awards vest over three years with one third of the share awards vesting on each of the three anniversaries of the grant date (ratable vesting), with the exception of awards granted to individuals classified as risk managers or senior managers under the UK Prudential Regulatory Authority (PRA) Remuneration Code or similar regulations in other jurisdictions. Under the UK PRA Remuneration Code or similar regulations in other jurisdictions, share awards granted to risk managers vest over five years with one fifth of the award vesting on each of the five anniversaries of the grant date, while share awards granted to senior managers vest over five years commencing on the third anniversary of the grant date, with one fifth of the award vesting on each of the third to seventh anniversaries of the grant date. Share awards are expensed over the service period of the awards.
Performance share awards
In 6M21, the Bank granted 36.6 million performance share awards at a weighted-average share price of CHF 12.44. Performance share awards are similar to share awards, except that the full balance of outstanding performance share awards, including those awarded in prior years, are subject to performance-based malus provisions.
Contingent Capital Awards
In 6M21, the Bank awarded CHF 245 million of CCA. CCA are scheduled to vest on the third anniversary of the grant date, other than those granted to individuals classified as risk managers or senior managers under the UK PRA Remuneration Code or similar regulations in other jurisdictions, where CCA vest on the fifth and seventh anniversaries of the grant date, respectively, and will be expensed over the vesting period.
Deferred cash awards
In 6M21, the Bank granted deferred fixed cash compensation of CHF 163 million to certain employees in the Americas. This compensation will be expensed in the Investment Bank and International Wealth Management divisions over a three-year vesting period from the grant date. Amortization of this compensation in 6M21 totaled CHF 67 million, of which CHF 44 million was related to awards granted in 6M21.
32
In 3Q21, the Bank granted deferred fixed cash compensation of CHF 95 million to certain employees in the Americas. This compensation will be expensed mainly in the Investment Bank division over a three-year vesting period from the grant date.
In 6M21, the Bank granted upfront cash awards of CHF 59 million to certain managing directors and directors in the International Wealth Management division. Amortization of this compensation in 6M21 totaled CHF 43 million, of which CHF 15 million was related to awards granted in 6M21.
Retention awards
In 6M21, the Bank granted deferred cash and share retention awards of CHF 322 million, mainly in the Investment Bank division. These awards will be expensed over the applicable vesting period from the grant date. Amortization of retention awards in 6M21 totaled CHF 39 million, of which CHF 31 million was related to awards granted in 6M21.
In 3Q21, the Bank granted deferred share retention awards of CHF 24 million in the Investment Bank division. These awards will be expensed over the applicable vesting period from the grant date.
Share-based award activity
6M21 | |||||
Number of awards (in millions) | Share awards | Performance share awards | |||
Share-based award activities | |||||
Balance at beginning of period | 115.2 | 88.0 | |||
Granted | 76.5 | 36.6 | |||
Settled | (47.7) | (31.8) | |||
Forfeited | (2.7) | (1.0) | |||
Balance at end of period | 141.3 | 91.8 | |||
of which vested | 11.3 | 13.0 | |||
of which unvested | 130.0 | 78.8 |
26 Pension and other post-retirement benefits
> Refer to “Note 27 – Pension and other post-retirement benefits” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and “Note 31 – Pension and other post-retirement benefits” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
The Bank contributed and recognized expenses of CHF 243 million and CHF 264 million related to its defined contribution pension plans in 6M21 and 6M20, respectively.
The Bank expects to contribute CHF 16 million to the international single-employer defined benefit pension plans and CHF 11 million to other post-retirement defined benefit plans in 2021. As of the end of 6M21, CHF 10 million and CHF 5 million of contributions had been made to the international single-employer and other post-retirement defined benefit pension plans, respectively.
Components of net periodic benefit costs
in | 6M21 | 6M20 | |||
Net periodic benefit costs/(credits) (CHF million) | |||||
Service costs on benefit obligation | 7 | 8 | |||
Interest costs on benefit obligation | 25 | 37 | |||
Expected return on plan assets | (34) | (44) | |||
Amortization of recognized prior service cost/(credit) | 1 | 1 | |||
Amortization of recognized actuarial losses | 8 | 7 | |||
Settlement losses/(gains) | (10) | 0 | |||
Net periodic benefit costs | (3) | 9 | |||
Service costs on benefit obligation are reflected in compensation and benefits. Other components of net periodic benefit costs are reflected in general and administrative expenses. |
33
27 Derivatives and hedging activities
> Refer to “Note 32 – Derivatives and hedging activities” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
Fair value of derivative instruments
The tables below present gross derivative replacement values by type of contract and balance sheet location and whether the derivative is used for trading purposes or in a qualifying hedging relationship. Notional amounts have also been provided as an indication of the volume of derivative activity within the Bank.
Information on bifurcated embedded derivatives has not been included in these tables. Under US GAAP, the Bank elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value.
> Refer to “Note 30 – Financial instruments” for further information.
Fair value of derivative instruments
Trading | Hedging | 1 | |||||||||||
end of 6M21 | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | |||||||
Derivative instruments (CHF billion) | |||||||||||||
Forwards and forward rate agreements | 4,305.9 | 1.4 | 1.3 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 9,053.7 | 43.4 | 39.1 | 137.1 | 0.7 | 0.1 | |||||||
Options bought and sold (OTC) | 884.8 | 13.0 | 12.8 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 341.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 140.1 | 0.1 | 0.2 | 0.0 | 0.0 | 0.0 | |||||||
Interest rate products | 14,725.8 | 57.9 | 53.4 | 137.1 | 0.7 | 0.1 | |||||||
Forwards | 996.1 | 7.8 | 6.6 | 21.0 | 0.2 | 0.2 | |||||||
Swaps | 355.3 | 9.6 | 11.8 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 240.3 | 2.4 | 2.7 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 17.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Foreign exchange products | 1,609.8 | 19.8 | 21.1 | 21.0 | 0.2 | 0.2 | |||||||
Forwards | 1.0 | 0.0 | 0.3 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 121.3 | 1.9 | 4.7 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 258.8 | 15.7 | 11.8 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 41.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 608.3 | 23.3 | 22.2 | 0.0 | 0.0 | 0.0 | |||||||
Equity/index-related products | 1,031.0 | 40.9 | 39.0 | 0.0 | 0.0 | 0.0 | |||||||
Credit derivatives 2 | 594.3 | 5.1 | 6.3 | 0.0 | 0.0 | 0.0 | |||||||
Forwards | 16.0 | 0.2 | 0.2 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 11.4 | 1.1 | 0.6 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 18.4 | 0.3 | 0.2 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 12.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 11.8 | 0.1 | 0.1 | 0.0 | 0.0 | 0.0 | |||||||
Other products 3 | 70.5 | 1.7 | 1.1 | 0.0 | 0.0 | 0.0 | |||||||
Total derivative instruments | 18,031.4 | 125.4 | 120.9 | 158.1 | 0.9 | 0.3 | |||||||
The notional amount, PRV and NRV (trading and hedging) was CHF 18,189.5 billion, CHF 126.3 billion and CHF 121.2 billion, respectively, as of June 30, 2021. | |||||||||||||
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. | |||||||||||||
2 Primarily credit default swaps. | |||||||||||||
3 Primarily precious metals, commodity and energy products. |
34
Fair value of derivative instruments (continued)
Trading | Hedging | 1 | |||||||||||
end of 2020 | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | |||||||
Derivative instruments (CHF billion) | |||||||||||||
Forwards and forward rate agreements | 5,221.5 | 2.7 | 2.8 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 8,088.7 | 53.5 | 50.3 | 126.1 | 0.9 | 0.1 | |||||||
Options bought and sold (OTC) | 968.6 | 18.2 | 18.0 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 296.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 116.1 | 0.5 | 0.6 | 0.0 | 0.0 | 0.0 | |||||||
Interest rate products | 14,691.5 | 74.9 | 71.7 | 126.1 | 0.9 | 0.1 | |||||||
Forwards | 928.4 | 10.1 | 11.8 | 13.9 | 0.1 | 0.1 | |||||||
Swaps | 345.8 | 10.9 | 13.4 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 236.3 | 3.4 | 3.7 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 8.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 1.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Foreign exchange products | 1,520.3 | 24.4 | 28.9 | 13.9 | 0.1 | 0.1 | |||||||
Forwards | 1.0 | 0.0 | 0.3 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 167.6 | 4.3 | 8.8 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 218.3 | 14.9 | 10.0 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 23.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 454.0 | 20.0 | 20.7 | 0.0 | 0.0 | 0.0 | |||||||
Equity/index-related products | 864.4 | 39.2 | 39.8 | 0.0 | 0.0 | 0.0 | |||||||
Credit derivatives 2 | 467.8 | 4.9 | 6.0 | 0.0 | 0.0 | 0.0 | |||||||
Forwards | 12.2 | 0.3 | 0.2 | 0.0 | 0.0 | 0.0 | |||||||
Swaps | 9.8 | 1.1 | 0.5 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (OTC) | 14.8 | 0.3 | 0.2 | 0.0 | 0.0 | 0.0 | |||||||
Futures | 4.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||
Options bought and sold (exchange-traded) | 11.6 | 0.1 | 0.1 | 0.0 | 0.0 | 0.0 | |||||||
Other products 3 | 52.6 | 1.8 | 1.0 | 0.0 | 0.0 | 0.0 | |||||||
Total derivative instruments | 17,596.6 | 145.2 | 147.4 | 140.0 | 1.0 | 0.2 | |||||||
The notional amount, PRV and NRV (trading and hedging) was CHF 17,736.6 billion, CHF 146.2 billion and CHF 147.6 billion, respectively, as of December 31, 2020. | |||||||||||||
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. | |||||||||||||
2 Primarily credit default swaps. | |||||||||||||
3 Primarily precious metals, commodity and energy products. |
Netting of derivative instruments
> Refer to “Note 23 – Offsetting of financial assets and financial liabilities” for further information on the offsetting of derivative instruments.
