Pillar 3 and regu­la­tory

disclosures 1Q22
Credit Suisse Group AG


 

For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse,” the “Group,” “we,” “us” and “our” mean Credit Suisse
Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the
Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the “Bank” when we are only
referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.


 

Pillar 3 and regulatory

disclosures 1Q22
Credit Suisse Group AG

2 Introduction

3 Swiss capital requirements

5 Risk-weighted assets

8 Additional regulatory
disclosures

12 List of abbreviations

13 Cautionary statement
regarding forward-looking
information

Pillar 3 and regulatory disclosures 1Q22 1

 

Introduction

General Other regulatory disclosures

This report as of March 31, 2022 is based on the Circular In connection with the implementation of Basel III, certain regula-
2016/1 “Disclosure – banks” (FINMA circular) issued by the tory disclosures for the Group and certain of its subsidiaries are
Swiss Financial Market Supervisory Authority FINMA (FINMA). required. The Group’s Pillar 3 disclosure, regulatory disclosures,
additional information on capital instruments, including the main
This report is produced and published quarterly, in accordance features of regulatory capital instruments and total loss-absorbing
with FINMA requirements. The reporting frequency for each dis- capacity (TLAC)-eligible instruments that form part of the eligible
closure requirement is either annual, semi-annual or quarterly. capital base and TLAC resources, global systemically important
This document should be read in conjunction with the Pillar 3 bank (G-SIB) financial indicators, reconciliation requirements,
and regulatory disclosures – Credit Suisse Group AG 4Q21, the leverage ratios and certain liquidity disclosures as well as regula-
Credit Suisse Annual Report 2021 and the Credit Suisse Finan- tory disclosures for subsidiaries can be found on our website.
cial Report 1Q22, which include important information on regula- >> Refer to credit-suisse.com/regulatorydisclosures for additional information.
tory capital and risk management (specific references have been
made herein to these documents) and regulatory developments
and proposals.
Regulatory developments
Credit Suisse Group is the highest consolidated entity to which
the FINMA circular applies. >> Refer to “Regulatory developments” (page 44) in II – Treasury, risk, balance
sheet and off-balance sheet – Capital management” in the Credit Suisse
Financial Report 1Q22 for further information.
These disclosures were verified and approved internally in line
with our board-approved policy on disclosure controls and pro-
cedures. The level of internal control processes for these dis-
closures is similar to those applied to the Group’s quarterly and
annual financial reports. This report has not been audited by the
Group’s external auditors.

For certain prescribed table formats where line items have zero
balances, such line items have not been presented.

2 Introduction
 

Swiss capital requirements

FINMA requires the Group to comply fully with the special >> Refer to “Swiss requirements” (page 43) and “Swiss metrics” (pages 48 to 49)
requirements for systemically important financial institutions oper- in II – Treasury, risk, balance sheet and off-balance sheet – Capital manage-
ment in the Credit Suisse Financial Report 1Q22 for further information on
ating internationally. The following tables present the Swiss capi- general Swiss requirements and the related metrics.
tal and leverage requirements and metrics as required by FINMA.

Swiss capital requirements and metrics

in %
end of 1Q22 CHF million of RWA

Swiss risk-weighted assets

Swiss risk-weighted assets 273,609 –

Risk-based capital requirements (going-concern) based on Swiss capital ratios

Total 1 41,034 14.997
of which CET1: minimum 12,312 4.5
of which CET1: buffer 15,049 5.5
of which CET1: countercyclical buffers 63 0.023
of which additional tier 1: minimum 9,576 3.5
of which additional tier 1: buffer 2,189 0.8

Swiss eligible capital (going-concern)

Swiss CET1 capital and additional tier 1 capital 2 53,204 19.4
of which CET1 capital 3 37,713 13.8
of which additional tier 1 high-trigger capital instruments 11,135 4.1
of which additional tier 1 low-trigger capital instruments 4 4,356 1.6

Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios
Total according to size and market share 5 39,126 14.3
Reductions due to rebates in accordance with article 133 of the CAO (8,578) (3.135)
Reductions due to the holding of additional instruments in the form of
convertible capital in accordance with Art. 132 para 4 CAO (1,180) (0.431)
Total, net 29,368 10.734

Eligible additional total loss-absorbing capacity (gone-concern)

Total 47,973 17.5
of which bail-in instruments 6 45,612 16.7
of which tier 2 low-trigger capital instruments 2,361 0.9

Rounding differences may occur.

1 The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an addi-
tional Swiss CET1 capital ratio requirement of 67 basis points.
2 Excludes tier 1 capital that is used to fulfill gone-concern requirements.
3 Excludes CET1 capital that is used to fulfill gone-concern requirements.
4 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss “Too Big to
Fail” rules.
5 Consists of a base requirement of 12.86%, or CHF 35,186 million, and a surcharge of 1.44%, or CHF 3,940 million.
6 Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG
has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net
senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.

Swiss capital requirements 3

 

Swiss leverage requirements and metrics

in %
end of 1Q22 CHF million of LRD

Leverage exposure
Leverage ratio denominator 878,023 –

Unweighted capital requirements (going-concern) based on Swiss leverage ratio

Total 1 45,745 5.21
of which CET1: minimum 13,170 1.5
of which CET1: buffer 17,560 2.0
of which additional tier 1: minimum 13,170 1.5

Swiss eligible capital (going-concern)

Swiss CET1 capital and additional tier 1 capital 2 53,204 6.1
3
of which CET1 capital 37,713 4.3
of which additional tier 1 high-trigger capital instruments 11,135 1.3
4
of which additional tier 1 low-trigger capital instruments 4,356 0.5

Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio
Total according to size and market share 5 43,901 5.0
Reductions due to rebates in accordance with article 133 of the CAO (9,658) (1.1)

Reductions due to the holding of additional instruments in the form of
convertible capital in accordance with Art. 132 para 4 CAO (1,181) (0.134)
Total, net 33,062 3.766

Eligible additional total loss-absorbing capacity (gone-concern)

Total 47,973 5.5
6
of which bail-in instruments 45,612 5.2
of which tier 2 low-trigger capital instruments 2,361 0.3

Rounding differences may occur.

1 The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an addi-
tional Swiss CET1 leverage ratio requirement of 21 basis points.
2 Excludes tier 1 capital that is used to fulfill gone-concern requirements.
3 Excludes CET1 capital that is used to fulfill gone-concern requirements.
4 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss “Too Big to
Fail” rules.
5 Consists of a base requirement of 4.5%, or CHF 39,511 million, and a surcharge of 0.5%, or CHF 4,390 million.
6 Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG
has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net
senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.

4 Swiss capital requirements

 

Risk-weighted assets

Overview RWA were CHF 273.6 billion as of the end of 1Q22, a 2%

increase compared to the end of 4Q21. The increase in RWA was
With the adoption of the revised FINMA circular, risk-weighted mainly related to internal model and parameter updates, primarily
assets (RWA) presented in this report, including prior period com- in operational risk, and the foreign exchange impact.
parisons, are based on the Swiss capital requirements.
>> Refer to “Swiss requirements” (page 43) in II – Treasury, risk, balance sheet RWA flow statements for credit risk, counterparty credit risk
and off-balance sheet – Capital management – Regulatory framework in the (CCR) and market risk are presented below.
Credit Suisse Financial Report 1Q22 for further information on Swiss capital
requirements. >> Refer to “Risk-weighted assets” (pages 46 to 47) in II – Treasury, risk, bal-
ance sheet and off-balance sheet – Capital Management in the Credit Suisse
Financial Report 1Q22 for further information on movements in risk-weighted
assets in 1Q22.
The following table provides an overview of total Swiss RWA
forming the denominator of the risk-based capital requirements.

OV1 – Overview of Swiss risk-weighted assets and capital requirements

Capital
Risk-weighted assets requirement 1
end of 1Q22 4Q21 1Q22

CHF million
Credit risk (excluding counterparty credit risk) 130,639 126,878 10,452
of which standardized approach (SA) 28,228 25,591 2,260
of which supervisory slotting approach 4,346 4,040 348
of which advanced internal ratings-based (A-IRB) approach 98,065 97,247 7,844
Counterparty credit risk 15,338 15,640 1,227
of which standardized approach for counterparty credit risk (SA-CCR) 4,276 3,064 342
of which internal model method (IMM) 10,001 11,536 800
of which other counterparty credit risk 2 1,061 1,040 85
Credit valuation adjustments (CVA) 4,832 5,046 387
Equity positions in the banking book under the simple risk weight approach 5,645 7,071 452
Equity investments in funds – look-through approach 2,220 2,431 178
Equity investments in funds – mandate-based approach 21 21 2
Equity investments in funds – fall-back approach 571 505 46
Settlement risk 669 465 54
Securitization exposures in the banking book 13,048 13,396 1,044
of which securitization internal ratings-based approach (SEC-IRBA) 7,381 7,736 590
of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA) 1,135 1,429 91
of which securitization standardized approach (SEC-SA) 4,532 4,231 363
Market risk 17,407 16,355 1,391
of which standardized approach (SA) 1,725 1,648 137
of which internal models approach (IMA) 15,682 14,707 1,254
Operational risk (AMA) 70,427 67,627 5,634
Amounts below the thresholds for deduction (subject to 250% risk weight) 12,792 12,983 1,023
Total 273,609 268,418 21,890