Gains or losses on fair value hedges
in | 6M21 | 6M20 | |||
Interest rate products (CHF million) | |||||
Hedged items 1 | 776 | (2,374) | |||
Derivatives designated as hedging instruments 1 | (740) | 2,226 | |||
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table. | |||||
1 Included in net interest income. |
35
Hedged items in fair value hedges
6M21 | 2020 | ||||||||||||
Hedged items | Hedged items | ||||||||||||
end of | Carrying amount | Hedging adjustments | 1 | Discontinued hedges | 2 | Carrying amount | Hedging adjustments | 1 | Discontinued hedges | 2 | |||
Assets (CHF billion) | |||||||||||||
Investment securities | 0.6 | 0.0 | 0.0 | 0.4 | 0.0 | 0.0 | |||||||
Net loans | 21.6 | (0.1) | 0.4 | 20.5 | 0.2 | 0.5 | |||||||
Liabilities (CHF billion) | |||||||||||||
Long-term debt | 72.1 | 0.9 | 0.7 | 65.8 | 1.9 | 0.8 | |||||||
1 Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount. | |||||||||||||
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued. |
Cash flow hedges
in | 6M21 | 6M20 | |||
Interest rate products (CHF million) | |||||
Gains/(losses) recognized in AOCI on derivatives | (119) | 288 | |||
Gains/(losses) reclassified from AOCI into interest and dividend income | 10 | (42) |
Foreign exchange products (CHF million) | |||||
Gains/(losses) recognized in AOCI on derivatives | 4 | (84) | |||
Trading revenues | 0 | (30) | |||
Total other operating expenses | 25 | (11) | |||
Gains/(losses) reclassified from AOCI into income | 25 | (41) | |||
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1 | 0 | 1 | |||
1 Related to the forward points of a foreign currency forward. |
As of the end of 6M21, the maximum length of time over which the Bank hedged its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on existing financial instruments, was 12 months.
The net gain associated with cash flow hedges expected to be reclassified from accumulated other comprehensive income (AOCI) within the next 12 months was CHF 50 million.
Net investment hedges
in | 6M21 | 6M20 | |||
Foreign exchange products (CHF million) | |||||
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI | (248) | 476 | |||
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues | 0 | 9 |
The Bank includes all derivative instruments not included in hedge accounting relationships in its trading activities.
> Refer to “Note 7 – Trading revenues” for gains and losses on trading activities by product type.
Disclosures relating to contingent credit risk
The following table provides the Bank’s current net exposure from contingent credit risk relating to derivative contracts with bilateral counterparties and special purpose entities (SPEs) that include credit support agreements, the related collateral posted and the additional collateral required in a one-notch, two-notch and a three-notch downgrade event, respectively. The table also includes derivative contracts with contingent credit risk features without credit support agreements that have accelerated termination event conditions. The current net exposure for derivative contracts with bilateral counterparties and contracts with accelerated termination event conditions is the aggregate fair value of derivative instruments that were in a net liability position. For SPEs, the current net exposure is the contractual amount that is used to determine the collateral payable in the event of a downgrade. The contractual amount could include both the NRV and a percentage of the notional value of the derivative.
Contingent credit risk
6M21 | 2020 | ||||||||||||||||
end of | Bilateral counterparties | Special purpose entities | Accelerated terminations | Total | Bilateral counterparties | Special purpose entities | Accelerated terminations | Total | |||||||||
Contingent credit risk (CHF billion) | |||||||||||||||||
Current net exposure | 2.4 | 0.0 | 0.4 | 2.8 | 3.0 | 0.0 | 0.4 | 3.4 | |||||||||
Collateral posted | 2.1 | 0.0 | – | 2.1 | 2.4 | 0.0 | – | 2.4 | |||||||||
Impact of a three-notch downgrade event | 0.5 | 0.0 | 0.1 | 0.6 | 0.5 | 0.0 | 0.2 | 0.7 | |||||||||
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively. |
36
Credit derivatives
> Refer to “Note 32 – Derivatives and hedging activities” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information on credit derivatives.
Credit protection sold/purchased
The following tables do not include all credit derivatives and differ from the credit derivatives in the “Fair value of derivative instruments” tables. This is due to the exclusion of certain credit derivative instruments under US GAAP, which defines a credit derivative as a derivative instrument (a) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit risk-related events specified in the contract.
Total return swaps (TRS) of CHF 14.3 billion and CHF 14.4 billion as of the end of 6M21 and 2020, respectively, were also excluded because a TRS does not expose the seller to potential loss from credit risk-related events specified in the contract. A TRS only provides protection against a loss in asset value and not against additional amounts as a result of specific credit events.
Credit protection sold/purchased
6M21 | 2020 | ||||||||||||||||||||
end of | Credit protection sold | Credit protection purchased | 1 | Net credit protection (sold)/ purchased | Other protection purchased | Fair value of credit protection sold | Credit protection sold | Credit protection purchased | 1 | Net credit protection (sold)/ purchased | Other protection purchased | Fair value of credit protection sold | |||||||||
Single-name instruments (CHF billion) | |||||||||||||||||||||
Investment grade 2 | (55.4) | 52.3 | (3.1) | 11.7 | 0.5 | (52.5) | 47.8 | (4.7) | 13.0 | 0.5 | |||||||||||
Non-investment grade | (32.3) | 30.2 | (2.1) | 11.7 | 0.6 | (28.5) | 26.5 | (2.0) | 11.8 | 0.4 | |||||||||||
Total single-name instruments | (87.7) | 82.5 | (5.2) | 23.4 | 1.1 | (81.0) | 74.3 | (6.7) | 24.8 | 0.9 | |||||||||||
of which sovereign | (13.1) | 12.0 | (1.1) | 5.3 | 0.0 | (12.5) | 11.6 | (0.9) | 5.3 | 0.0 | |||||||||||
of which non-sovereign | (74.6) | 70.5 | (4.1) | 18.1 | 1.1 | (68.5) | 62.7 | (5.8) | 19.5 | 0.9 | |||||||||||
Multi-name instruments (CHF billion) | |||||||||||||||||||||
Investment grade 2 | (141.6) | 136.8 | (4.8) | 28.8 | (0.4) | (99.5) | 95.2 | (4.3) | 23.1 | (0.7) | |||||||||||
Non-investment grade | (34.1) | 31.9 | (2.2) | 13.2 | 3 | 0.3 | (24.3) | 19.9 | (4.4) | 11.3 | 3 | 0.2 | |||||||||
Total multi-name instruments | (175.7) | 168.7 | (7.0) | 42.0 | (0.1) | (123.8) | 115.1 | (8.7) | 34.4 | (0.5) | |||||||||||
of which non-sovereign | (175.7) | 168.7 | (7.0) | 42.0 | (0.1) | (123.8) | 115.1 | (8.7) | 34.4 | (0.5) | |||||||||||
Total instruments (CHF billion) | |||||||||||||||||||||
Investment grade 2 | (197.0) | 189.1 | (7.9) | 40.5 | 0.1 | (152.0) | 143.0 | (9.0) | 36.1 | (0.2) | |||||||||||
Non-investment grade | (66.4) | 62.1 | (4.3) | 24.9 | 0.9 | (52.8) | 46.4 | (6.4) | 23.1 | 0.6 | |||||||||||
Total instruments | (263.4) | 251.2 | (12.2) | 65.4 | 1.0 | (204.8) | 189.4 | (15.4) | 59.2 | 0.4 | |||||||||||
of which sovereign | (13.1) | 12.0 | (1.1) | 5.3 | 0.0 | (12.5) | 11.6 | (0.9) | 5.3 | 0.0 | |||||||||||
of which non-sovereign | (250.3) | 239.2 | (11.1) | 60.1 | 1.0 | (192.3) | 177.8 | (14.5) | 53.9 | 0.4 | |||||||||||
1 Represents credit protection purchased with identical underlyings and recoveries. | |||||||||||||||||||||
2 Based on internal ratings of BBB and above. | |||||||||||||||||||||
3 Includes synthetic securitized loan portfolios. |
The following table reconciles the notional amount of credit derivatives included in the table “Fair value of derivative instruments” to the table “Credit protection sold/purchased”.