1 Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding capital conservation buffer and G-SIB buffer requirements.
2 Includes RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS.

Risk-weighted assets 5
 

Risk-weighted assets flow

statements
Credit risk and counterparty credit risk

The following table presents the definitions of the RWA flow

statements components for credit risk and CCR.

Definition of risk-weighted assets movement components related to credit risk and CCR
Description Definition
Asset size Represents changes on the portfolio size arising in the ordinary course of business (including
new businesses). Asset size also includes movements arising from the application of the
comprehensive approach with regard to the treatment of financial collateral
Asset quality/credit quality of counterparties Represents changes in average risk weighting across credit risk classes
Model and parameter updates Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes Represents movements arising from externally mandated regulatory methodology and policy
changes to accounting and exposure classification and treatment policies not specific only
to Credit Suisse
Acquisitions and disposals Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other Represents changes that cannot be attributed to any other category

Credit risk RWA movements Counterparty credit risk RWA movements

The following table presents the 1Q22 flow statement explaining The following table presents the 1Q22 flow statement explain-
the variations in the credit risk RWA determined under an internal ing the variations in the CCR RWA determined under the internal
ratings-based (IRB) approach. model method (IMM) for CCR (derivatives and SFTs).

CR8 – Risk-weighted assets flow statements of credit risk CCR7 – Risk-weighted assets flow statements of CCR
exposures under IRB exposures under IMM
1Q22 1Q22

CHF million CHF million

Risk-weighted assets at beginning of period 101,287 Risk-weighted assets at beginning of period 11,536
Asset size 613 Asset size (1,574)
Asset quality (282) Credit quality of counterparties (14)
Model and parameter updates 500 Model and parameter updates 0
Foreign exchange impact 293 Foreign exchange impact 53
Risk-weighted assets at end of period 102,411 Risk-weighted assets at end of period 10,001

Includes RWA related to the A-IRB approach and supervisory slotting approach.

CCR RWA under IMM decreased CHF 1.5 billion to CHF 10.0
Credit risk RWA under IRB increased CHF 1.1 billion to billion compared to the end of 4Q21. The decrease was primar-
CHF 102.4 billion compared to the end of 4Q21. The increase ily driven by decreases in asset size risk levels reflecting reduced
was primarily driven by movement in risk levels attributable to exposures on our securities financing business and other prod-
asset size, model and parameter updates as well as a positive ucts in this category.
foreign exchange impact. These increases were partially offset by
an improvement in asset quality due to phase-out of a regulatory
add-on in the corporate asset class.

6 Risk-weighted assets
 

Market risk

The following table presents the definitions of the RWA flow

statements components for market risk.

Definitions of risk-weighted assets movement components related to market risk

Description Definition
RWA as of the end of the previous/current reporting periods Represents RWA at quarter-end
Regulatory adjustment Indicates the difference between RWA and RWA (end of day) at beginning and end of period
RWA as of the previous/current quarters end (end of day) For a given component (e.g., VaR) it refers to the RWA that would be computed if the snapshot
quarter end amount of the component determines the quarter end RWA, as opposed to a 60-day
average for regulatory
Movement in risk levels Represents movements due to position changes
Model and parameter updates Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes Represents movements arising from externally mandated regulatory methodology and policy
changes to accounting and exposure classification and treatment policies not specific only
to Credit Suisse
Acquisitions and disposals Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other Represents changes that cannot be attributed to any other category

Market risk RWA movements

The following table presents the 1Q22 flow statement explaining
the variations in the market risk RWA determined under an inter-
nal models approach (IMA).

MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA
Regulatory Stressed
1Q22 VaR VaR IRC Other 1 Total

CHF million
Risk-weighted assets at beginning of period 4,067 4,840 2,087 3,713 14,707
Regulatory adjustment (179) (474) (195) 7 (841)
Risk-weighted assets at beginning of period (end of day) 3,888 4,366 1,892 3,720 13,866
Movement in risk levels 267 1,677 97 355 2,396
Model and parameter updates (104) 84 0 69 49
Foreign exchange impact 39 43 19 32 133
Risk-weighted assets at end of period (end of day) 4,090 6,170 2,008 4,176 16,444
Regulatory adjustment 273 (1,394) 198 160 (762)
Risk-weighted assets at end of period 4,363 4,776 2,206 4,336 15,682

1 Risks not in VaR.

Market risk RWA under an IMA increased CHF 1.0 billion to

CHF 15.7 billion compared to the end of 4Q21, primarily due to
an increase in risks not in VaR reflecting an increase in average
risk levels, mainly in Global Trading Solutions within the Invest-
ment Bank.

Risk-weighted assets 7
 

Additional regulatory disclosures

Key prudential metrics

Most line items in the following table reflects the view as if the
Group was not a systemically important financial institution.

KM1 – Key metrics

end of 1Q22 4Q21 3Q21 2Q21 1Q21

Capital (CHF million)

Swiss CET1 capital 37,713 38,529 39,951 38,934 36,959
Fully loaded CECL accounting model Swiss CET1 capital 1 37,713 38,529 39,951 38,934 36,959
Swiss tier 1 capital 53,204 54,372 56,252 55,148 53,406
Fully loaded CECL accounting model Swiss tier 1 capital 1 53,204 54,372 56,252 55,148 53,406
Swiss total eligible capital 53,676 55,073 56,998 56,394 54,682
Fully loaded CECL accounting model Swiss total eligible capital 1 53,676 55,073 56,998 56,394 54,682

Minimum capital requirement (8% of Swiss risk-weighted assets) 2 21,889 21,473 22,304 22,744 24,270

Risk-weighted assets (CHF million)

Swiss risk-weighted assets 273,609 268,418 278,801 284,295 303,380

Risk-based capital ratios as a percentage of risk-weighted assets (%)

Swiss CET1 capital ratio 13.8 14.4 14.3 13.7 12.2
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 13.8 14.4 14.3 13.7 12.2
Swiss tier 1 capital ratio 19.4 20.3 20.2 19.4 17.6
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 19.4 20.3 20.2 19.4 17.6
Swiss total capital ratio 19.6 20.5 20.4 19.8 18.0
Fully loaded CECL accounting model Swiss total capital ratio 1 19.6 20.5 20.4 19.8 18.0
3
BIS CET1 buffer requirements (%)
Capital conservation buffer 2.5 2.5 2.5 2.5 2.5
Extended countercyclical buffer 0.023 0.028 0.021 0.022 0.021
Progressive buffer for G-SIB and/or D-SIB 1.0 1.0 1.0 1.0 1.0
Total BIS CET1 buffer requirement 3.523 3.528 3.521 3.522 3.521

CET1 capital ratio available after meeting the bank’s minimum capital requirements 4 9.3 9.9 9.8 9.2 7.7

Basel III leverage ratio (CHF million)

Leverage exposure 878,023 889,137 937,419 931,041 981,979
Basel III leverage ratio (%) 6.1 6.1 6.0 5.9 5.4
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 6.1 6.1 6.0 5.9 5.4
5
Liquidity coverage ratio (CHF million)
High-quality liquid assets 225,572 227,193 228,352 209,256 211,307
Net cash outflows 114,869 112,156 103,504 97,007 103,088
Liquidity coverage ratio (%) 196 203 221 216 205

Net stable funding ratio (CHF million)

Available stable funding 430,894 436,856 446,805 – –
Required stable funding 335,546 342,870 353,492 – –
Net stable funding ratio (%) 128 127 126 – –

1 The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks”.
2 Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding the BIS CET1 buffer requirements.
3 CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
4 Reflects the Swiss CET1 capital ratio, less the BIS minimum CET1 ratio requirement of 4.5%.
5 Calculated using a three-month average, which is calculated on a daily basis.