Credit derivatives
end of | 6M21 | 2020 | |||
Credit derivatives (CHF billion) | |||||
Credit protection sold | 263.4 | 204.8 | |||
Credit protection purchased | 251.2 | 189.4 | |||
Other protection purchased | 65.4 | 59.2 | |||
Other instruments 1 | 14.3 | 14.4 | |||
Total credit derivatives | 594.3 | 467.8 | |||
1 Consists of total return swaps and other derivative instruments. |
Maturity of credit protection sold
end of | Maturity less than 1 year | Maturity between 1 to 5 years | Maturity greater than 5 years | Total | |||||
6M21 (CHF billion) | |||||||||
Single-name instruments | 13.7 | 69.9 | 4.1 | 87.7 | |||||
Multi-name instruments | 40.9 | 121.9 | 12.9 | 175.7 | |||||
Total instruments | 54.6 | 191.8 | 17.0 | 263.4 | |||||
2020 (CHF billion) | |||||||||
Single-name instruments | 14.0 | 62.7 | 4.3 | 81.0 | |||||
Multi-name instruments | 29.6 | 82.6 | 11.6 | 123.8 | |||||
Total instruments | 43.6 | 145.3 | 15.9 | 204.8 |
37
28 Guarantees and commitments
> Refer to “Note 29 – Guarantees and commitments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and to “Note 33 – Guarantees and commitments” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
Guarantees
end of | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Carrying value | Collateral received | ||||||
6M21 (CHF million) | |||||||||||||
Credit guarantees and similar instruments | 2,411 | 1,925 | 4,336 | 4,272 | 20 | 2,195 | |||||||
Performance guarantees and similar instruments | 4,484 | 2,868 | 7,352 | 6,223 | 38 | 2,706 | |||||||
Derivatives 2 | 11,082 | 4,968 | 16,050 | 16,050 | 403 | – | 3 | ||||||
Other guarantees | 4,102 | 2,131 | 6,233 | 6,189 | 61 | 3,705 | |||||||
Total guarantees | 22,079 | 11,892 | 33,971 | 32,734 | 522 | 8,606 | |||||||
2020 (CHF million) | |||||||||||||
Credit guarantees and similar instruments | 1,645 | 1,438 | 3,083 | 3,020 | 27 | 1,637 | |||||||
Performance guarantees and similar instruments | 3,607 | 2,925 | 6,532 | 5,601 | 30 | 2,535 | |||||||
Derivatives 2 | 10,531 | 6,042 | 16,573 | 16,573 | 380 | – | 3 | ||||||
Other guarantees | 3,555 | 2,588 | 6,143 | 6,130 | 85 | 3,725 | |||||||
Total guarantees | 19,338 | 12,993 | 32,331 | 31,324 | 522 | 7,897 | |||||||
1 Total net amount is computed as the gross amount less any participations. | |||||||||||||
2 Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Bank had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments. | |||||||||||||
3 Collateral for derivatives accounted for as guarantees is not considered significant. |
Deposit-taking banks and securities dealers in Switzerland and certain other European countries are required to ensure the payout of privileged deposits in case of specified restrictions or compulsory liquidation of a deposit-taking bank. In Switzerland, deposit-taking banks and securities dealers jointly guarantee an amount of up to CHF 6 billion. Upon occurrence of a payout event triggered by a specified restriction of business imposed by the Swiss Financial Market Supervisory Authority FINMA (FINMA) or by the compulsory liquidation of another deposit taking bank, the Bank’s contribution will be calculated based on its share of privileged deposits in proportion to total privileged deposits. Based on FINMA’s estimate for the Bank’s banking subsidiaries in Switzerland, the Bank’s share in the deposit insurance guarantee program for the period July 1, 2020 to June 30, 2021 was CHF 0.5 billion. These deposit insurance guarantees were reflected in other guarantees.
Representations and warranties on residential mortgage loans sold
In connection with the Global Markets division’s sale of US residential mortgage loans, the Bank has provided certain representations and warranties relating to the loans sold.
> Refer to “Note 29 – Guarantees and commitments” in III – Consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and to “Note 33 – Guarantees and commitments” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
38
Other commitments
6M21 | 2020 | ||||||||||||||||||||
end of | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Collateral received | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Collateral received | |||||||||
Other commitments (CHF million) | |||||||||||||||||||||
Irrevocable commitments under documentary credits | 4,446 | 82 | 4,528 | 4,279 | 2,469 | 3,915 | 97 | 4,012 | 3,963 | 2,404 | |||||||||||
Irrevocable loan commitments | 24,764 | 105,111 | 129,875 | 2 | 125,484 | 60,786 | 19,813 | 99,209 | 119,022 | 2 | 115,116 | 53,039 | |||||||||
Forward reverse repurchase agreements | 71 | 0 | 71 | 71 | 71 | 17 | 0 | 17 | 17 | 17 | |||||||||||
Other commitments | 1,815 | 322 | 2,137 | 2,137 | 16 | 135 | 1,808 | 1,943 | 1,943 | 19 | |||||||||||
Total other commitments | 31,096 | 105,515 | 136,611 | 131,971 | 63,342 | 23,880 | 101,114 | 124,994 | 121,039 | 55,479 | |||||||||||
1 Total net amount is computed as the gross amount less any participations. | |||||||||||||||||||||
2 Irrevocable loan commitments do not include a total gross amount of CHF 145,045 million and CHF 130,965 million of unused credit limits as of the end of 6M21 and 2020, respectively, which were revocable at the Bank's sole discretion upon notice to the client. The prior period has been adjusted to the current presentation. |
39
29 Transfers of financial assets and variable interest entities
> Refer to “Note 30 – Transfers of financial assets and variable interest entities“ in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and “Note 34 – Transfers of financial assets and variable interest entities“ in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
Transfers of financial assets
Securitizations
The following table provides the gains or losses and proceeds from the transfer of assets relating to 6M21 and 6M20 securitizations of financial assets that qualify for sale accounting and subsequent derecognition, along with cash flows between the Bank and the SPEs used in any securitizations in which the Bank still has continuing involvement, regardless of when the securitization occurred.
Securitizations
in | 6M21 | 6M20 | |||
Gains/(losses) and cash flows (CHF million) | |||||
CMBS | |||||
Net gain 1 | 0 | 30 | |||
Proceeds from transfer of assets | 999 | 4,862 | |||
Cash received on interests that continue to be held | 26 | 21 | |||
RMBS | |||||
Net gain 1 | 62 | 22 | |||
Proceeds from transfer of assets | 20,876 | 11,373 | |||
Purchases of previously transferred financial assets or its underlying collateral | (1,072) | 0 | |||
Servicing fees | 1 | 1 | |||
Cash received on interests that continue to be held | 430 | 457 | |||
Other asset-backed financings | |||||
Net gain 1 | 47 | 61 | |||
Proceeds from transfer of assets | 6,802 | 4,766 | |||
Purchases of previously transferred financial assets or its underlying collateral | (699) | (638) | |||
Fees 2 | 81 | 72 | |||
Cash received on interests that continue to be held | 7 | 11 | |||
1 Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans. | |||||
2 Represents management fees and performance fees earned for investment management services provided to managed CLOs. |
Continuing involvement in transferred financial assets
The following table provides the outstanding principal balance of assets to which the Bank continued to be exposed after the transfer of the financial assets to any SPE and the total assets of the SPE as of the end of 6M21 and 2020, regardless of when the transfer of assets occurred.
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement
end of | 6M21 | 2020 | |||
CHF million | |||||
CMBS | |||||
Principal amount outstanding | 16,247 | 17,421 | |||
Total assets of SPE | 23,079 | 24,455 | |||
RMBS | |||||
Principal amount outstanding | 58,318 | 47,324 | |||
Total assets of SPE | 58,318 | 47,863 | |||
Other asset-backed financings | |||||
Principal amount outstanding | 26,307 | 24,968 | |||
Total assets of SPE | 55,188 | 50,817 | |||
Principal amount outstanding relates to assets transferred from the Bank and does not include principal amounts for assets transferred from third parties. |
Fair value of beneficial interests
The fair value measurement of the beneficial interests held at the time of transfer and as of the reporting date that result from any continuing involvement is determined using fair value estimation techniques, such as the present value of estimated future cash flows that incorporate assumptions that market participants customarily use in these valuation techniques. The fair value of the assets or liabilities that result from any continuing involvement does not include any benefits from financial instruments that the Bank may utilize to hedge the inherent risks.
Key economic assumptions at the time of transfer
> Refer to “Note 30 – Financial instruments” for information on fair value hierarchy levels.