8 Additional regulatory disclosures

 

>> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically impor- >> Refer to “Swiss requirements” (page 43) in II – Treasury, risk, balance sheet
tant financial institution view. and off-balance sheet – Capital management – Regulatory framework in the
>> Refer to “Swiss metrics” (pages 48 to 49) and “Risk-weighted assets” (pages Credit Suisse Financial Report 1Q22 for further information on additional CET1
buffer requirements.
46 to 47) in II – Treasury, risk, balance sheet and off-balance sheet – Capital
management in the Credit Suisse Financial Report 1Q22 for further informa-
tion on movements in capital, capital ratios, risk-weighted assets and leverage The following table presents information about available TLAC
ratios. and TLAC requirements applied at the resolution group level,
>> Refer to “Liquidity coverage ratio” (pages 39 to 40) and “Net stable funding which is defined as Credit Suisse Group AG consolidated.
ratio” (page 41) in II – Treasury, risk, balance sheet and off-balance sheet
– Liquidity and funding management – Liquidity management in the Credit
Suisse Financial Report 1Q22 for further information on movements in the
liquidity coverage ratio and the net stable funding ratio.

KM2 – Key metrics – TLAC requirements (at resolution group level)

end of 1Q22 4Q21 3Q21 2Q21 1Q21

CHF million
TLAC 101,177 101,269 106,048 107,027 105,862
Fully loaded CECL accounting model TLAC 1 101,177 101,269 106,048 107,027 105,862
Swiss risk-weighted assets 273,609 268,418 278,801 284,295 303,380
TLAC ratio (%) 37.0 37.7 38.0 37.6 34.9
Fully loaded CECL accounting model TLAC ratio (%) 1 37.0 37.7 38.0 37.6 34.9
Leverage exposure 878,023 889,137 937,419 931,041 981,979
TLAC leverage ratio (%) 11.5 11.4 11.3 11.5 10.8
Fully loaded CECL accounting model TLAC leverage ratio (%) 1 11.5 11.4 11.3 11.5 10.8
Does the subordination exemption in the antepenultimate paragraph
of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
Does the subordination exemption in the penultimate paragraph
of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
If the capped subordination exemption applies, the amount of funding issued N/A – refer N/A – refer N/A – refer N/A – refer N/A – refer
that ranks pari passu with Excluded Liabilities and that is recognized as external to our to our to our to our to our
TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and response response response response response
that would be recognized as external TLAC if no cap was applied (%) above above above above above

1 The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks”.

Additional regulatory disclosures 9

 

Leverage metrics >> Refer to “Leverage metrics” (page 48) and “Swiss metrics” (pages 48 to 49) in
II – Treasury, risk, balance sheet and off-balance sheet – Capital management
in the Credit Suisse Financial Report 1Q22 for further information on leverage
Credit Suisse has adopted the BIS leverage ratio framework, as metrics, including the calculation methodology and movements in leverage
issued by the BCBS and implemented in Switzerland by FINMA. exposures.

LR1 – Summary comparison of accounting assets vs leverage ratio exposure

end of 1Q22

Reconciliation of consolidated assets to leverage exposure (CHF million)

Total consolidated assets as per published financial statements 739,554
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes
but outside the scope of regulatory consolidation 1 (9,780)
Adjustments for derivatives financial instruments 56,200
Adjustments for SFTs (i.e. repos and similar secured lending) (724)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 90,409
Other adjustments 2,364
Leverage exposure 878,023

1 Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolida-
tion and tier 1 capital deductions related to balance sheet assets.

LR2 – Leverage ratio common disclosure template

end of 1Q22 4Q21

Reconciliation of consolidated assets to leverage exposure (CHF million)

On-balance sheet items (excluding derivatives and SFTs, but including collateral) 617,402 613,137
Asset amounts deducted from Basel III tier 1 capital (8,170) (7,965)
Total on-balance sheet exposures 609,232 605,172

Reconciliation of consolidated assets to leverage exposure (CHF million)

Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 18,628 20,381
Add-on amounts for PFE associated with all derivatives transactions 50,756 52,405
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant
to the operative accounting framework 15,130 17,869
Deductions of receivables assets for cash variation margin provided in derivatives transactions (13,975) (17,118)
Exempted CCP leg of client-cleared trade exposures (1,872) (4,324)
Adjusted effective notional amount of all written credit derivatives 229,495 201,987
Adjusted effective notional offsets and add-on deductions for written credit derivatives (225,154) (197,528)
Derivative Exposures 73,008 73,672

Securities financing transaction exposures (CHF million)

Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 113,836 127,152
Netted amounts of cash payables and cash receivables of gross SFT assets (15,823) (16,616)
Counterparty credit risk exposure for SFT assets 7,361 6,471
Securities financing transaction exposures 105,374 117,007