40
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer
6M21 | 6M20 | ||||||||||||||||
at time of transfer, in | CMBS | RMBS | CMBS | RMBS | |||||||||||||
CHF million, except where indicated | |||||||||||||||||
Fair value of beneficial interests | 92 | 1,337 | 172 | 1,646 | |||||||||||||
of which level 2 | 82 | 1,019 | 158 | 1,465 | |||||||||||||
of which level 3 | 10 | 318 | 14 | 181 | |||||||||||||
Weighted-average life, in years | 7.4 | 5.0 | 8.1 | 3.6 | |||||||||||||
Prepayment speed assumption (rate per annum), in % 1 | – | 2 | 3.0 | – | 32.8 | – | 2 | 1.0 | – | 38.2 | |||||||
Cash flow discount rate (rate per annum), in % 3 | 1.8 | – | 4.5 | 1.0 | – | 15.4 | 1.4 | – | 9.2 | 0.7 | – | 24.7 | |||||
Expected credit losses (rate per annum), in % 4 | 0.9 | – | 3.9 | 0.1 | – | 13.7 | 4.0 | – | 8.6 | 3.3 | – | 22.9 | |||||
Transfers of assets in which the Bank does not have beneficial interests are not included in this table. | |||||||||||||||||
1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. | |||||||||||||||||
2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. | |||||||||||||||||
3 The rate was based on the weighted-average yield on the beneficial interests. | |||||||||||||||||
4 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero. |
Key economic assumptions as of the reporting date
The following table provides the sensitivity analysis of key economic assumptions used in measuring the fair value of beneficial interests held in SPEs as of the end of 6M21 and 2020.
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs
6M21 | 2020 | ||||||||||||||||||||||||
end of | CMBS | 1 | RMBS | Other asset- backed financing activities | 2 | CMBS | 1 | RMBS | Other asset- backed financing activities | 2 | |||||||||||||||
CHF million, except where indicated | |||||||||||||||||||||||||
Fair value of beneficial interests | 232 | 2,382 | 319 | 296 | 1,851 | 350 | |||||||||||||||||||
of which non-investment grade | 38 | 330 | 18 | 36 | 631 | 23 | |||||||||||||||||||
Weighted-average life, in years | 6.0 | 4.0 | 5.5 | 5.6 | 4.0 | 4.8 | |||||||||||||||||||
Prepayment speed assumption (rate per annum), in % 3 | – | 5.2 | – | 30.0 | – | – | 4.0 | – | 50.1 | – | |||||||||||||||
Impact on fair value from 10% adverse change | – | (40.0) | – | – | (43.7) | – | |||||||||||||||||||
Impact on fair value from 20% adverse change | – | (78.0) | – | – | (92.1) | – | |||||||||||||||||||
Cash flow discount rate (rate per annum), in % 4 | 1.7 | – | 31.5 | 0.7 | – | 29.7 | 0.3 | – | 28.0 | 0.6 | – | 38.2 | 0.3 | – | 39.7 | 0.7 | – | 27.7 | |||||||
Impact on fair value from 10% adverse change | (2.9) | (32.5) | (3.7) | (4.9) | (22.4) | (4.2) | |||||||||||||||||||
Impact on fair value from 20% adverse change | (5.6) | (62.7) | (7.3) | (9.6) | (43.5) | (8.2) | |||||||||||||||||||
Expected credit losses (rate per annum), in % 5 | 0.9 | – | 13.0 | 0.2 | – | 28.6 | 0.3 | – | 28.0 | 0.4 | – | 14.7 | 0.6 | – | 39.6 | 0.7 | – | 26.8 | |||||||
Impact on fair value from 10% adverse change | (1.8) | (25.9) | (3.5) | (4.3) | (20.2) | (4.5) | |||||||||||||||||||
Impact on fair value from 20% adverse change | (3.5) | (50.2) | (6.8) | (8.5) | (39.2) | (8.9) | |||||||||||||||||||
1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. | |||||||||||||||||||||||||
2 CDOs within this category are generally structured to be protected from prepayment risk. | |||||||||||||||||||||||||
3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. | |||||||||||||||||||||||||
4 The rate was based on the weighted-average yield on the beneficial interests. | |||||||||||||||||||||||||
5 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero. |
41
Transfers of financial assets where sale treatment was not achieved
The following table provides the carrying amounts of transferred financial assets and the related liabilities where sale treatment was not achieved as of the end of 6M21 and 2020.
> Refer to “Note 31 – Assets pledged and collateral” for information on assets pledged or assigned.
Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved
end of | 6M21 | 2020 | |||
CHF million | |||||
Other asset-backed financings | |||||
Trading assets | 721 | 496 | |||
Other assets | 198 | 246 | |||
Liability to SPE, included in other liabilities | (919) | (742) |
Securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings
The following tables provide the gross obligation relating to securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral by the class of collateral pledged and by remaining contractual maturity as of the end of 6M21 and 2020.
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged
end of | 6M21 | 2020 | |||
CHF billion | |||||
Government debt securities | 15.9 | 12.2 | |||
Corporate debt securities | 8.6 | 7.7 | |||
Asset-backed securities | 4.3 | 6.0 | |||
Other | 3.0 | 1.8 | |||
Securities sold under repurchase agreements | 31.8 | 27.7 | |||
Government debt securities | 0.2 | 0.4 | |||
Corporate debt securities | 0.3 | 0.1 | |||
Equity securities | 3.3 | 3.5 | |||
Other | 0.0 | 0.1 | |||
Securities lending transactions | 3.8 | 4.1 | |||
Government debt securities | 4.7 | 5.8 | |||
Corporate debt securities | 4.4 | 5.6 | |||
Equity securities | 29.4 | 39.3 | |||
Other | 0.2 | 0.1 | |||
Obligation to return securities received as collateral, at fair value | 38.7 | 50.8 | |||
Total | 74.3 | 82.6 |
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity
Remaining contractual maturities | |||||||||||
end of | No stated maturity | 1 | Up to 30 days | 2 | 31-90 days | More than 90 days | Total | ||||
6M21 (CHF billion) | |||||||||||
Securities sold under repurchase agreements | 3.4 | 16.5 | 2.6 | 9.3 | 31.8 | ||||||
Securities lending transactions | 3.8 | 0.0 | 0.0 | 0.0 | 3.8 | ||||||
Obligation to return securities received as collateral, at fair value | 38.6 | 0.0 | 0.0 | 0.1 | 38.7 | ||||||
Total | 45.8 | 16.5 | 2.6 | 9.4 | 74.3 | ||||||
2020 (CHF billion) | |||||||||||
Securities sold under repurchase agreements | 5.8 | 11.8 | 5.9 | 4.2 | 27.7 | ||||||
Securities lending transactions | 4.0 | 0.0 | 0.1 | 0.0 | 4.1 | ||||||
Obligation to return securities received as collateral, at fair value | 50.2 | 0.3 | 0.3 | 0.0 | 50.8 | ||||||
Total | 60.0 | 12.1 | 6.3 | 4.2 | 82.6 | ||||||
1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period. | |||||||||||
2 Includes overnight transactions. |
> Refer to “Note 23 – Offsetting of financial assets and financial liabilities” for further information on the gross amount of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral and the net amounts disclosed in the consolidated balance sheets.
42
Variable interest entities
Commercial paper conduit
The Bank acts as the administrator and provider of liquidity and credit enhancement facilities for Alpine Securitization Ltd (Alpine), a multi-seller asset-backed CP conduit used for client and Bank financing purposes. Alpine discloses to CP investors certain portfolio and asset data and submits its portfolio to rating agencies for public ratings on its CP. This CP conduit purchases assets such as loans and receivables or enters into reverse repurchase agreements and finances such activities through the issuance of CP backed by these assets. In addition to CP, Alpine may also issue term notes with maturities up to 30 months. The Bank (including Alpine) can enter into liquidity facilities with third-party entities pursuant to which it may be required to purchase assets from these entities to provide them with liquidity and credit support. The financing transactions are structured to provide credit support in the form of over-collateralization and other asset-specific enhancements. Alpine is a separate legal entity that is wholly owned by the Bank. However, its assets are available to satisfy only the claims of its creditors. In addition, the Bank, as administrator and liquidity facility provider, has significant exposure to and power over the activities of Alpine. Alpine is considered a VIE for accounting purposes and the Bank is deemed the primary beneficiary and consolidates this entity.
The overall average maturity of Alpine’s outstanding CP was approximately 215 days as of the end of 6M21. Alpine’s CP was rated A-1(sf) by Standard & Poor’s and P-1(sf) by Moody’s. Alpine had exposures mainly in reverse repurchase agreements with a Group entity, consumer loans, solar loans and leases, aircraft loans and leases and car loans and leases.
The Bank’s financial commitment to this CP conduit consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Bank to provide short-term financing to the CP conduit or to purchase assets from the CP conduit in certain circumstances, including but not limited to, a lack of liquidity in the CP market such that the CP conduit cannot refinance its obligations or a default of an underlying asset. The asset-specific credit enhancements provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Bank reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit.
The Bank enters into liquidity facilities with CP conduits administrated and sponsored by third parties. These third-party CP conduits are considered to be VIEs for accounting purposes. The Bank is not the primary beneficiary and does not consolidate these third-party CP conduits. The Bank’s financial commitment to these third-party CP conduits consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Bank to provide short-term financing to the third-party CP conduits or to purchase assets from these CP conduits in certain circumstances, including but not limited to, a lack of liquidity in the CP market such that the CP conduits cannot refinance their obligations or a default of an underlying asset. The asset-specific credit enhancements, if any, provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Bank reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit. In some situations, the Bank can enter into liquidity facilities with these third-party CP conduits through Alpine.
The Bank’s economic risks associated with the Alpine CP conduit and the third-party CP conduits are included in the Bank’s risk management framework including counterparty, economic risk capital and scenario analysis.
Consolidated VIEs
The consolidated variable interest entities (VIEs) tables provide the carrying amounts and classifications of the assets and liabilities of consolidated VIEs as of the end of 6M21 and 2020.
43
Consolidated VIEs in which the Bank was the primary beneficiary
Financial intermediation | |||||||||||||
end of | CP Conduit | Securi- tizations | Funds | Loans | Other | Total | |||||||
6M21 (CHF million) | |||||||||||||
Cash and due from banks | 0 | 39 | 16 | 21 | 171 | 247 | |||||||
Trading assets | 0 | 1,068 | 54 | 788 | 6 | 1,916 | |||||||
Other investments | 0 | 0 | 109 | 877 | 245 | 1,231 | |||||||
Net loans | 603 | 0 | 61 | 22 | 0 | 686 | |||||||
Other assets | 24 | 540 | 31 | 67 | 792 | 1,454 | |||||||
of which loans held-for-sale | 0 | 57 | 26 | 0 | 0 | 83 | |||||||
of which premises and equipment | 0 | 0 | 0 | 14 | 0 | 14 | |||||||
Total assets of consolidated VIEs | 627 | 1,647 | 271 | 1,775 | 1,214 | 5,534 | |||||||
Customer deposits | 0 | 0 | 0 | 0 | 1 | 1 | |||||||
Trading liabilities | 0 | 0 | 0 | 9 | 0 | 9 | |||||||
Short-term borrowings | 4,700 | 29 | 0 | 0 | 0 | 4,729 | |||||||
Long-term debt | 93 | 1,180 | 0 | 3 | 43 | 1,319 | |||||||
Other liabilities | 70 | 1 | 4 | 72 | 84 | 231 | |||||||
Total liabilities of consolidated VIEs | 4,863 | 1,210 | 4 | 84 | 128 | 6,289 | |||||||
2020 (CHF million) | |||||||||||||
Cash and due from banks | 0 | 23 | 22 | 37 | 8 | 90 | |||||||
Trading assets | 0 | 1,255 | 50 | 840 | 19 | 2,164 | |||||||
Other investments | 0 | 0 | 129 | 920 | 202 | 1,251 | |||||||
Net loans | 653 | 0 | 51 | 29 | 167 | 900 | |||||||
Other assets | 21 | 979 | 15 | 65 | 778 | 1,858 | |||||||
of which loans held-for-sale | 0 | 462 | 10 | 0 | 0 | 472 | |||||||
of which premises and equipment | 0 | 0 | 0 | 13 | 4 | 17 | |||||||
Total assets of consolidated VIEs | 674 | 2,257 | 267 | 1,891 | 1,174 | 6,263 | |||||||
Customer deposits | 0 | 0 | 0 | 0 | 1 | 1 | |||||||
Trading liabilities | 0 | 0 | 0 | 10 | 0 | 10 | |||||||
Short-term borrowings | 4,178 | 0 | 0 | 0 | 0 | 4,178 | |||||||
Long-term debt | 0 | 1,701 | 0 | 10 | 35 | 1,746 | |||||||
Other liabilities | 53 | 1 | 3 | 72 | 78 | 207 | |||||||
Total liabilities of consolidated VIEs | 4,231 | 1,702 | 3 | 92 | 114 | 6,142 |
44
Non-consolidated VIEs
The non-consolidated VIEs table provides the carrying amounts and classification of the assets of variable interests recorded in the Bank’s consolidated balance sheets, maximum exposure to loss and total assets of the non-consolidated VIEs.
Non-consolidated VIEs
Financial intermediation | |||||||||||||||
end of | CDO/ CLO | CP Conduit | 1 | Securi- tizations | Funds | Loans | Other | Total | |||||||
6M21 (CHF million) | |||||||||||||||
Trading assets | 257 | 0 | 4,480 | 920 | 24 | 7,930 | 13,611 | ||||||||
Net loans | 631 | 547 | 365 | 2,770 | 8,778 | 1,375 | 14,466 | ||||||||
Other assets | 7 | 0 | 302 | 174 | 0 | 546 | 1,029 | ||||||||
Total variable interest assets | 895 | 547 | 5,147 | 3,864 | 8,802 | 9,851 | 29,106 | ||||||||
Maximum exposure to loss | 1,532 | 5,966 | 7,887 | 3,864 | 13,568 | 10,593 | 43,410 | ||||||||
Total assets of non-consolidated VIEs | 11,001 | 12,544 | 106,170 | 162,600 | 37,131 | 25,776 | 355,222 | ||||||||
2020 (CHF million) | |||||||||||||||
Trading assets | 250 | 0 | 4,500 | 1,113 | 66 | 8,617 | 14,546 | ||||||||
Net loans | 357 | 371 | 734 | 1,967 | 6,989 | 939 | 11,357 | ||||||||
Other assets | 2 | 0 | 3 | 110 | 0 | 344 | 459 | ||||||||
Total variable interest assets | 609 | 371 | 5,237 | 3,190 | 7,055 | 9,900 | 26,362 | ||||||||
Maximum exposure to loss | 852 | 5,538 | 7,329 | 3,190 | 11,235 | 10,226 | 38,370 | ||||||||
Total assets of non-consolidated VIEs | 8,553 | 11,148 | 127,785 | 87,618 | 26,186 | 25,759 | 287,049 | ||||||||
1 Includes liquidity facilities provided to third-party CP conduits through Alpine Securities Ltd. |
30 Financial instruments
> Refer to “Note 31 – Financial instruments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and to “Note 35 – Financial instruments” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
45
Assets and liabilities measured at fair value on a recurring basis
end of 6M21 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total | |||||
Assets (CHF million) | |||||||||||||
Cash and due from banks | 0 | 141 | 0 | – | – | 141 | |||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 69,465 | 0 | – | – | 69,465 | |||||||
Securities received as collateral | 33,337 | 5,265 | 84 | – | – | 38,686 | |||||||
Trading assets | 63,427 | 161,961 | 5,938 | (101,447) | 805 | 130,684 | |||||||
of which debt securities | 11,267 | 44,747 | 1,655 | – | 70 | 57,739 | |||||||
of which foreign government | 10,885 | 11,376 | 40 | – | – | 22,301 | |||||||
of which corporates | 265 | 9,973 | 889 | – | 70 | 11,197 | |||||||
of which RMBS | 0 | 20,528 | 477 | – | – | 21,005 | |||||||
of which equity securities | 41,098 | 2,172 | 282 | – | 735 | 44,287 | |||||||
of which derivatives | 9,422 | 113,297 | 2,883 | (101,447) | – | 24,155 | |||||||
of which interest rate products | 1,212 | 55,930 | 805 | – | – | – | |||||||
of which foreign exchange products | 220 | 19,512 | 139 | – | – | – | |||||||
of which equity/index-related products | 7,941 | 32,473 | 490 | – | – | – | |||||||
of which other derivatives | 0 | 146 | 1,073 | – | – | – | |||||||
of which other trading assets | 1,640 | 1,745 | 1,118 | – | – | 4,503 | |||||||
Investment securities | 33 | 759 | 0 | – | – | 792 | |||||||
Other investments | 13 | 7 | 2,231 | – | 495 | 2,746 | |||||||
of which other equity investments | 13 | 7 | 1,353 | – | 373 | 1,746 | |||||||
of which life finance instruments | 0 | 0 | 877 | – | – | 877 | |||||||
Loans | 0 | 8,173 | 2,928 | – | – | 11,101 | |||||||
of which commercial and industrial loans | 0 | 1,712 | 1,411 | – | – | 3,123 | |||||||
of which financial institutions | 0 | 3,958 | 643 | – | – | 4,601 | |||||||
Other intangible assets (mortgage servicing rights) | 0 | 0 | 189 | – | – | 189 | |||||||
Other assets | 155 | 9,191 | 1,436 | (440) | – | 10,342 | |||||||
of which failed purchases | 126 | 1,590 | 12 | – | – | 1,728 | |||||||
of which loans held-for-sale | 0 | 6,433 | 1,287 | – | – | 7,720 | |||||||
Total assets at fair value | 96,965 | 254,962 | 12,806 | (101,887) | 1,300 | 264,146 | |||||||
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. | |||||||||||||
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
46
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 6M21 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total | |||||
Liabilities (CHF million) | |||||||||||||
Due to banks | 0 | 330 | 0 | – | – | 330 | |||||||
Customer deposits | 0 | 3,489 | 432 | – | – | 3,921 | |||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 11,080 | 0 | – | – | 11,080 | |||||||
Obligation to return securities received as collateral | 33,337 | 5,265 | 84 | – | – | 38,686 | |||||||
Trading liabilities | 24,903 | 113,741 | 3,035 | (108,708) | – | 32,971 | |||||||
of which debt securities | 3,230 | 4,824 | 0 | – | – | 8,054 | |||||||
of which foreign government | 3,131 | 1,002 | 0 | – | – | 4,133 | |||||||
of which equity securities | 12,133 | 141 | 41 | – | – | 12,315 | |||||||
of which derivatives | 9,540 | 108,776 | 2,994 | (108,708) | – | 12,602 | |||||||
of which interest rate products | 1,184 | 52,145 | 142 | – | – | – | |||||||
of which foreign exchange products | 176 | 20,973 | 62 | – | – | – | |||||||