Other off-balance sheet exposures (CHF million)

Off-balance sheet exposure at gross notional amount 284,584 294,755
Adjustments for conversion to credit equivalent amounts (194,175) (201,469)
Other off-balance sheet exposures 90,409 93,286

Swiss tier 1 capital (CHF million)

Swiss tier 1 capital 53,204 54,372

Leverage exposure (CHF million)

Leverage exposure 878,023 889,137

Leverage ratio (%)

Basel III leverage ratio 6.1 6.1

10 Additional regulatory disclosures

 

Liquidity coverage ratio >> Refer to “Liquidity metrics” (pages 39 to 41) and “Funding sources” (page
41) in II –Treasury, risk, balance sheet and off-balance sheet – Liquidity and
funding management in the Credit Suisse Financial Report 1Q22 for further
Our calculation methodology for the liquidity coverage ratio (LCR) information on the Group’s liquidity coverage ratio including high quality liquid
is prescribed by FINMA. For disclosure purposes our LCR is cal- assets, liquidity pool and funding sources.
culated using a three-month average which is measured using
daily calculations during the quarter.

LIQ1 – Liquidity coverage ratio

Unweighted Weighted
end of 1Q22 value 1 value 2

High-quality liquid assets (CHF million)

High-quality liquid assets 3 – 225,572

Cash outflows (CHF million)

Retail deposits and deposits from small business customers 160,490 19,675
of which less stable deposits 160,490 19,675
Unsecured wholesale funding 247,390 91,890
of which operational deposits (all counterparties) and deposits in networks of cooperative banks 50,089 12,522
of which non-operational deposits (all counterparties) 128,258 66,298
of which unsecured debt 12,966 12,966
Secured wholesale funding 75,475 19,376
Additional requirements 164,142 36,060
of which outflows related to derivative exposures and other collateral requirements 54,716 13,864
of which outflows related to loss of funding on debt products 774 774
of which credit and liquidity facilities 108,652 21,422
Other contractual funding obligations 65,548 65,548
Other contingent funding obligations 195,886 2,498
Total cash outflows – 235,047

Cash inflows (CHF million)

Secured lending 63,349 27,618
Inflows from fully performing exposures 56,553 25,946
Other cash inflows 66,613 66,614
Total cash inflows 186,515 120,178

Liquidity cover ratio (CHF million)

High-quality liquid assets – 225,572
Net cash outflows – 114,869
Liquidity coverage ratio (%) – 196

Calculated based on an average of 64 data points in 1Q22.

1 Calculated as outstanding balances maturing or callable within 30 days.
2 Calculated after the application of haircuts for high-quality liquid assets or inflow and outflow rates.
3 Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation view.

Additional regulatory disclosures 11

 

List of abbreviations
A L
A-IRB Advanced-Internal Ratings-Based LCR Liquidity coverage ratio
AMA Advanced Measurement Approach LRD Leverage ratio denominator
B N
BCBS Basel Committee on Banking Supervision NSFR Net stable funding ratio
BIS Bank for International Settlements O
C OTC Over-the-counter
CAO Capital Adequacy Ordinance P
CCP Central counterparties PFE Potential future exposure
CCR Counterparty credit risk R
CDS Credit default swap RNIV Risks not in value-at-risk
CECL Current expected credit loss RWA Risk-weighted assets
CET1 Common equity tier 1 S
CVA Credit valuation adjustment SA Standardized Approach
D SA-CCR Standardized Approach – counterparty credit risk
D-SIB Domestic systemically important bank SEC-ERBA Securitization External Ratings-Based Approach
F SEC-IRBA Securitization Internal Ratings-Based Approach
FINMA Swiss Financial Market Supervisory Authority FINMA SEC-SA Securitization Standardized Approach
FSB Financial Stability Board SFT Securities Financing Transactions
G T
G-SIB Global systemically important bank TLAC Total loss-absorbing capacity
I U
IAA Internal Assessment Approach US GAAP Accounting principles generally accepted in the US
IMA Internal Models Approach V
IMM Internal Model Method VaR Value-at-Risk
IRB Internal Ratings-Based
IRC Incremental Risk Charge

12 List of abbreviations
 

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

Cautionary statement regarding forward-looking information 13

CREDIT SUISSE GROUP
Paradeplatz 8
8070 Zurich
Switzerland
credit-suisse.com