of which equity/index-related products | 8,127 | 29,143 | 1,738 | – | – | – | |||||||
Short-term borrowings | 0 | 7,448 | 1,106 | – | – | 8,554 | |||||||
Long-term debt | 0 | 58,813 | 9,673 | – | – | 68,486 | |||||||
of which structured notes over one year and up to two years | 0 | 11,742 | 2,124 | – | – | 13,866 | |||||||
of which structured notes over two years | 0 | 24,088 | 6,777 | – | – | 30,865 | |||||||
of which high-trigger instruments | 0 | 11,124 | 0 | – | – | 11,124 | |||||||
Other liabilities | 90 | 7,537 | 535 | (271) | – | 7,891 | |||||||
Total liabilities at fair value | 58,330 | 207,703 | 14,865 | (108,979) | – | 171,919 | |||||||
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. | |||||||||||||
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
47
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2020 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total | |||||
Assets (CHF million) | |||||||||||||
Cash and due from banks | 0 | 525 | 0 | – | – | 525 | |||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 57,994 | 0 | – | – | 57,994 | |||||||
Securities received as collateral | 44,074 | 6,598 | 101 | – | – | 50,773 | |||||||
Trading assets | 87,746 | 181,303 | 7,535 | (119,731) | 658 | 157,511 | |||||||
of which debt securities | 16,321 | 45,903 | 2,253 | – | 55 | 64,532 | |||||||
of which foreign government | 15,908 | 11,909 | 140 | – | – | 27,957 | |||||||
of which corporates | 353 | 9,936 | 1,270 | – | 55 | 11,614 | |||||||
of which RMBS | 0 | 20,882 | 557 | – | – | 21,439 | |||||||
of which equity securities | 60,080 | 2,466 | 124 | – | 603 | 63,273 | |||||||
of which derivatives | 9,297 | 132,054 | 3,911 | (119,731) | – | 25,531 | |||||||
of which interest rate products | 3,036 | 71,043 | 733 | – | – | – | |||||||
of which foreign exchange products | 42 | 24,259 | 143 | – | – | – | |||||||
of which equity/index-related products | 6,150 | 31,945 | 1,186 | – | – | – | |||||||
of which other derivatives | 22 | 110 | 1,079 | – | – | – | |||||||
of which other trading assets | 2,048 | 880 | 1,247 | – | – | 4,175 | |||||||
Investment securities | 1 | 604 | 0 | – | – | 605 | |||||||
Other investments | 13 | 6 | 3,054 | – | 720 | 3,793 | |||||||
of which other equity investments | 13 | 6 | 2,132 | – | 609 | 2,760 | |||||||
of which life finance instruments | 0 | 0 | 920 | – | – | 920 | |||||||
Loans | 0 | 7,739 | 3,669 | – | – | 11,408 | |||||||
of which commercial and industrial loans | 0 | 2,187 | 1,347 | – | – | 3,534 | |||||||
of which financial institutions | 0 | 3,506 | 1,082 | – | – | 4,588 | |||||||
Other intangible assets (mortgage servicing rights) | 0 | 0 | 180 | – | – | 180 | |||||||
Other assets | 137 | 7,315 | 1,825 | (904) | – | 8,373 | |||||||
of which failed purchases | 109 | 1,229 | 51 | – | – | 1,389 | |||||||
of which loans held-for-sale | 0 | 4,870 | 1,576 | – | – | 6,446 | |||||||
Total assets at fair value | 131,971 | 262,084 | 16,364 | (120,635) | 1,378 | 291,162 | |||||||
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. | |||||||||||||
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
48
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2020 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total | |||||
Liabilities (CHF million) | |||||||||||||
Due to banks | 0 | 413 | 0 | – | – | 413 | |||||||
Customer deposits | 0 | 3,895 | 448 | – | – | 4,343 | |||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 13,688 | 0 | – | – | 13,688 | |||||||
Obligation to return securities received as collateral | 44,074 | 6,598 | 101 | – | – | 50,773 | |||||||
Trading liabilities | 33,543 | 138,018 | 4,246 | (129,937) | 1 | 45,871 | |||||||
of which equity securities | 20,527 | 111 | 55 | – | 1 | 20,694 | |||||||
of which derivatives | 10,535 | 132,956 | 4,191 | (129,937) | – | 17,745 | |||||||
of which interest rate products | 3,264 | 68,229 | 169 | – | – | – | |||||||
of which foreign exchange products | 51 | 28,819 | 72 | – | – | – | |||||||
of which equity/index-related products | 7,149 | 30,612 | 2,010 | – | – | – | |||||||
of which credit derivatives | 0 | 4,663 | 1,335 | – | – | – | |||||||
Short-term borrowings | 0 | 10,039 | 701 | – | – | 10,740 | |||||||
Long-term debt | 0 | 62,957 | 7,286 | – | – | 70,243 | |||||||
of which structured notes over one year and up to two years | 0 | 11,787 | 1,133 | – | – | 12,920 | |||||||
of which structured notes over two years | 0 | 28,330 | 5,526 | – | – | 33,856 | |||||||
of which high-trigger instruments | 0 | 10,627 | 0 | – | – | 10,627 | |||||||
Other liabilities | 0 | 6,675 | 1,250 | (169) | – | 7,756 | |||||||
Total liabilities at fair value | 77,617 | 242,283 | 14,032 | (130,106) | 1 | 203,827 | |||||||
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. | |||||||||||||
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
49
Assets and liabilities measured at fair value on a recurring basis for level 3
Trading revenues | Other revenues | Accumulated other comprehensive income | |||||||||||||||||||||||||||||||
6M21 | Balance at beginning of period | Transfers in | Transfers out | Purchases | Sales | Issuances | Settlements | On transfers out | On all other | On transfers out | On all other | On transfers out | On all other | Foreign currency translation impact | Balance at end of period | Changes in unrealized gains/losses | 1 | ||||||||||||||||
Assets (CHF million) | |||||||||||||||||||||||||||||||||
Securities received as collateral | 101 | 0 | 0 | 64 | (86) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 5 | 84 | 0 | |||||||||||||||||
Trading assets | 7,535 | 594 | (1,635) | 2,472 | (2,976) | 508 | (1,119) | 39 | 140 | 0 | 0 | 0 | 0 | 380 | 5,938 | 128 | |||||||||||||||||
of which debt securities | 2,253 | 296 | (736) | 1,859 | (2,285) | 0 | 0 | (7) | 138 | 0 | 0 | 0 | 0 | 137 | 1,655 | 103 | |||||||||||||||||
of which corporates | 1,270 | 137 | (176) | 1,403 | (1,913) | 0 | 0 | (5) | 95 | 0 | 0 | 0 | 0 | 78 | 889 | 99 | |||||||||||||||||
of which derivatives | 3,911 | 179 | (856) | 0 | 0 | 508 | (1,033) | 29 | (30) | 0 | 0 | 0 | 0 | 175 | 2,883 | 72 | |||||||||||||||||
of which interest rate products | 733 | 59 | (81) | 0 | 0 | 114 | (59) | 0 | 18 | 0 | 0 | 0 | 0 | 21 | 805 | 54 | |||||||||||||||||
of which other derivatives | 1,079 | 0 | 0 | 0 | 0 | 153 | (157) | 0 | (55) | 0 | 0 | 0 | 0 | 53 | 1,073 | (60) | |||||||||||||||||
of which other trading assets | 1,247 | 22 | (32) | 493 | (617) | 0 | (86) | 10 | 21 | 0 | 0 | 0 | 0 | 60 | 1,118 | (47) | |||||||||||||||||
Other investments | 3,054 | 3 | (753) | 20 | (473) | 0 | 0 | 0 | (17) | 0 | 318 | 0 | 0 | 79 | 2,231 | 46 | |||||||||||||||||
of which other equity investments | 2,132 | 0 | (753) | 3 | (375) | 0 | 0 | 0 | (6) | 0 | 318 | 0 | 0 | 34 | 1,353 | 55 | |||||||||||||||||
of which life finance instruments | 920 | 0 | 0 | 17 | (94) | 0 | 0 | 0 | (11) | 0 | 0 | 0 | 0 | 45 | 877 | 18 | |||||||||||||||||
Loans 2 | 3,669 | 22 | (533) | 357 | (73) | 162 | (946) | 8 | 85 | 0 | 1 | 0 | 0 | 176 | 2,928 | 25 | |||||||||||||||||
of which commercial and industrial loans 2 | 1,347 | 22 | (12) | 10 | (31) | 119 | (184) | 14 | 57 | 0 | 1 | 0 | 0 | 68 | 1,411 | 36 | |||||||||||||||||
of which financial institutions | 1,082 | 0 | (222) | 0 | (42) | 32 | (296) | 3 | 40 | 0 | 0 | 0 | 0 | 46 | 643 | 4 | |||||||||||||||||
Other intangible assets (mortgage servicing rights) | 180 | 0 | 0 | 22 | 0 | 0 | 0 | 0 | 0 | 0 | (22) | 0 | 0 | 9 | 189 | (22) | |||||||||||||||||
Other assets | 1,825 | 164 | (451) | 2,500 | (2,176) | 77 | (573) | 13 | (42) | 0 | 0 | 0 | 0 | 99 | 1,436 | (76) | |||||||||||||||||
of which loans held-for-sale | 1,576 | 164 | (409) | 2,469 | (2,137) | 77 | (571) | 11 | 19 | 0 | 0 | 0 | 0 | 88 | 1,287 | (41) | |||||||||||||||||
Total assets at fair value | 16,364 | 783 | (3,372) | 5,435 | (5,784) | 747 | (2,638) | 60 | 166 | 0 | 297 | 0 | 0 | 748 | 12,806 | 101 | |||||||||||||||||
Liabilities (CHF million) | |||||||||||||||||||||||||||||||||
Customer deposits | 448 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (8) | 0 | 0 | 0 | (13) | 5 | 432 | 10 | |||||||||||||||||
Obligation to return securities received as collateral | 101 | 0 | 0 | 64 | (86) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 5 | 84 | 0 | |||||||||||||||||
Trading liabilities | 4,246 | 584 | (1,961) | 80 | (24) | 710 | (1,138) | 152 | 169 | 0 | 0 | 0 | 0 | 217 | 3,035 | 779 | |||||||||||||||||
of which derivatives | 4,191 | 566 | (1,961) | 69 | (4) | 710 | (1,138) | 152 | 193 | 0 | 0 | 0 | 0 | 216 | 2,994 | 781 | |||||||||||||||||
of which equity/index-related derivatives | 2,010 | 427 | (1,049) | 0 | 0 | 350 | (527) | 151 | 265 | 0 | 0 | 0 | 0 | 111 | 1,738 | 529 | |||||||||||||||||
Short-term borrowings | 701 | 155 | (207) | 0 | 0 | 930 | (608) | (1) | 95 | 0 | 0 | 0 | 0 | 41 | 1,106 | 67 | |||||||||||||||||
Long-term debt | 7,286 | 2,697 | (2,046) | 0 | 0 | 4,401 | (3,119) | 62 | (8) | 0 | 0 | (3) | (30) | 433 | 9,673 | 203 | |||||||||||||||||
of which structured notes over one year and up to two years | 1,133 | 1,165 | (732) | 0 | 0 | 1,127 | (771) | 39 | 97 | 0 | 0 | 0 | (1) | 67 | 2,124 | 39 | |||||||||||||||||
of which structured notes over two years | 5,526 | 1,532 | (1,287) | 0 | 0 | 3,020 | (2,227) | 24 | (109) | 0 | 0 | (2) | (29) | 329 | 6,777 | (59) | |||||||||||||||||
Other liabilities | 1,250 | 7 | (533) | 24 | (46) | 59 | (416) | 8 | (8) | 102 | 38 | 0 | 0 | 50 | 535 | 2 | |||||||||||||||||
Total liabilities at fair value | 14,032 | 3,443 | (4,747) | 168 | (156) | 6,100 | (5,281) | 221 | 240 | 102 | 38 | (3) | (43) | 751 | 14,865 | 1,061 | |||||||||||||||||
Net assets/(liabilities) at fair value | 2,332 | (2,660) | 1,375 | 5,267 | (5,628) | (5,353) | 2,643 | (161) | (74) | (102) | 259 | 3 | 43 | (3) | (2,059) | (960) | |||||||||||||||||
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 6M21, changes in net unrealized gains/(losses) of CHF (1,003) million and CHF 28 million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 15 million were recorded in Gains/(losses) on liabilities relating to credit risk in Accumulated other comprehensive income/(loss). |
50 / 51
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
Trading revenues | Other revenues | Accumulated other comprehensive income | |||||||||||||||||||||||||||||||
6M20 | Balance at beginning of period | Transfers in | Transfers out | Purchases | Sales | Issuances | Settlements | On transfers out | On all other | On transfers out | On all other | On transfers out | On all other | Foreign currency translation impact | Balance at end of period | Changes in unrealized gains/losses | 1 | ||||||||||||||||
Assets (CHF million) | |||||||||||||||||||||||||||||||||
Securities received as collateral | 1 | 0 | 0 | 173 | (1) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (3) | 170 | 0 | |||||||||||||||||
Trading assets | 7,885 | 2,489 | (1,502) | 4,272 | (4,657) | 1,290 | (1,625) | 169 | 796 | (1) | 0 | 0 | 0 | (319) | 8,797 | 1,076 | |||||||||||||||||
of which debt securities | 1,923 | 1,654 | (708) | 2,527 | (2,000) | 0 | 0 | 59 | (122) | 0 | 0 | 0 | 0 | (135) | 3,198 | (19) | |||||||||||||||||
of which corporates | 1,128 | 559 | (564) | 1,718 | (1,230) | 0 | 0 | 67 | 42 | 0 | 0 | 0 | 0 | (78) | 1,642 | 96 | |||||||||||||||||
of which RMBS | 317 | 902 | (70) | 557 | (525) | 0 | 0 | (4) | (70) | 0 | 0 | 0 | 0 | (5) | 1,102 | (55) | |||||||||||||||||
of which derivatives | 3,534 | 719 | (629) | 0 | 0 | 1,290 | (1,606) | 111 | 834 | (1) | 0 | 0 | 0 | (151) | 4,101 | 999 | |||||||||||||||||
of which equity/index-related products | 1,040 | 220 | (240) | 0 | 0 | 345 | (597) | 35 | 345 | 0 | 0 | 0 | 0 | (81) | 1,067 | 361 | |||||||||||||||||
of which credit derivatives | 879 | 379 | (305) | 0 | 0 | 700 | (771) | 100 | 211 | 0 | 0 | 0 | 0 | (21) | 1,172 | 325 | |||||||||||||||||
of which other derivatives | 909 | 0 | 0 | 0 | 0 | 155 | (165) | 0 | 207 | 0 | 0 | 0 | 0 | (21) | 1,085 | 210 | |||||||||||||||||
of which other trading assets | 2,231 | 100 | (144) | 1,707 | (2,639) | 0 | (19) | (1) | 151 | 0 | 0 | 0 | 0 | (30) | 1,356 | 11 | |||||||||||||||||
Other investments | 2,523 | 2 | 0 | 371 | (107) | 0 | 0 | 0 | 95 | 0 | (19) | 0 | 0 | (26) | 2,839 | 38 | |||||||||||||||||
of which other equity investments | 1,463 | 1 | 0 | 354 | (19) | 0 | 0 | 0 | (11) | 0 | (18) | 0 | 0 | (5) | 1,765 | (35) | |||||||||||||||||
of which life finance instruments | 1,052 | 0 | 0 | 17 | (88) | 0 | 0 | 0 | 106 | 0 | 0 | 0 | 0 | (21) | 1,066 | 74 | |||||||||||||||||
Loans 2 | 3,835 | 641 | (375) | 90 | (479) | 742 | (569) | 38 | (336) | 0 | 0 | 0 | 0 | (74) | 3,513 | (296) | |||||||||||||||||
of which commercial and industrial loans 2 | 1,402 | 390 | (137) | 45 | (282) | 447 | (173) | 3 | (194) | 0 | 0 | 0 | 0 | (28) | 1,473 | (205) | |||||||||||||||||
of which financial institutions | 1,201 | 44 | (94) | 0 | (32) | 275 | (211) | 13 | (70) | 0 | 0 | 0 | 0 | (26) | 1,100 | (77) | |||||||||||||||||
Other intangible assets (mortgage servicing rights) | 244 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (31) | 0 | 0 | (4) | 209 | (31) | |||||||||||||||||
Other assets | 1,846 | 1,432 | (383) | 2,400 | (2,260) | 282 | (543) | 16 | (60) | 0 | 0 | 0 | 0 | (149) | 2,581 | (6) | |||||||||||||||||
of which loans held-for-sale | 1,619 | 1,409 | (339) | 2,373 | (2,259) | 282 | (543) | (8) | (87) | 0 | 0 | 0 | 0 | (143) | 2,304 | (87) | |||||||||||||||||
Total assets at fair value | 16,334 | 4,564 | (2,260) | 7,306 | (7,504) | 2,314 | (2,737) | 223 | 495 | (1) | (50) | 0 | 0 | (575) | 18,109 | 781 | |||||||||||||||||
Liabilities (CHF million) | |||||||||||||||||||||||||||||||||
Customer deposits | 474 | 0 | 0 | 0 | 0 | 0 | (27) | 0 | 35 | 0 | 0 | 0 | (22) | (27) | 433 | 9 | |||||||||||||||||
Obligation to return securities received as collateral | 1 | 0 | 0 | 173 | (1) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (3) | 170 | 0 | |||||||||||||||||
Trading liabilities | 3,854 | 513 | (904) | 210 | (195) | 1,602 | (1,276) | 184 | (151) | (5) | 0 | 0 | 0 | (105) | 3,727 | 577 | |||||||||||||||||
of which derivatives | 3,801 | 497 | (904) | 0 | (3) | 1,602 | (1,276) | 184 | (136) | (5) | 0 | 0 | 0 | (103) | 3,657 | 575 | |||||||||||||||||
of which equity/index-related derivatives | 1,921 | 126 | (493) | 0 | 0 | 585 | (486) | 69 | (262) | 0 | 0 | 0 | 0 | (59) | 1,401 | 274 | |||||||||||||||||
of which credit derivatives | 1,211 | 333 | (373) | 0 | 0 | 896 | (574) | 117 | (21) | 0 | 0 | 0 | 0 | (31) | 1,558 | 135 | |||||||||||||||||
Short-term borrowings | 997 | 52 | (200) | 0 | 0 | 470 | (706) | (2) | (118) | 0 | 0 | 0 | 0 | (13) | 480 | (40) | |||||||||||||||||
Long-term debt | 12,749 | 1,720 | (5,514) | 0 | 0 | 4,294 | (3,614) | 461 | (1,241) | 0 | 0 | 87 | (165) | (272) | 8,505 | (107) | |||||||||||||||||
of which structured notes over one year and up to two years | 891 | 186 | (423) | 0 | 0 | 632 | (435) | 28 | (111) | 0 | 0 | 1 | 5 | (18) | 756 | (30) | |||||||||||||||||
of which structured notes over two years | 11,458 | 707 | (5,077) | 0 | 0 | 3,631 | (3,140) | 433 | (1,138) | 0 | 0 | 87 | (170) | (245) | 6,546 | (89) | |||||||||||||||||
Other liabilities | 1,367 | 168 | (112) | 195 | (227) | 64 | (283) | (27) | (17) | 0 | 84 | 0 | 0 | (27) | 1,185 | 44 | |||||||||||||||||
Total liabilities at fair value | 19,442 | 2,453 | (6,730) | 578 | (423) | 6,430 | (5,906) | 616 | (1,492) | (5) | 84 | 87 | (187) | (447) | 14,500 | 483 | |||||||||||||||||
Net assets/(liabilities) at fair value | (3,108) | 2,111 | 4,470 | 6,728 | (7,081) | (4,116) | 3,169 | (393) | 1,987 | 4 | (134) | (87) | 187 | (128) | 3,609 | 298 | |||||||||||||||||
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues. As of 6M20, changes in net unrealized gains/(losses) of CHF 284 million and CHF (36) million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 50 million were recorded in Gains/(losses) on liabilities relating to credit risk in Accumulated other comprehensive income/(loss). | |||||||||||||||||||||||||||||||||
2 Includes an adjustment of CHF 119 million reflecting the impact of applying the fair value option on certain loans (previously held at amortized cost) at the adoption of the ASU 2019-05. |
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Difference between the fair value and the unpaid principal balances of fair value option-elected financial instruments
6M21 | 2020 | ||||||||||||
end of | Aggregate fair value | Aggregate unpaid principal | Difference | Aggregate fair value | Aggregate unpaid principal | Difference | |||||||
Financial instruments (CHF million) | |||||||||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 69,465 | 69,314 | 151 | 57,994 | 57,895 | 99 | |||||||
Loans | 11,101 | 11,804 | (703) | 11,408 | 12,079 | (671) | |||||||
Other assets 1 | 9,448 | 12,122 | (2,674) | 7,834 | 10,090 | (2,256) | |||||||
Due to banks and customer deposits | (538) | (471) | (67) | (578) | (489) | (89) | |||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (11,080) | (11,079) | (1) | (13,688) | (13,672) | (16) | |||||||
Short-term borrowings | (8,554) | (8,556) | 2 | (10,740) | (10,632) | (108) | |||||||
Long-term debt 2 | (68,486) | (70,327) | 1,841 | (70,243) | (73,175) | 2,932 | |||||||
Other liabilities | (883) | (1,844) | 961 | (616) | (1,569) | 953 | |||||||
Non-performing and non-interest-earning loans 3 | 591 | 3,543 | (2,952) | 543 | 3,364 | (2,821) | |||||||
1 Primarily loans held-for-sale. | |||||||||||||
2 Long-term debt includes both principal-protected and non-principal protected instruments. For non-principal-protected instruments, the original notional amount has been reported in the aggregate unpaid principal. | |||||||||||||
3 Included in loans or other assets. |
Gains and losses on financial instruments
6M21 | 6M20 | ||||
in | Net gains/ (losses) | Net gains/ (losses) | |||
Financial instruments (CHF million) | |||||
Interest-bearing deposits with banks | 18 | 1 | 1 | 1 | |
of which related to credit risk | 8 | (6) | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 306 | 1 | 789 | 1 | |
Other investments | 293 | 2 | 205 | 3 | |
of which related to credit risk | 0 | 1 | |||
Loans | 277 | 1 | (247) | 3 | |
of which related to credit risk | 59 | (575) | |||
Other assets | 405 | 1 | 416 | 1 | |
of which related to credit risk | 173 | (19) | |||
Due to banks and customer deposits | (37) | 3 | (39) | 3 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (29) | 1 | (82) | 1 | |
Short-term borrowings | (406) | 3 | (16) | 3 | |
of which related to credit risk | (1) | 1 | |||
Long-term debt | (3,347) | 3 | 1,842 | 3 | |
of which related to credit risk | 0 | 14 | |||
Other liabilities | 120 | 2 | (102) | 3 | |
of which related to credit risk | 67 | (124) | |||
1 Primarily recognized in net interest income. | |||||
2 Primarily recognized in other revenues. | |||||
3 Primarily recognized in trading revenues. |
54
Gains/(losses) attributable to changes in investment-specific credit risk
Gains/(losses) recorded into AOCI | 1 | Gains/(losses) recorded in AOCI transferred to net income | 1 | ||||||||
in | 6M21 | Cumulative | 6M20 | 6M21 | 6M20 | ||||||
Financial instruments (CHF million) | |||||||||||
Customer deposits | 13 | (64) | 23 | 0 | 0 | ||||||
Short-term borrowings | 13 | (55) | (22) | 0 | 0 | ||||||
Long-term debt | (21) | (2,397) | 1,723 | 77 | 99 | ||||||
of which treasury debt over two years | (321) | (1,044) | 1,306 | 0 | 0 | ||||||
of which structured notes over two years | 269 | (1,262) | 300 | 77 | 99 | ||||||
Total | 5 | (2,516) | 1,724 | 77 | 99 | ||||||
1 Amounts are reflected gross of tax. |
Carrying value and fair value of financial instruments not carried at fair value
Carrying value | Fair value | ||||||||||
end of | Level 1 | Level 2 | Level 3 | Total | |||||||
6M21 (CHF million) | |||||||||||
Financial assets | |||||||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 25,179 | 0 | 25,180 | 0 | 25,180 | ||||||
Loans | 293,508 | 0 | 288,871 | 13,252 | 302,123 | ||||||
Other financial assets 1 | 160,724 | 144,457 | 16,058 | 273 | 160,788 | ||||||
Financial liabilities | |||||||||||
Due to banks and customer deposits | 415,020 | 239,969 | 175,118 | 0 | 415,087 | ||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 9,941 | 0 | 9,941 | 0 | 9,941 | ||||||
Short-term borrowings | 17,665 | 0 | 17,666 | 0 | 17,666 | ||||||
Long-term debt | 95,807 | 0 | 95,840 | 2,955 | 98,795 | ||||||
Other financial liabilities 2 | 14,484 | 0 | 14,069 | 382 | 14,451 | ||||||
2020 (CHF million) | |||||||||||
Financial assets | |||||||||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 21,139 | 0 | 21,139 | 0 | 21,139 | ||||||
Loans | 285,570 | 0 | 281,097 | 14,534 | 295,631 | ||||||
Other financial assets 1 | 154,441 | 137,763 | 16,399 | 302 | 154,464 | ||||||
Financial liabilities | |||||||||||
Due to banks and customer deposits | 403,704 | 235,477 | 168,262 | 0 | 403,739 | ||||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 10,256 | 0 | 10,256 | 0 | 10,256 | ||||||
Short-term borrowings | 10,568 | 0 | 10,569 | 0 | 10,569 | ||||||
Long-term debt | 90,035 | 0 | 90,716 | 2,317 | 93,033 | ||||||
Other financial liabilities 2 | 16,131 | 0 | 15,694 | 403 | 16,097 | ||||||
1 Primarily includes cash and due from banks, interest-bearing deposits with banks, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities. | |||||||||||
2 Primarily includes cash collateral on derivative instruments and interest and fee payables. |
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31 Assets pledged and collateral
> Refer to “Note 32 – Assets pledged and collateral” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 and to ”Note 36 – Assets pledged and collateral” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2020 for further information.
Assets pledged
end of | 6M21 | 2020 | |||
CHF million | |||||
Total assets pledged or assigned as collateral | 116,523 | 144,355 | |||
of which encumbered | 55,154 | 82,950 | 1 | ||
1 Prior period has been corrected. |
Collateral
end of | 6M21 | 2020 | 1 | ||
CHF million | |||||
Fair value of collateral received with the right to sell or repledge | 370,803 | 385,515 | |||
of which sold or repledged | 135,894 | 158,567 | |||
1 Prior period has been corrected. |
32 Litigation
> Refer to “Note 33 – Litigation” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q21 for further information.
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